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These are hypothetical performance results that have certain inherent limitations. Learn more
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Excelsior Stocks
(131866488)

Created by: Marcel Marcel
Started: 10/2020
Stocks, Options
Last trade: 406 days ago
Trading style: Equity Non-hedged Equity

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 $205.00 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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
-
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.

(100.0%)
Max Drawdown
129
Num Trades
62.8%
Win Trades
0.8 : 1
Profit Factor
19.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                               +1.3%+5.0%+5.0%+11.8%
2021+12226.5%+20.3%(23.9%)+0.5%(3.7%)(9.9%)(33.5%)(5.6%)  -  (49%)+0.2%+3687.7%
2022(31.6%)(26.1%)(24.7%)(122.8%)(439.3%)(106.3%)(27.4%)(6.1%)(39.8%)(9.7%)(13.8%)(21.6%)(253%)
2023(29.3%)(17.7%)(15.6%)(4.4%)(9.8%)(41.2%)(28.8%)(67.6%)(21.1%)(21.8%)(27.5%)(47.3%)-
2024(46.6%)(10%)(21.4%)(38.5%)                                                (75.6%)

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.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/18/23 9:35 TSLA TESLA INC. SHORT 300 100.00 3/18 9:35 433.33 n/a ($100,005)
Includes Typical Broker Commissions trade costs of $6.00
1/8/21 15:25 TSLA2317O433.33 TSLA Mar17'23 433.33 put SHORT 12 229.28 3/18/23 9:35 178.50 37.64%
Trade id #133282491
Max drawdown($586,482)
Time1/13/21 0:00
Quant open12
Worst price718.01
Drawdown as % of equity-37.64%
 $60,915
Includes Typical Broker Commissions trade costs of $14.70
1/14/21 15:25 TSLA2317C100 TSLA Mar17'23 100 call SHORT 3 194.67 3/18/23 9:35 0.00 10.09%
Trade id #133385362
Max drawdown($213,549)
Time1/3/22 0:00
Quant open3
Worst price906.50
Drawdown as % of equity-10.09%
 $58,399
Includes Typical Broker Commissions trade costs of $2.10
1/21/23 9:35 AMZN AMAZON.COM LONG 2,000 255.00 1/21 9:35 73.00 n/a ($364,005)
Includes Typical Broker Commissions trade costs of $5.00
1/8/21 15:45 AMZN2320A73 AMZN Jan20'23 73 call SHORT 2,220 89.12 1/21/23 9:35 87.35 23659.46%
Trade id #133282934
Max drawdown($368,612,000)
Time1/13/21 0:00
Quant open2,180
Worst price1780.00
Drawdown as % of equity-23659.46%
 $390,226
Includes Typical Broker Commissions trade costs of $3,094.00
1/8/21 15:45 AMZN2320M255 AMZN Jan20'23 255 put SHORT 2,200 101.48 1/21/23 9:35 102.57 499.57%
Trade id #133282955
Max drawdown($5,853,540)
Time5/24/22 0:00
Quant open20
Worst price3028.25
Drawdown as % of equity499.57%
 ($244,106)
Includes Typical Broker Commissions trade costs of $3,066.00
11/16/20 15:08 MLCO2116D30 MLCO Apr16'21 30 call LONG 10 0.25 4/17/21 9:37 0.00 0%
Trade id #132285101
Max drawdown($240)
Time4/6/21 0:00
Quant open10
Worst price0.01
Drawdown as % of equity-0.00%
 ($257)
Includes Typical Broker Commissions trade costs of $7.00
1/8/21 14:42 CGC2119B32.5 CGC Feb19'21 32.5 call SHORT 105 2.53 2/20 9:35 2.29 1.17%
Trade id #133281451
Max drawdown($100,850)
Time2/10/21 0:00
Quant open50
Worst price22.70
Drawdown as % of equity-1.17%
 $2,412
Includes Typical Broker Commissions trade costs of $112.60
1/14/21 10:16 SRACU STABLE ROAD ACQUISITION CORP. UNIT LONG 10,000 25.80 1/14 14:42 25.06 0.45%
Trade id #133375735
Max drawdown($23,700)
Time1/14/21 10:47
Quant open10,000
Worst price23.43
Drawdown as % of equity-0.45%
 ($7,405)
Includes Typical Broker Commissions trade costs of $5.00
1/8/21 14:32 CGC CANOPY GROWTH CORP LONG 2,025,500 30.21 1/14 14:38 33.91 498.38%
Trade id #133281295
Max drawdown($1,237,020)
Time1/11/21 0:00
Quant open2,025,000
Worst price29.60
