Collective2 Collective2
Featured Strategy Quant AI pro +14.5% Cumul. Return since Dec 2, 2024 Hypothetical

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moneylinetrader
(144321494)

Created by: Richard_Hom Richard_Hom
Started: 04/2023
Forex
Last trade: 2 days ago
Trading style: Futures Short Term Currencies

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 $99.00 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: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
Currencies
Category: Equity

Currencies

Focuses on currency futures.
23.0%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(23.4%)
Max Drawdown
432
Num Trades
78.9%
Win Trades
1.4 : 1
Profit Factor
61.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                     (4.1%)+3.9%+7.0%+13.6%+9.5%(4.6%)+5.3%+5.2%(7.3%)+29.8%
2024+0.4%+3.3%+8.7%+15.8%+2.6%+3.9%(5.1%)(8.7%)+3.3%(1%)(1.5%)(9.9%)+9.1%

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.

Trading Record

This strategy has placed 275 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 29 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
12/23/24 17:06 AUD/USD AUD/USD LONG 10 0.62471 12/24 16:51 0.62329 1.59%
Trade id #150395557
Max drawdown($227)
Time12/23/24 22:09
Quant open10
Worst price0.62244
Drawdown as % of equity-1.59%
 ($142)
12/23/24 7:09 AUD/USD AUD/USD LONG 9 0.62400 12/23 17:01 0.62474 1.34%
Trade id #150388205
Max drawdown($191)
Time12/23/24 10:14
Quant open9
Worst price0.62187
Drawdown as % of equity-1.34%
 $67
12/20/24 16:54 AUD/USD AUD/USD SHORT 1 0.62521 12/23 7:09 0.62400 0.09%
Trade id #150380317
Max drawdown($12)
Time12/23/24 4:29
Quant open1
Worst price0.62649
Drawdown as % of equity-0.09%
 $12
12/19/24 17:55 AUD/USD AUD/USD LONG 10 0.62368 12/20 1:37 0.62370 1.55%
Trade id #150370240
Max drawdown($220)
Time12/19/24 22:45
Quant open10
Worst price0.62148
Drawdown as % of equity-1.55%
 $2
12/16/24 17:01 AUD/USD AUD/USD LONG 10 0.63647 12/18 16:08 0.62285 9.7%
Trade id #150339260
Max drawdown($1,423)
Time12/18/24 15:40
Quant open10
Worst price0.62224
Drawdown as % of equity-9.70%
 ($1,362)
12/15/24 17:50 AUD/USD AUD/USD LONG 10 0.63560 12/15 18:20 0.63662 0.03%
Trade id #150328912
Max drawdown($5)
Time12/15/24 18:00
Quant open10
Worst price0.63555
Drawdown as % of equity-0.03%
 $102
12/12/24 18:56 AUD/USD AUD/USD SHORT 10 0.63704 12/12 21:01 0.63560 0.09%
Trade id #150314972
Max drawdown($14)
Time12/12/24 19:14
Quant open10
Worst price0.63718
Drawdown as % of equity-0.09%
 $144
12/9/24 17:00 AUD/USD AUD/USD LONG 10 0.64342 12/11 22:47 0.64152 6.63%
Trade id #150285030
Max drawdown($977)
Time12/11/24 5:10
Quant open10
Worst price0.63365
Drawdown as % of equity-6.63%
 ($190)
12/5/24 16:59 AUD/USD AUD/USD LONG 10 0.64520 12/9 3:39 0.64293 5.03%
Trade id #150259957
Max drawdown($793)
Time12/6/24 0:00
Quant open10
Worst price0.63727
Drawdown as % of equity-5.03%
 ($227)
12/4/24 17:44 AUD/USD AUD/USD SHORT 10 0.64290 12/5 7:30 0.64290 1.5%
Trade id #150247513
Max drawdown($239)
Time12/5/24 3:29
Quant open10
Worst price0.64529
Drawdown as % of equity-1.50%
 $0
12/3/24 19:26 AUD/USD AUD/USD SHORT 10 0.64831 12/3 19:30 0.64720 0.06%
Trade id #150237860
Max drawdown($9)
Time12/3/24 19:29
Quant open10
Worst price0.64840
Drawdown as % of equity-0.06%
 $111
12/2/24 16:58 AUD/USD AUD/USD LONG 10 0.64760 12/3 3:00 0.64870 1.33%
Trade id #150227677
Max drawdown($209)
Time12/2/24 21:28
Quant open10
Worst price0.64551
Drawdown as % of equity-1.33%
