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

Commodities breakout
(130776164)

Created by: OlegMikhailov OlegMikhailov
Started: 08/2020
Stocks, Futures
Last trade: 2 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 $100.00 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.

12.6%
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.

(10.9%)
Max Drawdown
206
Num Trades
35.0%
Win Trades
3.2 : 1
Profit Factor
63.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                 +3.3%(1.1%)(0.7%)(0.4%)+1.2%+2.1%
2021+0.6%+2.1%(1.2%)+2.4%(2.9%)(0.1%)+1.0%+2.3%+2.1%+1.4%(0.9%)+1.7%+8.7%
2022+1.8%(0.8%)+3.5%+3.7%(0.6%)(7.5%)(0.3%)+1.3%+0.1%+0.6%+0.4%(0.2%)+1.4%
2023  -  +3.6%+3.7%+2.0%+3.6%(2.2%)+11.4%+2.5%+0.1%+4.1%+0.5%(0.1%)+32.6%
2024+0.1%(0.4%)+1.1%                                                      +0.8%

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 91 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 120 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/20/24 11:13 IP INTERNATIONAL PAPER LONG 119 39.02 3/26 14:21 38.02 0.12%
Trade id #147693749
Max drawdown($130)
Time3/26/24 14:21
Quant open119
Worst price37.92
Drawdown as % of equity-0.12%
($121)
Includes Typical Broker Commissions trade costs of $2.38
3/21/24 11:23 TSLA TESLA INC. SHORT 10 174.85 3/26 9:36 180.92 0.06%
Trade id #147704242
Max drawdown($63)
Time3/26/24 9:36
Quant open10
Worst price181.25
Drawdown as % of equity-0.06%
($61)
Includes Typical Broker Commissions trade costs of $0.20
3/12/24 15:59 BA BOEING SHORT 13 184.33 3/22 9:31 190.70 0.08%
Trade id #147613456
Max drawdown($92)
Time3/22/24 9:31
Quant open13
Worst price191.44
Drawdown as % of equity-0.08%
($83)
Includes Typical Broker Commissions trade costs of $0.26
1/17/24 10:11 TSLA TESLA INC. SHORT 11 213.74 3/21 11:19 174.56 0.04%
Trade id #147027127
Max drawdown($44)
Time1/22/24 0:00
Quant open11
Worst price217.80
Drawdown as % of equity-0.04%
$431
Includes Typical Broker Commissions trade costs of $0.22
3/14/24 14:33 AA ALCOA LONG 60 30.09 3/19 10:20 29.00 0.06%
Trade id #147641989
Max drawdown($66)
Time3/19/24 10:20
Quant open60
Worst price28.99
Drawdown as % of equity-0.06%
($66)
Includes Typical Broker Commissions trade costs of $1.20
3/6/24 15:33 IP INTERNATIONAL PAPER LONG 119 35.63 3/18 15:59 34.90 0.08%
Trade id #147558530
Max drawdown($86)
Time3/18/24 15:59
Quant open119
Worst price34.90
Drawdown as % of equity-0.08%
($89)
Includes Typical Broker Commissions trade costs of $2.38
3/5/24 9:55 TXN TEXAS INSTRUMENTS LONG 27 171.83 3/15 9:45 168.73 0.08%
Trade id #147538011
Max drawdown($83)
Time3/15/24 9:45
Quant open27
Worst price168.73
Drawdown as % of equity-0.08%
($85)
Includes Typical Broker Commissions trade costs of $0.54
3/13/24 15:49 AA ALCOA LONG 59 30.62 3/14 10:02 30.00 0.03%
Trade id #147631444
Max drawdown($37)
Time3/14/24 10:02
Quant open59
Worst price29.98
Drawdown as % of equity-0.03%
($38)
Includes Typical Broker Commissions trade costs of $1.18
3/5/24 14:51 AMD ADVANCED MICRO DEVICES INC. C LONG 13 202.31 3/11 9:59 197.29 0.07%
Trade id #147543475
Max drawdown($72)
Time3/11/24 9:59
Quant open13
Worst price196.70
Drawdown as % of equity-0.07%
($65)
Includes Typical Broker Commissions trade costs of $0.26
3/5/24 14:49 PEP PEPSICO SHORT 41 162.32 3/11 9:30 164.38 0.08%
Trade id #147543412
Max drawdown($84)
Time3/11/24 9:30
Quant open41
Worst price164.39
Drawdown as % of equity-0.08%
($85)
Includes Typical Broker Commissions trade costs of $0.82
1/29/24 13:54 TXN TEXAS INSTRUMENTS SHORT 27 164.58 2/29 15:00 167.09 0.06%
Trade id #147151585
Max drawdown($68)
Time2/29/24 15:00
Quant open27
Worst price167.10
Drawdown as % of equity-0.06%
($69)
Includes Typical Broker Commissions trade costs of $0.54
1/19/24 10:33 HRL HORMEL FOODS SHORT 297 30.61 2/29 9:30 31.82 0.42%