Drawdown as % of equity498.38%
 $7,485,481
Includes Typical Broker Commissions trade costs of $65.00
12/10/20 14:16 XSPA2116D2.5 XSPA Apr16'21 2.5 call LONG 20 0.30 1/14/21 14:38 0.15 0.72%
Trade id #132749531
Max drawdown($400)
Time1/4/21 0:00
Quant open20
Worst price0.10
Drawdown as % of equity-0.72%
 ($328)
Includes Typical Broker Commissions trade costs of $28.00
1/8/21 15:18 CGC2320A5 CGC Jan20'23 5 call SHORT 36 24.77 1/14 14:38 29.85 n/a ($18,346)
Includes Typical Broker Commissions trade costs of $51.00
1/8/21 15:16 CGC2119B22.5 CGC Feb19'21 22.5 call SHORT 12 8.30 1/14 14:38 11.80 0.06%
Trade id #133282290
Max drawdown($3,636)
Time1/14/21 12:32
Quant open12
Worst price11.33
Drawdown as % of equity-0.06%
 ($4,217)
Includes Typical Broker Commissions trade costs of $17.40
1/14/21 10:26 CCL CARNIVAL LONG 120,000 21.42 1/14 14:38 21.12 0.89%
Trade id #133376027
Max drawdown($57,800)
Time1/14/21 12:46
Quant open120,000
Worst price20.94
Drawdown as % of equity-0.89%
 ($36,208)
Includes Typical Broker Commissions trade costs of $7.50
1/8/21 15:23 TSLA2317C200 TSLA Mar17'23 200 call SHORT 3 677.83 1/14 13:41 675.48 20.1%
Trade id #133282460
Max drawdown($5,150)
Time1/8/21 15:53
Quant open3
Worst price695.00
Drawdown as % of equity-20.10%
 $700
Includes Typical Broker Commissions trade costs of $5.40
1/7/21 14:02 CGC2119N30 CGC Feb19'21 30 put SHORT 33 3.13 1/14 10:32 2.55 0.35%
Trade id #133249766
Max drawdown($857)
Time1/11/21 0:00
Quant open23
Worst price3.50
Drawdown as % of equity0.35%
 $1,844
Includes Typical Broker Commissions trade costs of $46.80
11/10/20 15:33 GILD GILEAD SCIENCES LONG 25 60.69 1/8/21 14:34 60.12 0.19%
Trade id #132184784
Max drawdown($103)
Time12/30/20 0:00
Quant open25
Worst price56.56
Drawdown as % of equity-0.19%
 ($15)
Includes Typical Broker Commissions trade costs of $0.50
1/7/21 13:08 CGC CANOPY GROWTH CORP LONG 3,775 30.95 1/8 10:54 30.09 10.55%
Trade id #133248683
Max drawdown($6,061)
Time1/8/21 9:49
Quant open3,775
Worst price29.34
Drawdown as % of equity-10.55%
 ($3,244)
Includes Typical Broker Commissions trade costs of $7.75
10/23/20 11:53 AKBA AKEBIA THERAPEUTICS INC. COMM LONG 300 3.66 1/8/21 10:54 3.02 0.62%
Trade id #131869116
Max drawdown($313)
Time10/30/20 0:00
Quant open200
Worst price2.09
Drawdown as % of equity-0.62%
 ($198)
Includes Typical Broker Commissions trade costs of $6.00
12/10/20 9:43 YQ 17 EDUCATION & TECHNOLOGY GROUP INC. ADS LONG 100 18.50 1/8/21 10:54 12.57 1.17%
Trade id #132742119
Max drawdown($616)
Time1/5/21 0:00
Quant open100
Worst price12.34
Drawdown as % of equity-1.17%
 ($595)
Includes Typical Broker Commissions trade costs of $2.00
1/5/21 13:06 ACB AURORA CANNABIS INC LONG 10,400 9.45 1/8 10:54 10.29 1.65%
Trade id #133186931
Max drawdown($800)
Time1/5/21 13:11
Quant open10,000
Worst price9.36
Drawdown as % of equity-1.65%
 $8,736
Includes Typical Broker Commissions trade costs of $12.00
12/4/20 15:59 WELL WELLTOWER INC LONG 35 64.29 1/8/21 10:54 61.98 0.17%
Trade id #132650015
Max drawdown($97)
Time1/4/21 0:00
Quant open35
Worst price61.50
Drawdown as % of equity-0.17%
 ($82)
Includes Typical Broker Commissions trade costs of $0.70
1/4/21 15:56 WTER THE ALKALINE WATER COMPANY INC. LONG 2,000 0.97 1/8 10:54 0.98 0.06%
Trade id #133168018
Max drawdown($33)
Time1/5/21 0:00
Quant open2,000
Worst price0.95
Drawdown as % of equity-0.06%
 $28
Includes Typical Broker Commissions trade costs of $5.01
12/4/20 11:56 CNK2119C25 CNK Mar19'21 25 call LONG 5 0.90 1/8/21 10:54 0.55 0.33%
Trade id #132645404
Max drawdown($175)
Time1/5/21 0:00
Quant open5
Worst price0.55
Drawdown as % of equity-0.33%
 ($182)
Includes Typical Broker Commissions trade costs of $7.30
