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This is an archived track record. This track record was archived on 1/21/20 11:01 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

PxV C2Star
(126279934)

Created by: Pavel__PxV Pavel__PxV
Started: 11/2019
Forex
Last trade: 1,395 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 $125.00 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.

-9.2%
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
33
Num Trades
51.5%
Win Trades
0.3 : 1
Profit Factor
47.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                      +1.6%(3.1%)(1.5%)
2020+37.4%+19.0%+59.5%(52.7%)(20.6%)+2.3%+40.8%+15.0%(12.5%)+0.3%+9.5%+17.6%+83.2%
2021(5.1%)(2.9%)(14.4%)+17.0%+6.6%(16.2%)+1.2%(4.2%)(5.7%)(7.6%)(16.2%)+4.1%(39.4%)
2022(8.8%)+2.6%(17.1%)(47.8%)+2.6%(6.6%)(56%)(100.3%)(42317.2%)(54.6%)(380.7%)+73.1%(50.4%)
2023+27.7%(26.5%)+40.1%+14.7%(31.8%)+31.0%+19.8%(25.6%)(28.7%)(2.9%)+61.1%+14.8%+53.8%
2024(21.2%)+2.7%(2.9%)                                                      (21.4%)

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/20/20 5:43 EUR/AUD EUR/AUD LONG 70 1.61502 6/2 21:01 1.60843 7.77%
Trade id #127097774
Max drawdown($3,019)
Time2/13/20 0:00
Quant open70
Worst price1.60860
Drawdown as % of equity-7.77%
($3,204)
1/17/20 0:50 EUR/USD EUR/USD LONG 40 1.11248 1/20 4:24 1.10872 3.47%
Trade id #127057357
Max drawdown($1,700)
Time1/20/20 4:07
Quant open40
Worst price1.10823
Drawdown as % of equity-3.47%
($1,504)
1/16/20 8:57 AUD/USD AUD/USD SHORT 40 0.69124 1/17 10:46 0.68900 0.1%
Trade id #127034768
Max drawdown($48)
Time1/16/20 9:17
Quant open10
Worst price0.69264
Drawdown as % of equity-0.10%
$893
1/16/20 9:09 USD/JPY USD/JPY LONG 60 110.031 1/16 11:30 110.167 0.84%
Trade id #127034892
Max drawdown($408)
Time1/16/20 10:04
Quant open60
Worst price109.956
Drawdown as % of equity-0.84%
$741
1/16/20 8:33 EUR/USD EUR/USD LONG 1 1.11569 1/16 8:33 1.11562 0%
Trade id #127034534
Max drawdown($1)
Time1/16/20 8:33
Quant open1
Worst price1.11562
Drawdown as % of equity-0.00%
($1)
1/15/20 1:31 GBP/USD GBP/USD LONG 20 1.30256 1/16 8:33 1.30566 1.72%
Trade id #127003885
Max drawdown($823)
Time1/15/20 4:31
Quant open20
Worst price1.29845
Drawdown as % of equity-1.72%
$619
1/9/20 4:19 GBP/USD GBP/USD LONG 14 1.30546 1/10 15:15 1.30558 1.2%
Trade id #126926530
Max drawdown($576)
Time1/9/20 6:48
Quant open14
Worst price1.30135
Drawdown as % of equity-1.20%
$16
1/8/20 8:16 EUR/USD EUR/USD SHORT 45 1.11188 1/10 15:15 1.11209 1.14%
Trade id #126910886
Max drawdown($540)
Time1/8/20 10:13
Quant open45
Worst price1.11308
Drawdown as % of equity-1.14%
($95)
1/7/20 10:05 EUR/USD EUR/USD LONG 10 1.11503 1/7 10:23 1.11389 0.22%
Trade id #126898078
Max drawdown($107)
Time1/7/20 10:23
Quant open10
Worst price1.11396
Drawdown as % of equity-0.22%
($114)
1/7/20 3:53 EUR/USD EUR/USD LONG 35 1.11854 1/7 10:00 1.11426 2.79%
Trade id #126893290
Max drawdown($1,362)
Time1/7/20 9:54
Quant open35
Worst price1.11465
Drawdown as % of equity-2.79%
($1,499)
1/7/20 3:53 USD/CAD USD/CAD SHORT 15 1.29883 1/7 9:53 1.30181 0.82%
Trade id #126893294
Max drawdown($399)
Time1/7/20 9:47
Quant open15
Worst price1.30229
Drawdown as % of equity-0.82%
($344)
1/3/20 11:44 EUR/USD EUR/USD SHORT 20 1.11736 1/3 15:57 1.11604 0.07%
Trade id #126855551
Max drawdown($36)
Time1/3/20 11:56
Quant open20
Worst price1.11754
Drawdown as % of equity-0.07%
$264
1/2/20 9:54 USD/CAD USD/CAD LONG 25 1.29999 1/3 15:57 1.29914 1.5%
Trade id #126831446
Max drawdown($744)
Time1/3/20 0:00
Quant open25
Worst price1.29612
Drawdown as % of equity-1.50%
($164)
12/31/19 3:22 EUR/USD EUR/USD SHORT 10 1.12062 1/2/20 13:17 1.11639 0.67%
Trade id #126798071
Max drawdown($331)
Time12/31/19 9:03
Quant open10
Worst price1.12393
Drawdown as % of equity-0.67%
$423
12/31/19 5:17 USD/CAD USD/CAD LONG 10 1.30298 12/31 10:29 1.29750 0.71%
Trade id #126798453
Max drawdown($352)
Time12/31/19 10:29
Quant open10