 $110
11/28/24 17:05 AUD/USD AUD/USD LONG 10 0.64930 11/28 19:30 0.65080 0.07%
Trade id #150204446
Max drawdown($11)
Time11/28/24 17:25
Quant open10
Worst price0.64919
Drawdown as % of equity-0.07%
 $150
11/26/24 16:45 AUD/USD AUD/USD SHORT 10 0.64678 11/28 15:37 0.65015 2.41%
Trade id #150190219
Max drawdown($376)
Time11/28/24 6:12
Quant open10
Worst price0.65054
Drawdown as % of equity-2.41%
 ($337)
11/25/24 17:23 AUD/USD AUD/USD LONG 10 0.65016 11/25 23:21 0.65011 4.26%
Trade id #150174321
Max drawdown($679)
Time11/25/24 20:04
Quant open10
Worst price0.64337
Drawdown as % of equity-4.26%
 ($5)
11/21/24 17:00 AUD/USD AUD/USD LONG 10 0.65090 11/21 20:20 0.65200 0.06%
Trade id #150148415
Max drawdown($9)
Time11/21/24 18:15
Quant open10
Worst price0.65081
Drawdown as % of equity-0.06%
 $110
11/20/24 16:58 AUD/USD AUD/USD LONG 10 0.65050 11/20 20:17 0.65170 0.29%
Trade id #150137743
Max drawdown($45)
Time11/20/24 17:03
Quant open10
Worst price0.65005
Drawdown as % of equity-0.29%
 $120
11/19/24 17:03 AUD/USD AUD/USD LONG 10 0.65246 11/19 18:59 0.65410 0.05%
Trade id #150127884
Max drawdown($8)
Time11/19/24 17:06
Quant open10
Worst price0.65238
Drawdown as % of equity-0.05%
 $164
11/18/24 22:54 EUR/USD EUR/USD LONG 10 1.05945 11/19 15:13 1.05960 4.66%
Trade id #150118337
Max drawdown($715)
Time11/19/24 4:22
Quant open10
Worst price1.05230
Drawdown as % of equity-4.66%
 $15
11/18/24 17:01 AUD/USD AUD/USD LONG 10 0.65029 11/18 22:16 0.65170 0.46%
Trade id #150117509
Max drawdown($70)
Time11/18/24 20:03
Quant open10
Worst price0.64959
Drawdown as % of equity-0.46%
 $141
11/18/24 8:18 EUR/USD EUR/USD SHORT 10 1.05493 11/18 14:34 1.05948 3.72%
Trade id #150109552
Max drawdown($578)
Time11/18/24 14:08
Quant open10
Worst price1.06071
Drawdown as % of equity-3.72%
 ($455)
11/17/24 17:39 AUD/USD AUD/USD SHORT 10 0.64590 11/18 7:21 0.64498 1.27%
Trade id #150106920
Max drawdown($199)
Time11/17/24 21:28
Quant open10
Worst price0.64789
Drawdown as % of equity-1.27%
 $92
11/14/24 17:00 EUR/USD EUR/USD LONG 10 1.05273 11/14 20:25 1.05400 0.24%
Trade id #150091390
Max drawdown($37)
Time11/14/24 19:42
Quant open10
Worst price1.05236
Drawdown as % of equity-0.24%
 $127
11/13/24 18:07 EUR/USD EUR/USD SHORT 10 1.05629 11/13 21:56 1.05512 0.37%
Trade id #150081824
Max drawdown($56)
Time11/13/24 19:49
Quant open10
Worst price1.05686
Drawdown as % of equity-0.37%
 $117
11/13/24 7:47 EUR/USD EUR/USD SHORT 1 1.06328 11/13 11:15 1.05730 0.14%
Trade id #150073261
Max drawdown($20)
Time11/13/24 8:30
Quant open1
Worst price1.06537
Drawdown as % of equity-0.14%
 $60
11/12/24 16:05 AUD/USD AUD/USD SHORT 10 0.65389 11/12 19:17 0.65200 n/a $189
11/11/24 16:57 EUR/USD EUR/USD LONG 10 1.06555 11/11 19:00 1.06630 0.33%
Trade id #150060519
Max drawdown($50)
Time11/11/24 17:04
Quant open10
Worst price1.06505
Drawdown as % of equity-0.33%
 $75
11/10/24 18:01 AUD/USD AUD/USD SHORT 10 0.65820 11/11 8:33 0.65700 1.08%
Trade id #150050358
Max drawdown($163)
Time11/10/24 20:25
Quant open10
Worst price0.65983
Drawdown as % of equity-1.08%
 $120
11/7/24 18:00 EUR/USD EUR/USD LONG 10 1.08010 11/10 17:13 1.07105 7.21%
Trade id #150034582
Max drawdown($1,140)
Time11/8/24 0:00
Quant open10
Worst price1.06869
Drawdown as % of equity-7.21%
 ($905)
11/6/24 17:03 AUD/USD AUD/USD LONG 10 0.65698 11/6 20:45 0.65820 0.35%
Trade id #150017469
Max drawdown($56)
Time11/6/24 19:24
Quant open10
Worst price0.65641
Drawdown as % of equity-0.35%
 $122
Next

