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

Pure AI Madness by FDG
(133373732)

Created by: FDominguez FDominguez
Started: 01/2021
Stocks
Last trade: 8 days ago
Trading style: Equity Event-driven 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 $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: Equity
Event-driven
Category: Equity

Event-driven

Seeks to exploit pricing inefficiencies that may occur before or after a corporate event, such as an earnings call, bankruptcy, merger, acquisition, or spinoff.
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).
21.7%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(21.9%)
Max Drawdown
392
Num Trades
53.6%
Win Trades
1.3 : 1
Profit Factor
58.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021+11.9%+25.1%(3.6%)(7.9%)+3.0%+1.2%+10.8%+3.2%+1.2%+3.6%(3.3%)(0.8%)+48.9%
2022+5.1%(2.1%)(6.8%)(9.4%)+0.7%                                          (12.6%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

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

Trading Record

This strategy has placed 1,721 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/5/22 13:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 50 35.58 5/9 15:59 30.45 0.43%
Trade id #140383360
Max drawdown($278)
Time5/9/22 15:51
Quant open50
Worst price30.01
Drawdown as % of equity-0.43%
($257)
Includes Typical Broker Commissions trade costs of $1.00
4/28/22 15:59 MA MASTERCARD LONG 1 378.45 5/2 15:59 359.01 0.04%
Trade id #140304543
Max drawdown($27)
Time5/2/22 14:30
Quant open1
Worst price350.59
Drawdown as % of equity-0.04%
($19)
Includes Typical Broker Commissions trade costs of $0.02
4/28/22 15:59 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 78 49.47 5/2 15:59 48.07 0.37%
Trade id #140304539
Max drawdown($239)
Time5/2/22 14:20
Quant open78
Worst price46.40
Drawdown as % of equity-0.37%
($111)
Includes Typical Broker Commissions trade costs of $1.56
4/28/22 15:59 NKE NIKE LONG 3 126.99 5/2 15:59 126.10 0.02%
Trade id #140304535
Max drawdown($12)
Time5/2/22 14:44
Quant open3
Worst price122.80
Drawdown as % of equity-0.02%
($3)
Includes Typical Broker Commissions trade costs of $0.06
4/28/22 15:59 CHTR CHARTER COMMUNICATIONS LONG 68 461.36 5/2 15:59 432.92 4.64%
Trade id #140304518
Max drawdown($3,151)
Time4/29/22 0:00
Quant open68
Worst price415.01
Drawdown as % of equity-4.64%
($1,935)
Includes Typical Broker Commissions trade costs of $1.36
4/28/22 15:59 ABMD ABIOMED LONG 4 287.32 5/2 15:59 285.79 0.07%
Trade id #140304508
Max drawdown($45)
Time5/2/22 14:21
Quant open4
Worst price275.94
Drawdown as % of equity-0.07%
($6)
Includes Typical Broker Commissions trade costs of $0.08
4/28/22 15:59 MSCI MSCI LONG 16 432.80 5/2 15:59 423.41 0.54%
Trade id #140304533
Max drawdown($350)
Time5/2/22 14:17
Quant open16
Worst price410.92
Drawdown as % of equity-0.54%
($150)
Includes Typical Broker Commissions trade costs of $0.32
4/28/22 15:59 EBAY EBAY LONG 32 53.70 5/2 15:59 53.14 0.11%
Trade id #140304531
Max drawdown($71)
Time5/2/22 9:38
Quant open32
Worst price51.46
Drawdown as % of equity-0.11%
($19)
Includes Typical Broker Commissions trade costs of $0.64
4/28/22 15:59 FMX FOMENTO ECONOMICO LONG 2 75.38 5/2 15:59 73.79 0.01%
Trade id #140304546
Max drawdown($4)
Time5/2/22 14:43
Quant open2
Worst price73.16
Drawdown as % of equity-0.01%
($3)
Includes Typical Broker Commissions trade costs of $0.04
4/28/22 15:59 HYG ISHARES IBOXX $ HIGH YIELD COR LONG 8 79.50 5/2 15:59 78.22 0.02%
Trade id #140304541
Max drawdown($13)
Time5/2/22 14:43
Quant open8
Worst price77.83
Drawdown as % of equity-0.02%
($10)
Includes Typical Broker Commissions trade costs of $0.16
4/28/22 15:59 DIS WALT DISNEY LONG 27 115.22 5/2 15:59 113.56 0.18%
Trade id #140304528
