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

RawEdges BTC MicrFut/ETF
(140090634)

Created by: RawEdges RawEdges
Started: 04/2022
Stocks, Futures
Last trade: 568 days ago
Trading style: Futures Short Term
Subscriptions not currently available.

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 $200.00 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.
58.8%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(62.3%)
Max Drawdown
50
Num Trades
40.0%
Win Trades
4.0 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                     (5.6%)(8.6%)+8.2%+51.3%(33%)(10.8%)+23.5%(25.5%)+7.0%(17%)
2023+73.5%+7.8%+17.6%+2.0%(2.3%)+5.6%(2.2%)(7%)+2.7%+12.9%+4.5%+4.2%+165.8%
2024+0.1%+10.3%+2.1%                                                      +12.7%

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 7 hours.

Trading Record

This strategy has placed 1 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 708 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/7/22 12:49 @MBTN2 MICRO BITCOIN SHORT 16 21059 7/7 14:36 21195 0.4%
Trade id #140991903
Max drawdown($218)
Time7/7/22 14:36
Quant open16
Worst price21195
Drawdown as % of equity-0.40%
($346)
Includes Typical Broker Commissions trade costs of $128.00
7/7/22 9:34 @MBTN2 MICRO BITCOIN SHORT 17 20419 7/7 12:42 21080 2.23%
Trade id #140987607
Max drawdown($1,234)
Time7/7/22 12:42
Quant open17
Worst price21145
Drawdown as % of equity-2.23%
($1,260)
Includes Typical Broker Commissions trade costs of $136.00
6/30/22 9:37 BITI PROSHARES SHORT BITCOIN STRATEGY ETF SHORT 2,837 43.10 7/7 9:30 40.22 3.68%
Trade id #140916120
Max drawdown($1,765)
Time6/30/22 9:44
Quant open2,476
Worst price44.07
Drawdown as % of equity-3.68%
$8,149
Includes Typical Broker Commissions trade costs of $8.61
6/27/22 13:42 @MBTN2 MICRO BITCOIN SHORT 14 20625 6/30 5:07 19000 1.69%
Trade id #140876300
Max drawdown($770)
Time6/28/22 0:00
Quant open14
Worst price21175
Drawdown as % of equity-1.69%
$2,163
Includes Typical Broker Commissions trade costs of $112.00
6/24/22 15:39 BITI PROSHARES SHORT BITCOIN STRATEGY ETF SHORT 2,636 39.19 6/27 11:58 40.04 6.25%
Trade id #140857878
Max drawdown($3,036)
Time6/27/22 10:01
Quant open2,636
Worst price40.34
Drawdown as % of equity-6.25%
($2,256)
Includes Typical Broker Commissions trade costs of $5.00
6/13/22 19:30 @MBTM2 MICRO BITCOIN LONG 15 22180 6/24 15:36 21195 8.32%
Trade id #140757323
Max drawdown($3,900)
Time6/21/22 0:00
Quant open15
Worst price19580
Drawdown as % of equity-8.32%
($1,598)
Includes Typical Broker Commissions trade costs of $120.00
6/13/22 18:00 @MBTM2 MICRO BITCOIN LONG 15 23060 6/13 18:59 22475 1.78%
Trade id #140757110
Max drawdown($892)
Time6/13/22 18:59
Quant open15
Worst price22465
Drawdown as % of equity-1.78%
($998)
Includes Typical Broker Commissions trade costs of $120.00
6/7/22 5:17 @MBTM2 MICRO BITCOIN SHORT 21 27493 6/13 15:50 23922 6.48%
Trade id #140694854
Max drawdown($2,658)
Time6/7/22 16:27
Quant open13
Worst price31570
Drawdown as % of equity-6.48%
$7,331
Includes Typical Broker Commissions trade costs of $168.00
6/5/22 23:25 @MBTM2 MICRO BITCOIN SHORT 12 31065 6/6 22:27 29388 2.13%
Trade id #140682784
Max drawdown($882)
Time6/6/22 0:00
Quant open12
Worst price31800
Drawdown as % of equity-2.13%
$1,917
Includes Typical Broker Commissions trade costs of $96.00
6/5/22 22:10 @MBTM2 MICRO BITCOIN SHORT 14 30850 6/5 22:31 31140 0.93%
Trade id #140682634
Max drawdown($406)
Time6/5/22 22:31
Quant open14
Worst price31140
Drawdown as % of equity-0.93%
($518)
Includes Typical Broker Commissions trade costs of $112.00
6/5/22 21:59 @MBTM2 MICRO BITCOIN SHORT 14 30800 6/5 22:02 31025 0.72%
Trade id #140682604
Max drawdown($315)
Time6/5/22 22:02
