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

PainlessPortfolio
(134597838)

Created by: PainlessPortfolio PainlessPortfolio
Started: 03/2021
Stocks
Last trade: 121 days ago
Trading style: Equity Hedged Equity Event-driven

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 $100.00 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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
Event-driven
Category: Equity

Event-driven

Seeks to exploit pricing inefficiencies that may occur before or after a corporate event, such as an earnings call, bankruptcy, merger, acquisition, or spinoff.
-1.5%
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.

(26.3%)
Max Drawdown
2318
Num Trades
44.8%
Win Trades
1.0 : 1
Profit Factor
45.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021              +1.2%+3.2%+2.0%+4.4%(1.3%)+11.3%(2.8%)+4.8%(1.1%)+0.4%+23.7%
2022(10.3%)(3.2%)(1.9%)(4.6%)(1.3%)(1.5%)+2.4%(0.8%)(2.3%)+0.9%            (21%)

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 5,388 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 161 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/3/22 15:38 NVDA NVIDIA LONG 1 187.71 6/6 9:36 190.77 0%
Trade id #140675566
Max drawdown($1)
Time6/3/22 15:50
Quant open1
Worst price186.60
Drawdown as % of equity-0.00%
$3
Includes Typical Broker Commissions trade costs of $0.02
6/3/22 15:38 GME GAMESTOP LONG 19 132.16 6/6 9:36 131.98 0.01%
Trade id #140675551
Max drawdown($24)
Time6/6/22 9:36
Quant open19
Worst price130.84
Drawdown as % of equity-0.01%
($3)
Includes Typical Broker Commissions trade costs of $0.38
6/3/22 15:38 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A LONG 2 162.34 6/6 9:36 168.49 0%
Trade id #140675543
Max drawdown($1)
Time6/3/22 15:41
Quant open2
Worst price161.67
Drawdown as % of equity-0.00%
$12
Includes Typical Broker Commissions trade costs of $0.04
6/3/22 15:38 LULU LULULEMON ATHLETICA LONG 2 299.78 6/6 9:36 303.00 0%
Trade id #140675556
Max drawdown($1)
Time6/3/22 15:41
Quant open2
Worst price299.07
Drawdown as % of equity-0.00%
$6
Includes Typical Broker Commissions trade costs of $0.04
6/3/22 15:38 QQQ POWERSHARES QQQ LONG 2 306.18 6/6 9:35 310.57 0%
Trade id #140675571
Max drawdown($1)
Time6/3/22 15:46
Quant open2
Worst price305.27
Drawdown as % of equity-0.00%
$9
Includes Typical Broker Commissions trade costs of $0.04
6/3/22 15:38 MSFT MICROSOFT LONG 1 269.83 6/6 9:35 273.01 0%
Trade id #140675561
Max drawdown($0)
Time6/3/22 15:46
Quant open1
Worst price269.11
Drawdown as % of equity-0.00%
$3
Includes Typical Broker Commissions trade costs of $0.02
6/3/22 15:38 TSLA TESLA INC. LONG 5 704.50 6/6 9:35 721.75 0.01%
Trade id #140675577
Max drawdown($15)
Time6/3/22 15:46
Quant open5
Worst price701.45
Drawdown as % of equity-0.01%
$86
Includes Typical Broker Commissions trade costs of $0.10
6/3/22 15:38 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 16 13.53 6/6 9:35 13.08 0%
Trade id #140675582
Max drawdown($9)
Time6/6/22 9:31
Quant open16
Worst price12.96
Drawdown as % of equity-0.00%
($7)
Includes Typical Broker Commissions trade costs of $0.32
6/3/22 15:38 AMD ADVANCED MICRO DEVICES INC. C LONG 5 106.62 6/6 9:35 107.84 0%
Trade id #140675536
Max drawdown($2)
Time6/3/22 15:46
Quant open5
Worst price106.08
Drawdown as % of equity-0.00%
$6
Includes Typical Broker Commissions trade costs of $0.10
6/3/22 15:38 AAPL APPLE LONG 2 145.63 6/6 9:35 147.92 0%
Trade id #140675526
Max drawdown($1)
Time6/3/22 15:46
Quant open2
Worst price145.02
Drawdown as % of equity-0.00%
$5
Includes Typical Broker Commissions trade costs of $0.04
6/3/22 15:38 AMC AMC ENTERTAINMENT HOLDINGS INC LONG 20 12.45 6/6 9:35 12.18 0%
Trade id #140675531
Max drawdown($6)
