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These are hypothetical performance results that have certain inherent limitations. Learn more
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MegaDayTrade
(134964093)

Created by: LeoA LeoA
Started: 04/2021
Stocks
Last trade: 492 days ago
Trading style: Equity Event-driven
Subscriptions not currently available.

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $199.00 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
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.
61.9%
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.

(27.5%)
Max Drawdown
138
Num Trades
78.3%
Win Trades
4.5 : 1
Profit Factor
48.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                     +52.0%+14.1%+62.3%+10.3%+10.5%+13.1%+0.5%+3.2%+0.9%+305.4%
2022+2.1%+0.1%(1.2%)+1.2%+1.1%+4.2%(0.7%)+0.9%+1.7%(0.1%)+0.8%+0.3%+10.9%
2023(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)  -  (0.2%)(0.1%)(0.1%)(0.1%)(1.3%)(2.4%)
2024(0.1%)(0.2%)(0.1%)  -                                                  (0.5%)

Model Account Details

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

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

Trading Record

This strategy has placed 86 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/13/22 10:38 CCL CARNIVAL SHORT 3,500 8.96 12/13 11:06 8.93 0.07%
Trade id #142860691
Max drawdown($157)
Time12/13/22 10:44
Quant open3,500
Worst price9.01
Drawdown as % of equity-0.07%
 $124
Includes Typical Broker Commissions trade costs of $5.00
7/28/22 14:44 RKLY ROCKLEY PHOTONICS HOLDINGS LTD SHORT 1,000 2.27 12/7 15:42 0.24 0.27%
Trade id #141220543
Max drawdown($578)
Time7/29/22 0:00
Quant open1,000
Worst price2.85
Drawdown as % of equity-0.27%
 $2,027
Includes Typical Broker Commissions trade costs of $5.00
7/28/22 14:40 SIVB SVB FINANCIAL SHORT 7 387.38 12/7 15:42 208.52 0.3%
Trade id #141220480
Max drawdown($635)
Time8/16/22 0:00
Quant open7
Worst price478.13
Drawdown as % of equity-0.30%
 $1,252
Includes Typical Broker Commissions trade costs of $0.14
7/28/22 14:52 APP APPLOVIN CORPORATION CLASS A SHORT 71 35.34 12/7 15:41 10.84 0.17%
Trade id #141220666
Max drawdown($369)
Time8/8/22 0:00
Quant open71
Worst price40.55
Drawdown as % of equity-0.17%
 $1,739
Includes Typical Broker Commissions trade costs of $1.42
7/28/22 14:48 GEVO GEVO SHORT 909 2.71 12/7 15:40 1.88 0.43%
Trade id #141220597
Max drawdown($922)
Time8/15/22 0:00
Quant open909
Worst price3.73
Drawdown as % of equity-0.43%
 $756
Includes Typical Broker Commissions trade costs of $5.00
6/21/22 11:47 MPAA MOTORCAR PARTS OF AMERICA SHORT 225 13.29 12/7 15:40 10.82 0.67%
Trade id #140821732
Max drawdown($1,494)
Time11/8/22 0:00
Quant open225
Worst price19.93
Drawdown as % of equity-0.67%
 $552
Includes Typical Broker Commissions trade costs of $4.50
7/19/22 15:37 DB DEUTSCHE BANK AG SHORT 295 8.66 12/7 15:40 10.46 0.28%
Trade id #141109709
Max drawdown($635)
Time11/25/22 0:00
Quant open295
Worst price10.82
Drawdown as % of equity-0.28%
 ($534)
Includes Typical Broker Commissions trade costs of $5.90
7/28/22 14:38 ZUMZ ZUMIEZ SHORT 95 26.06 12/7 15:40 22.86 0.23%
Trade id #141220434
Max drawdown($489)
Time8/16/22 0:00
Quant open95
Worst price31.21
Drawdown as % of equity-0.23%
 $302
Includes Typical Broker Commissions trade costs of $1.90
7/28/22 14:55 OMEX ODYSSEY MARINE SHORT 657 2.99 10/18 10:53 3.00 0.19%
Trade id #141220727
Max drawdown($420)
Time8/24/22 0:00
Quant open657
Worst price3.63
Drawdown as % of equity-0.19%
 ($13)
Includes Typical Broker Commissions trade costs of $5.00
6/22/22 15:32 TLYS TILLY'S SHORT 330 7.38 10/13 9:32 7.30 0.17%
Trade id #140835369
Max drawdown($361)
Time8/18/22 0:00
Quant open330
Worst price8.47
Drawdown as % of equity-0.17%