Quant open14
Worst price31025
Drawdown as % of equity-0.72%
($427)
Includes Typical Broker Commissions trade costs of $112.00
6/5/22 20:58 @MBTM2 MICRO BITCOIN SHORT 14 30225 6/5 21:53 30925 2.33%
Trade id #140682478
Max drawdown($1,015)
Time6/5/22 21:53
Quant open14
Worst price30950
Drawdown as % of equity-2.33%
($1,092)
Includes Typical Broker Commissions trade costs of $112.00
6/5/22 18:31 @MBTM2 MICRO BITCOIN SHORT 13 29870 6/5 20:48 30220 1.06%
Trade id #140682159
Max drawdown($461)
Time6/5/22 20:48
Quant open13
Worst price30225
Drawdown as % of equity-1.06%
($559)
Includes Typical Broker Commissions trade costs of $104.00
6/3/22 2:43 @MBTM2 MICRO BITCOIN SHORT 13 30460 6/3 14:20 29440 0.21%
Trade id #140669533
Max drawdown($91)
Time6/3/22 4:09
Quant open13
Worst price30530
Drawdown as % of equity-0.21%
$1,222
Includes Typical Broker Commissions trade costs of $104.00
6/1/22 1:38 @MBTM2 MICRO BITCOIN LONG 13 31500 6/1 7:51 31530 0.21%
Trade id #140644283
Max drawdown($91)
Time6/1/22 7:43
Quant open13
Worst price31430
Drawdown as % of equity-0.21%
($65)
Includes Typical Broker Commissions trade costs of $104.00
5/31/22 21:17 @MBTM2 MICRO BITCOIN SHORT 13 31975 6/1 1:36 31505 0.14%
Trade id #140643665
Max drawdown($58)
Time6/1/22 0:00
Quant open13
Worst price32020
Drawdown as % of equity-0.14%
$507
Includes Typical Broker Commissions trade costs of $104.00
5/27/22 16:45 @MBTM2 MICRO BITCOIN LONG 12 28805 5/31 21:13 31940 0.42%
Trade id #140620430
Max drawdown($162)
Time5/27/22 16:59
Quant open12
Worst price28670
Drawdown as % of equity-0.42%
$3,666
Includes Typical Broker Commissions trade costs of $96.00
5/26/22 10:43 @MBTK2 MICRO BITCOIN LONG 12 29265 5/27 16:43 29015 2.05%
Trade id #140606237
Max drawdown($792)
Time5/27/22 2:07
Quant open12
Worst price28605
Drawdown as % of equity-2.05%
($396)
Includes Typical Broker Commissions trade costs of $96.00
5/26/22 10:03 @MBTK2 MICRO BITCOIN LONG 11 28870 5/26 10:20 29120 n/a $187
Includes Typical Broker Commissions trade costs of $88.00
5/25/22 1:56 @MBTK2 MICRO BITCOIN LONG 12 29830 5/25 4:02 29490 1.03%
Trade id #140589642
Max drawdown($408)
Time5/25/22 4:02
Quant open12
Worst price29490
Drawdown as % of equity-1.03%
($504)
Includes Typical Broker Commissions trade costs of $96.00
5/24/22 11:52 @MBTK2 MICRO BITCOIN LONG 12 29385 5/24 20:08 29540 1.07%
Trade id #140581240
Max drawdown($420)
Time5/24/22 14:55
Quant open12
Worst price29035
Drawdown as % of equity-1.07%
$90
Includes Typical Broker Commissions trade costs of $96.00
5/23/22 20:06 @MBTK2 MICRO BITCOIN LONG 12 29130 5/24 10:06 28775 1.19%
Trade id #140573327
Max drawdown($474)
Time5/24/22 10:06
Quant open12
Worst price28735
Drawdown as % of equity-1.19%
($522)
Includes Typical Broker Commissions trade costs of $96.00
5/20/22 0:46 @MBTK2 MICRO BITCOIN SHORT 11 30000 5/23 20:05 29100 1.91%
Trade id #140539941
Max drawdown($737)
Time5/23/22 8:18
Quant open11
Worst price30670
Drawdown as % of equity-1.91%
$902
Includes Typical Broker Commissions trade costs of $88.00
5/13/22 0:33 @MBTK2 MICRO BITCOIN SHORT 12 30280 5/13 1:15 30665 1.41%
Trade id #140461688
Max drawdown($558)
Time5/13/22 1:15
Quant open12
Worst price30745
Drawdown as % of equity-1.41%
($558)
Includes Typical Broker Commissions trade costs of $96.00
5/12/22 22:36 @MBTK2 MICRO BITCOIN SHORT 12 29725 5/12 23:05 30150 2.04%
Trade id #140461268
Max drawdown($828)
Time5/12/22 23:05
Quant open12
Worst price30415
Drawdown as % of equity-2.04%
($606)
Includes Typical Broker Commissions trade costs of $96.00
5/12/22 22:14 @MBTK2 MICRO BITCOIN SHORT 12 29480 5/12 22:27 29960 1.42%
Trade id #140461142
Max drawdown($576)
Time5/12/22 22:27
Quant open12
Worst price29960
Drawdown as % of equity-1.42%