Worst price1.29840
Drawdown as % of equity-0.71%
($422)
12/19/19 0:30 AUD/USD AUD/USD SHORT 25 0.68859 12/24 0:38 0.69192 2.14%
Trade id #126678393
Max drawdown($1,071)
Time12/23/19 0:00
Quant open25
Worst price0.69287
Drawdown as % of equity-2.14%
($834)
12/20/19 9:11 EUR/USD EUR/USD SHORT 15 1.10864 12/20 12:54 1.10728 0.05%
Trade id #126701272
Max drawdown($24)
Time12/20/19 10:35
Quant open15
Worst price1.10880
Drawdown as % of equity-0.05%
$204
12/18/19 6:15 USD/CAD USD/CAD LONG 15 1.31483 12/20 12:53 1.31616 1.05%
Trade id #126666469
Max drawdown($525)
Time12/18/19 11:07
Quant open15
Worst price1.31024
Drawdown as % of equity-1.05%
$152
12/18/19 9:08 GBP/CAD GBP/CAD LONG 5 1.71755 12/19 2:45 1.72004 0.39%
Trade id #126667530
Max drawdown($196)
Time12/18/19 11:38
Quant open5
Worst price1.71240
Drawdown as % of equity-0.39%
$95
12/18/19 2:05 EUR/USD EUR/USD SHORT 15 1.11373 12/18 10:50 1.11327 0.16%
Trade id #126665032
Max drawdown($79)
Time12/18/19 4:21
Quant open15
Worst price1.11426
Drawdown as % of equity-0.16%
$69
12/13/19 4:45 EUR/USD EUR/USD SHORT 25 1.11783 12/13 13:54 1.11198 0.4%
Trade id #126609920
Max drawdown($195)
Time12/13/19 6:21
Quant open25
Worst price1.11861
Drawdown as % of equity-0.40%
$1,463
12/12/19 17:28 EUR/USD EUR/USD LONG 15 1.11920 12/12 17:52 1.11826 0.23%
Trade id #126606426
Max drawdown($111)
Time12/12/19 17:51
Quant open15
Worst price1.11846
Drawdown as % of equity-0.23%
($141)
12/12/19 8:53 EUR/USD EUR/USD SHORT 10 1.11399 12/12 17:17 1.11756 0.77%
Trade id #126593411
Max drawdown($379)
Time12/12/19 17:03
Quant open10
Worst price1.11778
Drawdown as % of equity-0.77%
($357)
12/11/19 14:52 EUR/USD EUR/USD SHORT 20 1.11341 12/12 7:04 1.11324 0.43%
Trade id #126584637
Max drawdown($214)
Time12/11/19 15:09
Quant open20
Worst price1.11448
Drawdown as % of equity-0.43%
$34
12/2/19 10:07 EUR/USD EUR/USD SHORT 24 1.10880 12/11 14:50 1.11267 1.52%
Trade id #126440561
Max drawdown($758)
Time12/11/19 14:50
Quant open17
Worst price1.11326
Drawdown as % of equity-1.52%
($929)
12/2/19 10:08 AUD/USD AUD/USD SHORT 7 0.68046 12/10 0:22 0.68250 0.8%
Trade id #126440598
Max drawdown($402)
Time12/3/19 0:00
Quant open7
Worst price0.68621
Drawdown as % of equity-0.80%
($143)
12/4/19 5:08 GBP/USD GBP/USD SHORT 5 1.30461 12/6 15:41 1.31350 1.2%
Trade id #126473743
Max drawdown($600)
Time12/5/19 0:00
Quant open5
Worst price1.31662
Drawdown as % of equity-1.20%
($445)
11/21/19 23:40 AUD/USD AUD/USD SHORT 10 0.67871 11/29 9:58 0.67664 0.32%
Trade id #126317252
Max drawdown($161)
Time11/22/19 0:00
Quant open10
Worst price0.68032
Drawdown as % of equity-0.32%
$207
11/20/19 5:30 EUR/USD EUR/USD SHORT 15 1.10814 11/29 6:40 1.10425 0.33%
Trade id #126280617
Max drawdown($163)
Time11/21/19 0:00
Quant open5
Worst price1.10970
Drawdown as % of equity-0.33%
$584
11/25/19 10:22 GBP/USD GBP/USD SHORT 5 1.29070 11/26 1:04 1.28966 0.02%
Trade id #126353510
Max drawdown($8)
Time11/25/19 10:23
Quant open5
Worst price1.29087
Drawdown as % of equity-0.02%
$52

Statistics

  • Strategy began
    11/20/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1589.62
  • Age
    53 months ago
  • What it trades
    Forex
  • # Trades
    33
  • # Profitable
    17
  • % Profitable
    51.50%
  • Avg trade duration
    52.3 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Sept 19, 2022 - Sept 29, 2022
  • Annual Return (Compounded)
    -9.2%
  • Avg win
    $350.29
  • Avg loss
    $1,416
  • Model Account Values (Raw)
  • Cash
    $45,761
  • Margin Used
    $12,976
  • Buying Power
    $26,553
  • Ratios
  • W:L ratio
    0.26:1
  • Sharpe Ratio
    0.23
  • Sortino Ratio
    0.42
  • Calmar Ratio
    -0.342
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -103.21%
  • Correlation to SP500
    0.08710
  • Return Percent SP500 (cumu) during strategy life
    68.93%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    -9.2%
  • Slump
  • Current Slump as Pcnt Equity