Time6/6/22 9:35
Quant open20
Worst price12.13
Drawdown as % of equity-0.00%
($5)
Includes Typical Broker Commissions trade costs of $0.40
6/2/22 15:39 LULU LULULEMON ATHLETICA LONG 1 299.96 6/3 9:36 298.55 0%
Trade id #140666425
Max drawdown($6)
Time6/3/22 0:00
Quant open1
Worst price293.65
Drawdown as % of equity-0.00%
($1)
Includes Typical Broker Commissions trade costs of $0.02
6/2/22 15:39 FB META PLATFORMS INC LONG 2 197.84 6/3 9:36 195.91 0%
Trade id #140666416
Max drawdown($6)
Time6/3/22 0:00
Quant open2
Worst price194.78
Drawdown as % of equity-0.00%
($4)
Includes Typical Broker Commissions trade costs of $0.04
6/2/22 15:39 SNAP SNAP INC LONG 10 14.82 6/3 9:36 14.34 0%
Trade id #140666446
Max drawdown($6)
Time6/3/22 0:00
Quant open10
Worst price14.20
Drawdown as % of equity-0.00%
($5)
Includes Typical Broker Commissions trade costs of $0.20
6/1/22 15:39 QQQ POWERSHARES QQQ LONG 1 307.64 6/3 9:35 309.38 0%
Trade id #140653734
Max drawdown($4)
Time6/2/22 0:00
Quant open1
Worst price303.40
Drawdown as % of equity-0.00%
$2
Includes Typical Broker Commissions trade costs of $0.02
6/1/22 15:38 AMC AMC ENTERTAINMENT HOLDINGS INC LONG 17 12.90 6/3 9:35 12.73 0%
Trade id #140653714
Max drawdown($10)
Time6/2/22 0:00
Quant open17
Worst price12.30
Drawdown as % of equity-0.00%
($3)
Includes Typical Broker Commissions trade costs of $0.34
6/2/22 15:39 PLTR PALANTIR TECHNOLOGIES INC LONG 21 9.23 6/3 9:35 8.97 0%
Trade id #140666441
Max drawdown($7)
Time6/3/22 0:00
Quant open21
Worst price8.88
Drawdown as % of equity-0.00%
($6)
Includes Typical Broker Commissions trade costs of $0.42
6/2/22 15:39 MSFT MICROSOFT LONG 2 273.32 6/3 9:35 272.24 0%
Trade id #140666430
Max drawdown($7)
Time6/3/22 0:00
Quant open2
Worst price269.47
Drawdown as % of equity-0.00%
($2)
Includes Typical Broker Commissions trade costs of $0.04
6/1/22 15:38 GME GAMESTOP LONG 29 127.26 6/3 9:35 126.33 0.02%
Trade id #140653724
Max drawdown($60)
Time6/2/22 0:00
Quant open14
Worst price115.56
Drawdown as % of equity-0.02%
($28)
Includes Typical Broker Commissions trade costs of $0.58
6/2/22 15:39 CHWY CHEWY INC LONG 12 28.58 6/3 9:35 28.06 0%
Trade id #140666411
Max drawdown($7)
Time6/3/22 0:00
Quant open12
Worst price27.92
Drawdown as % of equity-0.00%
($6)
Includes Typical Broker Commissions trade costs of $0.24
6/1/22 15:38 AMD ADVANCED MICRO DEVICES INC. C LONG 3 106.10 6/3 9:35 106.15 0%
Trade id #140653719
Max drawdown($1)
Time6/1/22 16:00
Quant open1
Worst price100.61
Drawdown as % of equity-0.00%
$0
Includes Typical Broker Commissions trade costs of $0.06
6/2/22 15:39 NVDA NVIDIA LONG 1 194.38 6/3 9:35 190.93 0%
Trade id #140666435
Max drawdown($4)
Time6/3/22 0:00
Quant open1
Worst price189.80
Drawdown as % of equity-0.00%
($3)
Includes Typical Broker Commissions trade costs of $0.02
6/1/22 15:39 TSLA TESLA INC. LONG 1 744.42 6/3 9:35 735.41 0.01%
Trade id #140653749
Max drawdown($18)
Time6/3/22 9:30
Quant open1
Worst price726.17
Drawdown as % of equity-0.01%
($9)
Includes Typical Broker Commissions trade costs of $0.02
6/1/22 15:38 JPM JPMORGAN CHASE LONG 1 130.62 6/2 15:38 131.21 0%
Trade id #140653729
Max drawdown($1)
Time6/2/22 10:27
Quant open1
Worst price128.67
Drawdown as % of equity-0.00%
$1
Includes Typical Broker Commissions trade costs of $0.02
6/1/22 15:39 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 3 47.70 6/2 15:38 45.07 0%
Trade id #140653744
Max drawdown($8)
Time6/2/22 14:35
Quant open3
Worst price44.79
Drawdown as % of equity-0.00%
($8)
Includes Typical Broker Commissions trade costs of $0.06
6/1/22 15:39 R RYDER SYSTEM LONG 1 80.08 6/2 15:38 80.30 0%
Trade id #140653739
Max drawdown($0)
Time6/2/22 14:59
Quant open1
Worst price79.25