($672)
Includes Typical Broker Commissions trade costs of $96.00
5/8/22 22:38 @MBTK2 MICRO BITCOIN LONG 12 33405 5/9 6:46 32835 2.03%
Trade id #140407318
Max drawdown($846)
Time5/9/22 6:46
Quant open12
Worst price32700
Drawdown as % of equity-2.03%
($780)
Includes Typical Broker Commissions trade costs of $96.00
5/6/22 8:16 @MBTK2 MICRO BITCOIN LONG 13 35685 5/8 22:28 33550 6.87%
Trade id #140389605
Max drawdown($2,925)
Time5/8/22 22:28
Quant open13
Worst price33435
Drawdown as % of equity-6.87%
($2,880)
Includes Typical Broker Commissions trade costs of $104.00
5/5/22 18:31 @MBTK2 MICRO BITCOIN LONG 13 36355 5/6 7:28 35520 2.42%
Trade id #140386383
Max drawdown($1,111)
Time5/6/22 7:28
Quant open13
Worst price35500
Drawdown as % of equity-2.42%
($1,190)
Includes Typical Broker Commissions trade costs of $104.00
5/2/22 15:22 @MBTK2 MICRO BITCOIN LONG 14 38355 5/5 11:08 37275 4.87%
Trade id #140339087
Max drawdown($2,401)
Time5/5/22 11:08
Quant open14
Worst price36640
Drawdown as % of equity-4.87%
($1,624)
Includes Typical Broker Commissions trade costs of $112.00

Statistics

  • Strategy began
    4/10/2022
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    716.12
  • Age
    24 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    50
  • # Profitable
    20
  • % Profitable
    40.00%
  • Avg trade duration
    13.9 days
  • Max peak-to-valley drawdown
    62.29%
  • drawdown period
    Aug 11, 2022 - Nov 09, 2022
  • Annual Return (Compounded)
    58.8%
  • Avg win
    $5,450
  • Avg loss
    $896.73
  • Model Account Values (Raw)
  • Cash
    $150,308
  • Margin Used
    $140,422
  • Buying Power
    $81,526
  • Ratios
  • W:L ratio
    4.01:1
  • Sharpe Ratio
    0.84
  • Sortino Ratio
    1.34
  • Calmar Ratio
    5.851
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    132.84%
  • Correlation to SP500
    0.33020
  • Return Percent SP500 (cumu) during strategy life
    16.94%
  • Return Statistics
  • Ann Return (w trading costs)
    58.8%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.46%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • 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)
    0.588%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.55%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    63.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    94.50%
  • Chance of 20% account loss
    73.50%
  • Chance of 30% account loss
    51.50%
  • Chance of 40% account loss
    28.00%
  • Chance of 60% account loss (Monte Carlo)
    1.00%
  • 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
    7.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $897
  • Avg Win
    $5,451
  • Sum Trade PL (losers)
    $26,902.000
  • Age
  • Num Months filled monthly returns table
    24
  • Win / Loss
  • Sum Trade PL (winners)
    $109,018.000
  • # Winners
    20
  • Num Months Winners
    16
  • Dividends
  • Dividends Received in Model Acct
    -1224
  • Win / Loss
  • # Losers
    30
  • % Winners
    40.0%
  • Frequency
  • Avg Position Time (mins)
    19989.50
  • Avg Position Time (hrs)
    333.16
  • Avg Trade Length
    13.9 days
  • Last Trade Ago
    566
  • Leverage
  • Daily leverage (average)
    1.69
  • Daily leverage (max)
    2.77
  • Regression
  • Alpha
    0.17
  • Beta
    1.27
  • Treynor Index
    0.15
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.98
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    0.866
  • 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
    0.316
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.373
  • Hold-and-Hope Ratio
    1.304
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.41927
  • SD
    0.87987
  • Sharpe ratio (Glass type estimate)