Statistics

  • Strategy began
    4/17/2023
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    618.83
  • Age
    21 months ago
  • What it trades
    Forex
  • # Trades
    432
  • # Profitable
    341
  • % Profitable
    78.90%
  • Avg trade duration
    14.6 hours
  • Max peak-to-valley drawdown
    23.37%
  • drawdown period
    June 25, 2024 - Dec 23, 2024
  • Annual Return (Compounded)
    23.0%
  • Avg win
    $78.20
  • Avg loss
    $215.77
  • Model Account Values (Raw)
  • Cash
    $16,998
  • Margin Used
    $0
  • Buying Power
    $16,998
  • Ratios
  • W:L ratio
    1.36:1
  • Sharpe Ratio
    1.12
  • Sortino Ratio
    1.53
  • Calmar Ratio
    2.258
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -3.23%
  • Correlation to SP500
    0.03470
  • Return Percent SP500 (cumu) during strategy life
    45.50%
  • Return Statistics
  • Ann Return (w trading costs)
    23.0%
  • Slump
  • Current Slump as Pcnt Equity
    30.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.30%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.230%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    36.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    11.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    854
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    376
  • Popularity (7 days, Percentile 1000 scale)
    396
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $216
  • Avg Win
    $78
  • Sum Trade PL (losers)
    $19,635.000
  • Age
  • Num Months filled monthly returns table
    21
  • Win / Loss
  • Sum Trade PL (winners)
    $26,667.000
  • # Winners
    341
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    91
  • % Winners
    78.9%
  • Frequency
  • Avg Position Time (mins)
    876.75
  • Avg Position Time (hrs)
    14.61
  • Avg Trade Length
    0.6 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    4.60
  • Daily leverage (max)
    12.17
  • Regression
  • Alpha
    0.06
  • Beta
    0.04
  • Treynor Index
    1.31
  • 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)
    1.31
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    9.834
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.999
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.573
  • Hold-and-Hope Ratio
    0.101
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31696
  • SD
    0.21958
  • Sharpe ratio (Glass type estimate)
    1.44350
  • Sharpe ratio (Hedges UMVUE)
    1.38563
  • df
    19.00000
  • t
    1.86355
  • p
    0.25634
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15898
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.01133
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19518
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.96644
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.06632
  • Upside Potential Ratio
    4.47484
  • Upside part of mean
    0.46255
  • Downside part of mean
    -0.14560
  • Upside SD
    0.20854
  • Downside SD
    0.10337
  • N nonnegative terms
    14.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.19290
  • Mean of criterion
    0.31696
  • SD of predictor
    0.10174
  • SD of criterion
    0.21958
  • Covariance
    -0.00431
  • r
    -0.19292
  • b (slope, estimate of beta)
    -0.41638
  • a (intercept, estimate of alpha)
    0.39728
  • Mean Square Error
    0.04900
  • DF error
    18.00000
  • t(b)
    -0.83418
  • p(b)
    0.59646
  • t(a)
    2.02026
  • p(a)
    0.28504
  • Lowerbound of 95% confidence interval for beta
    -1.46507
  • Upperbound of 95% confidence interval for beta
    0.63230
  • Lowerbound of 95% confidence interval for alpha
    -0.01586
  • Upperbound of 95% confidence interval for alpha
    0.81042
  • Treynor index (mean / b)
    -0.76122
  • Jensen alpha (a)
    0.39728
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29061
  • SD
    0.21267
  • Sharpe ratio (Glass type estimate)
    1.36650
  • Sharpe ratio (Hedges UMVUE)
    1.31172
  • df
    19.00000
  • t
    1.76415
  • p
    0.26689
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22833
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.92830
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26270
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.88615
