Collective2 Collective2
Featured Strategy IC Algotrading Followed by live capital $278,000 Hypothetical

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Forex and Futures
(131099323)

Created by: Tatsuya Tatsuya
Started: 09/2020
Futures, Forex
Last trade: 1,159 days ago

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 $145.00 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.

-
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
108
Num Trades
68.5%
Win Trades
0.4 : 1
Profit Factor
15.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                        (18.7%)+18.2%(44.1%)(12.8%)(53.2%)
2021(5.1%)(44.1%)(13.8%)(17.9%)(24.3%)+84.7%+55.0%(6.3%)+12.8%(71.6%)+203.0%(29.8%)(48%)
2022+54.6%(34.2%)(139.1%)(49.3%)(101%)(77.9%)(186%)(78.9%)(128%)(337.9%)(13%)(200%)(73.5%)
2023(181.1%)(65.8%)(715.3%)(60.2%)+43.2%(294%)(18.2%)(67.9%)(188.9%)(33.8%)(176.6%)(18%)(315.2%)
2024(26.2%)(53.8%)(14.5%)(70.4%)                                                (121.5%)

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 232 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/24/20 10:42 @MNQH1 MICRO E-MINI NASDAQ 100 LONG 6 12823.75 2/24/21 5:02 13053.97 21.05%
Trade id #133007073
Max drawdown($3,990)
Time1/6/21 0:00
Quant open6
Worst price12491.20
Drawdown as % of equity-21.05%
 $2,757
Includes Typical Broker Commissions trade costs of $5.64
12/22/20 9:27 QMGCG1 E-Micro Gold SHORT 2 1914.2 2/23/21 13:51 1802.5 5.1%
Trade id #132960177
Max drawdown($966)
Time1/6/21 0:00
Quant open2
Worst price1962.5
Drawdown as % of equity-5.10%
 $2,233
Includes Typical Broker Commissions trade costs of $1.40
12/14/20 10:03 @MNQZ0 MICRO E-MINI NASDAQ 100 LONG 5 12515.25 12/20 18:04 12761.00 3.24%
Trade id #132795909
Max drawdown($786)
Time12/14/20 21:23
Quant open4
Worst price12417.00
Drawdown as % of equity-3.24%
 $2,453
Includes Typical Broker Commissions trade costs of $4.70
12/16/20 5:16 AUD/USD AUD/USD SHORT 7 0.75764 12/17 3:24 0.76214 1.48%
Trade id #132844341
Max drawdown($358)
Time12/17/20 3:08
Quant open7
Worst price0.76276
Drawdown as % of equity-1.48%
 ($315)
12/17/20 1:05 USD/JPY USD/JPY SHORT 10 103.311 12/17 2:52 103.215 0.11%
Trade id #132877256
Max drawdown($27)
Time12/17/20 1:16
Quant open10
Worst price103.339
Drawdown as % of equity-0.11%
 $93
11/3/20 3:11 EUR/NZD EUR/NZD LONG 10 1.75413 12/16 5:11 1.71434 15.13%
Trade id #132036685
Max drawdown($4,218)
Time11/24/20 0:00
Quant open10
Worst price1.69472
Drawdown as % of equity-15.13%
 ($2,829)
9/23/20 15:18 EUR/USD EUR/USD SHORT 12 1.16617 12/16 5:11 1.22002 26.68%
Trade id #131323859
Max drawdown($6,607)
Time12/16/20 3:53
Quant open12
Worst price1.22123
Drawdown as % of equity-26.68%
 ($6,462)
11/30/20 4:45 @CH1 CORN SHORT 1 435 3/4 12/10 12:53 422 3/4 0.09%
Trade id #132521615
Max drawdown($25)
Time11/30/20 7:31
Quant open1
Worst price436 1/4
Drawdown as % of equity-0.09%
 $642
Includes Typical Broker Commissions trade costs of $8.00
12/10/20 0:30 USD/MXN USD/MXN SHORT 1 19.83170 12/10 1:08 19.84926 0.04%
Trade id #132734895
Max drawdown($9)
Time12/10/20 1:07
Quant open1
Worst price19.85070
Drawdown as % of equity-0.04%
 ($9)
10/1/20 4:50 USD/MXN USD/MXN LONG 10 21.77930 12/9 6:16 19.86580 34.32%
Trade id #131453873
Max drawdown($9,324)
Time11/26/20 0:00
Quant open10
Worst price19.93550
Drawdown as % of equity-34.32%
 ($9,704)
12/7/20 10:44 USD/JPY USD/JPY SHORT 10 104.104 12/9 2:45 104.215 0.51%
Trade id #132673325
Max drawdown($134)
Time12/9/20 2:32
Quant open10
Worst price104.244
Drawdown as % of equity-0.51%
 ($107)
12/7/20 3:37 USD/JPY USD/JPY LONG 10 104.240 12/7 4:11 104.300 0.19%
Trade id #132665408
Max drawdown($54)
Time12/7/20 3:46
Quant open10
Worst price104.183
Drawdown as % of equity-0.19%
 $58
12/2/20 3:01 USD/JPY USD/JPY LONG 12 104.516 12/2 3:59 104.630 0%
Trade id #132585331
Max drawdown($1)
Time12/2/20 3:04
Quant open12
Worst price104.515
Drawdown as % of equity-0.00%
 $131