    1.61304
  • Sharpe ratio (Hedges UMVUE)
    1.40113
  • df
    6.00000
  • t
    1.23198
  • p
    0.13202
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.16191
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.27181
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.28472
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.08698
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.89771
  • Upside Potential Ratio
    5.68656
  • Upside part of mean
    2.07064
  • Downside part of mean
    -0.65137
  • Upside SD
    0.83597
  • Downside SD
    0.36413
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    -0.03451
  • Mean of criterion
    1.41927
  • SD of predictor
    0.24538
  • SD of criterion
    0.87987
  • Covariance
    0.15634
  • r
    0.72411
  • b (slope, estimate of beta)
    2.59652
  • a (intercept, estimate of alpha)
    1.50888
  • Mean Square Error
    0.44189
  • DF error
    5.00000
  • t(b)
    2.34771
  • p(b)
    0.03287
  • t(a)
    1.73195
  • p(a)
    0.07191
  • Lowerbound of 95% confidence interval for beta
    -0.24662
  • Upperbound of 95% confidence interval for beta
    5.43965
  • Lowerbound of 95% confidence interval for alpha
    -0.73071
  • Upperbound of 95% confidence interval for alpha
    3.74846
  • Treynor index (mean / b)
    0.54661
  • Jensen alpha (a)
    1.50888
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.05991
  • SD
    0.81792
  • Sharpe ratio (Glass type estimate)
    1.29586
  • Sharpe ratio (Hedges UMVUE)
    1.12562
  • df
    6.00000
  • t
    0.98973
  • p
    0.18026
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.41712
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.91159
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51842
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.76966
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.58831
  • Upside Potential Ratio
    4.36425
  • Upside part of mean
    1.78716
  • Downside part of mean
    -0.72725
  • Upside SD
    0.70665
  • Downside SD
    0.40950
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    -0.06027
  • Mean of criterion
    1.05991
  • SD of predictor
    0.24531
  • SD of criterion
    0.81792
  • Covariance
    0.14350
  • r
    0.71522
  • b (slope, estimate of beta)
    2.38474
  • a (intercept, estimate of alpha)
    1.20365
  • Mean Square Error
    0.39213
  • DF error
    5.00000
  • t(b)
    2.28830
  • p(b)
    0.03540
  • t(a)
    1.46377
  • p(a)
    0.10157
  • Lowerbound of 95% confidence interval for beta
    -0.29429
  • Upperbound of 95% confidence interval for beta
    5.06377
  • Lowerbound of 95% confidence interval for alpha
    -0.91021
  • Upperbound of 95% confidence interval for alpha
    3.31751
  • Treynor index (mean / b)
    0.44446
  • Jensen alpha (a)
    1.20365
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.25922
  • Expected Shortfall on VaR
    0.32633
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08622
  • Expected Shortfall on VaR
    0.18073
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.76157
  • Quartile 1
    0.96817
  • Median
    1.09894
  • Quartile 3
    1.29904
  • Maximum
    1.44928
  • Mean of quarter 1
    0.81234
  • Mean of quarter 2
    1.08608
  • Mean of quarter 3
    1.20560
  • Mean of quarter 4
    1.42088
  • Inter Quartile Range
    0.33087
  • 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)
    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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.13688
  • Quartile 1
    0.16227
  • Median
    0.18766
  • Quartile 3
    0.21304
  • Maximum
    0.23843
  • Mean of quarter 1
    0.13688
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.23843
