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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast More...

technologies and AI
(139134390)

Created by: MohammedAmineHOUM MohammedAmineHOUM
Started: 01/2022
Stocks
Last trade: 306 days ago
Trading style: Equity Momentum Sector: Technology
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: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
85.3%
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
159
Num Trades
56.6%
Win Trades
3.9 : 1
Profit Factor
28.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022+13.6%(8.5%)(6%)(15.6%)(2.5%)(17%)(6.6%)+26.7%(19%)+231.9%+49.0%(27.2%)+130.1%
2023+66.6%(13.1%)+23.2%(11.7%)+7.7%+3.0%  -    -    -    -    -    -  +74.7%
2024  -    -    -    -                                                  0.0

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
11/22/22 10:03 COIN COINBASE GLOBAL INC. CLASS A LONG 2,000 42.85 6/27/23 10:09 65.55 19.47%
Trade id #142645408
Max drawdown($22,600)
Time1/6/23 0:00
Quant open2,000
Worst price31.55
Drawdown as % of equity-19.47%
 $45,395
Includes Typical Broker Commissions trade costs of $5.00
11/22/22 10:03 GOOGL ALPHABET INC CLASS A LONG 1,000 94.40 6/27/23 10:09 116.93 8.22%
Trade id #142645425
Max drawdown($9,540)
Time1/6/23 0:00
Quant open1,000
Worst price84.86
Drawdown as % of equity-8.22%
 $22,525
Includes Typical Broker Commissions trade costs of $5.00
11/30/22 9:40 PYPL PAYPAL HOLDINGS CORP LONG 1,300 76.96 6/27/23 10:09 66.03 12.32%
Trade id #142718573
Max drawdown($23,418)
Time5/26/23 0:00
Quant open1,300
Worst price58.95
Drawdown as % of equity-12.32%
 ($14,222)
Includes Typical Broker Commissions trade costs of $8.00
11/3/22 6:54 EUR/USD EUR/USD LONG 200 0.97372 11/4 10:34 0.99272 0.79%
Trade id #142422202
Max drawdown($840)
Time11/3/22 8:00
Quant open200
Worst price0.97330
Drawdown as % of equity-0.79%
 $38,000
10/18/22 11:03 USD/JPY USD/JPY SHORT 100 149.107 10/21 13:08 147.288 23.5%
Trade id #142209695
Max drawdown($19,214)
Time10/21/22 8:39
Quant open100
Worst price151.944
Drawdown as % of equity-23.50%
 $12,259
10/12/22 10:42 EUR/USD EUR/USD LONG 200 0.96775 10/13 15:03 0.97832 11.22%
Trade id #142140318
Max drawdown($9,200)
Time10/13/22 8:35
Quant open200
Worst price0.96315
Drawdown as % of equity-11.22%
 $21,140
10/10/22 10:02 EUR/USD EUR/USD LONG 200 0.96994 10/11 13:12 0.97627 10.1%
Trade id #142104337
Max drawdown($5,920)
Time10/11/22 0:00
Quant open200
Worst price0.96698
Drawdown as % of equity-10.10%
 $12,660
9/20/22 8:30 EUR/USD EUR/USD LONG 270 0.99442 10/4 11:12 0.99766 722.8%
Trade id #141861553
Max drawdown($69,432)
Time9/28/22 0:00
Quant open170
Worst price0.95358
Drawdown as % of equity722.80%
 $8,745
9/16/22 4:36 EUR/USD EUR/USD LONG 100 0.99641 9/16 10:47 1.00157 3.17%
Trade id #141826007
Max drawdown($1,500)
Time9/16/22 4:53
Quant open100
Worst price0.99491
Drawdown as % of equity-3.17%
 $5,160
8/22/22 13:46 EUR/USD EUR/USD LONG 100 0.99365 9/9 4:03 1.01011 21.27%
Trade id #141498258
Max drawdown($7,270)
Time9/6/22 0:00
Quant open100
Worst price0.98638
Drawdown as % of equity-21.27%
 $16,460
2/25/22 10:52 SNEJF SONY CORP ORD LONG 15 103.64 8/22 14:53 86.37 0.91%
Trade id #139549851
Max drawdown($366)
Time5/10/22 0:00
Quant open15
Worst price79.21
Drawdown as % of equity-0.91%
 ($259)
Includes Typical Broker Commissions trade costs of $0.30
2/25/22 10:51 XIACF XIAOMI CORP. LONG 1,000 1.97 8/22 13:46 1.39 1.81%
Trade id #139549816
Max drawdown($690)
Time5/12/22 0:00
Quant open1,000
Worst price1.28
Drawdown as % of equity-1.81%
 ($585)
Includes Typical Broker Commissions trade costs of $5.00