    314.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.92%
  • 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)
    -0.092%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -8.9%
  • Automation
  • Percentage Signals Automated
    n/a
  • 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
    $1,417
  • Avg Win
    $350
  • Sum Trade PL (losers)
    $22,668.000
  • Age
  • Num Months filled monthly returns table
    34
  • Win / Loss
  • Sum Trade PL (winners)
    $5,955.000
  • # Winners
    17
  • Num Months Winners
    16
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    16
  • % Winners
    51.5%
  • Frequency
  • Avg Position Time (mins)
    75250.80
  • Avg Position Time (hrs)
    1254.18
  • Avg Trade Length
    52.3 days
  • Last Trade Ago
    1527
  • Leverage
  • Daily leverage (average)
    5.99
  • Daily leverage (max)
    18.05
  • Regression
  • Alpha
    0.00
  • Beta
    0.88
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.02
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -5.103
  • 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
    0.682
  • Avg(MAE) / Avg(PL) - Losing trades
    -3.485
  • Hold-and-Hope Ratio
    -1.055
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62791
  • SD
    1.81413
  • Sharpe ratio (Glass type estimate)
    0.34612
  • Sharpe ratio (Hedges UMVUE)
    0.31938
  • df
    10.00000
  • t
    0.33138
  • p
    0.37360
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.71494
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.39029
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.73251
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.37127
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.69378
  • Upside Potential Ratio
    2.47644
  • Upside part of mean
    2.24131
  • Downside part of mean
    -1.61341
  • Upside SD
    1.48513
  • Downside SD
    0.90505
  • N nonnegative terms
    6.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.34151
  • Mean of criterion
    0.62791
  • SD of predictor
    0.30104
  • SD of criterion
    1.81413
  • Covariance
    0.02170
  • r
    0.03973
  • b (slope, estimate of beta)
    0.23943
  • a (intercept, estimate of alpha)
    0.54614
  • Mean Square Error
    3.65097
  • DF error
    9.00000
  • t(b)
    0.11929
  • p(b)
    0.45383
  • t(a)
    0.25881
  • p(a)
    0.40080
  • Lowerbound of 95% confidence interval for beta
    -4.30102
  • Upperbound of 95% confidence interval for beta
    4.77987
  • Lowerbound of 95% confidence interval for alpha
    -4.22736
  • Upperbound of 95% confidence interval for alpha
    5.31964
  • Treynor index (mean / b)
    2.62255
  • Jensen alpha (a)
    0.54614
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.87265
  • SD
    1.96801
  • Sharpe ratio (Glass type estimate)
    -0.44342
  • Sharpe ratio (Hedges UMVUE)
    -0.40916
  • df
    10.00000
  • t
    -0.42454
  • p
    0.65992
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.48869
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62348
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.46411
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64579
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.53616
  • Upside Potential Ratio
    0.99364
  • Upside part of mean
    1.61725
  • Downside part of mean
    -2.48990
  • Upside SD
    0.96714
  • Downside SD
    1.62760
  • N nonnegative terms
    6.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.29697
  • Mean of criterion
    -0.87265
  • SD of predictor
    0.29342
  • SD of criterion
    1.96801
  • Covariance
    0.15327
  • r
    0.26542
  • b (slope, estimate of beta)
    1.78024
  • a (intercept, estimate of alpha)
    -1.40132
  • Mean Square Error
    4.00025
  • DF error
    9.00000
  • t(b)
    0.82589
  • p(b)
    0.21511
  • t(a)
    -0.64138
  • p(a)
    0.73137
  • Lowerbound of 95% confidence interval for beta
    -3.09594