Drawdown as % of equity-0.00%
$0
Includes Typical Broker Commissions trade costs of $0.02
6/1/22 15:38 AAPL APPLE LONG 1 149.83 6/2 15:38 150.51 0%
Trade id #140653709
Max drawdown($2)
Time6/2/22 0:00
Quant open1
Worst price146.86
Drawdown as % of equity-0.00%
$1
Includes Typical Broker Commissions trade costs of $0.02
5/31/22 15:39 CRM SALESFORCE INC LONG 42 179.30 6/2 15:38 178.61 0%
Trade id #140641522
Max drawdown($3)
Time5/31/22 16:00
Quant open1
Worst price160.00
Drawdown as % of equity-0.00%
($30)
Includes Typical Broker Commissions trade costs of $0.84
6/1/22 9:36 HPQ HEWLETT-PACKARD LONG 188 40.48 6/2 15:38 40.40 0.11%
Trade id #140646671
Max drawdown($270)
Time6/1/22 10:13
Quant open188
Worst price39.05
Drawdown as % of equity-0.11%
($20)
Includes Typical Broker Commissions trade costs of $3.76
5/31/22 15:40 UPRO PROSHARES ULTRAPRO S&P 500 LONG 65 47.12 6/1 15:38 46.08 0.07%
Trade id #140641552
Max drawdown($175)
Time6/1/22 12:52
Quant open65
Worst price44.42
Drawdown as % of equity-0.07%
($69)
Includes Typical Broker Commissions trade costs of $1.30

Statistics

  • Strategy began
    3/13/2021
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    571.17
  • Age
    19 months ago
  • What it trades
    Stocks
  • # Trades
    2318
  • # Profitable
    1038
  • % Profitable
    44.80%
  • Avg trade duration
    2.9 days
  • Max peak-to-valley drawdown
    26.3%
  • drawdown period
    Nov 05, 2021 - June 13, 2022
  • Annual Return (Compounded)
    -1.5%
  • Avg win
    $272.09
  • Avg loss
    $216.82
  • Model Account Values (Raw)
  • Cash
    $201,605
  • Margin Used
    $0
  • Buying Power
    $199,754
  • Ratios
  • W:L ratio
    1.02:1
  • Sharpe Ratio
    -0.16
  • Sortino Ratio
    -0.21
  • Calmar Ratio
    0.039
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1.85%
  • Correlation to SP500
    0.35210
  • Return Percent SP500 (cumu) during strategy life
    -4.49%
  • Return Statistics
  • Ann Return (w trading costs)
    -1.5%
  • Slump
  • Current Slump as Pcnt Equity
    33.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.58%
  • Return Statistics
  • Return Pcnt Since TOS Status
    2.010%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.015%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    52.50%
  • Chance of 20% account loss
    10.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    99.84%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    599
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    128
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $219
  • Avg Win
    $273
  • Sum Trade PL (losers)
    $280,005.000
  • Age
  • Num Months filled monthly returns table
    20
  • Win / Loss
  • Sum Trade PL (winners)
    $283,136.000
  • # Winners
    1038
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    224
  • Win / Loss
  • # Losers
    1276
  • % Winners
    44.9%
  • Frequency
  • Avg Position Time (mins)
    4161.32
  • Avg Position Time (hrs)
    69.36
  • Avg Trade Length
    2.9 days
  • Last Trade Ago
    121
  • Leverage
  • Daily leverage (average)
    1.24
  • Daily leverage (max)
    2.67
  • Regression
  • Alpha
    -0.00
  • Beta
    0.25
  • Treynor Index
    -0.03
  • 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)
    -0.37
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -18.723
  • 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
    0.482
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.450
  • Hold-and-Hope Ratio
    -0.053
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01393
  • SD
    0.14553
  • Sharpe ratio (Glass type estimate)
    -0.09574
  • Sharpe ratio (Hedges UMVUE)
    -0.09117
  • df
    16.00000
  • t