Max drawdown($113)
Time5/2/22 13:48
Quant open27
Worst price111.01
Drawdown as % of equity-0.18%
($46)
Includes Typical Broker Commissions trade costs of $0.54
4/28/22 15:59 NVDA NVIDIA LONG 38 197.52 5/2 15:59 195.30 0.8%
Trade id #140304537
Max drawdown($517)
Time5/2/22 9:38
Quant open38
Worst price183.91
Drawdown as % of equity-0.80%
($85)
Includes Typical Broker Commissions trade costs of $0.76
4/25/22 15:59 FMX FOMENTO ECONOMICO LONG 3 76.27 4/26 15:59 75.08 0.01%
Trade id #140258477
Max drawdown($3)
Time4/26/22 15:56
Quant open3
Worst price74.96
Drawdown as % of equity-0.01%
($4)
Includes Typical Broker Commissions trade costs of $0.06
4/14/22 15:59 HON HONEYWELL INTERNATIONAL LONG 18 197.14 4/26 15:59 195.89 0.01%
Trade id #140142872
Max drawdown($9)
Time4/25/22 0:00
Quant open1
Worst price187.33
Drawdown as % of equity-0.01%
($22)
Includes Typical Broker Commissions trade costs of $0.36
3/16/22 15:59 MA MASTERCARD LONG 49 348.65 4/26 15:59 351.56 0.1%
Trade id #139811031
Max drawdown($70)
Time3/18/22 0:00
Quant open22
Worst price342.49
Drawdown as % of equity-0.10%
$142
Includes Typical Broker Commissions trade costs of $0.98
4/25/22 15:59 NFLX NETFLIX LONG 1 209.86 4/26 15:59 198.82 0.02%
Trade id #140258479
Max drawdown($11)
Time4/26/22 15:59
Quant open1
Worst price198.28
Drawdown as % of equity-0.02%
($11)
Includes Typical Broker Commissions trade costs of $0.02
4/21/22 15:59 NVDA NVIDIA LONG 82 200.25 4/26 15:59 190.28 1.12%
Trade id #140219458
Max drawdown($758)
Time4/26/22 11:20
Quant open56
Worst price186.70
Drawdown as % of equity-1.12%
($820)
Includes Typical Broker Commissions trade costs of $1.64
4/7/22 15:59 AMZN AMAZON.COM LONG 4 3066.76 4/26 15:59 2951.86 0.84%
Trade id #140065779
Max drawdown($576)
Time4/26/22 11:05
Quant open2
Worst price2778.59
Drawdown as % of equity-0.84%
($460)
Includes Typical Broker Commissions trade costs of $0.08
3/24/22 15:59 ATVI ACTIVISION BLIZZARD LONG 215 79.71 4/26 15:59 79.82 0.03%
Trade id #139911569
Max drawdown($18)
Time4/25/22 0:00
Quant open8
Worst price77.41
Drawdown as % of equity-0.03%
$20
Includes Typical Broker Commissions trade costs of $4.30
3/16/22 15:59 EBAY EBAY LONG 641 55.23 4/26 15:59 55.06 0.25%
Trade id #139811027
Max drawdown($179)
Time4/14/22 0:00
Quant open129
Worst price53.98
Drawdown as % of equity-0.25%
($120)
Includes Typical Broker Commissions trade costs of $12.82
4/18/22 15:59 VT VANGUARD TOTAL WORLD STOCK IND LONG 40 97.06 4/26 15:59 93.56 0.21%
Trade id #140174509
Max drawdown($144)
Time4/26/22 15:59
Quant open38
Worst price93.26
Drawdown as % of equity-0.21%
($141)
Includes Typical Broker Commissions trade costs of $0.80
3/18/22 15:59 NKE NIKE LONG 182 130.85 4/26 15:59 130.00 0.45%
Trade id #139839922
Max drawdown($323)
Time3/21/22 0:00
Quant open117
Worst price128.62
Drawdown as % of equity-0.45%
($158)
Includes Typical Broker Commissions trade costs of $3.64
3/16/22 15:59 ABMD ABIOMED LONG 98 303.77 4/26 15:59 309.39 0.12%
Trade id #139811053
Max drawdown($87)
Time3/17/22 0:00
Quant open31
Worst price291.93
Drawdown as % of equity-0.12%
$549
Includes Typical Broker Commissions trade costs of $1.96
3/16/22 15:59 SPY SPDR S&P 500 LONG 25 438.60 4/26 15:59 439.25 0.23%
Trade id #139811049
Max drawdown($158)
Time4/25/22 0:00
Quant open8
Worst price418.84
Drawdown as % of equity-0.23%
$16
Includes Typical Broker Commissions trade costs of $0.50
3/16/22 15:59 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 324 52.32 4/26 15:59 52.30 0.56%
Trade id #139811039
Max drawdown($381)
Time4/26/22 15:59
Quant open106
Worst price48.72
Drawdown as % of equity-0.56%
($12)
Includes Typical Broker Commissions trade costs of $6.48
3/16/22 15:59 MSCI MSCI LONG 99 487.94 4/26 15:59 501.28 0.9%