12/18/20 15:59 UAL UNITED AIRLINES HOLDINGS INC LONG 50 44.76 1/8/21 10:54 42.36 0.3%
Trade id #132916411
Max drawdown($166)
Time1/4/21 0:00
Quant open50
Worst price41.43
Drawdown as % of equity-0.30%
 ($121)
Includes Typical Broker Commissions trade costs of $1.00
11/18/20 10:09 PCG PACIFIC GAS & ELECTRIC CO. LONG 200 12.40 1/8/21 10:54 12.31 0.28%
Trade id #132322461
Max drawdown($166)
Time12/15/20 0:00
Quant open200
Worst price11.57
Drawdown as % of equity-0.28%
 ($22)
Includes Typical Broker Commissions trade costs of $4.00
12/10/20 14:59 NEPT2119B3 NEPT Feb19'21 3 call LONG 25 0.10 1/8/21 10:54 0.05 0.35%
Trade id #132750285
Max drawdown($200)
Time12/31/20 0:00
Quant open25
Worst price0.02
Drawdown as % of equity-0.35%
 ($160)
Includes Typical Broker Commissions trade costs of $35.00
12/10/20 14:29 SWN2119C4 SWN Mar19'21 4 call LONG 15 0.39 1/8/21 10:54 0.19 0.5%
Trade id #132749699
Max drawdown($285)
Time1/8/21 10:00
Quant open15
Worst price0.20
Drawdown as % of equity-0.50%
 ($321)
Includes Typical Broker Commissions trade costs of $21.00
12/24/20 11:58 NEPT NEPTUNE TECHNOLOGIES LONG 4,000 1.63 1/7/21 13:09 1.71 0.56%
Trade id #133009276
Max drawdown($300)
Time12/29/20 0:00
Quant open2,000
Worst price1.48
Drawdown as % of equity-0.56%
 $312
Includes Typical Broker Commissions trade costs of $7.51
12/22/20 14:17 EDIT2115M60 EDIT Jan15'21 60 put LONG 2 2.80 1/7/21 13:09 0.28 0.86%
Trade id #132968924
Max drawdown($454)
Time1/5/21 0:00
Quant open2
Worst price0.53
Drawdown as % of equity-0.86%
 ($508)
Includes Typical Broker Commissions trade costs of $3.40
Next

Statistics

  • Strategy began
    10/23/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1273.78
  • Age
    43 months ago
  • What it trades
    Stocks, Options
  • # Trades
    129
  • # Profitable
    81
  • % Profitable
    62.80%
  • Avg trade duration
    95.8 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Oct 30, 2020 - June 12, 2022
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $99,205
  • Avg loss
    $214,066
  • Model Account Values (Raw)
  • Cash
    $335,870
  • Margin Used
    $0
  • Buying Power
    ($9,141,990)
  • Ratios
  • W:L ratio
    0.80:1
  • Sharpe Ratio
    -0.85
  • Sortino Ratio
    -0.87
  • Calmar Ratio
    -1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -4219.37%
  • Correlation to SP500
    -0.04860
  • Return Percent SP500 (cumu) during strategy life
    47.17%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.03%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.91%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    7.50%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    0.44%
  • Percent Trades Stocks
    0.54%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • 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
    $214,066
  • Avg Win
    $99,206
  • Sum Trade PL (losers)
    $10,275,200.000
  • Age
  • Num Months filled monthly returns table
    19
  • Win / Loss
  • Sum Trade PL (winners)
    $8,035,660.000
  • # Winners
    81
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    160672
  • Win / Loss
  • # Losers
    48
  • % Winners
    62.8%
  • Frequency
  • Avg Position Time (mins)
    137933.00
  • Avg Position Time (hrs)
    2298.89
  • Avg Trade Length
    95.8 days
  • Last Trade Ago
    398
  • Leverage
  • Daily leverage (average)
    11.51
  • Daily leverage (max)
    583.87
  • Regression
  • Alpha
    0.00
  • Beta
    -80582400.00
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    2.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    7.86
  • MAE:Equity, average, winning trades
    3.25
