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

Ai Super System Samadhi
(129511881)

Created by: AiQuant AiQuant
Started: 06/2020
Stocks
Last trade: 1,317 days ago
Trading style: Equity Momentum

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.

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
1.4%
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.

(7.2%)
Max Drawdown
119
Num Trades
48.7%
Win Trades
1.6 : 1
Profit Factor
6.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                   +1.2%+1.4%+2.8%  -    -    -    -  +5.5%
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

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

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

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 29 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1354 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/19/20 9:41 GRWG GROWGENERATION CORP. COMMON STOCK SHORT 1,000 18.80 8/19 9:52 18.99 0.79%
Trade id #130685763
Max drawdown($420)
Time8/19/20 9:52
Quant open500
Worst price19.33
Drawdown as % of equity-0.79%
($198)
Includes Typical Broker Commissions trade costs of $12.50
8/18/20 9:46 BE BLOOM ENERGY CORP LONG 1,500 15.61 8/18 9:51 15.54 0.59%
Trade id #130667640
Max drawdown($315)
Time8/18/20 9:51
Quant open1,500
Worst price15.40
Drawdown as % of equity-0.59%
($110)
Includes Typical Broker Commissions trade costs of $5.00
8/17/20 9:43 WTRH WAITR HOLDINGS INC LONG 3,000 4.54 8/17 12:30 4.65 n/a $320
Includes Typical Broker Commissions trade costs of $10.00
8/13/20 10:32 MCRB SERES THERAPEUTICS INC. COMMON STOCK SHORT 1,200 28.15 8/17 9:33 26.87 n/a $1,522
Includes Typical Broker Commissions trade costs of $10.00
8/13/20 14:54 AMTX AEMETIS INC. COMMON STOCK SHORT 2,000 2.70 8/14 15:42 2.49 0.44%
Trade id #130608257
Max drawdown($220)
Time8/13/20 15:19
Quant open2,000
Worst price2.81
Drawdown as % of equity-0.44%
$415
Includes Typical Broker Commissions trade costs of $5.00
8/12/20 12:56 PEIX ALTO INGREDIENTS INC SHORT 3,700 3.80 8/14 15:42 3.78 0.32%
Trade id #130585739
Max drawdown($164)
Time8/12/20 14:55
Quant open2,200
Worst price4.05
Drawdown as % of equity-0.32%
$52
Includes Typical Broker Commissions trade costs of $15.00
8/13/20 11:51 IGC IGC PHARMA INC SHORT 2,500 2.44 8/14 15:41 1.84 n/a $1,493
Includes Typical Broker Commissions trade costs of $7.50
8/14/20 12:00 NOVA SUNNOVA ENERGY INTERNATIONAL INC SHORT 1,500 25.04 8/14 12:30 25.04 0.06%
Trade id #130625763
Max drawdown($30)
Time8/14/20 12:30
Quant open1,500
Worst price25.06
Drawdown as % of equity-0.06%
($5)
Includes Typical Broker Commissions trade costs of $5.00
8/14/20 10:20 UNG UNITED STATES NATURAL GAS LONG 3,000 13.24 8/14 10:22 13.20 0.24%
Trade id #130622996
Max drawdown($120)
Time8/14/20 10:22
Quant open3,000
Worst price13.20
Drawdown as % of equity-0.24%
($125)
Includes Typical Broker Commissions trade costs of $5.00
8/14/20 10:11 AMAT APPLIED MATERIALS LONG 500 69.00 8/14 10:12 68.73 0.26%
Trade id #130622721
Max drawdown($135)
Time8/14/20 10:12
Quant open500
Worst price68.73
Drawdown as % of equity-0.26%
($145)
Includes Typical Broker Commissions trade costs of $10.00
8/13/20 9:57 IGC IGC PHARMA INC LONG 1,000 3.53 8/13 10:11 3.30 0.52%
Trade id #130601345
Max drawdown($260)
Time8/13/20 10:11
Quant open1,000
Worst price3.27
Drawdown as % of equity-0.52%
($235)
Includes Typical Broker Commissions trade costs of $5.00
8/13/20 10:01 SRNE SORRENTO THERAPEUTICS INC. C LONG 1,000 14.22 8/13 10:02 13.98 0.48%
Trade id #130601503
Max drawdown($240)
Time8/13/20 10:02
Quant open1,000
Worst price13.98
Drawdown as % of equity-0.48%
($245)
Includes Typical Broker Commissions trade costs of $5.00
8/13/20 9:53 NTN NTN BUZZTIME LONG 1,500 3.61 8/13 9:55 3.32 0.86%
Trade id #130601229
Max drawdown($435)
Time8/13/20 9:55
Quant open1,500
Worst price3.32
Drawdown as % of equity-0.86%
($440)
Includes Typical Broker Commissions trade costs of $5.00
8/13/20 9:40 MU MICRON TECHNOLOGY SHORT 1,000 46.76 8/13 9:45 47.03 0.65%
Trade id #130600753
Max drawdown($330)
