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XBot
(125842398)

Created by: pipsforthepoor pipsforthepoor
Started: 10/2019
Options
Last trade: 944 days ago
Trading style: Options Directional Bets
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: Options
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
31.3%
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
80
Num Trades
46.2%
Win Trades
2.0 : 1
Profit Factor
47.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                               +6.8%(1%)+17.1%+23.9%
2020+11.2%(5.3%)(5%)(2.8%)(1.9%)+2.6%+6.7%+14.6%(15.4%)(4.9%)+15.6%(14.9%)(5.3%)
2021+3.8%+17.3%(8%)+19.3%  -  +0.7%+17.6%(10.2%)  -  +28.1%+68.1%
2022(63.6%)+43.4%+10.0%(40.3%)(48.1%)(152.5%)(251.7%)(55.9%)(480.9%)(28%)(162.5%)(136.5%)(106.9%)
2023(479.8%)+28.9%(63.7%)+58.6%+126.1%+89.5%+30.8%(27.2%)(20.8%)(5.9%)+87.7%+29.4%(2180.2%)
2024+19.8%+6.0%+0.9%(6.6%)                                                +19.7%

Model Account Details

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

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

Trading Record

This strategy has placed 75 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1151 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/22/21 13:55 ILMN2117I480 ILMN Sep17'21 480 call LONG 1 68.50 9/18 9:37 0.00 7.77%
Trade id #134200660
Max drawdown($6,845)
Time9/16/21 0:00
Quant open1
Worst price0.05
Drawdown as % of equity-7.77%
 ($6,851)
Includes Typical Broker Commissions trade costs of $1.00
12/30/20 15:30 NOW2120H550 NOW Aug20'21 550 call LONG 1 71.00 8/21/21 9:36 0.00 9.08%
Trade id #133098607
Max drawdown($6,739)
Time6/7/21 0:00
Quant open1
Worst price3.61
Drawdown as % of equity-9.08%
 ($7,101)
Includes Typical Broker Commissions trade costs of $1.00
2/22/21 13:57 GS2116G320 GS Jul16'21 320 call LONG 1 23.55 7/17 9:35 0.00 0.52%
Trade id #134200698
Max drawdown($375)
Time4/13/21 0:00
Quant open1
Worst price19.80
Drawdown as % of equity-0.52%
 ($2,356)
Includes Typical Broker Commissions trade costs of $1.00
12/30/20 14:41 STZ2116G220 STZ Jul16'21 220 call LONG 1 18.50 7/17/21 9:35 0.00 2.03%
Trade id #133097647
Max drawdown($1,450)
Time7/16/21 0:00
Quant open1
Worst price4.00
Drawdown as % of equity-2.03%
 ($1,851)
Includes Typical Broker Commissions trade costs of $1.00
1/21/21 15:32 NFLX2116G580 NFLX Jul16'21 580 call LONG 1 66.75 7/17 9:35 0.00 9.32%
Trade id #133521331
Max drawdown($6,674)
Time7/16/21 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-9.32%
 ($6,676)
Includes Typical Broker Commissions trade costs of $1.00
12/30/20 15:42 PANW2118F350 PANW Jun18'21 350 call LONG 1 40.95 6/19/21 9:35 0.00 4.76%
Trade id #133098877
Max drawdown($3,535)
Time5/13/21 0:00
Quant open1
Worst price5.60
Drawdown as % of equity-4.76%
 ($4,096)
Includes Typical Broker Commissions trade costs of $1.00
2/11/21 11:56 AVGO2118F470 AVGO Jun18'21 470 call LONG 1 40.54 6/19 9:35 0.00 5.45%
Trade id #134012113
Max drawdown($4,049)
Time6/18/21 0:00
Quant open1
Worst price0.05
Drawdown as % of equity-5.45%
 ($4,055)
Includes Typical Broker Commissions trade costs of $1.00
2/11/21 11:55 URI2118F280 URI Jun18'21 280 call LONG 1 31.75 6/19 9:35 0.00 3%
Trade id #134011836
Max drawdown($2,225)
Time6/18/21 0:00
Quant open1
Worst price9.50
Drawdown as % of equity-3.00%
 ($3,176)
Includes Typical Broker Commissions trade costs of $1.00
12/30/20 14:43 COUP2118F340 COUP Jun18'21 340 call LONG 1 49.70 6/19/21 9:35 0.00 6.69%
Trade id #133097691
Max drawdown($4,965)
Time5/6/21 0:00
Quant open1
Worst price0.05
Drawdown as % of equity-6.69%
 ($4,971)
Includes Typical Broker Commissions trade costs of $1.00
12/8/20 13:51 RH2121E460 RH May21'21 460 call LONG 1 82.20 5/22/21 9:37 0.00 8.29%
Trade id #132701394
Max drawdown($4,555)
Time3/5/21 0:00
Quant open1
Worst price36.65
Drawdown as % of equity-8.29%
 ($8,221)
Includes Typical Broker Commissions trade costs of $1.00
2/11/21 11:58 LRCX2121E560 LRCX May21'21 560 call LONG 1 58.70 5/22 9:35 0.00 5.55%
Trade id #134012162
Max drawdown($4,130)