 $18
Includes Typical Broker Commissions trade costs of $6.60
7/19/22 15:36 CMTL COMTECH TELECOMMUNICATIONS SHORT 233 10.05 10/11 10:26 9.83 0.33%
Trade id #141109684
Max drawdown($708)
Time8/16/22 0:00
Quant open233
Worst price13.09
Drawdown as % of equity-0.33%
 $47
Includes Typical Broker Commissions trade costs of $4.66
7/28/22 14:43 SPWH SPORTSMANS WAREHOUSE HOLDINGS SHORT 231 9.88 10/11 10:23 8.53 0.13%
Trade id #141220532
Max drawdown($284)
Time8/16/22 0:00
Quant open231
Worst price11.11
Drawdown as % of equity-0.13%
 $306
Includes Typical Broker Commissions trade costs of $4.62
7/28/22 14:42 SMAR SMARTSHEET INC SHORT 81 29.93 10/11 10:05 31.93 0.39%
Trade id #141220519
Max drawdown($840)
Time9/12/22 0:00
Quant open81
Worst price40.31
Drawdown as % of equity-0.39%
 ($164)
Includes Typical Broker Commissions trade costs of $1.62
6/21/22 11:49 QTWO Q2 HOLDINGS INC SHORT 55 38.09 10/11 10:02 30.60 0.3%
Trade id #140821756
Max drawdown($654)
Time8/4/22 0:00
Quant open55
Worst price49.99
Drawdown as % of equity-0.30%
 $411
Includes Typical Broker Commissions trade costs of $1.10
6/21/22 11:44 HCP HASHICORP INC. SHORT 70 29.72 10/11 10:01 27.43 0.48%
Trade id #140821080
Max drawdown($1,023)
Time8/12/22 0:00
Quant open70
Worst price44.34
Drawdown as % of equity-0.48%
 $159
Includes Typical Broker Commissions trade costs of $1.40
7/28/22 14:49 COOK TRAEGER INC SHORT 790 3.10 8/26 10:59 2.95 0.44%
Trade id #141220626
Max drawdown($946)
Time8/11/22 0:00
Quant open790
Worst price4.30
Drawdown as % of equity-0.44%
 $116
Includes Typical Broker Commissions trade costs of $5.00
7/19/22 15:48 RETL DIREXION DAILY RETAIL BULL 3X SHORT 259 9.57 8/26 10:59 10.24 0.72%
Trade id #141109871
Max drawdown($1,532)
Time8/16/22 0:00
Quant open259
Worst price15.49
Drawdown as % of equity-0.72%
 ($176)
Includes Typical Broker Commissions trade costs of $5.18
5/12/22 13:14 AVYA AVAYA HOLDINGS CORP SHORT 350 5.82 7/29 9:30 1.35 0.11%
Trade id #140457147
Max drawdown($222)
Time5/13/22 0:00
Quant open350
Worst price6.46
Drawdown as % of equity-0.11%
 $1,558
Includes Typical Broker Commissions trade costs of $7.00
8/20/21 15:24 OTRK ONTRAK INC SHORT 230 11.14 7/26/22 13:27 0.70 0.43%
Trade id #137061076
Max drawdown($839)
Time11/5/21 0:00
Quant open230
Worst price14.79
Drawdown as % of equity-0.43%
 $2,397
Includes Typical Broker Commissions trade costs of $4.60
8/13/21 15:30 WIX WIX.COM LTD. ORDINARY SHARES SHORT 15 206.24 7/26/22 13:26 56.67 0.25%
Trade id #136961501
Max drawdown($431)
Time9/7/21 0:00
Quant open15
Worst price234.99
Drawdown as % of equity-0.25%
 $2,244
Includes Typical Broker Commissions trade costs of $0.30
5/16/22 9:36 HYFM HYDROFARM HOLDINGS GROUP INC. SHORT 400 7.81 7/26 13:25 3.41 0.11%
Trade id #140485493
Max drawdown($236)
Time5/16/22 10:14
Quant open400
Worst price8.40
Drawdown as % of equity-0.11%
 $1,753
Includes Typical Broker Commissions trade costs of $8.00
8/20/21 15:25 BZUN BAOZUN INC. AMERICAN DEPOSITARY SHARES SHORT 130 18.44 7/26/22 13:20 9.98 0.5%
Trade id #137061093
Max drawdown($859)
Time9/7/21 0:00
Quant open130
Worst price25.05
Drawdown as % of equity-0.50%
 $1,096
Includes Typical Broker Commissions trade costs of $2.60
8/5/21 11:41 AYX ALTERYX INC SHORT 40 72.54 7/26/22 13:18 46.17 0.18%
Trade id #136844086
Max drawdown($350)
Time11/9/21 0:00
Quant open40
Worst price81.30
Drawdown as % of equity-0.18%
 $1,054
Includes Typical Broker Commissions trade costs of $0.80
5/12/22 13:07 KLR KALEYRA INC SHORT 620 3.26 7/26 13:17 2.13 0.14%
Trade id #140457024
Max drawdown($294)
Time5/20/22 0:00
Quant open620
Worst price3.73
Drawdown as % of equity-0.14%
 $696
Includes Typical Broker Commissions trade costs of $5.00
5/26/22 11:21 BAND BANDWIDTH INC. CLASS A COMMON STOCK SHORT 100 21.79 7/26 13:15 16.15 0.08%