12/1/20 9:57 @MESZ0 MICRO E-MINI S&P 500 LONG 4 3660.00 12/2 2:09 3656.25 1.31%
Trade id #132567647
Max drawdown($345)
Time12/1/20 20:05
Quant open4
Worst price3642.75
Drawdown as % of equity-1.31%
 ($79)
Includes Typical Broker Commissions trade costs of $3.76
12/1/20 9:53 USD/JPY USD/JPY LONG 12 104.453 12/1 10:18 104.551 0.17%
Trade id #132567482
Max drawdown($46)
Time12/1/20 9:56
Quant open12
Worst price104.413
Drawdown as % of equity-0.17%
 $113
9/23/20 15:34 EUR/GBP EUR/GBP LONG 10 0.91675 11/24 11:44 0.88971 12.97%
Trade id #131324171
Max drawdown($4,096)
Time11/11/20 0:00
Quant open10
Worst price0.88610
Drawdown as % of equity-12.97%
 ($3,609)
11/13/20 12:32 @MNQZ0 MICRO E-MINI NASDAQ 100 LONG 3 11905.67 11/23 22:35 11937.50 1.18%
Trade id #132251183
Max drawdown($404)
Time11/19/20 0:00
Quant open2
Worst price11804.50
Drawdown as % of equity-1.18%
 $188
Includes Typical Broker Commissions trade costs of $2.82
11/6/20 8:19 @SBH1 Sugar #11 SHORT 2 14.67 11/18 5:03 15.50 6.75%
Trade id #132112810
Max drawdown($2,217)
Time11/17/20 0:00
Quant open2
Worst price15.66
Drawdown as % of equity-6.75%
 ($1,875)
Includes Typical Broker Commissions trade costs of $16.00
11/17/20 3:16 USD/JPY USD/JPY SHORT 20 104.379 11/17 4:18 104.264 0.13%
Trade id #132292769
Max drawdown($46)
Time11/17/20 3:25
Quant open20
Worst price104.403
Drawdown as % of equity-0.13%
 $221
11/16/20 9:46 @MESZ0 MICRO E-MINI S&P 500 LONG 3 3608.00 11/16 14:28 3610.25 0.49%
Trade id #132275590
Max drawdown($168)
Time11/16/20 9:54
Quant open3
Worst price3596.75
Drawdown as % of equity-0.49%
 $31
Includes Typical Broker Commissions trade costs of $2.82
11/13/20 10:57 @MESZ0 MICRO E-MINI S&P 500 LONG 3 3550.00 11/15 22:18 3608.50 n/a $875
Includes Typical Broker Commissions trade costs of $2.82
11/13/20 10:54 @MESH1 MICRO E-MINI S&P 500 LONG 5 3547.00 11/13 16:01 3572.25 0.51%
Trade id #132247600
Max drawdown($193)
Time11/13/20 10:57
Quant open5
Worst price3539.25
Drawdown as % of equity-0.51%
 $626
Includes Typical Broker Commissions trade costs of $4.70
11/13/20 8:20 USD/JPY USD/JPY SHORT 25 104.905 11/13 8:55 104.705 0.03%
Trade id #132242871
Max drawdown($11)
Time11/13/20 8:34
Quant open25
Worst price104.910
Drawdown as % of equity-0.03%
 $478
11/11/20 10:01 @MESH1 MICRO E-MINI S&P 500 LONG 5 3545.50 11/13 4:20 3548.50 3.12%
Trade id #132199736
Max drawdown($1,037)
Time11/12/20 0:00
Quant open5
Worst price3504.00
Drawdown as % of equity-3.12%
 $70
Includes Typical Broker Commissions trade costs of $4.70
11/11/20 12:01 @MNQZ0 MICRO E-MINI NASDAQ 100 LONG 1 11859.00 11/12 14:02 11870.00 0.46%
Trade id #132203303
Max drawdown($154)
Time11/11/20 22:39
Quant open1
Worst price11782.00
Drawdown as % of equity-0.46%
 $21
Includes Typical Broker Commissions trade costs of $0.94
11/11/20 14:19 USD/JPY USD/JPY LONG 10 105.519 11/12 2:02 105.250 1.02%
Trade id #132206033
Max drawdown($350)
Time11/12/20 1:15
Quant open10
Worst price105.150
Drawdown as % of equity-1.02%
 ($256)
11/11/20 3:51 USD/JPY USD/JPY LONG 8 105.493 11/11 10:02 105.570 0.3%
Trade id #132193085
Max drawdown($93)
Time11/11/20 5:10
Quant open8
Worst price105.370
Drawdown as % of equity-0.30%
 $58
11/9/20 9:34 @MNQZ0 MICRO E-MINI NASDAQ 100 LONG 3 12102.75 11/9 12:01 12130.58 1.02%
Trade id #132149040
Max drawdown($360)
Time11/9/20 9:42
Quant open3
Worst price12042.80
Drawdown as % of equity-1.02%
 $164
Includes Typical Broker Commissions trade costs of $2.82
11/5/20 6:11 USD/CHF USD/CHF LONG 10 0.90780 11/9 11:24 0.91258 2.51%
Trade id #132087134
Max drawdown($1,045)
Time11/6/20 0:00
Quant open10
Worst price0.89825
Drawdown as % of equity-2.51%
 $524
11/9/20 7:00 QNGZ0 Natural Gas LONG 1 2.879 11/9 7:02 2.881 n/a $12
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    9/16/2020
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1319.91
  • Age
    44 months ago
  • What it trades
    Futures, Forex
  • # Trades
    108
  • # Profitable
    74
  • % Profitable
    68.50%
  • Avg trade duration
