Collective2 Collective2
Featured Strategy MT3 Algotrading +94.9% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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Free DayTradeAlgo 2025
(138839383)

Powered by BrokerTransmit.
Read important disclosures.

Created by: Arik Arik
Started: 01/2022
Stocks
Last trade: Yesterday
Trading style: Equity Trend-following

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
14.6%
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.

(70.1%)
Max Drawdown
716
Num Trades
66.3%
Win Trades
1.2 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022(8.3%)(0.7%)(0.7%)(0.7%)+33.1%+29.3%+20.6%(9.1%)(8.9%)+11.6%+26.3%(20%)+74.0%
2023+4.2%+7.6%+9.6%+1.3%+2.9%+3.8%(5.2%)(19.5%)(20%)(4.5%)(22.2%)+2.5%(38.2%)
2024+5.5%+33.6%+16.0%(0.5%)(18.7%)(0.2%)+0.9%(0.5%)(0.5%)(15.8%)+2.8%+4.9%+19.8%
2025+19.7%(1.1%)                                                            +18.4%

Model Account Details

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

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

Trading Record

This strategy has placed 1,641 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/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/4/25 9:54 PLTR PALANTIR TECHNOLOGIES INC. CLASS A LONG 20 103.51 2/4 15:54 104.09 0.7%
Trade id #150760497
Max drawdown($53)
Time2/4/25 13:05
Quant open20
Worst price100.85
Drawdown as % of equity-0.70%
 $12
Includes Typical Broker Commissions trade costs of $0.40
1/31/25 10:30 KTOS KRATOS DEFENSE & SECURITY LONG 11 33.83 2/3 9:41 32.75 0.21%
Trade id #150723817
Max drawdown($15)
Time2/3/25 9:30
Quant open11
Worst price32.40
Drawdown as % of equity-0.21%
 ($12)
Includes Typical Broker Commissions trade costs of $0.22
1/31/25 10:24 OUST OUSTER INC. LONG 34 10.61 2/3 9:38 9.42 0.61%
Trade id #150723739
Max drawdown($46)
Time2/3/25 9:30
Quant open34
Worst price9.25
Drawdown as % of equity-0.61%
 ($41)
Includes Typical Broker Commissions trade costs of $0.68
1/30/25 15:37 APLS APELLIS PHARMACEUTICALS INC. LONG 12 30.27 2/3 9:38 27.96 0.36%
Trade id #150716842
Max drawdown($27)
Time2/3/25 9:38
Quant open12
Worst price27.98
Drawdown as % of equity-0.36%
 ($28)
Includes Typical Broker Commissions trade costs of $0.24
1/30/25 15:08 TWST TWIST BIOSCIENCE CORPORATION LONG 7 52.86 2/3 9:38 49.88 0.7%
Trade id #150716520
Max drawdown($52)
Time2/3/25 9:30
Quant open7
Worst price45.30
Drawdown as % of equity-0.70%
 ($21)
Includes Typical Broker Commissions trade costs of $0.14
1/30/25 14:56 AMZU DIREXION DAILY AMZN BULL 1.5X SHARES LONG 8 47.89 2/3 9:36 48.19 0.1%
Trade id #150716394
Max drawdown($7)
Time2/3/25 9:30
Quant open8
Worst price46.90
Drawdown as % of equity-0.10%
 $2
Includes Typical Broker Commissions trade costs of $0.16
1/30/25 11:30 PYPL PAYPAL HOLDINGS CORP LONG 4 90.06 2/3 9:36 87.09 0.21%
Trade id #150713933
Max drawdown($16)
Time2/3/25 9:30
Quant open4
Worst price86.00
Drawdown as % of equity-0.21%
 ($12)
Includes Typical Broker Commissions trade costs of $0.08
1/30/25 9:37 RKLB ROCKET LAB USA INC. COMMON STOCK LONG 12 30.66 2/3 9:36 27.17 0.66%
Trade id #150711605
Max drawdown($50)