Time8/13/20 9:45
Quant open1,000
Worst price47.09
Drawdown as % of equity-0.65%
($275)
Includes Typical Broker Commissions trade costs of $5.00
8/12/20 13:05 AMTX AEMETIS INC. COMMON STOCK SHORT 2,500 3.01 8/12 14:20 3.13 0.75%
Trade id #130585978
Max drawdown($385)
Time8/12/20 14:20
Quant open2,500
Worst price3.16
Drawdown as % of equity-0.75%
($318)
Includes Typical Broker Commissions trade costs of $7.50
8/12/20 12:47 PEP PEPSICO LONG 500 138.27 8/12 12:47 138.22 0.05%
Trade id #130585584
Max drawdown($25)
Time8/12/20 12:47
Quant open500
Worst price138.22
Drawdown as % of equity-0.05%
($35)
Includes Typical Broker Commissions trade costs of $10.00
8/12/20 12:17 PEIX ALTO INGREDIENTS INC SHORT 1,000 4.02 8/12 12:19 4.12 0.19%
Trade id #130585186
Max drawdown($100)
Time8/12/20 12:19
Quant open1,000
Worst price4.12
Drawdown as % of equity-0.19%
($105)
Includes Typical Broker Commissions trade costs of $5.00
8/12/20 10:23 PEIX ALTO INGREDIENTS INC SHORT 2,000 4.06 8/12 10:55 4.21 0.66%
Trade id #130582022
Max drawdown($340)
Time8/12/20 10:55
Quant open2,000
Worst price4.23
Drawdown as % of equity-0.66%
($310)
Includes Typical Broker Commissions trade costs of $10.00
8/12/20 10:21 AMTX AEMETIS INC. COMMON STOCK SHORT 1,000 3.14 8/12 10:26 3.26 0.41%
Trade id #130581974
Max drawdown($210)
Time8/12/20 10:26
Quant open1,000
Worst price3.35
Drawdown as % of equity-0.41%
($125)
Includes Typical Broker Commissions trade costs of $5.00
8/12/20 9:53 AMTX AEMETIS INC. COMMON STOCK SHORT 3,000 3.04 8/12 10:16 3.11 0.88%
Trade id #130581079
Max drawdown($460)
Time8/12/20 10:16
Quant open3,000
Worst price3.19
Drawdown as % of equity-0.88%
($240)
Includes Typical Broker Commissions trade costs of $10.00
8/12/20 9:59 PEIX ALTO INGREDIENTS INC SHORT 1,000 3.88 8/12 10:04 4.05 0.38%
Trade id #130581320
Max drawdown($200)
Time8/12/20 10:04
Quant open1,000
Worst price4.08
Drawdown as % of equity-0.38%
($175)
Includes Typical Broker Commissions trade costs of $5.00
8/12/20 9:43 PEIX ALTO INGREDIENTS INC SHORT 1,000 3.88 8/12 9:56 4.01 0.31%
Trade id #130580757
Max drawdown($160)
Time8/12/20 9:56
Quant open1,000
Worst price4.04
Drawdown as % of equity-0.31%
($135)
Includes Typical Broker Commissions trade costs of $5.00
8/12/20 9:36 AMTX AEMETIS INC. COMMON STOCK SHORT 1,700 2.93 8/12 9:49 3.06 0.39%
Trade id #130580383
Max drawdown($203)
Time8/12/20 9:41
Quant open1,700
Worst price3.05
Drawdown as % of equity-0.39%
($232)
Includes Typical Broker Commissions trade costs of $10.00
8/11/20 13:52 PHUN PHUNWARE INC LONG 500 1.90 8/11 15:28 1.70 0.2%
Trade id #130564303
Max drawdown($107)
Time8/11/20 15:28
Quant open500
Worst price1.69
Drawdown as % of equity-0.20%
($110)
Includes Typical Broker Commissions trade costs of $10.00
8/11/20 13:40 KODK EASTMAN KODAK COMPANY SHORT 1,500 10.49 8/11 13:44 10.46 0.04%
Trade id #130563958
Max drawdown($21)
Time8/11/20 13:44
Quant open1,500
Worst price10.50
Drawdown as % of equity-0.04%
$40
Includes Typical Broker Commissions trade costs of $5.00
8/11/20 9:36 PFNX PFENEX INC. SHORT 1,000 12.54 8/11 9:43 12.68 0.4%
Trade id #130557597
Max drawdown($210)
Time8/11/20 9:43
Quant open1,000
Worst price12.75
Drawdown as % of equity-0.40%
($145)
Includes Typical Broker Commissions trade costs of $5.00
8/10/20 14:33 JCI JOHNSON CONTROLS LONG 1,500 40.01 8/10 15:13 40.04 0.03%
Trade id #130544329
Max drawdown($15)
Time8/10/20 14:38
Quant open1,500
Worst price40.00
Drawdown as % of equity-0.03%
$37
Includes Typical Broker Commissions trade costs of $7.50
8/10/20 14:02 PLAY DAVE & BUSTERS ENTERTAINMENT LONG 500 14.98 8/10 15:12 15.19 n/a $94
Includes Typical Broker Commissions trade costs of $10.00
8/10/20 14:49 NTR NUTRIEN LTD LONG 1,500 36.61 8/10 15:07 36.58 0.2%
Trade id #130544521
Max drawdown($105)
Time8/10/20 14:52
Quant open1,500
Worst price36.54
Drawdown as % of equity-0.20%
($48)
Includes Typical Broker Commissions trade costs of $7.50
8/10/20 12:42 HWM HOWMET AEROSPACE INC LONG 1,500 17.79 8/10 12:46 17.73 0.17%
Trade id #130542477
Max drawdown($90)
Time8/10/20 12:46
Quant open1,500