    29.4 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Nov 03, 2022 - Nov 16, 2022
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $572.69
  • Avg loss
    $3,127
  • Model Account Values (Raw)
  • Cash
    $43,148
  • Margin Used
    $6,021
  • Buying Power
    ($11,523)
  • Ratios
  • W:L ratio
    0.40:1
  • Sharpe Ratio
    0.74
  • Sortino Ratio
    3.05
  • Calmar Ratio
    -0.954
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -181.43%
  • Correlation to SP500
    -0.22170
  • Return Percent SP500 (cumu) during strategy life
    50.64%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.49%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.96%
  • 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)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.51%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • 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)
    58.00%
  • Chance of 90% account loss (Monte Carlo)
    8.50%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • 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
    $3,127
  • Avg Win
    $573
  • Sum Trade PL (losers)
    $106,319.000
  • Age
  • Num Months filled monthly returns table
    19
  • Win / Loss
  • Sum Trade PL (winners)
    $42,379.000
  • # Winners
    74
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    34
  • % Winners
    68.5%
  • Frequency
  • Avg Position Time (mins)
    42296.10
  • Avg Position Time (hrs)
    704.93
  • Avg Trade Length
    29.4 days
  • Last Trade Ago
    1159
  • Leverage
  • Daily leverage (average)
    20.02
  • Daily leverage (max)
    46.77
  • Regression
  • Alpha
    0.00
  • Beta
    -2.52
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.59
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    -2.818
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    1.175
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.073
  • Hold-and-Hope Ratio
    -0.516
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1260.29000
  • SD
    1404.21000
  • Sharpe ratio (Glass type estimate)
    0.89751
  • Sharpe ratio (Hedges UMVUE)
    0.88097
  • df
    41.00000
  • t
    1.67908
  • p
    0.05037
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17316
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95765
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18388
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94583
  • Statistics related to Sortino ratio
  • Sortino ratio
    860.99900
  • Upside Potential Ratio
    862.80500
  • Upside part of mean
    1262.93000
  • Downside part of mean
    -2.64254
  • Upside SD
    1434.30000
  • Downside SD
    1.46375
  • N nonnegative terms
    16.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.09723
  • Mean of criterion
    1260.29000
  • SD of predictor
    0.13711
  • SD of criterion
    1404.21000
  • Covariance
    -75.94790
  • r
    -0.39447
  • b (slope, estimate of beta)
    -4039.99000
  • a (intercept, estimate of alpha)
    1653.12000
  • Mean Square Error
    1706600.00000
  • DF error
    40.00000
  • t(b)
    -2.71503
  • p(b)
    0.99513
  • t(a)
    2.31816
  • p(a)
    0.01282
  • Lowerbound of 95% confidence interval for beta
    -7047.37000
  • Upperbound of 95% confidence interval for beta
    -1032.61000
  • Lowerbound of 95% confidence interval for alpha
    211.85600
  • Upperbound of 95% confidence interval for alpha
    3094.38000
  • Treynor index (mean / b)
    -0.31195
  • Jensen alpha (a)
    1653.12000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.11927
  • SD
    12.00070
  • Sharpe ratio (Glass type estimate)
    -0.25993
  • Sharpe ratio (Hedges UMVUE)
    -0.25514
  • df
    41.00000
  • t
    -0.48628
  • p
    0.68532
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.30751
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.79076
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.30423