2/25/22 10:54 INTC INTEL LONG 50 47.04 8/22 13:46 33.91 1.98%
Trade id #139549921
Max drawdown($660)
Time8/22/22 13:35
Quant open50
Worst price33.83
Drawdown as % of equity-1.98%
 ($658)
Includes Typical Broker Commissions trade costs of $1.00
2/25/22 11:01 ARKF ARK FINTECH INNOVATION ETF LONG 200 28.85 8/22 13:45 17.93 7.44%
Trade id #139550170
Max drawdown($2,842)
Time5/12/22 0:00
Quant open200
Worst price14.64
Drawdown as % of equity-7.44%
 ($2,188)
Includes Typical Broker Commissions trade costs of $4.00
2/25/22 15:12 VBIV VBI VACCINES INC LONG 1,000 1.47 8/22 13:45 0.95 2.25%
Trade id #139555449
Max drawdown($829)
Time6/15/22 0:00
Quant open1,000
Worst price0.64
Drawdown as % of equity-2.25%
 ($529)
Includes Typical Broker Commissions trade costs of $5.00
2/25/22 15:18 EVBG EVERBRIDGE INC. COMMON STOCK LONG 20 29.93 8/22 13:45 33.15 0.37%
Trade id #139555519
Max drawdown($116)
Time8/1/22 0:00
Quant open20
Worst price24.10
Drawdown as % of equity-0.37%
 $64
Includes Typical Broker Commissions trade costs of $0.40
2/25/22 15:46 OPEN OPENDOOR TECHNOLOGIES INC LONG 200 8.37 8/22 13:45 4.74 2.21%
Trade id #139556214
Max drawdown($814)
Time6/16/22 0:00
Quant open200
Worst price4.30
Drawdown as % of equity-2.21%
 ($730)
Includes Typical Broker Commissions trade costs of $4.00
2/25/22 15:54 ARKG ARK GENOMIC REVOLUTION ETF LONG 50 47.37 8/22 13:45 36.24 2.85%
Trade id #139556413
Max drawdown($1,049)
Time6/14/22 0:00
Quant open50
Worst price26.38
Drawdown as % of equity-2.85%
 ($558)
Includes Typical Broker Commissions trade costs of $1.00
2/28/22 11:50 BNGO BIONANO GENOMICS INC. COMMON STOCK LONG 800 2.20 8/22 13:45 2.62 2.18%
Trade id #139575600
Max drawdown($832)
Time5/12/22 0:00
Quant open800
Worst price1.16
Drawdown as % of equity-2.18%
 $331
Includes Typical Broker Commissions trade costs of $5.00
2/25/22 10:52 SONY SONY CORPORATION LONG 15 102.89 8/22 13:45 85.28 1.07%
Trade id #139549849
Max drawdown($357)
Time7/5/22 0:00
Quant open15
Worst price79.05
Drawdown as % of equity-1.07%
 ($264)
Includes Typical Broker Commissions trade costs of $0.30
2/25/22 10:53 TSLA TESLA INC. LONG 1 801.77 8/22 13:44 864.52 0.48%
Trade id #139549904
Max drawdown($181)
Time5/24/22 0:00
Quant open1
Worst price620.57
Drawdown as % of equity-0.48%
 $63
Includes Typical Broker Commissions trade costs of $0.02
2/25/22 10:53 GM GENERAL MOTORS LONG 50 46.82 8/22 13:44 38.50 2.47%
Trade id #139549900
Max drawdown($824)
Time7/5/22 0:00
Quant open50
Worst price30.33
Drawdown as % of equity-2.47%
 ($417)
Includes Typical Broker Commissions trade costs of $1.00
2/25/22 10:51 XIACY XIAOMI CORPORATION ADR LONG 120 9.40 8/22 13:44 7.00 0.94%
Trade id #139549837
Max drawdown($358)
Time5/12/22 0:00
Quant open120
Worst price6.41
Drawdown as % of equity-0.94%
 ($290)
Includes Typical Broker Commissions trade costs of $2.40
2/25/22 10:50 API AGORA INC. AMERICAN DEPOSITARY SHARES LONG 300 10.95 8/22 13:44 4.06 6.28%
Trade id #139549798
Max drawdown($2,091)
Time8/22/22 9:57
Quant open300
Worst price3.98
Drawdown as % of equity-6.28%
 ($2,073)
Includes Typical Broker Commissions trade costs of $6.00
2/25/22 10:49 UBER UBER TECHNOLOGIES INC LONG 80 34.77 8/22 13:44 27.94 3.57%
Trade id #139549753
Max drawdown($1,190)
Time6/30/22 0:00
Quant open80
Worst price19.89
Drawdown as % of equity-3.57%
 ($548)
Includes Typical Broker Commissions trade costs of $1.60
2/25/22 10:49 DELL DELL TECHNOLOGIES INC LONG 50 50.88 8/22 13:44 46.88 1.54%
Trade id #139549744
Max drawdown($627)
Time5/20/22 0:00
Quant open50
Worst price38.33
Drawdown as % of equity-1.54%
 ($201)
Includes Typical Broker Commissions trade costs of $1.00