Time5/12/21 0:00
Quant open1
Worst price17.40
Drawdown as % of equity-5.55%
 ($5,871)
Includes Typical Broker Commissions trade costs of $1.00
9/3/20 11:05 COST2119C350 COST Mar19'21 350 call LONG 1 31.25 3/20/21 9:36 0.00 5.68%
Trade id #130979901
Max drawdown($3,124)
Time3/5/21 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-5.68%
 ($3,126)
Includes Typical Broker Commissions trade costs of $1.00
11/25/20 13:15 NSC2119C240 NSC Mar19'21 240 call LONG 1 16.00 3/20/21 9:35 0.00 1.39%
Trade id #132461310
Max drawdown($890)
Time3/4/21 0:00
Quant open1
Worst price7.10
Drawdown as % of equity-1.39%
 ($1,601)
Includes Typical Broker Commissions trade costs of $1.00
1/28/21 13:29 GS2116G280 GS Jul16'21 280 call LONG 1 24.08 2/22 13:57 47.25 0.44%
Trade id #133674407
Max drawdown($288)
Time1/29/21 0:00
Quant open1
Worst price21.20
Drawdown as % of equity-0.44%
 $2,315
Includes Typical Broker Commissions trade costs of $2.00
2/3/21 14:13 ILMN2117I420 ILMN Sep17'21 420 call LONG 1 70.10 2/22 13:53 96.30 0.98%
Trade id #133829043
Max drawdown($660)
Time2/3/21 15:22
Quant open1
Worst price63.50
Drawdown as % of equity-0.98%
 $2,618
Includes Typical Broker Commissions trade costs of $2.00
1/28/21 13:31 LRCX2121E520 LRCX May21'21 520 call LONG 1 56.81 2/11 11:57 80.08 2.68%
Trade id #133674455
Max drawdown($1,739)
Time1/29/21 0:00
Quant open1
Worst price39.42
Drawdown as % of equity-2.68%
 $2,325
Includes Typical Broker Commissions trade costs of $2.00
12/30/20 14:42 AVGO2118F440 AVGO Jun18'21 440 call LONG 1 36.12 2/11/21 11:55 57.42 1.07%
Trade id #133097659
Max drawdown($602)
Time1/5/21 0:00
Quant open1
Worst price30.10
Drawdown as % of equity-1.07%
 $2,128
Includes Typical Broker Commissions trade costs of $2.00
12/30/20 14:40 URI2118F230 URI Jun18'21 230 call LONG 1 27.56 2/11/21 11:54 61.17 0.28%
Trade id #133097613
Max drawdown($166)
Time1/4/21 0:00
Quant open1
Worst price25.90
Drawdown as % of equity-0.28%
 $3,359
Includes Typical Broker Commissions trade costs of $2.00
12/2/20 15:13 LRCX2121E480 LRCX May21'21 480 call LONG 1 51.80 1/28/21 13:30 76.52 1.13%
Trade id #132602074
Max drawdown($730)
Time12/29/20 0:00
Quant open1
Worst price44.50
Drawdown as % of equity-1.13%
 $2,470
Includes Typical Broker Commissions trade costs of $2.00
11/18/20 12:36 KLAC2118F250 KLAC Jun18'21 250 call LONG 1 24.80 1/19/21 15:59 72.37 0.42%
Trade id #132326933
Max drawdown($260)
Time11/19/20 0:00
Quant open1
Worst price22.20
Drawdown as % of equity-0.42%
 $4,755
Includes Typical Broker Commissions trade costs of $2.00
8/26/20 11:04 FB2115A295 FB Jan15'21 295 call LONG 1 33.81 1/16/21 9:36 0.00 4.96%
Trade id #130796879
Max drawdown($3,380)
Time1/12/21 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-4.96%
 ($3,382)
Includes Typical Broker Commissions trade costs of $1.00
12/23/20 15:56 SHOP2118F1200 SHOP Jun18'21 1200 call LONG 1 183.79 12/31 13:00 146.11 6.5%
Trade id #132994349
Max drawdown($3,768)
Time12/31/20 13:00
Quant open1
Worst price146.11
Drawdown as % of equity-6.50%
 ($3,770)
Includes Typical Broker Commissions trade costs of $2.00
12/8/20 13:53 PANW2118F310 PANW Jun18'21 310 call LONG 1 33.33 12/30 15:40 63.47 0.79%
Trade id #132701428
Max drawdown($588)
Time12/9/20 0:00
Quant open1
Worst price27.45
Drawdown as % of equity-0.79%
 $3,012
Includes Typical Broker Commissions trade costs of $2.00
12/23/20 15:57 WDAY2118F250 WDAY Jun18'21 250 call LONG 1 29.85 12/30 14:35 21.26 1.35%
Trade id #132994388
Max drawdown($875)
Time12/29/20 0:00
Quant open1
Worst price21.10
Drawdown as % of equity-1.35%
 ($861)
Includes Typical Broker Commissions trade costs of $2.00
11/18/20 12:35 GOOG2118F1780 GOOG Jun18'21 1780 call LONG 1 154.65 12/30 14:34 125.44 5.13%
Trade id #132326922
Max drawdown($3,365)
Time12/21/20 0:00
Quant open1
Worst price121.00
Drawdown as % of equity-5.13%
 ($2,923)
Includes Typical Broker Commissions trade costs of $2.00
11/18/20 12:37 LRCX2121E440 LRCX May21'21 440 call LONG 1 48.23 12/2 15:12 70.40 0.03%
Trade id #132326949
Max drawdown($17)
Time11/19/20 0:00
