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

Patient Capital Return
(118012812)

Created by: PatientCapitalReturn PatientCapitalReturn
Started: 05/2018
Stocks, Forex
Last trade: 1,941 days ago
Trading style: Futures Short Term

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 $249.00 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.
9.1%
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.

(19.9%)
Max Drawdown
79
Num Trades
43.0%
Win Trades
1.6 : 1
Profit Factor
7.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                            (4.1%)+40.5%+4.0%+16.4%(2.9%)(0.7%)+4.0%+2.0%+66.8%
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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.

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/15/18 10:37 XOXO XO GROUP SHORT 2,000 34.46 12/4 15:21 34.68 0.96%
Trade id #120967967
Max drawdown($830)
Time12/3/18 15:21
Quant open-2,000
Worst price34.88
Drawdown as % of equity-0.96%
($445)
Includes Typical Broker Commissions trade costs of $5.00
11/19/18 9:30 SOHU SOHU.COM LONG 1,150 20.33 12/4 15:21 21.30 0.97%
Trade id #121042107
Max drawdown($765)
Time11/20/18 8:01
Quant open750
Worst price19.63
Drawdown as % of equity-0.97%
$1,103
Includes Typical Broker Commissions trade costs of $9.00
10/31/18 9:30 HABT HABIT RESTAURANTS INC SHORT 2,500 15.30 12/3 12:21 11.89 2.41%
Trade id #120639250
Max drawdown($1,800)
Time11/6/18 13:29
Quant open-2,500
Worst price16.02
Drawdown as % of equity-2.41%
$8,515
Includes Typical Broker Commissions trade costs of $10.00
11/23/18 9:30 ABIL ABILITY INC ORDINARY SHARES SHORT 2,500 3.42 11/23 9:48 3.20 0.03%
Trade id #121133946
Max drawdown($24)
Time11/23/18 9:32
Quant open-2,500
Worst price3.43
Drawdown as % of equity-0.03%
$545
Includes Typical Broker Commissions trade costs of $5.00
11/12/18 23:54 AUD/USD AUD/USD SHORT 100 0.72112 11/14 14:40 0.72383 3.4%
Trade id #120897803
Max drawdown($2,710)
Time11/14/18 14:40
Quant open50
Worst price0.72383
Drawdown as % of equity-3.40%
($2,710)
11/7/18 18:23 AUD/USD AUD/USD SHORT 50 0.72720 11/12 15:48 0.71850 1.91%
Trade id #120810113
Max drawdown($1,530)
Time11/8/18 9:33
Quant open-50
Worst price0.73026
Drawdown as % of equity-1.91%
$4,350
11/9/18 9:30 ABUS ARBUTUS BIOPHARMA CORPORATION LONG 3,500 5.11 11/12 11:00 4.46 2.89%
Trade id #120848819
Max drawdown($2,270)
Time11/12/18 11:00
Quant open1,500
Worst price4.46
Drawdown as % of equity-2.89%
($2,280)
Includes Typical Broker Commissions trade costs of $10.00
11/12/18 9:30 MHLD MAIDEN HOLDINGS LONG 3,000 2.26 11/12 9:30 2.30 n/a $115
Includes Typical Broker Commissions trade costs of $5.00
10/31/18 11:13 MHLD MAIDEN HOLDINGS LONG 2,500 3.55 11/12 9:30 2.26 4.87%
Trade id #120642817
Max drawdown($3,975)
Time11/9/18 18:59
Quant open2,500
Worst price1.96
Drawdown as % of equity-4.87%
($3,230)
Includes Typical Broker Commissions trade costs of $5.00
11/5/18 0:00 LSE.N4P N4 PHARMA PLC LONG 100,000 £0.064 11/8 4:37 £0.092 0.91%
Trade id #120747573
Max drawdown($681)
Time11/6/18 4:49
Quant open100,000
Worst price0.059
Drawdown as % of equity-0.91%
$3,635
Includes Typical Broker Commissions trade costs of $15.56
11/6/18 23:08 AUD/USD AUD/USD LONG 100 0.72534 11/7 18:22 0.72724 2%
Trade id #120782637
Max drawdown($1,470)
Time11/7/18 1:51
Quant open100
Worst price0.72387
Drawdown as % of equity-2.00%
$1,900
10/31/18 23:31 AUD/USD AUD/USD SHORT 250 0.71172 10/31 23:42 0.71250 2.35%
Trade id #120656483
Max drawdown($1,950)
Time10/31/18 23:42
Quant open0
Worst price0.71250
Drawdown as % of equity-2.35%
($1,950)
10/31/18 0:27 AUD/USD AUD/USD SHORT 300 0.70815 10/31 7:27 0.71020 7.48%
Trade id #120634191
Max drawdown($6,150)
Time10/31/18 7:27
Quant open0
Worst price0.71020
Drawdown as % of equity-7.48%
($6,150)
10/30/18 22:32 AUD/USD AUD/USD LONG 250 0.70879 10/31 0:26 0.70821 2.57%
Trade id #120633460
Max drawdown($2,150)
Time10/31/18 0:17
Quant open250
Worst price0.70793
Drawdown as % of equity-2.57%