  • Inter Quartile Range
    0.05078
  • 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)
    1.51919
  • Compounded annual return (geometric extrapolation)
    1.96779
  • Calmar ratio (compounded annual return / max draw down)
    8.25303
  • Compounded annual return / average of 25% largest draw downs
    8.25303
  • Compounded annual return / Expected Shortfall lognormal
    6.03003
  • 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
    2.14321
  • SD
    1.22400
  • Sharpe ratio (Glass type estimate)
    1.75099
  • Sharpe ratio (Hedges UMVUE)
    1.74320
  • df
    169.00000
  • t
    1.41045
  • p
    0.43147
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69186
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.18880
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69706
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.18347
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.14951
  • Upside Potential Ratio
    9.58838
  • Upside part of mean
    6.52480
  • Downside part of mean
    -4.38159
  • Upside SD
    1.02168
  • Downside SD
    0.68049
  • N nonnegative terms
    85.00000
  • N negative terms
    85.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    170.00000
  • Mean of predictor
    0.27359
  • Mean of criterion
    2.14321
  • SD of predictor
    0.30871
  • SD of criterion
    1.22400
  • Covariance
    0.11171
  • r
    0.29565
  • b (slope, estimate of beta)
    1.17224
  • a (intercept, estimate of alpha)
    1.82300
  • Mean Square Error
    1.37537
  • DF error
    168.00000
  • t(b)
    4.01140
  • p(b)
    0.35218
  • t(a)
    1.24991
  • p(a)
    0.45201
  • Lowerbound of 95% confidence interval for beta
    0.59533
  • Upperbound of 95% confidence interval for beta
    1.74916
  • Lowerbound of 95% confidence interval for alpha
    -1.05607
  • Upperbound of 95% confidence interval for alpha
    4.70108
  • Treynor index (mean / b)
    1.82830
  • Jensen alpha (a)
    1.82250
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.42090
  • SD
    1.20145
  • Sharpe ratio (Glass type estimate)
    1.18265
  • Sharpe ratio (Hedges UMVUE)
    1.17740
  • df
    169.00000
  • t
    0.95264
  • p
    0.45351
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.25547
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.61742
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.25902
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.61381
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.76603
  • Upside Potential Ratio
    7.56933
  • Upside part of mean
    6.09005
  • Downside part of mean
    -4.66916
  • Upside SD
    0.89183
  • Downside SD
    0.80457
  • N nonnegative terms
    85.00000
  • N negative terms
    85.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    170.00000
  • Mean of predictor
    0.22623
  • Mean of criterion
    1.42090
  • SD of predictor
    0.30800
  • SD of criterion
    1.20145
  • Covariance
    0.10279
  • r
    0.27779
  • b (slope, estimate of beta)
    1.08359
  • a (intercept, estimate of alpha)
    1.17576
  • Mean Square Error
    1.34002
  • DF error
    168.00000
  • t(b)
    3.74805
  • p(b)
    0.36111
  • t(a)
    0.81731
  • p(a)
    0.46853
  • Lowerbound of 95% confidence interval for beta
    0.51284
  • Upperbound of 95% confidence interval for beta
    1.65434
  • Lowerbound of 95% confidence interval for alpha
    -1.66425
  • Upperbound of 95% confidence interval for alpha
    4.01576
  • Treynor index (mean / b)
    1.31129
  • Jensen alpha (a)
    1.17576
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11012
  • Expected Shortfall on VaR
    0.13697
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03785