Trade id #140606817
Max drawdown($179)
Time5/31/22 0:00
Quant open100
Worst price23.58
Drawdown as % of equity-0.08%
 $562
Includes Typical Broker Commissions trade costs of $2.00
5/16/22 10:10 GRWG GROWGENERATION CORP. COMMON STOCK SHORT 600 5.28 7/26 13:13 4.49 0.15%
Trade id #140487137
Max drawdown($318)
Time5/17/22 0:00
Quant open600
Worst price5.81
Drawdown as % of equity-0.15%
 $472
Includes Typical Broker Commissions trade costs of $5.00
6/27/22 14:52 SKIL SKILLSOFT CORP SHORT 575 4.01 7/26 13:11 3.79 0.02%
Trade id #140876968
Max drawdown($46)
Time7/21/22 0:00
Quant open575
Worst price4.09
Drawdown as % of equity-0.02%
 $120
Includes Typical Broker Commissions trade costs of $5.00
6/21/22 11:53 RKLY ROCKLEY PHOTONICS HOLDINGS LTD SHORT 990 2.35 7/26 13:10 2.01 0.31%
Trade id #140821799
Max drawdown($674)
Time6/24/22 0:00
Quant open990
Worst price3.03
Drawdown as % of equity-0.31%
 $331
Includes Typical Broker Commissions trade costs of $5.00
6/21/22 11:43 GEVO GEVO SHORT 750 2.69 7/26 13:07 2.42 0.11%
Trade id #140821055
Max drawdown($247)
Time7/22/22 0:00
Quant open750
Worst price3.02
Drawdown as % of equity-0.11%
 $201
Includes Typical Broker Commissions trade costs of $5.00
7/19/22 15:42 EMWP EROS MEDIA WORLD PLC SHORT 1,300 2.18 7/26 13:05 2.06 0.11%
Trade id #141109783
Max drawdown($236)
Time7/22/22 0:00
Quant open1,300
Worst price2.36
Drawdown as % of equity-0.11%
 $143
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    4/1/2021
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    1113.37
  • Age
    37 months ago
  • What it trades
    Stocks
  • # Trades
    138
  • # Profitable
    108
  • % Profitable
    78.30%
  • Avg trade duration
    70.2 days
  • Max peak-to-valley drawdown
    27.5%
  • drawdown period
    May 13, 2021 - June 17, 2021
  • Annual Return (Compounded)
    61.9%
  • Avg win
    $2,125
  • Avg loss
    $1,718
  • Model Account Values (Raw)
  • Cash
    $230,467
  • Margin Used
    $3,784
  • Buying Power
    $226,423
  • Ratios
  • W:L ratio
    4.47:1
  • Sharpe Ratio
    1.39
  • Sortino Ratio
    3.73
  • Calmar Ratio
    3.903
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    311.78%
  • Correlation to SP500
    -0.02990
  • Return Percent SP500 (cumu) during strategy life
    24.97%
  • Return Statistics
  • Ann Return (w trading costs)
    61.9%
  • Slump
  • Current Slump as Pcnt Equity
    3.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.43%
  • 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)
    0.619%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    64.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    31.50%
  • Chance of 20% account loss
    14.00%
  • Chance of 30% account loss
    2.00%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    727
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    369
  • Popularity (7 days, Percentile 1000 scale)
    585
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,718
  • Avg Win
    $2,125
  • Sum Trade PL (losers)
    $51,544.000
  • Age
  • Num Months filled monthly returns table
    37
  • Win / Loss
  • Sum Trade PL (winners)
    $229,508.000
  • # Winners
    108
  • Num Months Winners
    18
  • Dividends
  • Dividends Received in Model Acct
    -279
  • Win / Loss
  • # Losers
    30
  • % Winners
    78.3%
  • Frequency
  • Avg Position Time (mins)
    101030.00
  • Avg Position Time (hrs)
    1683.83
  • Avg Trade Length
    70.2 days
  • Last Trade Ago
    492
  • Leverage
  • Daily leverage (average)
    0.39
  • Daily leverage (max)
    2.10
  • Regression
  • Alpha
    0.15
  • Beta
    -0.06
  • Treynor Index
    -2.56
  • 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)
    0.52