  • Upperbound of 95% confidence interval for beta
    6.65641
  • Lowerbound of 95% confidence interval for alpha
    -6.34385
  • Upperbound of 95% confidence interval for alpha
    3.54121
  • Treynor index (mean / b)
    -0.49019
  • Jensen alpha (a)
    -1.40132
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.63476
  • Expected Shortfall on VaR
    0.70607
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.29330
  • Expected Shortfall on VaR
    0.56570
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.22451
  • Quartile 1
    0.83999
  • Median
    1.00860
  • Quartile 3
    1.15191
  • Maximum
    2.37259
  • Mean of quarter 1
    0.58319
  • Mean of quarter 2
    0.93058
  • Mean of quarter 3
    1.10496
  • Mean of quarter 4
    1.61666
  • Inter Quartile Range
    0.31192
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.22451
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    2.37259
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.32540
  • VaR(95%) (moments method)
    0.42919
  • Expected Shortfall (moments method)
    0.54309
  • Extreme Value Index (regression method)
    1.27063
  • VaR(95%) (regression method)
    0.82621
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.08382
  • Quartile 1
    0.27822
  • Median
    0.47262
  • Quartile 3
    0.66702
  • Maximum
    0.86141
  • Mean of quarter 1
    0.08382
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.86141
  • Inter Quartile Range
    0.38880
  • 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)
    -0.58800
  • Compounded annual return (geometric extrapolation)
    -0.57033
  • Calmar ratio (compounded annual return / max draw down)
    -0.66209
  • Compounded annual return / average of 25% largest draw downs
    -0.66209
  • Compounded annual return / Expected Shortfall lognormal
    -0.80776
  • 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
    7733.84000
  • SD
    7627.92000
  • Sharpe ratio (Glass type estimate)
    1.01389
  • Sharpe ratio (Hedges UMVUE)
    1.01089
  • df
    254.00000
  • t
    1.00025
  • p
    0.15907
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97575
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.00153
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97774
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.99952
  • Statistics related to Sortino ratio
  • Sortino ratio
    3782.72000
  • Upside Potential Ratio
    3788.19000
  • Upside part of mean
    7745.02000
  • Downside part of mean
    -11.17870
  • Upside SD
    7627.92000
  • Downside SD
    2.04452
  • N nonnegative terms
    125.00000
  • N negative terms
    130.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    255.00000
  • Mean of predictor
    0.60091
  • Mean of criterion
    7733.84000
  • SD of predictor
    0.42752
  • SD of criterion
    7627.92000
  • Covariance
    475.15200
  • r
    0.14570
  • b (slope, estimate of beta)
    2599.68000
  • a (intercept, estimate of alpha)
    6171.66000
  • Mean Square Error
    57175000.00000
  • DF error
    253.00000
  • t(b)
    2.34256
  • p(b)
    0.00996
  • t(a)
    0.80220
  • p(a)
    0.21160
  • Lowerbound of 95% confidence interval for beta
    414.13000
  • Upperbound of 95% confidence interval for beta
    4785.23000
  • Lowerbound of 95% confidence interval for alpha
    -8979.71000
  • Upperbound of 95% confidence interval for alpha
    21323.00000
  • Treynor index (mean / b)
    2.97492
  • Jensen alpha (a)
    6171.66000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.44628
  • SD
    11.67770
  • Sharpe ratio (Glass type estimate)
    -0.03822
  • Sharpe ratio (Hedges UMVUE)
    -0.03810
  • df
    254.00000
  • t
    -0.03770
  • p
    0.51502
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.02490
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94847
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.02479
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94858