Quant open1
Worst price48.06
Drawdown as % of equity-0.03%
 $2,215
Includes Typical Broker Commissions trade costs of $2.00
11/25/20 13:12 ROKU2116D280 ROKU Apr16'21 280 call LONG 1 41.10 12/1 13:26 46.00 0.32%
Trade id #132461242
Max drawdown($220)
Time11/30/20 0:00
Quant open1
Worst price38.90
Drawdown as % of equity-0.32%
 $488
Includes Typical Broker Commissions trade costs of $2.00
9/3/20 15:23 NSC2119C210 NSC Mar19'21 210 call LONG 1 20.30 11/25 13:14 35.70 1.4%
Trade id #130986734
Max drawdown($890)
Time10/28/20 0:00
Quant open1
Worst price11.40
Drawdown as % of equity-1.40%
 $1,538
Includes Typical Broker Commissions trade costs of $2.00
10/12/20 11:57 ROKU2116D220 ROKU Apr16'21 220 call LONG 1 42.04 11/25 13:11 73.32 2.58%
Trade id #131648942
Max drawdown($1,529)
Time11/3/20 0:00
Quant open1
Worst price26.75
Drawdown as % of equity-2.58%
 $3,126
Includes Typical Broker Commissions trade costs of $2.00
11/21/20 9:35 NOW SERVICENOW LONG 100 480.00 11/25 13:11 517.51 n/a $3,749
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    10/17/2019
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1639.74
  • Age
    55 months ago
  • What it trades
    Options
  • # Trades
    80
  • # Profitable
    37
  • % Profitable
    46.20%
  • Avg trade duration
    163.0 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Sept 07, 2022 - Sept 25, 2022
  • Annual Return (Compounded)
    31.3%
  • Avg win
    $6,786
  • Avg loss
    $3,086
  • Model Account Values (Raw)
  • Cash
    ($113,835)
  • Margin Used
    $0
  • Buying Power
    $27,207
  • Ratios
  • W:L ratio
    1.95:1
  • Sharpe Ratio
    0.25
  • Sortino Ratio
    0.46
  • Calmar Ratio
    0.975
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    170.04%
  • Correlation to SP500
    0.28430
  • Return Percent SP500 (cumu) during strategy life
    67.15%
  • Return Statistics
  • Ann Return (w trading costs)
    31.3%
  • Slump
  • Current Slump as Pcnt Equity
    14.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.03%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.313%
  • Instruments
  • Percent Trades Options
    0.92%
  • Percent Trades Stocks
    0.08%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    32.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    83.00%
  • Chance of 20% account loss
    53.00%
  • Chance of 30% account loss
    34.00%
  • Chance of 40% account loss
    16.00%
  • Chance of 60% account loss (Monte Carlo)
    1.00%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    3.00%
  • 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
    $3,086
  • Avg Win
    $6,787
  • Sum Trade PL (losers)
    $132,701.000
  • Age
  • Num Months filled monthly returns table
    33
  • Win / Loss
  • Sum Trade PL (winners)
    $251,116.000
  • # Winners
    37
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    7792
  • Win / Loss
  • # Losers
    43
  • % Winners
    46.2%
  • Frequency
  • Avg Position Time (mins)
    234788.00
  • Avg Position Time (hrs)
    3913.14
  • Avg Trade Length
    163.0 days
  • Last Trade Ago
    938
  • Leverage
  • Daily leverage (average)
    1.70
  • Daily leverage (max)
    4.04
  • Regression
  • Alpha
    0.00
  • Beta
    2.35
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.21
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    2.062
  • 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
    0.08
  • Avg(MAE) / Avg(PL) - Winning trades
    0.357
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.967
  • Hold-and-Hope Ratio
    -0.278
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.34828
  • SD
    3.45383
  • Sharpe ratio (Glass type estimate)
    0.67991
  • Sharpe ratio (Hedges UMVUE)
    0.65528
  • df
    21.00000
  • t
    0.92060
  • p
    0.37543
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78984
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13393
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80575
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11631