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    2.128
  • 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
    0.535
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.670
  • Hold-and-Hope Ratio
    0.471
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.84315
  • SD
    0.60877
  • Sharpe ratio (Glass type estimate)
    1.38499
  • Sharpe ratio (Hedges UMVUE)
    1.34295
  • df
    25.00000
  • t
    2.03865
  • p
    0.02610
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01297
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.75749
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03964
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72553
  • Statistics related to Sortino ratio
  • Sortino ratio
    35.33490
  • Upside Potential Ratio
    36.87690
  • Upside part of mean
    0.87994
  • Downside part of mean
    -0.03679
  • Upside SD
    0.64422
  • Downside SD
    0.02386
  • N nonnegative terms
    14.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.09035
  • Mean of criterion
    0.84315
  • SD of predictor
    0.21044
  • SD of criterion
    0.60877
  • Covariance
    0.00578
  • r
    0.04514
  • b (slope, estimate of beta)
    0.13059
  • a (intercept, estimate of alpha)
    0.83135
  • Mean Square Error
    0.38526
  • DF error
    24.00000
  • t(b)
    0.22138
  • p(b)
    0.41333
  • t(a)
    1.95595
  • p(a)
    0.03110
  • Lowerbound of 95% confidence interval for beta
    -1.08690
  • Upperbound of 95% confidence interval for beta
    1.34809
  • Lowerbound of 95% confidence interval for alpha
    -0.04588
  • Upperbound of 95% confidence interval for alpha
    1.70857
  • Treynor index (mean / b)
    6.45625
  • Jensen alpha (a)
    0.83135
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.69241
  • SD
    0.47058
  • Sharpe ratio (Glass type estimate)
    1.47141
  • Sharpe ratio (Hedges UMVUE)
    1.42675
  • df
    25.00000
  • t
    2.16586
  • p
    0.02003
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06603
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.84999
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03773
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81577
  • Statistics related to Sortino ratio
  • Sortino ratio
    28.79520
  • Upside Potential Ratio
    30.33380
  • Upside part of mean
    0.72941
  • Downside part of mean
    -0.03700
  • Upside SD
    0.50230
  • Downside SD
    0.02405
  • N nonnegative terms
    14.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.06855
  • Mean of criterion
    0.69241
  • SD of predictor
    0.21124
  • SD of criterion
    0.47058
  • Covariance
    0.00273
  • r
    0.02747
  • b (slope, estimate of beta)
    0.06121
  • a (intercept, estimate of alpha)
    0.68822
  • Mean Square Error
    0.23050
  • DF error
    24.00000
  • t(b)
    0.13465
  • p(b)
    0.44701
  • t(a)
    2.10048
  • p(a)
    0.02319
  • Lowerbound of 95% confidence interval for beta
    -0.87697
  • Upperbound of 95% confidence interval for beta
    0.99938
  • Lowerbound of 95% confidence interval for alpha
    0.01199
  • Upperbound of 95% confidence interval for alpha
    1.36445
  • Treynor index (mean / b)
    11.31270
  • Jensen alpha (a)
    0.68822
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15274
  • Expected Shortfall on VaR
    0.19849
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00665
  • Expected Shortfall on VaR
    0.01373
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.97825
  • Quartile 1
    1.00000
  • Median
    1.00667
  • Quartile 3
    1.04583
  • Maximum
    1.70432
  • Mean of quarter 1
    0.99203
  • Mean of quarter 2
    1.00139
  • Mean of quarter 3
    1.02596
  • Mean of quarter 4
    1.25415
  • Inter Quartile Range
    0.04583