  • Expected Shortfall on VaR
    0.08044
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    170.00000
  • Minimum
    0.59171
  • Quartile 1
    0.97942
  • Median
    1.00014
  • Quartile 3
    1.02406
  • Maximum
    1.55696
  • Mean of quarter 1
    0.94220
  • Mean of quarter 2
    0.99171
  • Mean of quarter 3
    1.01092
  • Mean of quarter 4
    1.08800
  • Inter Quartile Range
    0.04463
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.02353
  • Mean of outliers low
    0.81547
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.07647
  • Mean of outliers high
    1.17526
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23108
  • VaR(95%) (moments method)
    0.05398
  • Expected Shortfall (moments method)
    0.08635
  • Extreme Value Index (regression method)
    0.39013
  • VaR(95%) (regression method)
    0.05027
  • Expected Shortfall (regression method)
    0.09068
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.01067
  • Quartile 1
    0.04730
  • Median
    0.09011
  • Quartile 3
    0.19685
  • Maximum
    0.55687
  • Mean of quarter 1
    0.02626
  • Mean of quarter 2
    0.07870
  • Mean of quarter 3
    0.14066
  • Mean of quarter 4
    0.33023
  • Inter Quartile Range
    0.14955
  • 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
    0.09091
  • Mean of outliers high
    0.55687
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.22843
  • VaR(95%) (moments method)
    0.37645
  • Expected Shortfall (moments method)
    0.57785
  • Extreme Value Index (regression method)
    2.52094
  • VaR(95%) (regression method)
    0.66302
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.40446
  • Compounded annual return (geometric extrapolation)
    3.25802
  • Calmar ratio (compounded annual return / max draw down)
    5.85056
  • Compounded annual return / average of 25% largest draw downs
    9.86598
  • Compounded annual return / Expected Shortfall lognormal
    23.78610
  • 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
    2.88174
  • SD
    1.37560
  • Sharpe ratio (Glass type estimate)
    2.09489
  • Sharpe ratio (Hedges UMVUE)
    2.08278
  • df
    130.00000
  • t
    1.48131
  • p
    0.43558
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69247
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.87437
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70056
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.86613
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.79534
  • Upside Potential Ratio
    10.30920
  • Upside part of mean
    7.82760
  • Downside part of mean
    -4.94586
  • Upside SD
    1.15456
  • Downside SD
    0.75928
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.49329
  • Mean of criterion
    2.88174
  • SD of predictor
    0.31254
  • SD of criterion
    1.37560
  • Covariance
    0.13125
  • r
    0.30529
  • b (slope, estimate of beta)
    1.34368
  • a (intercept, estimate of alpha)
    2.21891
  • Mean Square Error
    1.72922
  • DF error
    129.00000
  • t(b)
    3.64122
  • p(b)
    0.30871
  • t(a)
    1.18749
  • p(a)
    0.43392
  • Lowerbound of 95% confidence interval for beta
    0.61357
  • Upperbound of 95% confidence interval for beta
    2.07379
  • Lowerbound of 95% confidence interval for alpha
    -1.47812
  • Upperbound of 95% confidence interval for alpha
    5.91593
  • Treynor index (mean / b)
    2.14466
  • Jensen alpha (a)
    2.21891
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.96747
  • SD
    1.35094
  • Sharpe ratio (Glass type estimate)
    1.45637
  • Sharpe ratio (Hedges UMVUE)
    1.44795
  • df
    130.00000
  • t
    1.02981
  • p
    0.45502
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.32386