Worst price17.73
Drawdown as % of equity-0.17%
($95)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    6/11/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1385.46
  • Age
    46 months ago
  • What it trades
    Stocks
  • # Trades
    119
  • # Profitable
    58
  • % Profitable
    48.70%
  • Avg trade duration
    11.0 hours
  • Max peak-to-valley drawdown
    7.19%
  • drawdown period
    Aug 10, 2020 - Aug 13, 2020
  • Annual Return (Compounded)
    1.4%
  • Avg win
    $199.16
  • Avg loss
    $121.46
  • Model Account Values (Raw)
  • Cash
    $54,143
  • Margin Used
    $0
  • Buying Power
    $54,143
  • Ratios
  • W:L ratio
    1.56:1
  • Sharpe Ratio
    -0.1
  • Sortino Ratio
    -0.15
  • Calmar Ratio
    2.149
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -69.37%
  • Correlation to SP500
    -0.00680
  • Return Percent SP500 (cumu) during strategy life
    74.83%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    1.4%
  • Slump
  • Current Slump as Pcnt Equity
    0.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.95%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.014%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.1%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $121
  • Avg Win
    $199
  • Sum Trade PL (losers)
    $7,409.000
  • Age
  • Num Months filled monthly returns table
    46
  • Win / Loss
  • Sum Trade PL (winners)
    $11,551.000
  • # Winners
    58
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    61
  • % Winners
    48.7%
  • Frequency
  • Avg Position Time (mins)
    659.82
  • Avg Position Time (hrs)
    11.00
  • Avg Trade Length
    0.5 days
  • Last Trade Ago
    1317
  • Leverage
  • Daily leverage (average)
    0.63
  • Daily leverage (max)
    2.23
  • Regression
  • Alpha
    -0.00
  • Beta
    -0.00
  • Treynor Index
    0.79
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.34
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -5.127
  • 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
    0.454
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.295
  • Hold-and-Hope Ratio
    -0.194
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06863
  • SD
    0.04525
  • Sharpe ratio (Glass type estimate)
    1.51691
  • Sharpe ratio (Hedges UMVUE)
    1.38626
  • df
    9.00000
  • t
    1.38474
  • p
    0.09975
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77593
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.73475
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85424
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.62677
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.17100
  • Upside Potential Ratio
    13.06920
  • Upside part of mean
    0.08819
  • Downside part of mean
    -0.01956
  • Upside SD
    0.04679
  • Downside SD
    0.00675
  • N nonnegative terms
    3.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.54997
  • Mean of criterion
    0.06863
  • SD of predictor
    0.23673
  • SD of criterion
    0.04525
  • Covariance
    0.00179
  • r
    0.16685
  • b (slope, estimate of beta)
    0.03189
  • a (intercept, estimate of alpha)
    0.05110
  • Mean Square Error
    0.00224
  • DF error
    8.00000
  • t(b)
    0.47863
  • p(b)
    0.32250
  • t(a)
    0.80492
  • p(a)
    0.22206
  • Lowerbound of 95% confidence interval for beta
    -0.12175
  • Upperbound of 95% confidence interval for beta
    0.18553
  • Lowerbound of 95% confidence interval for alpha
    -0.09529
  • Upperbound of 95% confidence interval for alpha
    0.19748
  • Treynor index (mean / b)
    2.15221
  • Jensen alpha (a)
    0.05110
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06738
  • SD
    0.04463
  • Sharpe ratio (Glass type estimate)
    1.50959
  • Sharpe ratio (Hedges UMVUE)
    1.37957
  • df
    9.00000
  • t
    1.37806
  • p
    0.10074
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78201
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.72658
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86005
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.61920