Time2/3/25 9:31
Quant open12
Worst price26.45
Drawdown as % of equity-0.66%
 ($42)
Includes Typical Broker Commissions trade costs of $0.24
1/29/25 14:41 HSAI HESAI GROUP ADS (CLASS B) LONG 24 15.25 2/3 9:32 15.53 0.04%
Trade id #150705031
Max drawdown($3)
Time1/29/25 15:00
Quant open24
Worst price15.12
Drawdown as % of equity-0.04%
 $7
Includes Typical Broker Commissions trade costs of $0.48
1/29/25 12:03 DXCM DEXCOM LONG 4 86.73 2/3 9:32 87.61 0.04%
Trade id #150702210
Max drawdown($2)
Time1/29/25 14:25
Quant open4
Worst price86.05
Drawdown as % of equity-0.04%
 $4
Includes Typical Broker Commissions trade costs of $0.08
1/29/25 10:03 UAL UNITED AIRLINES HOLDINGS INC LONG 3 107.97 2/3 9:32 101.91 0.26%
Trade id #150700193
Max drawdown($19)
Time2/3/25 9:30
Quant open3
Worst price101.32
Drawdown as % of equity-0.26%
 ($18)
Includes Typical Broker Commissions trade costs of $0.06
1/28/25 7:34 SES SES AI CORP LONG 7,200 1.05 1/31 9:45 1.11 2.95%
Trade id #150687471
Max drawdown($216)
Time1/30/25 0:00
Quant open3,600
Worst price1.01
Drawdown as % of equity-2.95%
 $420
Includes Typical Broker Commissions trade costs of $12.50
1/23/25 9:31 TSLL DIREXION DAILY TSLA BULL 1.5X SHARES LONG 164 24.65 1/29 16:24 24.70 3.02%
Trade id #150648045
Max drawdown($213)
Time1/29/25 14:36
Quant open72
Worst price24.16
Drawdown as % of equity-3.02%
 $5
Includes Typical Broker Commissions trade costs of $3.28
1/28/25 10:30 WIX WIX.COM LTD. ORDINARY SHARES LONG 2 240.78 1/29 6:52 248.63 0.05%
Trade id #150689835
Max drawdown($3)
Time1/28/25 10:37
Quant open2
Worst price239.02
Drawdown as % of equity-0.05%
 $16
Includes Typical Broker Commissions trade costs of $0.04
1/28/25 10:26 PLTR PALANTIR TECHNOLOGIES INC. CLASS A LONG 7 78.39 1/28 12:48 79.52 0.02%
Trade id #150689743
Max drawdown($1)
Time1/28/25 11:52
Quant open7
Worst price78.19
Drawdown as % of equity-0.02%
 $8
Includes Typical Broker Commissions trade costs of $0.14
1/28/25 9:47 RDDT REDDIT INC LONG 3 188.67 1/28 11:47 190.55 n/a $6
Includes Typical Broker Commissions trade costs of $0.06
1/22/25 11:10 ARBE ARBE ROBOTICS LTD. ORDINARY SHARES LONG 648 2.72 1/28 10:32 2.77 2.3%
Trade id #150638948
Max drawdown($162)
Time1/28/25 9:48
Quant open648
Worst price2.47
Drawdown as % of equity-2.30%
 $23
Includes Typical Broker Commissions trade costs of $8.98
1/23/25 12:35 SES SES AI CORP LONG 7,600 1.11 1/27 7:25 1.16 3.94%
Trade id #150651657
Max drawdown($270)
Time1/23/25 15:56
Quant open2,100
Worst price1.10
Drawdown as % of equity-3.94%
 $352
Includes Typical Broker Commissions trade costs of $10.00
1/22/25 10:32 MVST MICROVAST HOLDINGS INC LONG 246 2.01 1/23 14:43 2.03 0.12%
Trade id #150638306
Max drawdown($8)
Time1/23/25 10:44
Quant open246
Worst price1.98
Drawdown as % of equity-0.12%
 ($1)
Includes Typical Broker Commissions trade costs of $4.92
1/22/25 11:07 QSI QUANTUM-SI INC LONG 222 2.33 1/23 13:19 2.38 0.22%
Trade id #150638859
Max drawdown($14)
Time1/23/25 11:02
Quant open222
Worst price2.26
Drawdown as % of equity-0.22%
 $8
Includes Typical Broker Commissions trade costs of $4.44