($1,450)
10/16/18 9:30 NSTG NANOSTRING TECHNOLOGIES INC. SHORT 3,000 15.58 10/26 11:02 13.85 2.93%
Trade id #120377419
Max drawdown($2,325)
Time10/17/18 10:17
Quant open-3,000
Worst price16.36
Drawdown as % of equity-2.93%
$5,185
Includes Typical Broker Commissions trade costs of $5.00
10/22/18 9:30 NVIV INVIVO THERAPEUTICS HOLDINGS LONG 1,000 2.40 10/25 10:13 1.90 0.61%
Trade id #120466080
Max drawdown($500)
Time10/25/18 10:13
Quant open0
Worst price1.90
Drawdown as % of equity-0.61%
($505)
Includes Typical Broker Commissions trade costs of $5.00
10/19/18 9:30 TSX.NSU NEVSUN RES LTD SHORT 12,000 CAD 5.74 10/24 15:40 CAD 5.82 0.88%
Trade id #120438000
Max drawdown($733)
Time10/24/18 15:40
Quant open0
Worst price5.82
Drawdown as % of equity-0.88%
($872)
Includes Typical Broker Commissions trade costs of $138.72
10/16/18 9:30 TSX.NSU NEVSUN RES LTD SHORT 12,000 CAD 5.70 10/17 12:06 CAD 5.78 0.94%
Trade id #120377435
Max drawdown($742)
Time10/17/18 12:06
Quant open0
Worst price5.78
Drawdown as % of equity-0.94%
($880)
Includes Typical Broker Commissions trade costs of $137.76
9/26/18 9:30 RCII RENT-A-CENTER SHORT 4,000 14.18 10/16 9:30 14.45 1.46%
Trade id #120040694
Max drawdown($1,200)
Time10/10/18 9:44
Quant open-4,000
Worst price14.48
Drawdown as % of equity-1.46%
($1,085)
Includes Typical Broker Commissions trade costs of $5.00
10/5/18 10:23 VXRT VAXART INC SHORT 1,000 5.35 10/12 9:39 3.51 0.43%
Trade id #120205742
Max drawdown($350)
Time10/5/18 10:57
Quant open-1,000
Worst price5.70
Drawdown as % of equity-0.43%
$1,835
Includes Typical Broker Commissions trade costs of $5.00
9/26/18 9:30 CCRC CHINA CUSTOMER RELATIONS CENTERS INC. O LONG 1,500 10.91 10/11 9:34 13.31 n/a $3,595
Includes Typical Broker Commissions trade costs of $5.00
10/8/18 18:17 AUD/JPY AUD/JPY SHORT 180 80.120 10/9 18:58 80.300 3.46%
Trade id #120242145
Max drawdown($2,867)
Time10/9/18 18:58
Quant open0
Worst price80.300
Drawdown as % of equity-3.46%
($2,867)
9/26/18 9:30 JOUT JOHNSON OUTDOORS SHORT 250 93.76 10/8 15:57 83.12 0.95%
Trade id #120040678
Max drawdown($732)
Time9/26/18 13:51
Quant open-250
Worst price96.69
Drawdown as % of equity-0.95%
$2,655
Includes Typical Broker Commissions trade costs of $5.00
9/21/18 9:30 RBA RB GLOBAL INC SHORT 1,500 37.38 10/5 10:35 36.38 0.06%
Trade id #119967103
Max drawdown($45)
Time9/21/18 10:03
Quant open-1,500
Worst price37.41
Drawdown as % of equity-0.06%
$1,501
Includes Typical Broker Commissions trade costs of $7.50
9/18/18 9:02 NZD/JPY NZD/JPY SHORT 60 74.091 9/20 11:23 75.160 7.4%
Trade id #119904778
Max drawdown($5,700)
Time9/20/18 11:23
Quant open30
Worst price75.160
Drawdown as % of equity-7.40%
($5,700)
9/18/18 9:30 AWSM COOL HOLDINGS INC. COMMON STOCK SHORT 3,500 7.10 9/20 9:36 7.66 2.45%
Trade id #119905877
Max drawdown($1,960)
Time9/20/18 9:36
Quant open0
Worst price7.66
Drawdown as % of equity-2.45%
($1,965)
Includes Typical Broker Commissions trade costs of $5.00
8/24/18 9:30 CCRC CHINA CUSTOMER RELATIONS CENTERS INC. O LONG 2,500 9.41 9/18 9:34 9.36 1.84%
Trade id #119582019
Max drawdown($1,444)
Time8/27/18 9:33
Quant open2,500
Worst price8.83
Drawdown as % of equity-1.84%
($130)
Includes Typical Broker Commissions trade costs of $7.50
9/16/18 21:23 NZD/JPY NZD/JPY SHORT 150 73.401 9/17 5:35 73.540 2.22%
Trade id #119880416
Max drawdown($1,862)
Time9/17/18 5:35
Quant open0
Worst price73.540
Drawdown as % of equity-2.22%
($1,862)
8/24/18 12:05 CYRX CRYOPORT INC. COMMON STOCK SHORT 1,200 14.19 9/10 9:32 14.80 0.85%
Trade id #119587049
Max drawdown($732)
Time9/10/18 9:32
Quant open0
Worst price14.80
Drawdown as % of equity-0.85%
($737)
Includes Typical Broker Commissions trade costs of $5.00
8/16/18 9:30 ECOM CHANNELADVISOR CORPORATION SHORT 500 13.35 9/6 12:29 12.05 0.06%
Trade id #119466781
Max drawdown($50)
Time8/27/18 9:37
Quant open-500
Worst price13.45
Drawdown as % of equity-0.06%
$640
Includes Typical Broker Commissions trade costs of $10.00