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.79396
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.33419
  • Upside Potential Ratio
    1.04369
  • Upside part of mean
    9.74159
  • Downside part of mean
    -12.86090
  • Upside SD
    7.36737
  • Downside SD
    9.33379
  • N nonnegative terms
    16.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.08757
  • Mean of criterion
    -3.11927
  • SD of predictor
    0.13642
  • SD of criterion
    12.00070
  • Covariance
    -0.47305
  • r
    -0.28894
  • b (slope, estimate of beta)
    -25.41720
  • a (intercept, estimate of alpha)
    -0.89353
  • Mean Square Error
    135.29200
  • DF error
    40.00000
  • t(b)
    -1.90885
  • p(b)
    0.96826
  • t(a)
    -0.14125
  • p(a)
    0.55581
  • Lowerbound of 95% confidence interval for beta
    -52.32860
  • Upperbound of 95% confidence interval for beta
    1.49426
  • Lowerbound of 95% confidence interval for alpha
    -13.67820
  • Upperbound of 95% confidence interval for alpha
    11.89120
  • Treynor index (mean / b)
    0.12272
  • Jensen alpha (a)
    -0.89353
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99742
  • Expected Shortfall on VaR
    0.99899
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.57904
  • Expected Shortfall on VaR
    1.06376
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    42.00000
  • Minimum
    0.00006
  • Quartile 1
    0.71623
  • Median
    1.00000
  • Quartile 3
    1.33012
  • Maximum
    1924.00000
  • Mean of quarter 1
    0.21806
  • Mean of quarter 2
    0.94130
  • Mean of quarter 3
    1.06691
  • Mean of quarter 4
    402.78500
  • Inter Quartile Range
    0.61389
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    631.97600
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -6.97040
  • VaR(95%) (moments method)
    0.63026
  • Expected Shortfall (moments method)
    0.63026
  • Extreme Value Index (regression method)
    -4.22161
  • VaR(95%) (regression method)
    0.75299
  • Expected Shortfall (regression method)
    0.75338
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99998
  • Quartile 1
    0.99998
  • Median
    0.99998
  • Quartile 3
    0.99998
  • Maximum
    0.99998
  • 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)
    -0.28571
  • Compounded annual return (geometric extrapolation)
    -0.95456
  • Calmar ratio (compounded annual return / max draw down)
    -0.95458
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.95552
  • 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
    3619.44000
  • SD
    1917.27000
  • Sharpe ratio (Glass type estimate)
    1.88781
  • Sharpe ratio (Hedges UMVUE)
    1.88627
  • df
    918.00000
  • t
    3.53562
  • p
    0.00021
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.83727
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.93739
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.83621
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.93632
  • Statistics related to Sortino ratio
  • Sortino ratio
    1176.99000
  • Upside Potential Ratio
    1182.16000
  • Upside part of mean
    3635.35000
  • Downside part of mean
    -15.91370
  • Upside SD
    1929.23000
  • Downside SD
    3.07517
  • N nonnegative terms
    269.00000
  • N negative terms
    650.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    919.00000
  • Mean of predictor
    0.10382
  • Mean of criterion
    3619.44000
  • SD of predictor
    0.17258
  • SD of criterion
    1917.27000
  • Covariance
    -36.06930
  • r
    -0.10901
  • b (slope, estimate of beta)
    -1210.97000
  • a (intercept, estimate of alpha)
    3745.16000
  • Mean Square Error
    3636200.00000
  • DF error
    917.00000
  • t(b)
    -3.32073
  • p(b)
    0.99953
  • t(a)
    3.67582
  • p(a)
    0.00013
  • Lowerbound of 95% confidence interval for beta
    -1926.66000
  • Upperbound of 95% confidence interval for beta
    -495.28600
  • Lowerbound of 95% confidence interval for alpha