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -217.578
  • 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
    46.157
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.804
  • Hold-and-Hope Ratio
    -0.005
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    204.25300
  • SD
    170.06600
  • Sharpe ratio (Glass type estimate)
    1.20102
  • Sharpe ratio (Hedges UMVUE)
    1.06675
  • df
    7.00000
  • t
    0.98063
  • p
    0.17972
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.31673
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.64026
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.39788
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.53139
  • Statistics related to Sortino ratio
  • Sortino ratio
    121.39700
  • Upside Potential Ratio
    123.58700
  • Upside part of mean
    207.93800
  • Downside part of mean
    -3.68513
  • Upside SD
    169.64900
  • Downside SD
    1.68252
  • N nonnegative terms
    3.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.40229
  • Mean of criterion
    204.25300
  • SD of predictor
    0.24524
  • SD of criterion
    170.06600
  • Covariance
    -0.37607
  • r
    -0.00902
  • b (slope, estimate of beta)
    -6.25282
  • a (intercept, estimate of alpha)
    206.76900
  • Mean Square Error
    33740.00000
  • DF error
    6.00000
  • t(b)
    -0.02209
  • p(b)
    0.50845
  • t(a)
    0.82002
  • p(a)
    0.22178
  • Lowerbound of 95% confidence interval for beta
    -698.96400
  • Upperbound of 95% confidence interval for beta
    686.45800
  • Lowerbound of 95% confidence interval for alpha
    -410.22800
  • Upperbound of 95% confidence interval for alpha
    823.76600
  • Treynor index (mean / b)
    -32.66570
  • Jensen alpha (a)
    206.76900
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -16.25360
  • SD
    18.15570
  • Sharpe ratio (Glass type estimate)
    -0.89523
  • Sharpe ratio (Hedges UMVUE)
    -0.79515
  • df
    7.00000
  • t
    -0.73096
  • p
    0.75573
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.30929
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57904
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.23147
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64117
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.98212
  • Upside Potential Ratio
    0.45672
  • Upside part of mean
    7.55844
  • Downside part of mean
    -23.81200
  • Upside SD
    6.04622
  • Downside SD
    16.54940
  • N nonnegative terms
    3.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.36922
  • Mean of criterion
    -16.25360
  • SD of predictor
    0.24441
  • SD of criterion
    18.15570
  • Covariance
    3.40694
  • r
    0.76777
  • b (slope, estimate of beta)
    57.03180
  • a (intercept, estimate of alpha)
    -37.31080
  • Mean Square Error
    157.87900
  • DF error
    6.00000
  • t(b)
    2.93513
  • p(b)
    0.01306
  • t(a)
    -2.19746
  • p(a)
    0.96483
  • Lowerbound of 95% confidence interval for beta
    9.48592
  • Upperbound of 95% confidence interval for beta
    104.57800
  • Lowerbound of 95% confidence interval for alpha
    -78.85750
  • Upperbound of 95% confidence interval for alpha
    4.23591
  • Treynor index (mean / b)
    -0.28499
  • Jensen alpha (a)
    -37.31080
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99995
  • Expected Shortfall on VaR
    0.99999
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.80373
  • Expected Shortfall on VaR
    1.27195
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.00000
  • Quartile 1
    0.51421
  • Median
    0.87477
  • Quartile 3
    1.03602
  • Maximum
    139.52000
  • Mean of quarter 1