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    1.39144
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.40811
  • VaR(95%) (moments method)
    0.00257
  • Expected Shortfall (moments method)
    0.00338
  • Extreme Value Index (regression method)
    -0.12275
  • VaR(95%) (regression method)
    0.01261
  • Expected Shortfall (regression method)
    0.01918
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00278
  • Quartile 1
    0.00965
  • Median
    0.01469
  • Quartile 3
    0.01898
  • Maximum
    0.02360
  • Mean of quarter 1
    0.00278
  • Mean of quarter 2
    0.01194
  • Mean of quarter 3
    0.01745
  • Mean of quarter 4
    0.02360
  • Inter Quartile Range
    0.00934
  • 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)
    1.73637
  • Compounded annual return (geometric extrapolation)
    1.05509
  • Calmar ratio (compounded annual return / max draw down)
    44.71610
  • Compounded annual return / average of 25% largest draw downs
    44.71610
  • Compounded annual return / Expected Shortfall lognormal
    5.31550
  • 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
    0.73856
  • SD
    0.35822
  • Sharpe ratio (Glass type estimate)
    2.06173
  • Sharpe ratio (Hedges UMVUE)
    2.05905
  • df
    577.00000
  • t
    3.06228
  • p
    0.00115
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.73593
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.38578
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73414
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.38396
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.38869
  • Upside Potential Ratio
    11.43880
  • Upside part of mean
    1.32237
  • Downside part of mean
    -0.58381
  • Upside SD
    0.34179
  • Downside SD
    0.11560
  • N nonnegative terms
    246.00000
  • N negative terms
    332.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    578.00000
  • Mean of predictor
    0.09144
  • Mean of criterion
    0.73856
  • SD of predictor
    0.19724
  • SD of criterion
    0.35822
  • Covariance
    -0.00326
  • r
    -0.04617
  • b (slope, estimate of beta)
    -0.08386
  • a (intercept, estimate of alpha)
    0.74600
  • Mean Square Error
    0.12827
  • DF error
    576.00000
  • t(b)
    -1.10935
  • p(b)
    0.86613
  • t(a)
    3.09343
  • p(a)
    0.00104
  • Lowerbound of 95% confidence interval for beta
    -0.23233
  • Upperbound of 95% confidence interval for beta
    0.06461
  • Lowerbound of 95% confidence interval for alpha
    0.27243
  • Upperbound of 95% confidence interval for alpha
    1.22003
  • Treynor index (mean / b)
    -8.80705
  • Jensen alpha (a)
    0.74623
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67944
  • SD
    0.33332
  • Sharpe ratio (Glass type estimate)
    2.03838
  • Sharpe ratio (Hedges UMVUE)
    2.03573
  • df
    577.00000
  • t
    3.02759
  • p
    0.00129
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.71274
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.36231
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71093
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.36052
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.75105
  • Upside Potential Ratio
    10.75040
  • Upside part of mean
    1.27007
  • Downside part of mean
    -0.59063
  • Upside SD
    0.31419
  • Downside SD
    0.11814
  • N nonnegative terms
    246.00000
  • N negative terms
    332.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    578.00000
  • Mean of predictor
    0.07200
  • Mean of criterion
    0.67944
  • SD of predictor
    0.19724
  • SD of criterion
    0.33332
  • Covariance
    -0.00326
  • r
    -0.04952
  • b (slope, estimate of beta)
    -0.08368
  • a (intercept, estimate of alpha)
    0.68547
  • Mean Square Error