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.54030
  • Upside Potential Ratio
    5.88129
  • Upside part of mean
    3.04185
  • Downside part of mean
    -0.69357
  • Upside SD
    3.40275
  • Downside SD
    0.51721
  • N nonnegative terms
    13.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.27273
  • Mean of criterion
    2.34828
  • SD of predictor
    0.29613
  • SD of criterion
    3.45383
  • Covariance
    0.40766
  • r
    0.39859
  • b (slope, estimate of beta)
    4.64888
  • a (intercept, estimate of alpha)
    1.08039
  • Mean Square Error
    10.53540
  • DF error
    20.00000
  • t(b)
    1.94360
  • p(b)
    0.30071
  • t(a)
    0.43487
  • p(a)
    0.45161
  • Lowerbound of 95% confidence interval for beta
    -0.34051
  • Upperbound of 95% confidence interval for beta
    9.63827
  • Lowerbound of 95% confidence interval for alpha
    -4.10193
  • Upperbound of 95% confidence interval for alpha
    6.26272
  • Treynor index (mean / b)
    0.50513
  • Jensen alpha (a)
    1.08039
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53474
  • SD
    1.51844
  • Sharpe ratio (Glass type estimate)
    0.35217
  • Sharpe ratio (Hedges UMVUE)
    0.33941
  • df
    21.00000
  • t
    0.47684
  • p
    0.43423
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10336
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79945
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11175
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79058
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.72000
  • Upside Potential Ratio
    1.94102
  • Upside part of mean
    1.44159
  • Downside part of mean
    -0.90685
  • Upside SD
    1.29348
  • Downside SD
    0.74270
  • N nonnegative terms
    13.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.22387
  • Mean of criterion
    0.53474
  • SD of predictor
    0.31810
  • SD of criterion
    1.51844
  • Covariance
    0.25585
  • r
    0.52969
  • b (slope, estimate of beta)
    2.52847
  • a (intercept, estimate of alpha)
    -0.03130
  • Mean Square Error
    1.74169
  • DF error
    20.00000
  • t(b)
    2.79282
  • p(b)
    0.23516
  • t(a)
    -0.03144
  • p(a)
    0.50352
  • Lowerbound of 95% confidence interval for beta
    0.63995
  • Upperbound of 95% confidence interval for beta
    4.41700
  • Lowerbound of 95% confidence interval for alpha
    -2.10795
  • Upperbound of 95% confidence interval for alpha
    2.04535
  • Treynor index (mean / b)
    0.21149
  • Jensen alpha (a)
    -0.03130
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.49157
  • Expected Shortfall on VaR
    0.57144
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.11362
  • Expected Shortfall on VaR
    0.25099
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.39986
  • Quartile 1
    0.98233
  • Median
    1.02519
  • Quartile 3
    1.10501
  • Maximum
    5.59574
  • Mean of quarter 1
    0.79733
  • Mean of quarter 2
    1.00010
  • Mean of quarter 3
    1.05021
  • Mean of quarter 4
    1.88681
  • Inter Quartile Range
    0.12268
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.55914
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04545
  • Mean of outliers high
    5.59574
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.42333
  • VaR(95%) (moments method)
    0.08112
  • Expected Shortfall (moments method)
    0.10207
  • Extreme Value Index (regression method)
    0.48706
  • VaR(95%) (regression method)
    0.35461
  • Expected Shortfall (regression method)
    0.93311
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.72052
  • Quartile 1
    0.72052
  • Median
    0.72052
  • Quartile 3
    0.72052
  • Maximum
    0.72052
  • 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)
    0.98473
  • Compounded annual return (geometric extrapolation)
    0.75532
  • Calmar ratio (compounded annual return / max draw down)
    1.04829
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    1.32179
  • 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
    38063.50000