Statistics

  • Strategy began
    5/21/2018
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    2133.09
  • Age
    71 months ago
  • What it trades
    Stocks, Forex
  • # Trades
    79
  • # Profitable
    34
  • % Profitable
    43.00%
  • Avg trade duration
    8.1 days
  • Max peak-to-valley drawdown
    19.86%
  • drawdown period
    Sept 05, 2018 - Nov 07, 2018
  • Annual Return (Compounded)
    9.1%
  • Avg win
    $2,934
  • Avg loss
    $1,407
  • Model Account Values (Raw)
  • Cash
    $86,211
  • Margin Used
    $0
  • Buying Power
    $86,211
  • Ratios
  • W:L ratio
    1.57:1
  • Sharpe Ratio
    0.48
  • Sortino Ratio
    1.05
  • Calmar Ratio
    3.316
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -24.71%
  • Correlation to SP500
    -0.00010
  • Return Percent SP500 (cumu) during strategy life
    92.14%
  • Return Statistics
  • Ann Return (w trading costs)
    9.1%
  • Slump
  • Current Slump as Pcnt Equity
    5.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.95%
  • 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)
    0.091%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.69%
  • Percent Trades Forex
    0.31%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    9.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    37.00%
  • Chance of 20% account loss
    9.00%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    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
    $1,407
  • Avg Win
    $2,934
  • Sum Trade PL (losers)
    $63,324.000
  • Age
  • Num Months filled monthly returns table
    71
  • Win / Loss
  • Sum Trade PL (winners)
    $99,759.000
  • # Winners
    34
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    -225
  • Win / Loss
  • # Losers
    45
  • % Winners
    43.0%
  • Frequency
  • Avg Position Time (mins)
    11733.20
  • Avg Position Time (hrs)
    195.55
  • Avg Trade Length
    8.1 days
  • Last Trade Ago
    1936
  • Regression
  • Alpha
    0.02
  • Beta
    -0.00
  • Treynor Index
    -217.33
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    14.88
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    32.77
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.97
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    3.646
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.252
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.115
  • Hold-and-Hope Ratio
    0.274
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47870
  • SD
    0.41192
  • Sharpe ratio (Glass type estimate)
    1.16210
  • Sharpe ratio (Hedges UMVUE)
    1.09852
  • df
    14.00000
  • t
    1.29927
  • p
    0.33598
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66148
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.94690
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70112
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.89817
  • Statistics related to Sortino ratio
  • Sortino ratio
    17.76020
  • Upside Potential Ratio
    19.53380
  • Upside part of mean
    0.52650
  • Downside part of mean
    -0.04781
  • Upside SD
    0.42040
  • Downside SD
    0.02695
  • N nonnegative terms
    5.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.38029
  • Mean of criterion
    0.47870
  • SD of predictor
    0.33067
  • SD of criterion
    0.41192
  • Covariance
    -0.01848
  • r
    -0.13565
  • b (slope, estimate of beta)
    -0.16898
  • a (intercept, estimate of alpha)
    0.54296
  • Mean Square Error
    0.17937
  • DF error
    13.00000
  • t(b)
    -0.49366
  • p(b)
    0.58609
  • t(a)
    1.35553
  • p(a)
    0.28068
  • Lowerbound of 95% confidence interval for beta
    -0.90849
  • Upperbound of 95% confidence interval for beta
    0.57052
  • Lowerbound of 95% confidence interval for alpha
    -0.32238
  • Upperbound of 95% confidence interval for alpha
    1.40830
  • Treynor index (mean / b)
    -2.83285
  • Jensen alpha (a)
    0.54296
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40791
  • SD
    0.34337
  • Sharpe ratio (Glass type estimate)
    1.18798
  • Sharpe ratio (Hedges UMVUE)
    1.12298
  • df
    14.00000
  • t
    1.32820
  • p
    0.33274
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63823
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.97465
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67874