    -0.11395
  • p
    0.51424
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.74133
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.55274
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.73817
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55583
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.14765
  • Upside Potential Ratio
    2.00777
  • Upside part of mean
    0.18946
  • Downside part of mean
    -0.20339
  • Upside SD
    0.10509
  • Downside SD
    0.09436
  • N nonnegative terms
    7.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    -0.08943
  • Mean of criterion
    -0.01393
  • SD of predictor
    0.14413
  • SD of criterion
    0.14553
  • Covariance
    0.01159
  • r
    0.55233
  • b (slope, estimate of beta)
    0.55766
  • a (intercept, estimate of alpha)
    0.03594
  • Mean Square Error
    0.01570
  • DF error
    15.00000
  • t(b)
    2.56607
  • p(b)
    0.16718
  • t(a)
    0.33576
  • p(a)
    0.44509
  • Lowerbound of 95% confidence interval for beta
    0.09445
  • Upperbound of 95% confidence interval for beta
    1.02088
  • Lowerbound of 95% confidence interval for alpha
    -0.19222
  • Upperbound of 95% confidence interval for alpha
    0.26411
  • Treynor index (mean / b)
    -0.02498
  • Jensen alpha (a)
    0.03594
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02375
  • SD
    0.14432
  • Sharpe ratio (Glass type estimate)
    -0.16460
  • Sharpe ratio (Hedges UMVUE)
    -0.15674
  • df
    16.00000
  • t
    -0.19591
  • p
    0.52446
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.80975
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.48557
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.80434
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.49085
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.24527
  • Upside Potential Ratio
    1.89738
  • Upside part of mean
    0.18377
  • Downside part of mean
    -0.20752
  • Upside SD
    0.10133
  • Downside SD
    0.09685
  • N nonnegative terms
    7.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    -0.09960
  • Mean of criterion
    -0.02375
  • SD of predictor
    0.14669
  • SD of criterion
    0.14432
  • Covariance
    0.01162
  • r
    0.54888
  • b (slope, estimate of beta)
    0.53998
  • a (intercept, estimate of alpha)
    0.03003
  • Mean Square Error
    0.01552
  • DF error
    15.00000
  • t(b)
    2.54311
  • p(b)
    0.16901
  • t(a)
    0.28119
  • p(a)
    0.45394
  • Lowerbound of 95% confidence interval for beta
    0.08741
  • Upperbound of 95% confidence interval for beta
    0.99256
  • Lowerbound of 95% confidence interval for alpha
    -0.19759
  • Upperbound of 95% confidence interval for alpha
    0.25765
  • Treynor index (mean / b)
    -0.04399
  • Jensen alpha (a)
    0.03003
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06808
  • Expected Shortfall on VaR
    0.08405
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04314
  • Expected Shortfall on VaR
    0.06983
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.92601
  • Quartile 1
    0.97995
  • Median
    0.98925
  • Quartile 3
    1.01904
  • Maximum
    1.09109
  • Mean of quarter 1
    0.95745
  • Mean of quarter 2
    0.98672
  • Mean of quarter 3
    1.01153
  • Mean of quarter 4
    1.05990
  • Inter Quartile Range
    0.03909
  • 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
    0.05882
  • Mean of outliers high
    1.09109
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.17530
  • VaR(95%) (moments method)
    0.04190
  • Expected Shortfall (moments method)
    0.04202
  • Extreme Value Index (regression method)
    -0.41915
  • VaR(95%) (regression method)
    0.04675