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.99677
  • Upside Potential Ratio
    12.89500
  • Upside part of mean
    0.08691
  • Downside part of mean
    -0.01953
  • Upside SD
    0.04611
  • Downside SD
    0.00674
  • N nonnegative terms
    3.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.51122
  • Mean of criterion
    0.06738
  • SD of predictor
    0.24300
  • SD of criterion
    0.04463
  • Covariance
    0.00189
  • r
    0.17405
  • b (slope, estimate of beta)
    0.03197
  • a (intercept, estimate of alpha)
    0.05104
  • Mean Square Error
    0.00217
  • DF error
    8.00000
  • t(b)
    0.49990
  • p(b)
    0.31530
  • t(a)
    0.84167
  • p(a)
    0.21221
  • Lowerbound of 95% confidence interval for beta
    -0.11550
  • Upperbound of 95% confidence interval for beta
    0.17944
  • Lowerbound of 95% confidence interval for alpha
    -0.08879
  • Upperbound of 95% confidence interval for alpha
    0.19087
  • Treynor index (mean / b)
    2.10767
  • Jensen alpha (a)
    0.05104
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01546
  • Expected Shortfall on VaR
    0.02073
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00337
  • Expected Shortfall on VaR
    0.00365
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.01716
  • Maximum
    1.02944
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02683
  • Inter Quartile Range
    0.01716
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09917
  • Compounded annual return (geometric extrapolation)
    0.09997
  • 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
    4.82187
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06566
  • SD
    0.06202
  • Sharpe ratio (Glass type estimate)
    1.05877
  • Sharpe ratio (Hedges UMVUE)
    1.05526
  • df
    226.00000
  • t
    0.98552
  • p
    0.16271
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.05025
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.16557
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.05264
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.16315
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.83434
  • Upside Potential Ratio
    4.56278
  • Upside part of mean
    0.16333
  • Downside part of mean
    -0.09767
  • Upside SD
    0.05064
  • Downside SD
    0.03580
  • N nonnegative terms
    30.00000
  • N negative terms
    197.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    227.00000
  • Mean of predictor
    0.65473
  • Mean of criterion
    0.06566
  • SD of predictor
    0.32509
  • SD of criterion
    0.06202
  • Covariance
    -0.00031
  • r
    -0.01546
  • b (slope, estimate of beta)
    -0.00295
  • a (intercept, estimate of alpha)
    0.06800
  • Mean Square Error
    0.00386
  • DF error
    225.00000
  • t(b)
    -0.23190
  • p(b)
    0.59159
  • t(a)
    1.00459
  • p(a)
    0.15809
  • Lowerbound of 95% confidence interval for beta
    -0.02801
  • Upperbound of 95% confidence interval for beta
    0.02211
  • Lowerbound of 95% confidence interval for alpha
    -0.06499
  • Upperbound of 95% confidence interval for alpha
    0.20018
  • Treynor index (mean / b)
    -22.26660
  • Jensen alpha (a)
    0.06759
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06374
  • SD
    0.06178
  • Sharpe ratio (Glass type estimate)
    1.03179
  • Sharpe ratio (Hedges UMVUE)
    1.02836
  • df
    226.00000
  • t
    0.96040
  • p
    0.16894
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.07712
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.13847
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.07942
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.13614
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.76133
  • Upside Potential Ratio
    4.47775
  • Upside part of mean
    0.16205
  • Downside part of mean
    -0.09831
  • Upside SD
    0.05006
  • Downside SD
    0.03619
  • N nonnegative terms
    30.00000
  • N negative terms
    197.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    227.00000
  • Mean of predictor
    0.60136