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.92469
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.01310
  • Upside Potential Ratio
    16.78190
  • Upside part of mean
    0.45597
  • Downside part of mean
    -0.04806
  • Upside SD
    0.35096
  • Downside SD
    0.02717
  • N nonnegative terms
    5.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.32789
  • Mean of criterion
    0.40791
  • SD of predictor
    0.30955
  • SD of criterion
    0.34337
  • Covariance
    -0.01443
  • r
    -0.13577
  • b (slope, estimate of beta)
    -0.15060
  • a (intercept, estimate of alpha)
    0.45729
  • Mean Square Error
    0.12463
  • DF error
    13.00000
  • t(b)
    -0.49410
  • p(b)
    0.58617
  • t(a)
    1.38072
  • p(a)
    0.27728
  • Lowerbound of 95% confidence interval for beta
    -0.80909
  • Upperbound of 95% confidence interval for beta
    0.50788
  • Lowerbound of 95% confidence interval for alpha
    -0.25822
  • Upperbound of 95% confidence interval for alpha
    1.17281
  • Treynor index (mean / b)
    -2.70853
  • Jensen alpha (a)
    0.45729
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12107
  • Expected Shortfall on VaR
    0.15617
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01093
  • Expected Shortfall on VaR
    0.02011
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.97869
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.02209
  • Maximum
    1.45285
  • Mean of quarter 1
    0.99088
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00251
  • Mean of quarter 4
    1.16556
  • Inter Quartile Range
    0.02209
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.13333
  • Mean of outliers high
    1.28771
  • 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)
    -2.30249
  • VaR(95%) (regression method)
    0.03190
  • Expected Shortfall (regression method)
    0.03302
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01516
  • Quartile 1
    0.01670
  • Median
    0.01824
  • Quartile 3
    0.01977
  • Maximum
    0.02131
  • Mean of quarter 1
    0.01516
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.02131
  • Inter Quartile Range
    0.00307
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.57938
  • Compounded annual return (geometric extrapolation)
    0.54623
  • Calmar ratio (compounded annual return / max draw down)
    25.63200
  • Compounded annual return / average of 25% largest draw downs
    25.63200
  • Compounded annual return / Expected Shortfall lognormal
    3.49773
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43248
  • SD
    0.29103
  • Sharpe ratio (Glass type estimate)
    1.48605
  • Sharpe ratio (Hedges UMVUE)
    1.48276
  • df
    339.00000
  • t
    1.69286
  • p
    0.04570
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23917
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.20913
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24138
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.20689
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.28209
  • Upside Potential Ratio
    8.45945
  • Upside part of mean
    1.11470
  • Downside part of mean
    -0.68222
  • Upside SD
    0.26038
  • Downside SD
    0.13177
  • N nonnegative terms
    74.00000
  • N negative terms
    266.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    340.00000
  • Mean of predictor
    0.51820
  • Mean of criterion
    0.43248
  • SD of predictor
    0.33663
  • SD of criterion
    0.29103
  • Covariance
    -0.00042
  • r
    -0.00433
  • b (slope, estimate of beta)
    -0.00374
  • a (intercept, estimate of alpha)
    0.43400
  • Mean Square Error
    0.08495
  • DF error
    338.00000
  • t(b)
    -0.07958
  • p(b)
    0.53169
  • t(a)
    1.69031
  • p(a)
    0.04595
  • Lowerbound of 95% confidence interval for beta
    -0.09624
  • Upperbound of 95% confidence interval for beta
    0.08875
  • Lowerbound of 95% confidence interval for alpha
    -0.07111
  • Upperbound of 95% confidence interval for alpha
    0.93995
  • Treynor index (mean / b)
    -115.56700
  • Jensen alpha (a)
    0.43442
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39189
  • SD
    0.28081
  • Sharpe ratio (Glass type estimate)
    1.39557
  • Sharpe ratio (Hedges UMVUE)
    1.39248
  • df
    339.00000
  • t
    1.58979
  • p
    0.05641