2/25/22 10:48 NIO NIO INC LONG 100 20.55 8/22 13:44 19.00 2.32%
Trade id #139549702
Max drawdown($888)
Time5/12/22 0:00
Quant open100
Worst price11.67
Drawdown as % of equity-2.32%
 ($157)
Includes Typical Broker Commissions trade costs of $2.00
2/28/22 12:00 PBYI PUMA BIOTECHNOLOGY LONG 500 2.35 8/22 13:44 3.05 0.93%
Trade id #139575785
Max drawdown($375)
Time5/11/22 0:00
Quant open500
Worst price1.60
Drawdown as % of equity-0.93%
 $340
Includes Typical Broker Commissions trade costs of $10.00
2/28/22 12:28 COIN COINBASE GLOBAL INC. CLASS A LONG 16 187.20 8/22 13:43 71.33 6.13%
Trade id #139576302
Max drawdown($2,341)
Time5/12/22 0:00
Quant open16
Worst price40.83
Drawdown as % of equity-6.13%
 ($1,854)
Includes Typical Broker Commissions trade costs of $0.32
2/28/22 11:57 USD/CNH USD/CNH LONG 8 6.31398 8/22 13:43 6.87035 0.16%
Trade id #139575754
Max drawdown($83)
Time2/28/22 20:24
Quant open8
Worst price6.30684
Drawdown as % of equity-0.16%
 $6,477
Next

Statistics

  • Strategy began
    1/27/2022
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    820.37
  • Age
    27 months ago
  • What it trades
    Stocks
  • # Trades
    159
  • # Profitable
    90
  • % Profitable
    56.60%
  • Avg trade duration
    55.4 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Sept 26, 2022 - Sept 28, 2022
  • Annual Return (Compounded)
    85.2%
  • Avg win
    $2,313
  • Avg loss
    $768.55
  • Model Account Values (Raw)
  • Cash
    $199,420
  • Margin Used
    $0
  • Buying Power
    $201,386
  • Ratios
  • W:L ratio
    3.93:1
  • Sharpe Ratio
    -0.25
  • Sortino Ratio
    -0.28
  • Calmar Ratio
    3.029
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    284.11%
  • Correlation to SP500
    0.25740
  • Return Percent SP500 (cumu) during strategy life
    17.88%
  • Return Statistics
  • Ann Return (w trading costs)
    85.2%
  • Slump
  • Current Slump as Pcnt Equity
    19.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.48%
  • 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)
    0.853%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.95%
  • Percent Trades Forex
    0.05%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    87.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $769
  • Avg Win
    $2,313
  • Sum Trade PL (losers)
    $53,030.000
  • Age
  • Num Months filled monthly returns table
    28
  • Win / Loss
  • Sum Trade PL (winners)
    $208,170.000
  • # Winners
    90
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    329
  • Win / Loss
  • # Losers
    69
  • % Winners
    56.6%
  • Frequency
  • Avg Position Time (mins)
    79806.00
  • Avg Position Time (hrs)
    1330.10
  • Avg Trade Length
    55.4 days
  • Last Trade Ago
    305
  • Leverage
  • Daily leverage (average)
    13.10
  • Daily leverage (max)
    423.36
  • Regression
  • Alpha
    0.00
  • Beta
    1.26
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.81
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.506
  • 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
    0.12
  • Avg(MAE) / Avg(PL) - Winning trades
    0.752
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.333
  • Hold-and-Hope Ratio
    0.684
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.97925
  • SD
    1.15435
  • Sharpe ratio (Glass type estimate)
    1.71460
  • Sharpe ratio (Hedges UMVUE)
    1.59451
  • df
    11.00000
  • t
    1.71460
  • p
    0.05721
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40328
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.76450
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47561
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.66463