  • Expected Shortfall (regression method)
    0.05425
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01608
  • Quartile 1
    0.06564
  • Median
    0.11521
  • Quartile 3
    0.16478
  • Maximum
    0.21435
  • Mean of quarter 1
    0.01608
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.21435
  • Inter Quartile Range
    0.09914
  • 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)
    0.00416
  • Compounded annual return (geometric extrapolation)
    0.00416
  • Calmar ratio (compounded annual return / max draw down)
    0.01941
  • Compounded annual return / average of 25% largest draw downs
    0.01941
  • Compounded annual return / Expected Shortfall lognormal
    0.04951
  • 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
    -0.00855
  • SD
    0.14042
  • Sharpe ratio (Glass type estimate)
    -0.06092
  • Sharpe ratio (Hedges UMVUE)
    -0.06080
  • df
    373.00000
  • t
    -0.07279
  • p
    0.52899
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.70138
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57953
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.70126
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57965
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.08443
  • Upside Potential Ratio
    7.74968
  • Upside part of mean
    0.78527
  • Downside part of mean
    -0.79383
  • Upside SD
    0.09694
  • Downside SD
    0.10133
  • N nonnegative terms
    192.00000
  • N negative terms
    182.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    374.00000
  • Mean of predictor
    -0.04249
  • Mean of criterion
    -0.00855
  • SD of predictor
    0.19914
  • SD of criterion
    0.14042
  • Covariance
    0.01028
  • r
    0.36765
  • b (slope, estimate of beta)
    0.25923
  • a (intercept, estimate of alpha)
    0.00200
  • Mean Square Error
    0.01710
  • DF error
    372.00000
  • t(b)
    7.62496
  • p(b)
    0.00000
  • t(a)
    0.02249
  • p(a)
    0.49104
  • Lowerbound of 95% confidence interval for beta
    0.19238
  • Upperbound of 95% confidence interval for beta
    0.32609
  • Lowerbound of 95% confidence interval for alpha
    -0.21276
  • Upperbound of 95% confidence interval for alpha
    0.21768
  • Treynor index (mean / b)
    -0.03300
  • Jensen alpha (a)
    0.00246
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01840
  • SD
    0.14053
  • Sharpe ratio (Glass type estimate)
    -0.13090
  • Sharpe ratio (Hedges UMVUE)
    -0.13064
  • df
    373.00000
  • t
    -0.15640
  • p
    0.56210
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.77130
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.50966
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.77111
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50984
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.17983
  • Upside Potential Ratio
    7.63033
  • Upside part of mean
    0.78054
  • Downside part of mean
    -0.79894
  • Upside SD
    0.09609
  • Downside SD
    0.10229
  • N nonnegative terms
    192.00000
  • N negative terms
    182.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    374.00000
  • Mean of predictor
    -0.06233
  • Mean of criterion
    -0.01840
  • SD of predictor
    0.19960
  • SD of criterion
    0.14053
  • Covariance
    0.01035
  • r
    0.36906
  • b (slope, estimate of beta)
    0.25984
  • a (intercept, estimate of alpha)
    -0.00220
  • Mean Square Error
    0.01710
  • DF error
    372.00000
  • t(b)
    7.65894
  • p(b)
    0.00000
  • t(a)
    -0.02010
  • p(a)
    0.50801
  • Lowerbound of 95% confidence interval for beta
    0.19313
  • Upperbound of 95% confidence interval for beta
    0.32655
  • Lowerbound of 95% confidence interval for alpha