  • Mean of criterion
    0.06374
  • SD of predictor
    0.32496
  • SD of criterion
    0.06178
  • Covariance
    -0.00029
  • r
    -0.01455
  • b (slope, estimate of beta)
    -0.00277
  • a (intercept, estimate of alpha)
    0.06541
  • Mean Square Error
    0.00383
  • DF error
    225.00000
  • t(b)
    -0.21827
  • p(b)
    0.58629
  • t(a)
    0.97699
  • p(a)
    0.16481
  • Lowerbound of 95% confidence interval for beta
    -0.02774
  • Upperbound of 95% confidence interval for beta
    0.02221
  • Lowerbound of 95% confidence interval for alpha
    -0.06652
  • Upperbound of 95% confidence interval for alpha
    0.19733
  • Treynor index (mean / b)
    -23.04430
  • Jensen alpha (a)
    0.06541
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00602
  • Expected Shortfall on VaR
    0.00760
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00118
  • Expected Shortfall on VaR
    0.00267
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    227.00000
  • Minimum
    0.97538
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03143
  • Mean of quarter 1
    0.99888
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00254
  • Inter Quartile Range
    0.00000
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.05727
  • Mean of outliers low
    0.99510
  • Number of outliers high
    32.00000
  • Percentage of outliers high
    0.14097
  • Mean of outliers high
    1.00453
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.11031
  • VaR(95%) (moments method)
    0.00037
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.96783
  • VaR(95%) (regression method)
    0.00044
  • Expected Shortfall (regression method)
    0.03553
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00076
  • Quartile 1
    0.00136
  • Median
    0.00296
  • Quartile 3
    0.00585
  • Maximum
    0.04466
  • Mean of quarter 1
    0.00093
  • Mean of quarter 2
    0.00229
  • Mean of quarter 3
    0.00437
  • Mean of quarter 4
    0.02600
  • Inter Quartile Range
    0.00450
  • 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
    0.04466
  • 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)
    0.09539
  • Compounded annual return (geometric extrapolation)
    0.09598
  • Calmar ratio (compounded annual return / max draw down)
    2.14898
  • Compounded annual return / average of 25% largest draw downs
    3.69163
  • Compounded annual return / Expected Shortfall lognormal
    12.63000
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.59466
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.39025
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.51847
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.39036
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6843430000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00600
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -206799000000000011346308908449792.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -363158000
  • Max Equity Drawdown (num days)
    3
  • 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

After 5 years of testing and optimizing AI algorithm we are ready for the commercial launch. After AI algorithm finds an opportunity with big edge, it is reviewed by professional trader. Trade idea gets posted only if professional trader accepts that idea. Our opinion is that trading system shouldn't have bigger drawdown than 10% and also we strive to achieve 3+ profit factor.

This Ai Super System Samadhi is built so we would have the best of both worlds. It is day trading and also swing trading to maximize the profits.

All trading entries have stop losses, we risk only 0.4-0.5% per trade so this trading system would have small draw down.

Subscribe to this trading system and let's make money together.

Summary Statistics

Strategy began
2020-06-11
Suggested Minimum Capital
$15,000
# Trades
119
# Profitable
58
% Profitable
48.7%
Correlation S&P500
-0.007
Sharpe Ratio
-0.10
Sortino Ratio
-0.15
Beta
-0.00
Alpha
-0.00
Leverage
0.63 Average
2.23 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.