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.49228
  • Upside Potential Ratio
    7.22816
  • Upside part of mean
    2.60480
  • Downside part of mean
    -0.62555
  • Upside SD
    1.19082
  • Downside SD
    0.36037
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.08783
  • Mean of criterion
    1.97925
  • SD of predictor
    0.24864
  • SD of criterion
    1.15435
  • Covariance
    0.04315
  • r
    0.15033
  • b (slope, estimate of beta)
    0.69794
  • a (intercept, estimate of alpha)
    1.91795
  • Mean Square Error
    1.43264
  • DF error
    10.00000
  • t(b)
    0.48087
  • p(b)
    0.32048
  • t(a)
    1.59338
  • p(a)
    0.07108
  • Lowerbound of 95% confidence interval for beta
    -2.53603
  • Upperbound of 95% confidence interval for beta
    3.93191
  • Lowerbound of 95% confidence interval for alpha
    -0.76406
  • Upperbound of 95% confidence interval for alpha
    4.59996
  • Treynor index (mean / b)
    2.83584
  • Jensen alpha (a)
    1.91795
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.38733
  • SD
    0.97700
  • Sharpe ratio (Glass type estimate)
    1.42000
  • Sharpe ratio (Hedges UMVUE)
    1.32054
  • df
    11.00000
  • t
    1.42000
  • p
    0.09166
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65499
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.43659
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71562
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.35670
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.44114
  • Upside Potential Ratio
    5.17592
  • Upside part of mean
    2.08673
  • Downside part of mean
    -0.69939
  • Upside SD
    0.93425
  • Downside SD
    0.40316
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.05905
  • Mean of criterion
    1.38733
  • SD of predictor
    0.24934
  • SD of criterion
    0.97700
  • Covariance
    0.05179
  • r
    0.21261
  • b (slope, estimate of beta)
    0.83308
  • a (intercept, estimate of alpha)
    1.33814
  • Mean Square Error
    1.00251
  • DF error
    10.00000
  • t(b)
    0.68807
  • p(b)
    0.25353
  • t(a)
    1.33307
  • p(a)
    0.10604
  • Lowerbound of 95% confidence interval for beta
    -1.86463
  • Upperbound of 95% confidence interval for beta
    3.53080
  • Lowerbound of 95% confidence interval for alpha
    -0.89847
  • Upperbound of 95% confidence interval for alpha
    3.57476
  • Treynor index (mean / b)
    1.66530
  • Jensen alpha (a)
    1.33814
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.29411
  • Expected Shortfall on VaR
    0.36930
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09200
  • Expected Shortfall on VaR
    0.18993
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.78338
  • Quartile 1
    0.95193
  • Median
    1.07581
  • Quartile 3
    1.49996
  • Maximum
    1.67561
  • Mean of quarter 1
    0.79450
  • Mean of quarter 2
    1.02302
  • Mean of quarter 3
    1.22532
  • Mean of quarter 4
    1.62623
  • Inter Quartile Range
    0.54803
  • 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)
    -7.26718
  • VaR(95%) (moments method)
    0.21325
  • Expected Shortfall (moments method)
    0.21326
  • Extreme Value Index (regression method)
    -1.48503
  • VaR(95%) (regression method)
    0.22336
  • Expected Shortfall (regression method)
    0.22544
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.21662
  • Quartile 1
    0.25245
  • Median
    0.28829
  • Quartile 3
    0.32412
  • Maximum
    0.35996
  • Mean of quarter 1
    0.21662
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.35996
  • Inter Quartile Range