    0.08981
  • Mean of quarter 2
    0.68764
  • Mean of quarter 3
    1.00797
  • Mean of quarter 4
    70.30830
  • Inter Quartile Range
    0.52182
  • 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
    139.52000
  • 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
    1.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.49997
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.00001
  • 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
    87.36160
  • SD
    75.65730
  • Sharpe ratio (Glass type estimate)
    1.15470
  • Sharpe ratio (Hedges UMVUE)
    1.15021
  • df
    193.00000
  • t
    0.99362
  • p
    0.45462
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.12738
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.43385
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.13039
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.43080
  • Statistics related to Sortino ratio
  • Sortino ratio
    46.59320
  • Upside Potential Ratio
    51.59240
  • Upside part of mean
    96.73510
  • Downside part of mean
    -9.37350
  • Upside SD
    75.63160
  • Downside SD
    1.87499
  • N nonnegative terms
    67.00000
  • N negative terms
    127.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    194.00000
  • Mean of predictor
    0.55643
  • Mean of criterion
    87.36160
  • SD of predictor
    0.30259
  • SD of criterion
    75.65730
  • Covariance
    -0.60810
  • r
    -0.02656
  • b (slope, estimate of beta)
    -6.64134
  • a (intercept, estimate of alpha)
    91.05700
  • Mean Square Error
    5749.78000
  • DF error
    192.00000
  • t(b)
    -0.36819
  • p(b)
    0.51328
  • t(a)
    1.02669
  • p(a)
    0.46305
  • Lowerbound of 95% confidence interval for beta
    -42.21950
  • Upperbound of 95% confidence interval for beta
    28.93680
  • Lowerbound of 95% confidence interval for alpha
    -83.87460
  • Upperbound of 95% confidence interval for alpha
    265.98900
  • Treynor index (mean / b)
    -13.15420
  • Jensen alpha (a)
    91.05710
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -14.63660
  • SD
    16.50660
  • Sharpe ratio (Glass type estimate)
    -0.88671
  • Sharpe ratio (Hedges UMVUE)
    -0.88326
  • df
    193.00000
  • t
    -0.76301
  • p
    0.53490
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.16499
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39386
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.16267
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39615
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.93388
  • Upside Potential Ratio
    0.82708
  • Upside part of mean
    12.96270
  • Downside part of mean
    -27.59930
  • Upside SD
    5.12292
  • Downside SD
    15.67280
  • N nonnegative terms
    67.00000
  • N negative terms
    127.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    194.00000
  • Mean of predictor
    0.50992
  • Mean of criterion
    -14.63660
  • SD of predictor
    0.30457
  • SD of criterion
    16.50660
  • Covariance
    1.22478
  • r
    0.24362
  • b (slope, estimate of beta)
    13.20350
  • a (intercept, estimate of alpha)
    -21.36920
  • Mean Square Error
    257.63100
  • DF error
    192.00000
  • t(b)
    3.48059
  • p(b)
    0.37819
  • t(a)
    -1.13951
  • p(a)
    0.54098
  • Lowerbound of 95% confidence interval for beta
    5.72127
  • Upperbound of 95% confidence interval for beta
    20.68570
  • Lowerbound of 95% confidence interval for alpha
    -58.35770
  • Upperbound of 95% confidence interval for alpha
    15.61920
  • Treynor index (mean / b)
    -1.10854
  • Jensen alpha (a)
    -21.36920