    1745.58000
  • Upperbound of 95% confidence interval for alpha
    5744.74000
  • Treynor index (mean / b)
    -2.98887
  • Jensen alpha (a)
    3745.16000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.11254
  • SD
    21.72810
  • Sharpe ratio (Glass type estimate)
    -0.14325
  • Sharpe ratio (Hedges UMVUE)
    -0.14313
  • df
    918.00000
  • t
    -0.26829
  • p
    0.60573
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18974
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.90331
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18966
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90339
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.19978
  • Upside Potential Ratio
    3.04570
  • Upside part of mean
    47.45260
  • Downside part of mean
    -50.56510
  • Upside SD
    15.12920
  • Downside SD
    15.58020
  • N nonnegative terms
    269.00000
  • N negative terms
    650.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    919.00000
  • Mean of predictor
    0.08891
  • Mean of criterion
    -3.11254
  • SD of predictor
    0.17271
  • SD of criterion
    21.72810
  • Covariance
    -0.65367
  • r
    -0.17419
  • b (slope, estimate of beta)
    -21.91490
  • a (intercept, estimate of alpha)
    -1.16420
  • Mean Square Error
    458.28600
  • DF error
    917.00000
  • t(b)
    -5.35675
  • p(b)
    1.00000
  • t(a)
    -0.10180
  • p(a)
    0.54053
  • Lowerbound of 95% confidence interval for beta
    -29.94380
  • Upperbound of 95% confidence interval for beta
    -13.88590
  • Lowerbound of 95% confidence interval for alpha
    -23.60830
  • Upperbound of 95% confidence interval for alpha
    21.27990
  • Treynor index (mean / b)
    0.14203
  • Jensen alpha (a)
    -1.16420
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.89138
  • Expected Shortfall on VaR
    0.93151
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.17060
  • Expected Shortfall on VaR
    0.36706
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    919.00000
  • Minimum
    0.00033
  • Quartile 1
    0.96973
  • Median
    1.00000
  • Quartile 3
    1.01345
  • Maximum
    1789.17000
  • Mean of quarter 1
    0.76401
  • Mean of quarter 2
    0.99360
  • Mean of quarter 3
    1.00123
  • Mean of quarter 4
    56.44010
  • Inter Quartile Range
    0.04372
  • Number outliers low
    115.00000
  • Percentage of outliers low
    0.12514
  • Mean of outliers low
    0.58525
  • Number of outliers high
    126.00000
  • Percentage of outliers high
    0.13711
  • Mean of outliers high
    102.16600
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.98267
  • VaR(95%) (moments method)
    0.20267
  • Expected Shortfall (moments method)
    12.50570
  • Extreme Value Index (regression method)
    -0.60696
  • VaR(95%) (regression method)
    0.14778
  • Expected Shortfall (regression method)
    0.17453
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99998
  • Quartile 1
    0.99998
  • Median
    0.99998
  • Quartile 3
    0.99998
  • Maximum
    0.99998
  • 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)
    -0.28509
  • Compounded annual return (geometric extrapolation)
    -0.95425
  • Calmar ratio (compounded annual return / max draw down)
    -0.95427
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.02442
  • 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
    1187.21000
  • SD
    656.40000
  • Sharpe ratio (Glass type estimate)
    1.80866
  • Sharpe ratio (Hedges UMVUE)
    1.79821
  • df
    130.00000
  • t
    1.27892
  • p
    0.44427
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97524
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.58579
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.98220
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.57862
  • Statistics related to Sortino ratio
  • Sortino ratio
    595.04800
  • Upside Potential Ratio
    597.06200
  • Upside part of mean