Trade id #139811033
Max drawdown($631)
Time4/19/22 0:00
Quant open49
Worst price475.06
Drawdown as % of equity-0.90%
$1,318
Includes Typical Broker Commissions trade costs of $1.98
3/16/22 15:59 HYG ISHARES IBOXX $ HIGH YIELD COR LONG 305 81.78 4/26 15:59 81.49 0.1%
Trade id #139811029
Max drawdown($71)
Time3/23/22 0:00
Quant open189
Worst price81.59
Drawdown as % of equity-0.10%
($95)
Includes Typical Broker Commissions trade costs of $6.10
4/25/22 15:59 FB META PLATFORMS INC LONG 7 186.94 4/26 15:59 181.26 0.08%
Trade id #140258475
Max drawdown($52)
Time4/26/22 11:19
Quant open7
Worst price179.50
Drawdown as % of equity-0.08%
($40)
Includes Typical Broker Commissions trade costs of $0.14
3/16/22 15:59 CHTR CHARTER COMMUNICATIONS LONG 142 552.83 4/26 15:59 550.73 2.63%
Trade id #139811024
Max drawdown($1,859)
Time4/22/22 0:00
Quant open39
Worst price505.15
Drawdown as % of equity-2.63%
($301)
Includes Typical Broker Commissions trade costs of $2.84
4/19/22 15:59 FAS DIREXION DAILY FINANCIAL BULL LONG 208 102.84 4/25 15:59 103.81 2.13%
Trade id #140189175
Max drawdown($1,458)
Time4/25/22 11:53
Quant open111
Worst price89.70
Drawdown as % of equity-2.13%
$197
Includes Typical Broker Commissions trade costs of $4.16

Statistics

  • Strategy began
    1/14/2021
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    487.51
  • Age
    16 months ago
  • What it trades
    Stocks
  • # Trades
    392
  • # Profitable
    210
  • % Profitable
    53.60%
  • Avg trade duration
    14.2 days
  • Max peak-to-valley drawdown
    21.9%
  • drawdown period
    Feb 11, 2022 - April 29, 2022
  • Annual Return (Compounded)
    21.7%
  • Avg win
    $370.30
  • Avg loss
    $325.92
  • Model Account Values (Raw)
  • Cash
    $68,582
  • Margin Used
    $0
  • Buying Power
    $68,582
  • Ratios
  • W:L ratio
    1.31:1
  • Sharpe Ratio
    0.64
  • Sortino Ratio
    1.15
  • Calmar Ratio
    1.236
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    24.63%
  • Correlation to SP500
    0.15880
  • Return Percent SP500 (cumu) during strategy life
    5.60%
  • Return Statistics
  • Ann Return (w trading costs)
    21.7%
  • Slump
  • Current Slump as Pcnt Equity
    26.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.19%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.217%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    26.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    41.50%
  • Chance of 20% account loss
    13.50%
  • Chance of 30% account loss
    1.50%
  • 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
    97.47%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    731
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    227
  • Popularity (7 days, Percentile 1000 scale)
    297
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $326
  • Avg Win
    $370
  • Sum Trade PL (losers)
    $59,317.000
  • Age
  • Num Months filled monthly returns table
    17
  • Win / Loss
  • Sum Trade PL (winners)
    $77,763.000
  • # Winners
    210
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    136
  • AUM
  • AUM (AutoTrader live capital)
    1872510
  • Win / Loss
  • # Losers
    182
  • % Winners
    53.6%
  • Frequency
  • Avg Position Time (mins)
    20481.70
  • Avg Position Time (hrs)
    341.36
  • Avg Trade Length
    14.2 days
  • Last Trade Ago
    7
  • Leverage
  • Daily leverage (average)
    1.04
  • Daily leverage (max)
    3.37
  • Regression
  • Alpha
    0.05
  • Beta
    0.22
  • Treynor Index
    0.22
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.64
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    11.658
  • 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
    0.501
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.766