    0.07167
  • 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)
    3.11748
  • Compounded annual return (geometric extrapolation)
    3.11748
  • Calmar ratio (compounded annual return / max draw down)
    8.66061
  • Compounded annual return / average of 25% largest draw downs
    8.66061
  • Compounded annual return / Expected Shortfall lognormal
    8.44162
  • 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
    18.91640
  • SD
    19.06000
  • Sharpe ratio (Glass type estimate)
    0.99247
  • Sharpe ratio (Hedges UMVUE)
    0.98969
  • df
    268.00000
  • t
    1.00564
  • p
    0.15775
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94453
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.92770
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94642
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.92579
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.39130
  • Upside Potential Ratio
    19.69980
  • Upside part of mean
    24.21170
  • Downside part of mean
    -5.29528
  • Upside SD
    19.02070
  • Downside SD
    1.22903
  • N nonnegative terms
    114.00000
  • N negative terms
    155.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    269.00000
  • Mean of predictor
    0.15113
  • Mean of criterion
    18.91640
  • SD of predictor
    0.26778
  • SD of criterion
    19.06000
  • Covariance
    -0.35057
  • r
    -0.06869
  • b (slope, estimate of beta)
    -4.88901
  • a (intercept, estimate of alpha)
    19.65500
  • Mean Square Error
    362.92400
  • DF error
    267.00000
  • t(b)
    -1.12501
  • p(b)
    0.86920
  • t(a)
    1.04480
  • p(a)
    0.14853
  • Lowerbound of 95% confidence interval for beta
    -13.44530
  • Upperbound of 95% confidence interval for beta
    3.66726
  • Lowerbound of 95% confidence interval for alpha
    -17.38450
  • Upperbound of 95% confidence interval for alpha
    56.69510
  • Treynor index (mean / b)
    -3.86917
  • Jensen alpha (a)
    19.65530
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.35051
  • SD
    3.65777
  • Sharpe ratio (Glass type estimate)
    0.36922
  • Sharpe ratio (Hedges UMVUE)
    0.36818
  • df
    268.00000
  • t
    0.37412
  • p
    0.35431
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.56563
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.30347
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.56636
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30273
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.68742
  • Upside Potential Ratio
    4.08959
  • Upside part of mean
    8.03441
  • Downside part of mean
    -6.68390
  • Upside SD
    3.07845
  • Downside SD
    1.96460
  • N nonnegative terms
    114.00000
  • N negative terms
    155.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    269.00000
  • Mean of predictor
    0.11517
  • Mean of criterion
    1.35051
  • SD of predictor
    0.26890
  • SD of criterion
    3.65777
  • Covariance
    -0.01066
  • r
    -0.01084
  • b (slope, estimate of beta)
    -0.14744
  • a (intercept, estimate of alpha)
    1.36749
  • Mean Square Error
    13.42780
  • DF error
    267.00000
  • t(b)
    -0.17712
  • p(b)
    0.57023
  • t(a)
    0.37800
  • p(a)
    0.35286
  • Lowerbound of 95% confidence interval for beta
    -1.78642
  • Upperbound of 95% confidence interval for beta
    1.49153
  • Lowerbound of 95% confidence interval for alpha
    -5.75532
  • Upperbound of 95% confidence interval for alpha
    8.49029
  • Treynor index (mean / b)
    -9.15955
  • Jensen alpha (a)
    1.36749
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.30688
  • Expected Shortfall on VaR