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.06309
  • Upside Potential Ratio
    2.76243
  • Upside part of mean
    19.53930
  • Downside part of mean
    -19.98560
  • Upside SD
    9.26309
  • Downside SD
    7.07322
  • N nonnegative terms
    125.00000
  • N negative terms
    130.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    255.00000
  • Mean of predictor
    0.51028
  • Mean of criterion
    -0.44628
  • SD of predictor
    0.42419
  • SD of criterion
    11.67770
  • Covariance
    1.15157
  • r
    0.23247
  • b (slope, estimate of beta)
    6.39986
  • a (intercept, estimate of alpha)
    -3.71203
  • Mean Square Error
    129.50900
  • DF error
    253.00000
  • t(b)
    3.80186
  • p(b)
    0.00009
  • t(a)
    -0.32091
  • p(a)
    0.62573
  • Lowerbound of 95% confidence interval for beta
    3.08470
  • Upperbound of 95% confidence interval for beta
    9.71502
  • Lowerbound of 95% confidence interval for alpha
    -26.49250
  • Upperbound of 95% confidence interval for alpha
    19.06840
  • Treynor index (mean / b)
    -0.06973
  • Jensen alpha (a)
    -3.71203
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.69529
  • Expected Shortfall on VaR
    0.76733
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09672
  • Expected Shortfall on VaR
    0.21404
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    255.00000
  • Minimum
    0.00223
  • Quartile 1
    0.96797
  • Median
    1.00000
  • Quartile 3
    1.03335
  • Maximum
    7526.33000
  • Mean of quarter 1
    0.84074
  • Mean of quarter 2
    0.98948
  • Mean of quarter 3
    1.01202
  • Mean of quarter 4
    118.77100
  • Inter Quartile Range
    0.06538
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.07059
  • Mean of outliers low
    0.63028
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.09804
  • Mean of outliers high
    302.38900
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.58131
  • VaR(95%) (moments method)
    0.13477
  • Expected Shortfall (moments method)
    0.37015
  • Extreme Value Index (regression method)
    0.38261
  • VaR(95%) (regression method)
    0.14624
  • Expected Shortfall (regression method)
    0.29993
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00038
  • Quartile 1
    0.02373
  • Median
    0.10632
  • Quartile 3
    0.27918
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00354
  • Mean of quarter 2
    0.07354
  • Mean of quarter 3
    0.11704
  • Mean of quarter 4
    0.72066
  • Inter Quartile Range
    0.25545
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.99999
  • 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)
    -0.34367
  • Compounded annual return (geometric extrapolation)
    -0.34188
  • Calmar ratio (compounded annual return / max draw down)
    -0.34189
  • Compounded annual return / average of 25% largest draw downs
    -0.47441
  • Compounded annual return / Expected Shortfall lognormal
    -0.44555
  • 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
    15052.90000
  • SD
    10642.40000
  • Sharpe ratio (Glass type estimate)
    1.41442
  • Sharpe ratio (Hedges UMVUE)
    1.40625
  • df
    130.00000
  • t
    1.00015
  • p
    0.45631
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36537
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.18890
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37082
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.18332
  • Statistics related to Sortino ratio
  • Sortino ratio
    5549.64000
  • Upside Potential Ratio
    5555.81000
  • Upside part of mean
    15069.60000
  • Downside part of mean
    -16.74580
  • Upside SD
    10642.40000
  • Downside SD
    2.71241
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.81640
  • Mean of criterion
    15052.90000
  • SD of predictor
    0.38577
  • SD of criterion
    10642.40000
  • Covariance
    916.07800
  • r
    0.22313
  • b (slope, estimate of beta)