  • Hold-and-Hope Ratio
    0.086
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30465
  • SD
    0.27494
  • Sharpe ratio (Glass type estimate)
    1.10807
  • Sharpe ratio (Hedges UMVUE)
    1.04745
  • df
    14.00000
  • t
    1.23886
  • p
    0.34284
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71010
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.88906
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.74802
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.84291
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.19966
  • Upside Potential Ratio
    3.81959
  • Upside part of mean
    0.52900
  • Downside part of mean
    -0.22436
  • Upside SD
    0.24311
  • Downside SD
    0.13850
  • N nonnegative terms
    10.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.10540
  • Mean of criterion
    0.30465
  • SD of predictor
    0.08305
  • SD of criterion
    0.27494
  • Covariance
    0.00224
  • r
    0.09793
  • b (slope, estimate of beta)
    0.32421
  • a (intercept, estimate of alpha)
    0.27048
  • Mean Square Error
    0.08062
  • DF error
    13.00000
  • t(b)
    0.35480
  • p(b)
    0.43775
  • t(a)
    0.99581
  • p(a)
    0.33254
  • Lowerbound of 95% confidence interval for beta
    -1.64986
  • Upperbound of 95% confidence interval for beta
    2.29827
  • Lowerbound of 95% confidence interval for alpha
    -0.31631
  • Upperbound of 95% confidence interval for alpha
    0.85727
  • Treynor index (mean / b)
    0.93967
  • Jensen alpha (a)
    0.27048
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26676
  • SD
    0.26764
  • Sharpe ratio (Glass type estimate)
    0.99673
  • Sharpe ratio (Hedges UMVUE)
    0.94220
  • df
    14.00000
  • t
    1.11438
  • p
    0.35728
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81096
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77066
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84525
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72964
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.83740
  • Upside Potential Ratio
    3.44938
  • Upside part of mean
    0.50079
  • Downside part of mean
    -0.23403
  • Upside SD
    0.22739
  • Downside SD
    0.14518
  • N nonnegative terms
    10.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.10155
  • Mean of criterion
    0.26676
  • SD of predictor
    0.08221
  • SD of criterion
    0.26764
  • Covariance
    0.00183
  • r
    0.08322
  • b (slope, estimate of beta)
    0.27092
  • a (intercept, estimate of alpha)
    0.23925
  • Mean Square Error
    0.07660
  • DF error
    13.00000
  • t(b)
    0.30111
  • p(b)
    0.44708
  • t(a)
    0.90667
  • p(a)
    0.34630
  • Lowerbound of 95% confidence interval for beta
    -1.67284
  • Upperbound of 95% confidence interval for beta
    2.21468
  • Lowerbound of 95% confidence interval for alpha
    -0.33082
  • Upperbound of 95% confidence interval for alpha
    0.80932
  • Treynor index (mean / b)
    0.98464
  • Jensen alpha (a)
    0.23925
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09954
  • Expected Shortfall on VaR
    0.12779
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03256
  • Expected Shortfall on VaR
    0.06958
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.89451
  • Quartile 1
    0.99145
  • Median
    1.01738
  • Quartile 3
    1.07512
  • Maximum
    1.18640
  • Mean of quarter 1
    0.93387
  • Mean of quarter 2
    1.01048
  • Mean of quarter 3
    1.04539
  • Mean of quarter 4
    1.12554
  • Inter Quartile Range
    0.08368
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -18.51870
  • VaR(95%) (moments method)
    0.03767
  • Expected Shortfall (moments method)
    0.03767