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.69938
  • Upside Potential Ratio
    4.10093
  • Upside part of mean
    0.44150
  • Downside part of mean
    -0.15089
  • Upside SD
    0.19599
  • Downside SD
    0.10766
  • N nonnegative terms
    14.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.18614
  • Mean of criterion
    0.29061
  • SD of predictor
    0.10066
  • SD of criterion
    0.21267
  • Covariance
    -0.00389
  • r
    -0.18169
  • b (slope, estimate of beta)
    -0.38386
  • a (intercept, estimate of alpha)
    0.36206
  • Mean Square Error
    0.04616
  • DF error
    18.00000
  • t(b)
    -0.78388
  • p(b)
    0.59084
  • t(a)
    1.90805
  • p(a)
    0.29492
  • Lowerbound of 95% confidence interval for beta
    -1.41266
  • Upperbound of 95% confidence interval for beta
    0.64494
  • Lowerbound of 95% confidence interval for alpha
    -0.03660
  • Upperbound of 95% confidence interval for alpha
    0.76072
  • Treynor index (mean / b)
    -0.75707
  • Jensen alpha (a)
    0.36206
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07389
  • Expected Shortfall on VaR
    0.09711
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01905
  • Expected Shortfall on VaR
    0.04394
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.90588
  • Quartile 1
    0.99808
  • Median
    1.02535
  • Quartile 3
    1.05520
  • Maximum
    1.18366
  • Mean of quarter 1
    0.95435
  • Mean of quarter 2
    1.01603
  • Mean of quarter 3
    1.03667
  • Mean of quarter 4
    1.10791
  • Inter Quartile Range
    0.05711
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05000
  • Mean of outliers low
    0.90588
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.05000
  • Mean of outliers high
    1.18366
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.85213
  • VaR(95%) (moments method)
    0.03636
  • Expected Shortfall (moments method)
    0.28630
  • Extreme Value Index (regression method)
    1.52699
  • VaR(95%) (regression method)
    0.03672
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00675
  • Quartile 1
    0.04557
  • Median
    0.08440
  • Quartile 3
    0.12322
  • Maximum
    0.16204
  • Mean of quarter 1
    0.00675
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.16204
  • Inter Quartile Range
    0.07764
  • 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)
    0.42024
  • Compounded annual return (geometric extrapolation)
    0.37509
  • Calmar ratio (compounded annual return / max draw down)
    2.31479
  • Compounded annual return / average of 25% largest draw downs
    2.31479
  • Compounded annual return / Expected Shortfall lognormal
    3.86236
  • 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
    0.30017
  • SD
    0.14408
  • Sharpe ratio (Glass type estimate)
    2.08341
  • Sharpe ratio (Hedges UMVUE)
    2.07984
  • df
    438.00000
  • t
    2.69684
  • p
    0.00363
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.56184
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.60267
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.55945
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.60023
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.97668
  • Upside Potential Ratio
    10.35170
  • Upside part of mean
    1.04388
  • Downside part of mean
    -0.74370
  • Upside SD
    0.10434
  • Downside SD
    0.10084
  • N nonnegative terms
    280.00000
  • N negative terms
    159.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    439.00000
  • Mean of predictor
    0.20359
  • Mean of criterion
    0.30017
  • SD of predictor
    0.12347
  • SD of criterion
    0.14408
  • Covariance
    0.00099
  • r
    0.05550
  • b (slope, estimate of beta)
    0.06476
  • a (intercept, estimate of alpha)
    0.28700
  • Mean Square Error
    0.02074
  • DF error
    437.00000
  • t(b)
    1.16189
  • p(b)
    0.12296
  • t(a)
    2.56611
  • p(a)
    0.00531
  • Lowerbound of 95% confidence interval for beta
    -0.04479
  • Upperbound of 95% confidence interval for beta
    0.17430
  • Lowerbound of 95% confidence interval for alpha
    0.06718
  • Upperbound of 95% confidence interval for alpha
    0.50679
  • Treynor index (mean / b)
    4.63516
  • Jensen alpha (a)
    0.28699