Trade id #147066151
Max drawdown($459)
Time2/29/24 9:30
Quant open92
Worst price35.61
Drawdown as % of equity-0.42%
($365)
Includes Typical Broker Commissions trade costs of $5.94
2/26/24 9:50 BA BOEING SHORT 13 201.17 2/28 11:43 207.32 0.07%
Trade id #147450093
Max drawdown($80)
Time2/28/24 11:43
Quant open13
Worst price207.38
Drawdown as % of equity-0.07%
($80)
Includes Typical Broker Commissions trade costs of $0.26
2/23/24 11:22 IP INTERNATIONAL PAPER LONG 16 34.51 2/23 11:25 34.49 0%
Trade id #147435207
Max drawdown($0)
Time2/23/24 11:25
Quant open16
Worst price34.49
Drawdown as % of equity-0.00%
$0
Includes Typical Broker Commissions trade costs of $0.32
2/23/24 11:19 IP INTERNATIONAL PAPER LONG 16 34.45 2/23 11:21 34.48 n/a $0
Includes Typical Broker Commissions trade costs of $0.32
2/1/24 10:35 IP INTERNATIONAL PAPER SHORT 100 35.55 2/20 9:30 36.30 0.08%
Trade id #147193322
Max drawdown($93)
Time2/20/24 9:30
Quant open89
Worst price36.60
Drawdown as % of equity-0.08%
($77)
Includes Typical Broker Commissions trade costs of $2.00
2/14/24 11:32 GLD SPDR GOLD SHARES SHORT 41 184.52 2/16 12:49 186.53 0.08%
Trade id #147335291
Max drawdown($85)
Time2/16/24 12:49
Quant open41
Worst price186.61
Drawdown as % of equity-0.08%
($83)
Includes Typical Broker Commissions trade costs of $0.82
2/14/24 11:33 AA ALCOA SHORT 59 26.32 2/16 12:47 28.00 0.09%
Trade id #147335305
Max drawdown($100)
Time2/16/24 12:47
Quant open59
Worst price28.02
Drawdown as % of equity-0.09%
($100)
Includes Typical Broker Commissions trade costs of $1.18
2/9/24 12:32 HD HOME DEPOT LONG 16 362.41 2/13 9:30 356.13 0.12%
Trade id #147271452
Max drawdown($133)
Time2/13/24 9:30
Quant open16
Worst price354.08
Drawdown as % of equity-0.12%
($100)
Includes Typical Broker Commissions trade costs of $0.32
2/5/24 10:50 PEP PEPSICO LONG 41 170.67 2/9 9:37 168.64 0.08%
Trade id #147228332
Max drawdown($87)
Time2/9/24 9:37
Quant open41
Worst price168.53
Drawdown as % of equity-0.08%
($84)
Includes Typical Broker Commissions trade costs of $0.82
2/1/24 11:43 CLF CLEVELAND-CLIFFS INC LONG 160 20.21 2/5 9:36 19.77 0.08%
Trade id #147194333
Max drawdown($87)
Time2/5/24 9:36
Quant open160
Worst price19.66
Drawdown as % of equity-0.08%
($73)
Includes Typical Broker Commissions trade costs of $3.20
2/1/24 11:26 URA GLOBAL X URANIUM ETF LONG 100 32.02 2/5 9:31 31.12 0.09%
Trade id #147194035
Max drawdown($99)
Time2/5/24 9:31
Quant open100
Worst price31.03
Drawdown as % of equity-0.09%
($92)
Includes Typical Broker Commissions trade costs of $2.00
1/19/24 10:19 USO UNITED STATES OIL LONG 48 70.13 2/2 9:42 68.01 0.09%
Trade id #147065872
Max drawdown($105)
Time2/2/24 9:30
Quant open48
Worst price67.94
Drawdown as % of equity-0.09%
($103)
Includes Typical Broker Commissions trade costs of $0.96
2/1/24 10:57 FRO FRONTLINE PLC LONG 100 23.04 2/1 12:41 22.34 0.06%
Trade id #147193699
Max drawdown($70)
Time2/1/24 12:41
Quant open100
Worst price22.34
Drawdown as % of equity-0.06%
($72)
Includes Typical Broker Commissions trade costs of $2.00
1/17/24 10:24 ADM ARCHER-DANIELS MIDLAND SHORT 70 69.33 1/31 12:32 55.77 0.01%
Trade id #147027564
Max drawdown($12)
Time1/17/24 10:37
Quant open70
Worst price69.51
Drawdown as % of equity-0.01%
$948
Includes Typical Broker Commissions trade costs of $1.40
1/26/24 10:01 BA BOEING SHORT 13 204.29 1/31 11:03 210.77 0.08%
Trade id #147133799
Max drawdown($86)
Time1/31/24 11:03
Quant open13
Worst price210.92
Drawdown as % of equity-0.08%
($84)
Includes Typical Broker Commissions trade costs of $0.26
1/24/24 10:00 AMD ADVANCED MICRO DEVICES INC. C LONG 14 175.68 1/31 9:30 165.36 0.14%
Trade id #147111763
Max drawdown($156)
Time1/31/24 9:30
Quant open14
Worst price164.50
Drawdown as % of equity-0.14%
($144)
Includes Typical Broker Commissions trade costs of $0.28