    0.36719
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04928
  • Expected Shortfall on VaR
    0.11178
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    269.00000
  • Minimum
    0.24451
  • Quartile 1
    0.98312
  • Median
    1.00000
  • Quartile 3
    1.01945
  • Maximum
    20.25130
  • Mean of quarter 1
    0.92493
  • Mean of quarter 2
    0.99529
  • Mean of quarter 3
    1.00687
  • Mean of quarter 4
    1.36434
  • Inter Quartile Range
    0.03633
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.04461
  • Mean of outliers low
    0.74176
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.07435
  • Mean of outliers high
    2.13180
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.77346
  • VaR(95%) (moments method)
    0.06935
  • Expected Shortfall (moments method)
    0.32126
  • Extreme Value Index (regression method)
    0.73716
  • VaR(95%) (regression method)
    0.05463
  • Expected Shortfall (regression method)
    0.20668
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00566
  • Quartile 1
    0.02718
  • Median
    0.05601
  • Quartile 3
    0.25094
  • Maximum
    0.98019
  • Mean of quarter 1
    0.01938
  • Mean of quarter 2
    0.05477
  • Mean of quarter 3
    0.15628
  • Mean of quarter 4
    0.65766
  • Inter Quartile Range
    0.22376
  • 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
    0.11111
  • Mean of outliers high
    0.98019
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.14150
  • VaR(95%) (moments method)
    0.59514
  • Expected Shortfall (moments method)
    0.89329
  • Extreme Value Index (regression method)
    1.93781
  • VaR(95%) (regression method)
    1.48670
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.03636
  • Compounded annual return (geometric extrapolation)
    2.96860
  • Calmar ratio (compounded annual return / max draw down)
    3.02859
  • Compounded annual return / average of 25% largest draw downs
    4.51389
  • Compounded annual return / Expected Shortfall lognormal
    8.08462
  • 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
    43.35370
  • SD
    27.22470
  • Sharpe ratio (Glass type estimate)
    1.59244
  • Sharpe ratio (Hedges UMVUE)
    1.58324
  • df
    130.00000
  • t
    1.12603
  • p
    0.45086
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18914
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.36797
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19524
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.36171
  • Statistics related to Sortino ratio
  • Sortino ratio
    124.09300
  • Upside Potential Ratio
    130.09800
  • Upside part of mean
    45.45170
  • Downside part of mean
    -2.09807
  • Upside SD
    27.25030
  • Downside SD
    0.34936
  • 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
    0.60774
  • Mean of criterion
    43.35370
  • SD of predictor
    0.27842
  • SD of criterion
    27.22470
  • Covariance
    -0.87601
  • r
    -0.11557
  • b (slope, estimate of beta)
    -11.30060
  • a (intercept, estimate of alpha)
    50.22150
  • Mean Square Error
    736.95300
  • DF error
    129.00000
  • t(b)
    -1.32147
  • p(b)
    0.57341
  • t(a)
    1.29632
  • p(a)
    0.42796
  • Lowerbound of 95% confidence interval for beta
    -28.22010
  • Upperbound of 95% confidence interval for beta
    5.61883
  • Lowerbound of 95% confidence interval for alpha
    -26.42980
  • Upperbound of 95% confidence interval for alpha
    126.87300
  • Treynor index (mean / b)
    -3.83639
  • Jensen alpha (a)
    50.22150
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    10.22340
  • SD