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.82329
  • Expected Shortfall on VaR
    0.87741
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09548
  • Expected Shortfall on VaR
    0.20851
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    194.00000
  • Minimum
    0.00000
  • Quartile 1
    0.98713
  • Median
    1.00000
  • Quartile 3
    1.01150
  • Maximum
    66.05210
  • Mean of quarter 1
    0.86034
  • Mean of quarter 2
    0.99826
  • Mean of quarter 3
    1.00180
  • Mean of quarter 4
    2.46019
  • Inter Quartile Range
    0.02436
  • Number outliers low
    33.00000
  • Percentage of outliers low
    0.17010
  • Mean of outliers low
    0.80592
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.13402
  • Mean of outliers high
    3.73206
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.85752
  • VaR(95%) (moments method)
    0.09340
  • Expected Shortfall (moments method)
    0.74117
  • Extreme Value Index (regression method)
    0.47314
  • VaR(95%) (regression method)
    0.10736
  • Expected Shortfall (regression method)
    0.26584
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00003
  • Quartile 1
    0.01024
  • Median
    0.02016
  • Quartile 3
    0.09726
  • Maximum
    1.00000
  • Mean of quarter 1
    0.00451
  • Mean of quarter 2
    0.01757
  • Mean of quarter 3
    0.02240
  • Mean of quarter 4
    0.46264
  • Inter Quartile Range
    0.08702
  • 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
    0.21429
  • Mean of outliers high
    0.57643
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.27079
  • VaR(95%) (moments method)
    0.36201
  • Expected Shortfall (moments method)
    0.36837
  • Extreme Value Index (regression method)
    0.17381
  • VaR(95%) (regression method)
    0.81431
  • Expected Shortfall (regression method)
    1.39184
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.35049
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00000
  • Compounded annual return / average of 25% largest draw downs
    -2.16151
  • Compounded annual return / Expected Shortfall lognormal
    -1.13972
  • 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
    -4.00603
  • SD
    2.62520
  • Sharpe ratio (Glass type estimate)
    -1.52599
  • Sharpe ratio (Hedges UMVUE)
    -1.51717
  • df
    130.00000
  • t
    -1.07904
  • p
    0.54711
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.30110
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.25492
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.29511
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.26076
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.85561
  • Upside Potential Ratio
    3.51076
  • Upside part of mean
    7.57930
  • Downside part of mean
    -11.58530
  • Upside SD
    1.49651
  • Downside SD
    2.15888
  • N nonnegative terms
    29.00000
  • N negative terms
    102.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.61799
  • Mean of criterion
    -4.00603
  • SD of predictor
    0.35188
  • SD of criterion
    2.62520
  • Covariance
    0.24996
  • r
    0.27059
  • b (slope, estimate of beta)
    2.01878
  • a (intercept, estimate of alpha)
    -5.25362
  • Mean Square Error
    6.43655
  • DF error
    129.00000
  • t(b)
    3.19247
  • p(b)
    0.32986
  • t(a)
    -1.45565
  • p(a)
    0.58071
  • Lowerbound of 95% confidence interval for beta
    0.76765
  • Upperbound of 95% confidence interval for beta
    3.26992
  • Lowerbound of 95% confidence interval for alpha
    -12.39440
  • Upperbound of 95% confidence interval for alpha
    1.88714
  • Treynor index (mean / b)
    -1.98438
  • Jensen alpha (a)
    -5.25362