1/24/24 9:46 TXN TEXAS INSTRUMENTS LONG 31 171.74 1/25 11:01 168.15 0.1%
Trade id #147111454
Max drawdown($113)
Time1/25/24 11:01
Quant open31
Worst price168.08
Drawdown as % of equity-0.10%
($112)
Includes Typical Broker Commissions trade costs of $0.62
1/19/24 10:21 IP INTERNATIONAL PAPER SHORT 233 36.29 1/25 9:31 37.21 0.26%
Trade id #147065959
Max drawdown($289)
Time1/25/24 9:31
Quant open233
Worst price37.53
Drawdown as % of equity-0.26%
($220)
Includes Typical Broker Commissions trade costs of $4.66
1/19/24 10:16 TXN TEXAS INSTRUMENTS LONG 31 173.16 1/24 9:30 170.00 0.09%
Trade id #147065838
Max drawdown($97)
Time1/24/24 9:30
Quant open31
Worst price170.00
Drawdown as % of equity-0.09%
($99)
Includes Typical Broker Commissions trade costs of $0.62

Statistics

  • Strategy began
    8/25/2020
  • Suggested Minimum Cap
    $70,000
  • Strategy Age (days)
    1310.83
  • Age
    44 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    206
  • # Profitable
    72
  • % Profitable
    35.00%
  • Avg trade duration
    16.0 days
  • Max peak-to-valley drawdown
    10.92%
  • drawdown period
    June 09, 2022 - June 24, 2022
  • Annual Return (Compounded)
    12.6%
  • Avg win
    $845.36
  • Avg loss
    $142.69
  • Model Account Values (Raw)
  • Cash
    $94,673
  • Margin Used
    $5,955
  • Buying Power
    $91,811
  • Ratios
  • W:L ratio
    3.20:1
  • Sharpe Ratio
    1.04
  • Sortino Ratio
    1.45
  • Calmar Ratio
    1.206
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    0.67%
  • Correlation to SP500
    -0.02630
  • Return Percent SP500 (cumu) during strategy life
    52.41%
  • Return Statistics
  • Ann Return (w trading costs)
    12.6%
  • Slump
  • Current Slump as Pcnt Equity
    0.60%
  • Instruments
  • Percent Trades Futures
    0.36%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.11%
  • 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)
    0.126%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.64%
  • Percent Trades Forex
    0.01%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    13.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.50%
  • 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
    0.54%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    572
  • Popularity (Last 6 weeks)
    865
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    371
  • Popularity (7 days, Percentile 1000 scale)
    679
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $143
  • Avg Win
    $845
  • Sum Trade PL (losers)
    $19,120.000
  • Age
  • Num Months filled monthly returns table
    44
  • Win / Loss
  • Sum Trade PL (winners)
    $60,866.000
  • # Winners
    72
  • Num Months Winners
    28
  • Dividends
  • Dividends Received in Model Acct
    56
  • Win / Loss
  • # Losers
    134
  • % Winners
    35.0%
  • Frequency
  • Avg Position Time (mins)
    23054.30
  • Avg Position Time (hrs)
    384.24
  • Avg Trade Length
    16.0 days
  • Last Trade Ago
    6
  • Leverage
  • Daily leverage (average)
    0.30
  • Daily leverage (max)
    2.84
  • Regression
  • Alpha
    0.03
  • Beta
    -0.01
  • Treynor Index
    -2.26
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.30
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    0.439
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.087
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.042
  • Hold-and-Hope Ratio
    2.292
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09959
  • SD
    0.10314
  • Sharpe ratio (Glass type estimate)
    0.96559
  • Sharpe ratio (Hedges UMVUE)
    0.94780
  • df
    41.00000
  • t
    1.80645
  • p
    0.03910
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10820
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02813