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32913
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.11826
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33123
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.11618
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.91824
  • Upside Potential Ratio
    8.06420
  • Upside part of mean
    1.08294
  • Downside part of mean
    -0.69105
  • Upside SD
    0.24734
  • Downside SD
    0.13429
  • N nonnegative terms
    74.00000
  • N negative terms
    266.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    340.00000
  • Mean of predictor
    0.46040
  • Mean of criterion
    0.39189
  • SD of predictor
    0.34036
  • SD of criterion
    0.28081
  • Covariance
    -0.00030
  • r
    -0.00315
  • b (slope, estimate of beta)
    -0.00260
  • a (intercept, estimate of alpha)
    0.39309
  • Mean Square Error
    0.07909
  • DF error
    338.00000
  • t(b)
    -0.05783
  • p(b)
    0.52304
  • t(a)
    1.58674
  • p(a)
    0.05675
  • Lowerbound of 95% confidence interval for beta
    -0.09087
  • Upperbound of 95% confidence interval for beta
    0.08568
  • Lowerbound of 95% confidence interval for alpha
    -0.09420
  • Upperbound of 95% confidence interval for alpha
    0.88037
  • Treynor index (mean / b)
    -150.99800
  • Jensen alpha (a)
    0.39309
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02668
  • Expected Shortfall on VaR
    0.03369
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00780
  • Expected Shortfall on VaR
    0.01660
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    340.00000
  • Minimum
    0.93289
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.17990
  • Mean of quarter 1
    0.98992
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01711
  • Inter Quartile Range
    0.00000
  • Number outliers low
    67.00000
  • Percentage of outliers low
    0.19706
  • Mean of outliers low
    0.98721
  • Number of outliers high
    74.00000
  • Percentage of outliers high
    0.21765
  • Mean of outliers high
    1.01965
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43050
  • VaR(95%) (moments method)
    0.00474
  • Expected Shortfall (moments method)
    0.01127
  • Extreme Value Index (regression method)
    0.15475
  • VaR(95%) (regression method)
    0.01185
  • Expected Shortfall (regression method)
    0.02249
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00128
  • Quartile 1
    0.02001
  • Median
    0.04121
  • Quartile 3
    0.08567
  • Maximum
    0.15730
  • Mean of quarter 1
    0.00959
  • Mean of quarter 2
    0.02738
  • Mean of quarter 3
    0.06185
  • Mean of quarter 4
    0.13699
  • Inter Quartile Range
    0.06567
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.55807
  • Compounded annual return (geometric extrapolation)
    0.52165
  • Calmar ratio (compounded annual return / max draw down)
    3.31633
  • Compounded annual return / average of 25% largest draw downs
    3.80788
  • Compounded annual return / Expected Shortfall lognormal
    15.48480
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.88667
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.38074
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.81334
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.38066
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6807110000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -122622000000000013240739123167232.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
  • 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?
    -374358000
  • Max Equity Drawdown (num days)
    63
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

DISCLAIMER:

THIS IS A VERY RISKY STRATEGY AND HYPOTHETICAL LOSSES MAY BE UNLIMITED. ALL RESULTS PRESENTED ON COLLECTIVE2 OF THIS STRATEGY ARE HYPOTHETICAL ONLY. I AM NOT A LICENSED FINANCIAL PROFESSIONAL AND NOTHING WRITTEN HERE OR ANYWHERE ELSE BY ME ON COLLECTIVE2 SHOULD BE CONSTRUED AS INVESTMENT ADVICE. ALL SIGNALS ARE PROVIDED FOR EDUCATIONAL AND DEMONSTRATION PURPOSES ONLY.

Summary Statistics

Strategy began
2018-05-21
Suggested Minimum Capital
$15,000
# Trades
79
# Profitable
34
% Profitable
43.0%
Net Dividends
Correlation S&P500
-0.000
Sharpe Ratio
0.48
Sortino Ratio
1.05
Beta
-0.00
Alpha
0.02

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.