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28960
  • SD
    0.14427
  • Sharpe ratio (Glass type estimate)
    2.00742
  • Sharpe ratio (Hedges UMVUE)
    2.00398
  • df
    438.00000
  • t
    2.59848
  • p
    0.00484
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48637
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.52630
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48404
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.52393
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.84554
  • Upside Potential Ratio
    10.20270
  • Upside part of mean
    1.03838
  • Downside part of mean
    -0.74877
  • Upside SD
    0.10357
  • Downside SD
    0.10178
  • N nonnegative terms
    280.00000
  • N negative terms
    159.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    439.00000
  • Mean of predictor
    0.19589
  • Mean of criterion
    0.28960
  • SD of predictor
    0.12352
  • SD of criterion
    0.14427
  • Covariance
    0.00100
  • r
    0.05597
  • b (slope, estimate of beta)
    0.06537
  • a (intercept, estimate of alpha)
    0.27680
  • Mean Square Error
    0.02080
  • DF error
    437.00000
  • t(b)
    1.17196
  • p(b)
    0.12093
  • t(a)
    2.47277
  • p(a)
    0.00689
  • Lowerbound of 95% confidence interval for beta
    -0.04426
  • Upperbound of 95% confidence interval for beta
    0.17501
  • Lowerbound of 95% confidence interval for alpha
    0.05679
  • Upperbound of 95% confidence interval for alpha
    0.49680
  • Treynor index (mean / b)
    4.42989
  • Jensen alpha (a)
    0.27680
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01346
  • Expected Shortfall on VaR
    0.01713
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00523
  • Expected Shortfall on VaR
    0.01112
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    439.00000
  • Minimum
    0.95964
  • Quartile 1
    0.99691
  • Median
    1.00244
  • Quartile 3
    1.00628
  • Maximum
    1.03005
  • Mean of quarter 1
    0.98941
  • Mean of quarter 2
    1.00017
  • Mean of quarter 3
    1.00432
  • Mean of quarter 4
    1.01114
  • Inter Quartile Range
    0.00937
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.03189
  • Mean of outliers low
    0.97751
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.02050
  • Mean of outliers high
    1.02346
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.26009
  • VaR(95%) (moments method)
    0.00862
  • Expected Shortfall (moments method)
    0.01082
  • Extreme Value Index (regression method)
    -0.14045
  • VaR(95%) (regression method)
    0.00984
  • Expected Shortfall (regression method)
    0.01311
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    29.00000
  • Minimum
    0.00028
  • Quartile 1
    0.00293
  • Median
    0.00826
  • Quartile 3
    0.02431
  • Maximum
    0.16552
  • Mean of quarter 1
    0.00137
  • Mean of quarter 2
    0.00535
  • Mean of quarter 3
    0.01571
  • Mean of quarter 4
    0.06827
  • Inter Quartile Range
    0.02138
  • 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
    0.13179
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.13100
  • VaR(95%) (moments method)
    0.06101
  • Expected Shortfall (moments method)
    0.09069
  • Extreme Value Index (regression method)
    0.34047
  • VaR(95%) (regression method)
    0.08244
  • Expected Shortfall (regression method)
    0.15152
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41917
  • Compounded annual return (geometric extrapolation)
    0.37370
  • Calmar ratio (compounded annual return / max draw down)
    2.25776
  • Compounded annual return / average of 25% largest draw downs
    5.47399
  • Compounded annual return / Expected Shortfall lognormal
    21.82160
  • 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
    -0.37507
  • SD
    0.15470
  • Sharpe ratio (Glass type estimate)
    -2.42460
  • Sharpe ratio (Hedges UMVUE)
    -2.41058
  • df
    130.00000
  • t
    -1.71445
  • p
    0.57435
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.20742
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.36733
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.19783
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.37667
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.85405