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.11974
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01534
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.74604
  • Upside Potential Ratio
    3.00890
  • Upside part of mean
    0.17163
  • Downside part of mean
    -0.07203
  • Upside SD
    0.08921
  • Downside SD
    0.05704
  • N nonnegative terms
    27.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.09847
  • Mean of criterion
    0.09959
  • SD of predictor
    0.15553
  • SD of criterion
    0.10314
  • Covariance
    0.00113
  • r
    0.07069
  • b (slope, estimate of beta)
    0.04688
  • a (intercept, estimate of alpha)
    0.09498
  • Mean Square Error
    0.01085
  • DF error
    40.00000
  • t(b)
    0.44821
  • p(b)
    0.32821
  • t(a)
    1.67740
  • p(a)
    0.05063
  • Lowerbound of 95% confidence interval for beta
    -0.16451
  • Upperbound of 95% confidence interval for beta
    0.25827
  • Lowerbound of 95% confidence interval for alpha
    -0.01946
  • Upperbound of 95% confidence interval for alpha
    0.20941
  • Treynor index (mean / b)
    2.12442
  • Jensen alpha (a)
    0.09498
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09389
  • SD
    0.10183
  • Sharpe ratio (Glass type estimate)
    0.92201
  • Sharpe ratio (Hedges UMVUE)
    0.90502
  • df
    41.00000
  • t
    1.72492
  • p
    0.04604
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14976
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.98296
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16078
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97082
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.59427
  • Upside Potential Ratio
    2.84338
  • Upside part of mean
    0.16745
  • Downside part of mean
    -0.07356
  • Upside SD
    0.08596
  • Downside SD
    0.05889
  • N nonnegative terms
    27.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.08603
  • Mean of criterion
    0.09389
  • SD of predictor
    0.15640
  • SD of criterion
    0.10183
  • Covariance
    0.00126
  • r
    0.07921
  • b (slope, estimate of beta)
    0.05157
  • a (intercept, estimate of alpha)
    0.08945
  • Mean Square Error
    0.01056
  • DF error
    40.00000
  • t(b)
    0.50256
  • p(b)
    0.30902
  • t(a)
    1.60773
  • p(a)
    0.05788
  • Lowerbound of 95% confidence interval for beta
    -0.15583
  • Upperbound of 95% confidence interval for beta
    0.25898
  • Lowerbound of 95% confidence interval for alpha
    -0.02300
  • Upperbound of 95% confidence interval for alpha
    0.20190
  • Treynor index (mean / b)
    1.82048
  • Jensen alpha (a)
    0.08945
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03972
  • Expected Shortfall on VaR
    0.05138
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01062
  • Expected Shortfall on VaR
    0.02442
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    42.00000
  • Minimum
    0.91654
  • Quartile 1
    0.99993
  • Median
    1.00751
  • Quartile 3
    1.02446
  • Maximum
    1.11748
  • Mean of quarter 1
    0.97985
  • Mean of quarter 2
    1.00278
  • Mean of quarter 3
    1.01564
  • Mean of quarter 4
    1.04398
  • Inter Quartile Range
    0.02453
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02381
  • Mean of outliers low
    0.91654
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02381
  • Mean of outliers high
    1.11748
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.55949
  • VaR(95%) (moments method)
    0.00171
  • Expected Shortfall (moments method)
    0.00171
  • Extreme Value Index (regression method)
    -0.26963
  • VaR(95%) (regression method)
    0.02407
  • Expected Shortfall (regression method)
    0.03390
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00015
  • Quartile 1
    0.00815
  • Median
    0.01885
  • Quartile 3