    1191.22000
  • Downside part of mean
    -4.01713
  • Upside SD
    657.98700
  • Downside SD
    1.99514
  • N nonnegative terms
    3.00000
  • N negative terms
    128.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30484
  • Mean of criterion
    1187.21000
  • SD of predictor
    0.12570
  • SD of criterion
    656.40000
  • Covariance
    -8.67047
  • r
    -0.10509
  • b (slope, estimate of beta)
    -548.78800
  • a (intercept, estimate of alpha)
    1354.50000
  • Mean Square Error
    429405.00000
  • DF error
    129.00000
  • t(b)
    -1.20022
  • p(b)
    0.56678
  • t(a)
    1.44535
  • p(a)
    0.41985
  • Lowerbound of 95% confidence interval for beta
    -1453.45000
  • Upperbound of 95% confidence interval for beta
    355.87000
  • Lowerbound of 95% confidence interval for alpha
    -499.66300
  • Upperbound of 95% confidence interval for alpha
    3208.66000
  • Treynor index (mean / b)
    -2.16332
  • Jensen alpha (a)
    1354.50000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    16.48720
  • Sharpe ratio (Glass type estimate)
    -0.00169
  • Sharpe ratio (Hedges UMVUE)
    -0.00168
  • df
    130.00000
  • t
    -0.00120
  • p
    0.50005
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.77350
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77012
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.77349
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77012
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.00233
  • Upside Potential Ratio
    1.99962
  • Upside part of mean
    23.92930
  • Downside part of mean
    -23.95730
  • Upside SD
    11.24910
  • Downside SD
    11.96700
  • N nonnegative terms
    3.00000
  • N negative terms
    128.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.29681
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.12557
  • SD of criterion
    16.48720
  • Covariance
    -0.27879
  • r
    -0.13467
  • b (slope, estimate of beta)
    -17.68170
  • a (intercept, estimate of alpha)
    5.22020
  • Mean Square Error
    268.96600
  • DF error
    129.00000
  • t(b)
    -1.54357
  • p(b)
    0.58547
  • t(a)
    0.22269
  • p(a)
    0.48752
  • VAR (95 Confidence Intrvl)
    0.89100
  • Lowerbound of 95% confidence interval for beta
    -40.34580
  • Upperbound of 95% confidence interval for beta
    4.98242
  • Lowerbound of 95% confidence interval for alpha
    -41.15890
  • Upperbound of 95% confidence interval for alpha
    51.59930
  • Treynor index (mean / b)
    0.00158
  • Jensen alpha (a)
    5.22020
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.81279
  • Expected Shortfall on VaR
    0.87008
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05251
  • Expected Shortfall on VaR
    0.11872
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00228
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    439.33300
  • Mean of quarter 1
    0.93955
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    19.04880
  • Inter Quartile Range
    0.00000
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.00254
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    199.53700
  • 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)
    -11.90700
  • VaR(95%) (regression method)
    -249979.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99772
  • Quartile 1
    0.99772
  • Median
    0.99772
  • Quartile 3
    0.99772
  • Maximum
    0.99772
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -342563000
  • Max Equity Drawdown (num days)
    13
  • 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

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-09-16
Suggested Minimum Capital
$25,000
# Trades
108
# Profitable
74
% Profitable
68.5%
Correlation S&P500
-0.222
Sharpe Ratio
0.74
Sortino Ratio
3.05
Beta
-2.52
Alpha
0.00
Leverage
20.02 Average
46.77 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#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.