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.23105
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.32943
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.22534
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.18012
  • Upside Potential Ratio
    8.06018
  • Upside part of mean
    7.27398
  • Downside part of mean
    -5.30652
  • Upside SD
    1.00570
  • Downside SD
    0.90246
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.44465
  • Mean of criterion
    1.96747
  • SD of predictor
    0.31122
  • SD of criterion
    1.35094
  • Covariance
    0.12014
  • r
    0.28574
  • b (slope, estimate of beta)
    1.24033
  • a (intercept, estimate of alpha)
    1.41595
  • Mean Square Error
    1.68901
  • DF error
    129.00000
  • t(b)
    3.38660
  • p(b)
    0.32060
  • t(a)
    0.76740
  • p(a)
    0.45712
  • VAR (95 Confidence Intrvl)
    0.11000
  • Lowerbound of 95% confidence interval for beta
    0.51570
  • Upperbound of 95% confidence interval for beta
    1.96496
  • Lowerbound of 95% confidence interval for alpha
    -2.23471
  • Upperbound of 95% confidence interval for alpha
    5.06661
  • Treynor index (mean / b)
    1.58624
  • Jensen alpha (a)
    1.41595
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12170
  • Expected Shortfall on VaR
    0.15141
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04076
  • Expected Shortfall on VaR
    0.08720
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.59171
  • Quartile 1
    0.97516
  • Median
    1.00217
  • Quartile 3
    1.03344
  • Maximum
    1.55696
  • Mean of quarter 1
    0.93442
  • Mean of quarter 2
    0.99104
  • Mean of quarter 3
    1.01483
  • Mean of quarter 4
    1.10424
  • Inter Quartile Range
    0.05828
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.72388
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.20841
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21944
  • VaR(95%) (moments method)
    0.06212
  • Expected Shortfall (moments method)
    0.09767
  • Extreme Value Index (regression method)
    0.39400
  • VaR(95%) (regression method)
    0.05858
  • Expected Shortfall (regression method)
    0.10513
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00782
  • Quartile 1
    0.03494
  • Median
    0.06902
  • Quartile 3
    0.09034
  • Maximum
    0.55687
  • Mean of quarter 1
    0.02165
  • Mean of quarter 2
    0.05773
  • Mean of quarter 3
    0.08892
  • Mean of quarter 4
    0.31686
  • Inter Quartile Range
    0.05540
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.23077
  • Mean of outliers high
    0.31686
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.00037
  • VaR(95%) (moments method)
    0.24959
  • Expected Shortfall (moments method)
    0.27160
  • Extreme Value Index (regression method)
    0.55125
  • VaR(95%) (regression method)
    0.34784
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.86016
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -403440000
  • Max Equity Drawdown (num days)
    90
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.42400
  • Compounded annual return (geometric extrapolation)
    6.35495
  • Calmar ratio (compounded annual return / max draw down)
    11.41190
  • Compounded annual return / average of 25% largest draw downs
    20.05620
  • Compounded annual return / Expected Shortfall lognormal
    41.97320

Strategy Description

Summary Statistics

Strategy began
2022-04-10
Suggested Minimum Capital
$45,000
# Trades
50
# Profitable
20
% Profitable
40.0%
Net Dividends
Correlation S&P500
0.330
Sharpe Ratio
0.84
Sortino Ratio
1.34
Beta
1.27
Alpha
0.17
Leverage
1.69 Average
2.77 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.