    0.03386
  • Maximum
    0.08373
  • Mean of quarter 1
    0.00136
  • Mean of quarter 2
    0.01347
  • Mean of quarter 3
    0.02727
  • Mean of quarter 4
    0.05889
  • Inter Quartile Range
    0.02571
  • 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
    0.12500
  • Mean of outliers high
    0.08373
  • 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)
    0.15187
  • Compounded annual return (geometric extrapolation)
    0.12952
  • Calmar ratio (compounded annual return / max draw down)
    1.54695
  • Compounded annual return / average of 25% largest draw downs
    2.19927
  • Compounded annual return / Expected Shortfall lognormal
    2.52066
  • 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
    0.09717
  • SD
    0.07715
  • Sharpe ratio (Glass type estimate)
    1.25952
  • Sharpe ratio (Hedges UMVUE)
    1.25851
  • df
    934.00000
  • t
    2.37937
  • p
    0.00877
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22014
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.29830
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21943
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29759
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.75512
  • Upside Potential Ratio
    7.37718
  • Upside part of mean
    0.40845
  • Downside part of mean
    -0.31127
  • Upside SD
    0.05401
  • Downside SD
    0.05537
  • N nonnegative terms
    466.00000
  • N negative terms
    469.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    935.00000
  • Mean of predictor
    0.10526
  • Mean of criterion
    0.09717
  • SD of predictor
    0.17347
  • SD of criterion
    0.07715
  • Covariance
    -0.00026
  • r
    -0.01969
  • b (slope, estimate of beta)
    -0.00876
  • a (intercept, estimate of alpha)
    0.09800
  • Mean Square Error
    0.00596
  • DF error
    933.00000
  • t(b)
    -0.60159
  • p(b)
    0.72620
  • t(a)
    2.39943
  • p(a)
    0.00831
  • Lowerbound of 95% confidence interval for beta
    -0.03733
  • Upperbound of 95% confidence interval for beta
    0.01981
  • Lowerbound of 95% confidence interval for alpha
    0.01786
  • Upperbound of 95% confidence interval for alpha
    0.17833
  • Treynor index (mean / b)
    -11.09570
  • Jensen alpha (a)
    0.09810
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09414
  • SD
    0.07778
  • Sharpe ratio (Glass type estimate)
    1.21036
  • Sharpe ratio (Hedges UMVUE)
    1.20939
  • df
    934.00000
  • t
    2.28650
  • p
    0.01122
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.17110
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.24902
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17043
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24835
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66504
  • Upside Potential Ratio
    7.19762
  • Upside part of mean
    0.40696
  • Downside part of mean
    -0.31282
  • Upside SD
    0.05367
  • Downside SD
    0.05654
  • N nonnegative terms
    466.00000
  • N negative terms
    469.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    935.00000
  • Mean of predictor
    0.09018
  • Mean of criterion
    0.09414
  • SD of predictor
    0.17363
  • SD of criterion
    0.07778
  • Covariance
    -0.00026
  • r
    -0.01957
  • b (slope, estimate of beta)
    -0.00877
  • a (intercept, estimate of alpha)
    0.09493
  • Mean Square Error
    0.00605
  • DF error
    933.00000
  • t(b)
    -0.59797
  • p(b)
    0.72500
  • t(a)
    2.30372
  • p(a)
    0.01073
  • Lowerbound of 95% confidence interval for beta
    -0.03754
  • Upperbound of 95% confidence interval for beta
    0.02001
  • Lowerbound of 95% confidence interval for alpha
    0.01406
  • Upperbound of 95% confidence interval for alpha
    0.17580
  • Treynor index (mean / b)