    4.36424
  • Sharpe ratio (Glass type estimate)
    2.34254
  • Sharpe ratio (Hedges UMVUE)
    2.32900
  • df
    130.00000
  • t
    1.65643
  • p
    0.42812
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44822
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.12457
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45722
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.11523
  • Statistics related to Sortino ratio
  • Sortino ratio
    27.96450
  • Upside Potential Ratio
    33.88010
  • Upside part of mean
    12.38610
  • Downside part of mean
    -2.16266
  • Upside SD
    4.37796
  • Downside SD
    0.36559
  • 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
    0.56848
  • Mean of criterion
    10.22340
  • SD of predictor
    0.27895
  • SD of criterion
    4.36424
  • Covariance
    -0.10707
  • r
    -0.08795
  • b (slope, estimate of beta)
    -1.37599
  • a (intercept, estimate of alpha)
    11.00570
  • Mean Square Error
    19.04580
  • DF error
    129.00000
  • t(b)
    -1.00278
  • p(b)
    0.55592
  • t(a)
    1.76913
  • p(a)
    0.40241
  • VAR (95 Confidence Intrvl)
    0.30700
  • Lowerbound of 95% confidence interval for beta
    -4.09085
  • Upperbound of 95% confidence interval for beta
    1.33888
  • Lowerbound of 95% confidence interval for alpha
    -1.30263
  • Upperbound of 95% confidence interval for alpha
    23.31390
  • Treynor index (mean / b)
    -7.42989
  • Jensen alpha (a)
    11.00570
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.33267
  • Expected Shortfall on VaR
    0.40092
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02074
  • Expected Shortfall on VaR
    0.04378
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.85460
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.01765
  • Maximum
    20.25130
  • Mean of quarter 1
    0.96847
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00445
  • Mean of quarter 4
    1.68451
  • Inter Quartile Range
    0.01765
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.13740
  • Mean of outliers low
    0.94995
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.15267
  • Mean of outliers high
    2.10953
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.72177
  • VaR(95%) (moments method)
    0.00481
  • Expected Shortfall (moments method)
    0.00486
  • Extreme Value Index (regression method)
    0.01556
  • VaR(95%) (regression method)
    0.03584
  • Expected Shortfall (regression method)
    0.05908
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00566
  • Quartile 1
    0.05415
  • Median
    0.05881
  • Quartile 3
    0.20361
  • Maximum
    0.33513
  • Mean of quarter 1
    0.02959
  • Mean of quarter 2
    0.05601
  • Mean of quarter 3
    0.06162
  • Mean of quarter 4
    0.29303
  • Inter Quartile Range
    0.14946
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -368164000
  • Max Equity Drawdown (num days)
    2
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    334.57400
  • Compounded annual return (geometric extrapolation)
    28319.50000
  • Calmar ratio (compounded annual return / max draw down)
    84504.20000
  • Compounded annual return / average of 25% largest draw downs
    96642.80000
  • Compounded annual return / Expected Shortfall lognormal
    70637.10000

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-01-27
Suggested Minimum Capital
$30,000
# Trades
159
# Profitable
90
% Profitable
56.6%
Net Dividends
$329
Correlation S&P500
0.257
Sharpe Ratio
-0.25
Sortino Ratio
-0.28
Beta
1.26
Alpha
0.00
Leverage
13.10 Average
423.36 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.