  • SD
    29459.50000
  • Sharpe ratio (Glass type estimate)
    1.29206
  • Sharpe ratio (Hedges UMVUE)
    1.29008
  • df
    490.00000
  • t
    1.76878
  • p
    0.03878
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14258
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.72542
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14391
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72408
  • Statistics related to Sortino ratio
  • Sortino ratio
    21421.80000
  • Upside Potential Ratio
    21426.10000
  • Upside part of mean
    38071.00000
  • Downside part of mean
    -7.49102
  • Upside SD
    29523.30000
  • Downside SD
    1.77685
  • N nonnegative terms
    248.00000
  • N negative terms
    243.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    491.00000
  • Mean of predictor
    0.31450
  • Mean of criterion
    38063.50000
  • SD of predictor
    0.33471
  • SD of criterion
    29459.50000
  • Covariance
    1992.21000
  • r
    0.20204
  • b (slope, estimate of beta)
    17782.90000
  • a (intercept, estimate of alpha)
    32470.70000
  • Mean Square Error
    834135000.00000
  • DF error
    489.00000
  • t(b)
    4.56193
  • p(b)
    0.00000
  • t(a)
    1.53650
  • p(a)
    0.06253
  • Lowerbound of 95% confidence interval for beta
    10123.80000
  • Upperbound of 95% confidence interval for beta
    25442.00000
  • Lowerbound of 95% confidence interval for alpha
    -9051.90000
  • Upperbound of 95% confidence interval for alpha
    73993.30000
  • Treynor index (mean / b)
    2.14045
  • Jensen alpha (a)
    32470.70000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.65264
  • SD
    19.68780
  • Sharpe ratio (Glass type estimate)
    0.03315
  • Sharpe ratio (Hedges UMVUE)
    0.03310
  • df
    490.00000
  • t
    0.04538
  • p
    0.48191
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.39857
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46487
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.39862
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46482
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.04711
  • Upside Potential Ratio
    1.92885
  • Upside part of mean
    26.72130
  • Downside part of mean
    -26.06860
  • Upside SD
    13.96080
  • Downside SD
    13.85350
  • N nonnegative terms
    248.00000
  • N negative terms
    243.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    491.00000
  • Mean of predictor
    0.25805
  • Mean of criterion
    0.65264
  • SD of predictor
    0.33652
  • SD of criterion
    19.68780
  • Covariance
    2.41214
  • r
    0.36407
  • b (slope, estimate of beta)
    21.29950
  • a (intercept, estimate of alpha)
    -4.84363
  • Mean Square Error
    336.92100
  • DF error
    489.00000
  • t(b)
    8.64409
  • p(b)
    -0.00000
  • t(a)
    -0.36084
  • p(a)
    0.64081
  • Lowerbound of 95% confidence interval for beta
    16.45800
  • Upperbound of 95% confidence interval for beta
    26.14090
  • Lowerbound of 95% confidence interval for alpha
    -31.21830
  • Upperbound of 95% confidence interval for alpha
    21.53100
  • Treynor index (mean / b)
    0.03064
  • Jensen alpha (a)
    -4.84363
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.86442
  • Expected Shortfall on VaR
    0.91134
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06266
  • Expected Shortfall on VaR
    0.14542
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    491.00000
  • Minimum
    0.00004
  • Quartile 1
    0.98541
  • Median
    1.00032
  • Quartile 3
    1.02198
  • Maximum
    26241.00000
  • Mean of quarter 1
    0.89000
  • Mean of quarter 2
    0.99608
  • Mean of quarter 3
    1.00926
  • Mean of quarter 4
    581.04600
  • Inter Quartile Range
    0.03657
  • Number outliers low
    37.00000
  • Percentage of outliers low
    0.07536
  • Mean of outliers low
    0.71430
  • Number of outliers high
    36.00000
  • Percentage of outliers high
    0.07332
  • Mean of outliers high
    1982.73000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.01737