    0.11103
  • DF error
    576.00000
  • t(b)
    -1.18992
  • p(b)
    0.88272
  • t(a)
    3.05477
  • p(a)
    0.00118
  • Lowerbound of 95% confidence interval for beta
    -0.22181
  • Upperbound of 95% confidence interval for beta
    0.05445
  • Lowerbound of 95% confidence interval for alpha
    0.24474
  • Upperbound of 95% confidence interval for alpha
    1.12620
  • Treynor index (mean / b)
    -8.11916
  • Jensen alpha (a)
    0.68547
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03079
  • Expected Shortfall on VaR
    0.03907
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00545
  • Expected Shortfall on VaR
    0.01208
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    578.00000
  • Minimum
    0.92231
  • Quartile 1
    0.99910
  • Median
    1.00000
  • Quartile 3
    1.00245
  • Maximum
    1.28074
  • Mean of quarter 1
    0.99145
  • Mean of quarter 2
    0.99990
  • Mean of quarter 3
    1.00072
  • Mean of quarter 4
    1.01959
  • Inter Quartile Range
    0.00335
  • Number outliers low
    56.00000
  • Percentage of outliers low
    0.09689
  • Mean of outliers low
    0.98221
  • Number of outliers high
    68.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    1.03693
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.82089
  • VaR(95%) (moments method)
    0.00617
  • Expected Shortfall (moments method)
    0.03889
  • Extreme Value Index (regression method)
    0.51500
  • VaR(95%) (regression method)
    0.00648
  • Expected Shortfall (regression method)
    0.01695
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    31.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00575
  • Median
    0.01148
  • Quartile 3
    0.02829
  • Maximum
    0.26354
  • Mean of quarter 1
    0.00217
  • Mean of quarter 2
    0.00855
  • Mean of quarter 3
    0.02039
  • Mean of quarter 4
    0.07981
  • Inter Quartile Range
    0.02253
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.09677
  • Mean of outliers high
    0.14334
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.52887
  • VaR(95%) (moments method)
    0.08555
  • Expected Shortfall (moments method)
    0.20038
  • Extreme Value Index (regression method)
    0.87064
  • VaR(95%) (regression method)
    0.10207
  • Expected Shortfall (regression method)
    0.75157
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.70488
  • Compounded annual return (geometric extrapolation)
    1.02861
  • Calmar ratio (compounded annual return / max draw down)
    3.90305
  • Compounded annual return / average of 25% largest draw downs
    12.88840
  • Compounded annual return / Expected Shortfall lognormal
    26.32660
  • 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
    -0.05225
  • SD
    0.01312
  • Sharpe ratio (Glass type estimate)
    -3.98322
  • Sharpe ratio (Hedges UMVUE)
    -3.96019
  • df
    130.00000
  • t
    -2.81656
  • p
    0.61991
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.78952
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -1.16209
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.77349
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14690
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.88265
  • Upside Potential Ratio
    0.03853
  • Upside part of mean
    0.00052
  • Downside part of mean
    -0.05277
  • Upside SD
    0.00028
  • Downside SD
    0.01346
  • N nonnegative terms
    5.00000
  • N negative terms
    126.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.49743
  • Mean of criterion
    -0.05225
  • SD of predictor
    0.19825
  • SD of criterion
    0.01312
  • Covariance
    -0.00012
  • r
    -0.04442
  • b (slope, estimate of beta)
    -0.00294
  • a (intercept, estimate of alpha)
    -0.05079