  • Extreme Value Index (regression method)
    -2.05983
  • VaR(95%) (regression method)
    0.13248
  • Expected Shortfall (regression method)
    0.13551
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.05440
  • Quartile 1
    0.07311
  • Median
    0.09181
  • Quartile 3
    0.10057
  • Maximum
    0.10933
  • Mean of quarter 1
    0.05440
  • Mean of quarter 2
    0.09181
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10933
  • Inter Quartile Range
    0.02746
  • 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)
    0.35626
  • Compounded annual return (geometric extrapolation)
    0.34268
  • Calmar ratio (compounded annual return / max draw down)
    3.13434
  • Compounded annual return / average of 25% largest draw downs
    3.13434
  • Compounded annual return / Expected Shortfall lognormal
    2.68153
  • 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
    0.21099
  • SD
    0.22866
  • Sharpe ratio (Glass type estimate)
    0.92273
  • Sharpe ratio (Hedges UMVUE)
    0.92073
  • df
    346.00000
  • t
    1.06192
  • p
    0.14451
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78237
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62656
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78372
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62519
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.71576
  • Upside Potential Ratio
    10.06450
  • Upside part of mean
    1.23764
  • Downside part of mean
    -1.02665
  • Upside SD
    0.19282
  • Downside SD
    0.12297
  • N nonnegative terms
    161.00000
  • N negative terms
    186.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    347.00000
  • Mean of predictor
    0.02722
  • Mean of criterion
    0.21099
  • SD of predictor
    0.16732
  • SD of criterion
    0.22866
  • Covariance
    0.00634
  • r
    0.16563
  • b (slope, estimate of beta)
    0.22634
  • a (intercept, estimate of alpha)
    0.20500
  • Mean Square Error
    0.05100
  • DF error
    345.00000
  • t(b)
    3.11949
  • p(b)
    0.00098
  • t(a)
    1.04378
  • p(a)
    0.14866
  • Lowerbound of 95% confidence interval for beta
    0.08363
  • Upperbound of 95% confidence interval for beta
    0.36905
  • Lowerbound of 95% confidence interval for alpha
    -0.18114
  • Upperbound of 95% confidence interval for alpha
    0.59080
  • Treynor index (mean / b)
    0.93217
  • Jensen alpha (a)
    0.20483
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18546
  • SD
    0.22456
  • Sharpe ratio (Glass type estimate)
    0.82589
  • Sharpe ratio (Hedges UMVUE)
    0.82410
  • df
    346.00000
  • t
    0.95046
  • p
    0.17127
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87885
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.52953
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.88009
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.52828
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.49394
  • Upside Potential Ratio
    9.82484
  • Upside part of mean
    1.21966
  • Downside part of mean
    -1.03420
  • Upside SD
    0.18708
  • Downside SD
    0.12414
  • N nonnegative terms
    161.00000
  • N negative terms
    186.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    347.00000
  • Mean of predictor
    0.01322
  • Mean of criterion
    0.18546
  • SD of predictor
    0.16767
  • SD of criterion
    0.22456
  • Covariance
    0.00647
  • r
    0.17177
  • b (slope, estimate of beta)
    0.23004
  • a (intercept, estimate of alpha)
    0.18242
  • Mean Square Error
    0.04908
  • DF error
    345.00000
  • t(b)
    3.23860
  • p(b)
    0.00066
  • t(a)
    0.94760
  • p(a)
    0.17200
  • Lowerbound of 95% confidence interval for beta
    0.09033
  • Upperbound of 95% confidence interval for beta