    -0.21749
  • Upperbound of 95% confidence interval for alpha
    0.21309
  • Treynor index (mean / b)
    -0.07080
  • Jensen alpha (a)
    -0.00220
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01425
  • Expected Shortfall on VaR
    0.01781
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00686
  • Expected Shortfall on VaR
    0.01353
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    374.00000
  • Minimum
    0.96253
  • Quartile 1
    0.99593
  • Median
    1.00022
  • Quartile 3
    1.00374
  • Maximum
    1.03967
  • Mean of quarter 1
    0.98961
  • Mean of quarter 2
    0.99853
  • Mean of quarter 3
    1.00187
  • Mean of quarter 4
    1.01029
  • Inter Quartile Range
    0.00781
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.04278
  • Mean of outliers low
    0.97792
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.04545
  • Mean of outliers high
    1.01988
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19377
  • VaR(95%) (moments method)
    0.01013
  • Expected Shortfall (moments method)
    0.01557
  • Extreme Value Index (regression method)
    0.07452
  • VaR(95%) (regression method)
    0.01074
  • Expected Shortfall (regression method)
    0.01548
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00131
  • Quartile 1
    0.00667
  • Median
    0.02328
  • Quartile 3
    0.05224
  • Maximum
    0.24372
  • Mean of quarter 1
    0.00419
  • Mean of quarter 2
    0.01427
  • Mean of quarter 3
    0.03834
  • Mean of quarter 4
    0.11928
  • Inter Quartile Range
    0.04558
  • 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
    0.08333
  • Mean of outliers high
    0.24372
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.70204
  • VaR(95%) (moments method)
    0.13588
  • Expected Shortfall (moments method)
    0.46553
  • Extreme Value Index (regression method)
    5.52419
  • VaR(95%) (regression method)
    0.41900
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00958
  • Compounded annual return (geometric extrapolation)
    0.00956
  • Calmar ratio (compounded annual return / max draw down)
    0.03921
  • Compounded annual return / average of 25% largest draw downs
    0.08012
  • Compounded annual return / Expected Shortfall lognormal
    0.53650
  • 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
    -0.16434
  • SD
    0.08131
  • Sharpe ratio (Glass type estimate)
    -2.02108
  • Sharpe ratio (Hedges UMVUE)
    -2.00940
  • df
    130.00000
  • t
    -1.42912
  • p
    0.56218
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.80000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.76535
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.79194
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.77315
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.35399
  • Upside Potential Ratio
    4.83581
  • Upside part of mean
    0.33760
  • Downside part of mean
    -0.50194
  • Upside SD
    0.04231
  • Downside SD
    0.06981
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.21234
  • Mean of criterion
    -0.16434
  • SD of predictor
    0.28002
  • SD of criterion
    0.08131
  • Covariance
    0.01236
  • r
    0.54263
  • b (slope, estimate of beta)
    0.15757
  • a (intercept, estimate of alpha)
    -0.13088
  • Mean Square Error
    0.00470
  • DF error
    129.00000
  • t(b)
    7.33726
  • p(b)
    0.17234
  • t(a)
    -1.34828
  • p(a)
    0.57487
  • Lowerbound of 95% confidence interval for beta
    0.11508
  • Upperbound of 95% confidence interval for beta
    0.20006
  • Lowerbound of 95% confidence interval for alpha
    -0.32294
  • Upperbound of 95% confidence interval for alpha
    0.06118