  • Mean Square Error
    0.00017
  • DF error
    129.00000
  • t(b)
    -0.50498
  • p(b)
    0.52827
  • t(a)
    -2.69744
  • p(a)
    0.64578
  • Lowerbound of 95% confidence interval for beta
    -0.01445
  • Upperbound of 95% confidence interval for beta
    0.00858
  • Lowerbound of 95% confidence interval for alpha
    -0.08804
  • Upperbound of 95% confidence interval for alpha
    -0.01354
  • Treynor index (mean / b)
    17.77860
  • Jensen alpha (a)
    -0.05079
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05234
  • SD
    0.01317
  • Sharpe ratio (Glass type estimate)
    -3.97262
  • Sharpe ratio (Hedges UMVUE)
    -3.94965
  • df
    130.00000
  • t
    -2.80906
  • p
    0.61961
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.77870
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -1.15183
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.76273
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.13658
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.87290
  • Upside Potential Ratio
    0.03836
  • Upside part of mean
    0.00052
  • Downside part of mean
    -0.05286
  • Upside SD
    0.00028
  • Downside SD
    0.01351
  • N nonnegative terms
    5.00000
  • N negative terms
    126.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.47752
  • Mean of criterion
    -0.05234
  • SD of predictor
    0.19759
  • SD of criterion
    0.01317
  • Covariance
    -0.00012
  • r
    -0.04501
  • b (slope, estimate of beta)
    -0.00300
  • a (intercept, estimate of alpha)
    -0.05090
  • Mean Square Error
    0.00017
  • DF error
    129.00000
  • t(b)
    -0.51179
  • p(b)
    0.52865
  • t(a)
    -2.69428
  • p(a)
    0.64562
  • VAR (95 Confidence Intrvl)
    0.03100
  • Lowerbound of 95% confidence interval for beta
    -0.01460
  • Upperbound of 95% confidence interval for beta
    0.00860
  • Lowerbound of 95% confidence interval for alpha
    -0.08828
  • Upperbound of 95% confidence interval for alpha
    -0.01352
  • Treynor index (mean / b)
    17.43730
  • Jensen alpha (a)
    -0.05090
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00154
  • Expected Shortfall on VaR
    0.00188
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00068
  • Expected Shortfall on VaR
    0.00149
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99100
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00030
  • Mean of quarter 1
    0.99960
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00003
  • Inter Quartile Range
    0.00000
  • Number outliers low
    25.00000
  • Percentage of outliers low
    0.19084
  • Mean of outliers low
    0.99947
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.00008
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.49155
  • VaR(95%) (moments method)
    -0.02667
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.93534
  • VaR(95%) (regression method)
    -0.00088
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.01276
  • Quartile 1
    0.01276
  • Median
    0.01276
  • Quartile 3
    0.01276
  • Maximum
    0.01276
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -390698000
  • Max Equity Drawdown (num days)
    35
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.02428
  • Compounded annual return (geometric extrapolation)
    -0.02413
  • Calmar ratio (compounded annual return / max draw down)
    -1.89192
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -12.85880

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2021-04-01
Suggested Minimum Capital
$30,000
# Trades
138
# Profitable
108
% Profitable
78.3%
Net Dividends
($279)
Correlation S&P500
-0.030
Sharpe Ratio
1.39
Sortino Ratio
3.73
Beta
-0.06
Alpha
0.15
Leverage
0.39 Average
2.10 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.