    6155.73000
  • a (intercept, estimate of alpha)
    10027.40000
  • Mean Square Error
    108456000.00000
  • DF error
    129.00000
  • t(b)
    2.59986
  • p(b)
    0.35914
  • t(a)
    0.67505
  • p(a)
    0.46225
  • Lowerbound of 95% confidence interval for beta
    1471.15000
  • Upperbound of 95% confidence interval for beta
    10840.30000
  • Lowerbound of 95% confidence interval for alpha
    -19362.10000
  • Upperbound of 95% confidence interval for alpha
    39416.90000
  • Treynor index (mean / b)
    2.44535
  • Jensen alpha (a)
    10027.40000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.56365
  • SD
    16.26960
  • Sharpe ratio (Glass type estimate)
    -0.09611
  • Sharpe ratio (Hedges UMVUE)
    -0.09555
  • df
    130.00000
  • t
    -0.06796
  • p
    0.50298
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.86782
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.67584
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.86738
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67628
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.15931
  • Upside Potential Ratio
    3.24511
  • Upside part of mean
    31.85110
  • Downside part of mean
    -33.41480
  • Upside SD
    12.89780
  • Downside SD
    9.81511
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.74135
  • Mean of criterion
    -1.56365
  • SD of predictor
    0.38585
  • SD of criterion
    16.26960
  • Covariance
    2.44419
  • r
    0.38935
  • b (slope, estimate of beta)
    16.41700
  • a (intercept, estimate of alpha)
    -13.73450
  • Mean Square Error
    226.31500
  • DF error
    129.00000
  • t(b)
    4.80097
  • p(b)
    0.25855
  • t(a)
    -0.64103
  • p(a)
    0.53585
  • VAR (95 Confidence Intrvl)
    0.69500
  • Lowerbound of 95% confidence interval for beta
    9.65141
  • Upperbound of 95% confidence interval for beta
    23.18260
  • Lowerbound of 95% confidence interval for alpha
    -56.12550
  • Upperbound of 95% confidence interval for alpha
    28.65660
  • Treynor index (mean / b)
    -0.09525
  • Jensen alpha (a)
    -13.73450
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.80972
  • Expected Shortfall on VaR
    0.86740
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.15496
  • Expected Shortfall on VaR
    0.32874
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00223
  • Quartile 1
    0.94212
  • Median
    0.99491
  • Quartile 3
    1.03840
  • Maximum
    7526.33000
  • Mean of quarter 1
    0.77149
  • Mean of quarter 2
    0.97503
  • Mean of quarter 3
    1.01369
  • Mean of quarter 4
    229.31500
  • Inter Quartile Range
    0.09628
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.46012
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    628.71100
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.63325
  • VaR(95%) (moments method)
    0.23088
  • Expected Shortfall (moments method)
    0.68450
  • Extreme Value Index (regression method)
    0.46578
  • VaR(95%) (regression method)
    0.20808
  • Expected Shortfall (regression method)
    0.44563
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99999
  • Quartile 1
    0.99999
  • Median
    0.99999
  • Quartile 3
    0.99999
  • Maximum
    0.99999
  • 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?
    -364455000
  • Max Equity Drawdown (num days)
    10
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.07200
  • Compounded annual return (geometric extrapolation)
    -0.78470
  • Calmar ratio (compounded annual return / max draw down)
    -0.78471
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.90467

Strategy Description

Summary Statistics

Strategy began
2019-11-20
Suggested Minimum Capital
$10,000
# Trades
33
# Profitable
17
% Profitable
51.5%
Correlation S&P500
0.087
Sharpe Ratio
0.23
Sortino Ratio
0.42
Beta
0.88
Alpha
0.00
Leverage
5.99 Average
18.05 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.