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -31.52530
  • SD
    19.06580
  • Sharpe ratio (Glass type estimate)
    -1.65350
  • Sharpe ratio (Hedges UMVUE)
    -1.64394
  • df
    130.00000
  • t
    -1.16920
  • p
    0.55100
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.42944
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.12873
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.42294
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.13506
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.65478
  • Upside Potential Ratio
    0.35131
  • Upside part of mean
    6.69294
  • Downside part of mean
    -38.21830
  • Upside SD
    1.25697
  • Downside SD
    19.05110
  • N nonnegative terms
    29.00000
  • N negative terms
    102.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.55529
  • Mean of criterion
    -31.52530
  • SD of predictor
    0.35438
  • SD of criterion
    19.06580
  • Covariance
    1.89600
  • r
    0.28062
  • b (slope, estimate of beta)
    15.09720
  • a (intercept, estimate of alpha)
    -39.90860
  • Mean Square Error
    337.47800
  • DF error
    129.00000
  • t(b)
    3.32060
  • p(b)
    0.32373
  • t(a)
    -1.52893
  • p(a)
    0.58468
  • VAR (95 Confidence Intrvl)
    0.82300
  • Lowerbound of 95% confidence interval for beta
    6.10178
  • Upperbound of 95% confidence interval for beta
    24.09260
  • Lowerbound of 95% confidence interval for alpha
    -91.55260
  • Upperbound of 95% confidence interval for alpha
    11.73540
  • Treynor index (mean / b)
    -2.08816
  • Jensen alpha (a)
    -39.90860
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.87226
  • Expected Shortfall on VaR
    0.91552
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.13211
  • Expected Shortfall on VaR
    0.27940
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00000
  • Quartile 1
    0.98149
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.61474
  • Mean of quarter 1
    0.82714
  • Mean of quarter 2
    0.99765
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.11493
  • Inter Quartile Range
    0.01851
  • Number outliers low
    32.00000
  • Percentage of outliers low
    0.24427
  • Mean of outliers low
    0.82232
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.16031
  • Mean of outliers high
    1.17392
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.06889
  • VaR(95%) (moments method)
    0.07586
  • Expected Shortfall (moments method)
    0.11665
  • Extreme Value Index (regression method)
    0.68235
  • VaR(95%) (regression method)
    0.10931
  • Expected Shortfall (regression method)
    0.40110
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.05286
  • Quartile 1
    0.28965
  • Median
    0.52643
  • Quartile 3
    0.76321
  • Maximum
    1.00000
  • Mean of quarter 1
    0.05286
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.47357
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -333389000
  • Max Equity Drawdown (num days)
    590
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -2.00000
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00000
  • Compounded annual return / average of 25% largest draw downs
    -1.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.09228

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-10-23
Suggested Minimum Capital
$150,000
# Trades
129
# Profitable
81
% Profitable
62.8%
Net Dividends
$160,672
Correlation S&P500
-0.049
Sharpe Ratio
-0.85
Sortino Ratio
-0.87
Beta
-80582400.00
Alpha
0.00
Leverage
11.51 Average
583.87 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

#PERSONNAME#
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.