    0.36975
  • Lowerbound of 95% confidence interval for alpha
    -0.19621
  • Upperbound of 95% confidence interval for alpha
    0.56105
  • Treynor index (mean / b)
    0.80619
  • Jensen alpha (a)
    0.18242
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02187
  • Expected Shortfall on VaR
    0.02751
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00946
  • Expected Shortfall on VaR
    0.01781
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    347.00000
  • Minimum
    0.96831
  • Quartile 1
    0.99487
  • Median
    1.00000
  • Quartile 3
    1.00534
  • Maximum
    1.11495
  • Mean of quarter 1
    0.98662
  • Mean of quarter 2
    0.99798
  • Mean of quarter 3
    1.00201
  • Mean of quarter 4
    1.01705
  • Inter Quartile Range
    0.01047
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.04611
  • Mean of outliers low
    0.97576
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.06052
  • Mean of outliers high
    1.03694
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.23228
  • VaR(95%) (moments method)
    0.01246
  • Expected Shortfall (moments method)
    0.01547
  • Extreme Value Index (regression method)
    -0.32743
  • VaR(95%) (regression method)
    0.01340
  • Expected Shortfall (regression method)
    0.01630
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00099
  • Quartile 1
    0.00221
  • Median
    0.01001
  • Quartile 3
    0.02905
  • Maximum
    0.19243
  • Mean of quarter 1
    0.00150
  • Mean of quarter 2
    0.00506
  • Mean of quarter 3
    0.01766
  • Mean of quarter 4
    0.10410
  • Inter Quartile Range
    0.02684
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.20833
  • Mean of outliers high
    0.11731
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.48669
  • VaR(95%) (moments method)
    0.08990
  • Expected Shortfall (moments method)
    0.09018
  • Extreme Value Index (regression method)
    -0.24864
  • VaR(95%) (regression method)
    0.12829
  • Expected Shortfall (regression method)
    0.16597
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24656
  • Compounded annual return (geometric extrapolation)
    0.23784
  • Calmar ratio (compounded annual return / max draw down)
    1.23598
  • Compounded annual return / average of 25% largest draw downs
    2.28468
  • Compounded annual return / Expected Shortfall lognormal
    8.64555
  • 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
    -0.35653
  • SD
    0.18665
  • Sharpe ratio (Glass type estimate)
    -1.91015
  • Sharpe ratio (Hedges UMVUE)
    -1.89911
  • df
    130.00000
  • t
    -1.35068
  • p
    0.55882
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.68804
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.87487
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.68051
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.88229
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.57553
  • Upside Potential Ratio
    6.54219
  • Upside part of mean
    0.90563
  • Downside part of mean
    -1.26216
  • Upside SD
    0.12607
  • Downside SD
    0.13843
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.31515
  • Mean of criterion
    -0.35653
  • SD of predictor
    0.21871
  • SD of criterion
    0.18665
  • Covariance
    0.01726
  • r
    0.42293
  • b (slope, estimate of beta)
    0.36092
  • a (intercept, estimate of alpha)
    -0.24278
  • Mean Square Error
    0.02883
  • DF error
    129.00000
  • t(b)
    5.30099
  • p(b)
    0.23901
  • t(a)
    -1.00709
  • p(a)
    0.55615
  • Lowerbound of 95% confidence interval for beta
    0.22621
  • Upperbound of 95% confidence interval for beta
    0.49564
  • Lowerbound of 95% confidence interval for alpha
    -0.71975