  • VaR(95%) (moments method)
    0.09380
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.05231
  • VaR(95%) (regression method)
    0.06468
  • Expected Shortfall (regression method)
    0.09280
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00087
  • Quartile 1
    0.00366
  • Median
    0.01655
  • Quartile 3
    0.11637
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00135
  • Mean of quarter 2
    0.00973
  • Mean of quarter 3
    0.06578
  • Mean of quarter 4
    0.44562
  • Inter Quartile Range
    0.11271
  • 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
    0.15000
  • Mean of outliers high
    0.62815
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.52288
  • VaR(95%) (moments method)
    0.38171
  • Expected Shortfall (moments method)
    0.46033
  • Extreme Value Index (regression method)
    0.17096
  • VaR(95%) (regression method)
    0.62718
  • Expected Shortfall (regression method)
    1.05797
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.37672
  • Compounded annual return (geometric extrapolation)
    0.97496
  • Calmar ratio (compounded annual return / max draw down)
    0.97497
  • Compounded annual return / average of 25% largest draw downs
    2.18789
  • Compounded annual return / Expected Shortfall lognormal
    1.06981
  • 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
    142665.00000
  • SD
    56690.10000
  • Sharpe ratio (Glass type estimate)
    2.51657
  • Sharpe ratio (Hedges UMVUE)
    2.50202
  • df
    130.00000
  • t
    1.77948
  • p
    0.42290
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27680
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.30047
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28642
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.29046
  • Statistics related to Sortino ratio
  • Sortino ratio
    42172.60000
  • Upside Potential Ratio
    42178.80000
  • Upside part of mean
    142686.00000
  • Downside part of mean
    -20.82160
  • Upside SD
    57157.00000
  • Downside SD
    3.38287
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.56819
  • Mean of criterion
    142665.00000
  • SD of predictor
    0.41287
  • SD of criterion
    56690.10000
  • Covariance
    7369.77000
  • r
    0.31487
  • b (slope, estimate of beta)
    43234.60000
  • a (intercept, estimate of alpha)
    118099.00000
  • Mean Square Error
    2917580000.00000
  • DF error
    129.00000
  • t(b)
    3.76793
  • p(b)
    0.30291
  • t(a)
    1.54044
  • p(a)
    0.41470
  • Lowerbound of 95% confidence interval for beta
    20532.30000
  • Upperbound of 95% confidence interval for beta
    65936.90000
  • Lowerbound of 95% confidence interval for alpha
    -33586.20000
  • Upperbound of 95% confidence interval for alpha
    269785.00000
  • Treynor index (mean / b)
    3.29978
  • Jensen alpha (a)
    118099.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.08857
  • SD
    38.21290
  • Sharpe ratio (Glass type estimate)
    0.05466
  • Sharpe ratio (Hedges UMVUE)
    0.05434
  • df
    130.00000
  • t
    0.03865
  • p
    0.49830
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.71716
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.82647
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.71747
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.82615
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.07790
  • Upside Potential Ratio
    3.44378
  • Upside part of mean
    92.33590
  • Downside part of mean
    -90.24740
  • Upside SD
    27.02200
  • Downside SD
    26.81240
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.48274
  • Mean of criterion
    2.08857
  • SD of predictor
    0.41414
  • SD of criterion
    38.21290
  • Covariance
    8.97392
  • r
    0.56706
  • b (slope, estimate of beta)
    52.32290
  • a (intercept, estimate of alpha)
    -23.16950
  • Mean Square Error
    998.36400
  • DF error
    129.00000
  • t(b)
    7.81923
  • p(b)
    0.15941
  • t(a)
    -0.51716
  • p(a)
    0.52895