  • Treynor index (mean / b)
    -1.04297
  • Jensen alpha (a)
    -0.13088
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.16768
  • SD
    0.08177
  • Sharpe ratio (Glass type estimate)
    -2.05050
  • Sharpe ratio (Hedges UMVUE)
    -2.03865
  • df
    130.00000
  • t
    -1.44992
  • p
    0.56307
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.82961
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.73637
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.82151
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.74421
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.37898
  • Upside Potential Ratio
    4.77664
  • Upside part of mean
    0.33667
  • Downside part of mean
    -0.50435
  • Upside SD
    0.04214
  • Downside SD
    0.07048
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.25146
  • Mean of criterion
    -0.16768
  • SD of predictor
    0.28071
  • SD of criterion
    0.08177
  • Covariance
    0.01247
  • r
    0.54310
  • b (slope, estimate of beta)
    0.15821
  • a (intercept, estimate of alpha)
    -0.12790
  • Mean Square Error
    0.00475
  • DF error
    129.00000
  • t(b)
    7.34624
  • p(b)
    0.17209
  • t(a)
    -1.30999
  • p(a)
    0.57278
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    0.11560
  • Upperbound of 95% confidence interval for beta
    0.20082
  • Lowerbound of 95% confidence interval for alpha
    -0.32106
  • Upperbound of 95% confidence interval for alpha
    0.06527
  • Treynor index (mean / b)
    -1.05986
  • Jensen alpha (a)
    -0.12790
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00891
  • Expected Shortfall on VaR
    0.01100
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00431
  • Expected Shortfall on VaR
    0.00884
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96739
  • Quartile 1
    0.99769
  • Median
    1.00012
  • Quartile 3
    1.00194
  • Maximum
    1.01357
  • Mean of quarter 1
    0.99355
  • Mean of quarter 2
    0.99906
  • Mean of quarter 3
    1.00104
  • Mean of quarter 4
    1.00432
  • Inter Quartile Range
    0.00425
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98603
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.01054
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15709
  • VaR(95%) (moments method)
    0.00594
  • Expected Shortfall (moments method)
    0.00896
  • Extreme Value Index (regression method)
    0.31773
  • VaR(95%) (regression method)
    0.00619
  • Expected Shortfall (regression method)
    0.01063
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00586
  • Quartile 1
    0.02673
  • Median
    0.04760
  • Quartile 3
    0.06847
  • Maximum
    0.08934
  • Mean of quarter 1
    0.00586
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08934
  • Inter Quartile Range
    0.04174
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -328491000
  • Max Equity Drawdown (num days)
    220
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.13500
  • Compounded annual return (geometric extrapolation)
    -0.13044
  • Calmar ratio (compounded annual return / max draw down)
    -1.46004
  • Compounded annual return / average of 25% largest draw downs
    -1.46004
  • Compounded annual return / Expected Shortfall lognormal
    -11.86040

Strategy Description

Summary Statistics

Strategy began
2021-03-13
Suggested Minimum Capital
$30,000
# Trades
2318
# Profitable
1038
% Profitable
44.8%
Net Dividends
Correlation S&P500
0.352
Sharpe Ratio
-0.16
Sortino Ratio
-0.21
Beta
0.25
Alpha
-0.00
Leverage
1.24 Average
2.67 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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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.