  • Upside Potential Ratio
    5.62340
  • Upside part of mean
    0.73902
  • Downside part of mean
    -1.11409
  • Upside SD
    0.08375
  • Downside SD
    0.13142
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18864
  • Mean of criterion
    -0.37507
  • SD of predictor
    0.14238
  • SD of criterion
    0.15470
  • Covariance
    0.00331
  • r
    0.15049
  • b (slope, estimate of beta)
    0.16351
  • a (intercept, estimate of alpha)
    -0.40592
  • Mean Square Error
    0.02357
  • DF error
    129.00000
  • t(b)
    1.72887
  • p(b)
    0.40456
  • t(a)
    -1.86329
  • p(a)
    0.60261
  • Lowerbound of 95% confidence interval for beta
    -0.02361
  • Upperbound of 95% confidence interval for beta
    0.35062
  • Lowerbound of 95% confidence interval for alpha
    -0.83694
  • Upperbound of 95% confidence interval for alpha
    0.02510
  • Treynor index (mean / b)
    -2.29396
  • Jensen alpha (a)
    -0.40592
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.38727
  • SD
    0.15549
  • Sharpe ratio (Glass type estimate)
    -2.49059
  • Sharpe ratio (Hedges UMVUE)
    -2.47619
  • df
    130.00000
  • t
    -1.76111
  • p
    0.57632
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.27415
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.30231
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.26429
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31191
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.91561
  • Upside Potential Ratio
    5.53703
  • Upside part of mean
    0.73546
  • Downside part of mean
    -1.12273
  • Upside SD
    0.08321
  • Downside SD
    0.13283
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17847
  • Mean of criterion
    -0.38727
  • SD of predictor
    0.14273
  • SD of criterion
    0.15549
  • Covariance
    0.00335
  • r
    0.15084
  • b (slope, estimate of beta)
    0.16433
  • a (intercept, estimate of alpha)
    -0.41660
  • Mean Square Error
    0.02381
  • DF error
    129.00000
  • t(b)
    1.73304
  • p(b)
    0.40434
  • t(a)
    -1.90331
  • p(a)
    0.60474
  • VAR (95 Confidence Intrvl)
    0.01300
  • Lowerbound of 95% confidence interval for beta
    -0.02328
  • Upperbound of 95% confidence interval for beta
    0.35194
  • Lowerbound of 95% confidence interval for alpha
    -0.84966
  • Upperbound of 95% confidence interval for alpha
    0.01646
  • Treynor index (mean / b)
    -2.35662
  • Jensen alpha (a)
    -0.41660
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01713
  • Expected Shortfall on VaR
    0.02106
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00981
  • Expected Shortfall on VaR
    0.01849
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95964
  • Quartile 1
    0.99409
  • Median
    1.00011
  • Quartile 3
    1.00480
  • Maximum
    1.02265
  • Mean of quarter 1
    0.98573
  • Mean of quarter 2
    0.99761
  • Mean of quarter 3
    1.00236
  • Mean of quarter 4
    1.00911
  • Inter Quartile Range
    0.01071
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.96940
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.02265
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.42484
  • VaR(95%) (moments method)
    0.01411
  • Expected Shortfall (moments method)
    0.01650
  • Extreme Value Index (regression method)
    -0.05876
  • VaR(95%) (regression method)
    0.01440
  • Expected Shortfall (regression method)
    0.01888
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.16552
  • Quartile 1
    0.16552
  • Median
    0.16552
  • Quartile 3
    0.16552
  • Maximum
    0.16552
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -356853000
  • Max Equity Drawdown (num days)
    181
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.32893
  • Compounded annual return (geometric extrapolation)
    -0.30188
  • Calmar ratio (compounded annual return / max draw down)
    -1.82382
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -14.33280

Strategy Description

Summary Statistics

Strategy began
2023-04-17
Suggested Minimum Capital
$15,000
# Trades
432
# Profitable
341
% Profitable
78.9%
Correlation S&P500
0.035
Sharpe Ratio
1.12
Sortino Ratio
1.53
Beta
0.04
Alpha
0.06
Leverage
4.60 Average
12.17 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.