    -10.73700
  • Jensen alpha (a)
    0.09493
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00752
  • Expected Shortfall on VaR
    0.00951
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00267
  • Expected Shortfall on VaR
    0.00588
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    935.00000
  • Minimum
    0.92660
  • Quartile 1
    0.99872
  • Median
    1.00009
  • Quartile 3
    1.00213
  • Maximum
    1.02849
  • Mean of quarter 1
    0.99579
  • Mean of quarter 2
    0.99968
  • Mean of quarter 3
    1.00101
  • Mean of quarter 4
    1.00543
  • Inter Quartile Range
    0.00342
  • Number outliers low
    29.00000
  • Percentage of outliers low
    0.03102
  • Mean of outliers low
    0.98792
  • Number of outliers high
    48.00000
  • Percentage of outliers high
    0.05134
  • Mean of outliers high
    1.01140
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20011
  • VaR(95%) (moments method)
    0.00361
  • Expected Shortfall (moments method)
    0.00573
  • Extreme Value Index (regression method)
    0.20772
  • VaR(95%) (regression method)
    0.00358
  • Expected Shortfall (regression method)
    0.00569
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    45.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00243
  • Median
    0.00556
  • Quartile 3
    0.01728
  • Maximum
    0.10760
  • Mean of quarter 1
    0.00122
  • Mean of quarter 2
    0.00421
  • Mean of quarter 3
    0.00980
  • Mean of quarter 4
    0.03658
  • Inter Quartile Range
    0.01485
  • 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
    0.04444
  • Mean of outliers high
    0.08009
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.36896
  • VaR(95%) (moments method)
    0.03971
  • Expected Shortfall (moments method)
    0.06929
  • Extreme Value Index (regression method)
    0.49934
  • VaR(95%) (regression method)
    0.04059
  • Expected Shortfall (regression method)
    0.08198
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15295
  • Compounded annual return (geometric extrapolation)
    0.12981
  • Calmar ratio (compounded annual return / max draw down)
    1.20637
  • Compounded annual return / average of 25% largest draw downs
    3.54910
  • Compounded annual return / Expected Shortfall lognormal
    13.65620
  • 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
    0.10369
  • SD
    0.04027
  • Sharpe ratio (Glass type estimate)
    2.57473
  • Sharpe ratio (Hedges UMVUE)
    2.55985
  • df
    130.00000
  • t
    1.82061
  • p
    0.42116
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21942
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.35929
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22937
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.34906
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.24554
  • Upside Potential Ratio
    14.46510
  • Upside part of mean
    0.24016
  • Downside part of mean
    -0.13647
  • Upside SD
    0.03708
  • Downside SD
    0.01660
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36048
  • Mean of criterion
    0.10369
  • SD of predictor
    0.11714
  • SD of criterion
    0.04027
  • Covariance
    0.00026
  • r
    0.05590
  • b (slope, estimate of beta)
    0.01922
  • a (intercept, estimate of alpha)
    0.09676
  • Mean Square Error
    0.00163
  • DF error
    129.00000
  • t(b)
    0.63595
  • p(b)
    0.46443
  • t(a)
    1.66501
  • p(a)
    0.40799
  • Lowerbound of 95% confidence interval for beta
    -0.04058
  • Upperbound of 95% confidence interval for beta
    0.07902
  • Lowerbound of 95% confidence interval for alpha
    -0.01822
  • Upperbound of 95% confidence interval for alpha
    0.21175
  • Treynor index (mean / b)
    5.39497
  • Jensen alpha (a)
    0.09676
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10286