  • VAR (95 Confidence Intrvl)
    0.86400
  • Lowerbound of 95% confidence interval for beta
    39.08350
  • Upperbound of 95% confidence interval for beta
    65.56230
  • Lowerbound of 95% confidence interval for alpha
    -111.81000
  • Upperbound of 95% confidence interval for alpha
    65.47110
  • Treynor index (mean / b)
    0.03992
  • Jensen alpha (a)
    -23.16950
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.97925
  • Expected Shortfall on VaR
    0.98988
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.17456
  • Expected Shortfall on VaR
    0.37811
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00004
  • Quartile 1
    0.94935
  • Median
    1.00328
  • Quartile 3
    1.06671
  • Maximum
    26241.00000
  • Mean of quarter 1
    0.69835
  • Mean of quarter 2
    0.98652
  • Mean of quarter 3
    1.03093
  • Mean of quarter 4
    2162.87000
  • Inter Quartile Range
    0.11737
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.43078
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    5096.65000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54992
  • VaR(95%) (moments method)
    0.24280
  • Expected Shortfall (moments method)
    0.63902
  • Extreme Value Index (regression method)
    -2.26355
  • VaR(95%) (regression method)
    0.27521
  • Expected Shortfall (regression method)
    0.27933
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.03790
  • Quartile 1
    0.06603
  • Median
    0.10975
  • Quartile 3
    0.16290
  • Maximum
    0.99999
  • Mean of quarter 1
    0.04455
  • Mean of quarter 2
    0.08998
  • Mean of quarter 3
    0.11816
  • Mean of quarter 4
    0.55831
  • Inter Quartile Range
    0.09687
  • 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
    0.18182
  • Mean of outliers high
    0.73462
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.35426
  • VaR(95%) (moments method)
    0.52268
  • Expected Shortfall (moments method)
    0.52594
  • Extreme Value Index (regression method)
    0.00977
  • VaR(95%) (regression method)
    1.05742
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    1.59607
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -336311000
  • Max Equity Drawdown (num days)
    18
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.76257
  • Compounded annual return (geometric extrapolation)
    7.30180
  • Calmar ratio (compounded annual return / max draw down)
    7.30187
  • Compounded annual return / average of 25% largest draw downs
    13.07840
  • Compounded annual return / Expected Shortfall lognormal
    7.37642

Strategy Description

XBot is a fully automated price inefficiency capturing quantitative strategy operating on a basket of large market cap American equities. High volume and high volatility equities are selected for the basket, resulting in approximately 50 symbols in the basket. The strategy trades all signals on all symbols simultaneously resulting in frequent overlapping of previous trades.

XBot takes advantage of a long term pricing inefficiency, testing has been done back to the 1950s to determine the persistence of the inefficiency being captured. XBot watches all the symbols in the basket continually and enters infrequently, resulting in low transaction costs. This is not a typical quantitative strategy operating at high frequency. The pricing inefficiency XBot takes advantage of is relatively rare but highly effective.

XBot uses stops based on the underlying price, risk is never unbounded and there is no averaging down done.

Why the big DD during COVID?
I was on a 50k account which is over leveraged for the strategy, ideally 100k is used to start with but Collective2 charged extra for that so I did not.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2019-10-17
Suggested Minimum Capital
$25,000
# Trades
80
# Profitable
37
% Profitable
46.2%
Net Dividends
$7,792
Correlation S&P500
0.284
Sharpe Ratio
0.25
Sortino Ratio
0.46
Beta
2.35
Alpha
0.00
Leverage
1.70 Average
4.04 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.