  • Upperbound of 95% confidence interval for alpha
    0.23419
  • Treynor index (mean / b)
    -0.98782
  • Jensen alpha (a)
    -0.24278
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.37401
  • SD
    0.18651
  • Sharpe ratio (Glass type estimate)
    -2.00534
  • Sharpe ratio (Hedges UMVUE)
    -1.99374
  • df
    130.00000
  • t
    -1.41799
  • p
    0.56171
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.78409
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.78092
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.77612
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78864
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.67581
  • Upside Potential Ratio
    6.42250
  • Upside part of mean
    0.89771
  • Downside part of mean
    -1.27173
  • Upside SD
    0.12457
  • Downside SD
    0.13978
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.33913
  • Mean of criterion
    -0.37401
  • SD of predictor
    0.21924
  • SD of criterion
    0.18651
  • Covariance
    0.01733
  • r
    0.42374
  • b (slope, estimate of beta)
    0.36047
  • a (intercept, estimate of alpha)
    -0.25177
  • Mean Square Error
    0.02876
  • DF error
    129.00000
  • t(b)
    5.31337
  • p(b)
    0.23854
  • t(a)
    -1.04494
  • p(a)
    0.55824
  • VAR (95 Confidence Intrvl)
    0.02200
  • Lowerbound of 95% confidence interval for beta
    0.22625
  • Upperbound of 95% confidence interval for beta
    0.49470
  • Lowerbound of 95% confidence interval for alpha
    -0.72847
  • Upperbound of 95% confidence interval for alpha
    0.22494
  • Treynor index (mean / b)
    -1.03756
  • Jensen alpha (a)
    -0.25177
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02017
  • Expected Shortfall on VaR
    0.02487
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01266
  • Expected Shortfall on VaR
    0.02210
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96831
  • Quartile 1
    0.99194
  • Median
    0.99934
  • Quartile 3
    1.00427
  • Maximum
    1.04071
  • Mean of quarter 1
    0.98477
  • Mean of quarter 2
    0.99641
  • Mean of quarter 3
    1.00075
  • Mean of quarter 4
    1.01312
  • Inter Quartile Range
    0.01233
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97034
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.02949
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.23439
  • VaR(95%) (moments method)
    0.01579
  • Expected Shortfall (moments method)
    0.01901
  • Extreme Value Index (regression method)
    -0.00170
  • VaR(95%) (regression method)
    0.01469
  • Expected Shortfall (regression method)
    0.01874
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00099
  • Quartile 1
    0.04469
  • Median
    0.08840
  • Quartile 3
    0.14041
  • Maximum
    0.19243
  • Mean of quarter 1
    0.00099
  • Mean of quarter 2
    0.08840
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.19243
  • Inter Quartile Range
    0.09572
  • 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?
    -303451000
  • Max Equity Drawdown (num days)
    77
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.31782
  • Compounded annual return (geometric extrapolation)
    -0.29256
  • Calmar ratio (compounded annual return / max draw down)
    -1.52039
  • Compounded annual return / average of 25% largest draw downs
    -1.52039
  • Compounded annual return / Expected Shortfall lognormal
    -11.76290

Strategy Description

Summary Statistics

Strategy began
2021-01-14
Suggested Minimum Capital
$15,000
# Trades
392
# Profitable
210
% Profitable
53.6%
Net Dividends
Correlation S&P500
0.159
Sharpe Ratio
0.64
Sortino Ratio
1.15
Beta
0.22
Alpha
0.05
Leverage
1.04 Average
3.37 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.