  • SD
    0.04014
  • Sharpe ratio (Glass type estimate)
    2.56243
  • Sharpe ratio (Hedges UMVUE)
    2.54762
  • df
    130.00000
  • t
    1.81191
  • p
    0.42153
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23156
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.34683
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24143
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.33667
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.18839
  • Upside Potential Ratio
    14.40610
  • Upside part of mean
    0.23945
  • Downside part of mean
    -0.13659
  • Upside SD
    0.03692
  • Downside SD
    0.01662
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35341
  • Mean of criterion
    0.10286
  • SD of predictor
    0.11700
  • SD of criterion
    0.04014
  • Covariance
    0.00026
  • r
    0.05561
  • b (slope, estimate of beta)
    0.01908
  • a (intercept, estimate of alpha)
    0.09612
  • Mean Square Error
    0.00162
  • DF error
    129.00000
  • t(b)
    0.63255
  • p(b)
    0.46462
  • t(a)
    1.66036
  • p(a)
    0.40824
  • VAR (95 Confidence Intrvl)
    0.00800
  • Lowerbound of 95% confidence interval for beta
    -0.04059
  • Upperbound of 95% confidence interval for beta
    0.07875
  • Lowerbound of 95% confidence interval for alpha
    -0.01842
  • Upperbound of 95% confidence interval for alpha
    0.21065
  • Treynor index (mean / b)
    5.39166
  • Jensen alpha (a)
    0.09612
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00368
  • Expected Shortfall on VaR
    0.00471
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00134
  • Expected Shortfall on VaR
    0.00251
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99652
  • Quartile 1
    0.99958
  • Median
    1.00000
  • Quartile 3
    1.00082
  • Maximum
    1.01220
  • Mean of quarter 1
    0.99824
  • Mean of quarter 2
    0.99994
  • Mean of quarter 3
    1.00030
  • Mean of quarter 4
    1.00353
  • Inter Quartile Range
    0.00123
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.99718
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.00610
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.09792
  • VaR(95%) (moments method)
    0.00194
  • Expected Shortfall (moments method)
    0.00208
  • Extreme Value Index (regression method)
    -0.79489
  • VaR(95%) (regression method)
    0.00196
  • Expected Shortfall (regression method)
    0.00218
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00119
  • Median
    0.00243
  • Quartile 3
    0.00601
  • Maximum
    0.00975
  • Mean of quarter 1
    0.00011
  • Mean of quarter 2
    0.00225
  • Mean of quarter 3
    0.00469
  • Mean of quarter 4
    0.00780
  • Inter Quartile Range
    0.00482
  • 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)
    -0.07764
  • VaR(95%) (moments method)
    0.00854
  • Expected Shortfall (moments method)
    0.00982
  • Extreme Value Index (regression method)
    2.24712
  • VaR(95%) (regression method)
    0.01048
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -332737000
  • Max Equity Drawdown (num days)
    15
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13514
  • Compounded annual return (geometric extrapolation)
    0.13970
  • Calmar ratio (compounded annual return / max draw down)
    14.32220
  • Compounded annual return / average of 25% largest draw downs
    17.90570
  • Compounded annual return / Expected Shortfall lognormal
    29.65270

Strategy Description

Summary Statistics

Strategy began
2020-08-25
Suggested Minimum Capital
$70,000
# Trades
206
# Profitable
72
% Profitable
35.0%
Net Dividends
Correlation S&P500
-0.026
Sharpe Ratio
1.04
Sortino Ratio
1.45
Beta
-0.01
Alpha
0.03
Leverage
0.30 Average
2.84 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.