1/22/25 11:09 RCAT RED CAT HOLDINGS INC. COMMON STOCK LONG 25 8.60 1/23 10:03 8.84 0.05%
Trade id #150638911
Max drawdown($3)
Time1/22/25 11:29
Quant open25
Worst price8.47
Drawdown as % of equity-0.05%
 $6
Includes Typical Broker Commissions trade costs of $0.50
1/22/25 15:24 JDST DIREXION DAILY JR GOLD BEAR 2X LONG 9 24.95 1/23 9:57 25.94 n/a $9
Includes Typical Broker Commissions trade costs of $0.18
1/3/25 15:43 MSTY YIELDMAX MSTR OPTION INCOME STRATEGY ETF LONG 175 29.99 1/22 7:01 29.80 8.87%
Trade id #150480962
Max drawdown($561)
Time1/13/25 0:00
Quant open166
Worst price26.65
Drawdown as % of equity-8.87%
 ($37)
Includes Typical Broker Commissions trade costs of $3.50
1/2/25 14:39 ARQQ ARQIT QUANTUM INC. ORDINARY SHARES LONG 21 37.52 1/3 9:30 39.29 0.09%
Trade id #150467473
Max drawdown($5)
Time1/2/25 15:00
Quant open21
Worst price37.24
Drawdown as % of equity-0.09%
 $37
Includes Typical Broker Commissions trade costs of $0.42
1/2/25 15:30 QBTS D-WAVE QUANTUM INC LONG 87 9.21 1/2 15:56 9.57 0.01%
Trade id #150467952
Max drawdown($0)
Time1/2/25 15:39
Quant open87
Worst price9.20
Drawdown as % of equity-0.01%
 $30
Includes Typical Broker Commissions trade costs of $1.74
12/31/24 15:40 MSTY YIELDMAX MSTR OPTION INCOME STRATEGY ETF LONG 69 26.14 1/2/25 4:07 27.47 0.16%
Trade id #150449062
Max drawdown($10)
Time12/31/24 15:44
Quant open69
Worst price26.00
Drawdown as % of equity-0.16%
 $90
Includes Typical Broker Commissions trade costs of $1.38
12/26/24 13:47 MSTY YIELDMAX MSTR OPTION INCOME STRATEGY ETF LONG 38 30.33 12/27 6:57 30.59 0.15%
Trade id #150414904
Max drawdown($9)
Time12/26/24 14:36
Quant open38
Worst price30.08
Drawdown as % of equity-0.15%
 $9
Includes Typical Broker Commissions trade costs of $0.76
12/23/24 15:52 RXRX RECURSION PHARMACEUTICALS INC. CLASS A LONG 72 6.92 12/26 11:44 7.62 0.02%
Trade id #150394303
Max drawdown($1)
Time12/23/24 16:00
Quant open72
Worst price6.90
Drawdown as % of equity-0.02%
 $49
Includes Typical Broker Commissions trade costs of $1.44
12/24/24 8:50 TEM TEMPUS AI INC. CLASS A LONG 15 35.27 12/26 11:43 35.16 0.29%
Trade id #150398169
Max drawdown($18)
Time12/24/24 10:01
Quant open15
Worst price34.05
Drawdown as % of equity-0.29%
 ($2)
Includes Typical Broker Commissions trade costs of $0.30
12/26/24 9:30 IONQ IONQ INC LONG 7 44.16 12/26 10:27 45.48 0.18%
Trade id #150411426
Max drawdown($11)
Time12/26/24 9:34
Quant open7
Worst price42.56
Drawdown as % of equity-0.18%
 $9
Includes Typical Broker Commissions trade costs of $0.14
Next

Statistics

  • Strategy began
    1/6/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1126.27
  • Age
    38 months ago
  • What it trades
    Stocks
  • # Trades
    716
  • # Profitable
    475
  • % Profitable
    66.30%
  • Avg trade duration
    2.7 days
  • Max peak-to-valley drawdown
    70.11%
  • drawdown period
    June 16, 2023 - June 14, 2024
  • Annual Return (Compounded)
    14.6%
  • Avg win
    $74.58
  • Avg loss
    $127.30
  • Model Account Values (Raw)
  • Cash
    $10,772
  • Margin Used
    $0
  • Buying Power
    $10,772
  • Ratios
  • W:L ratio
    1.19:1
  • Sharpe Ratio
    0.41
  • Sortino Ratio
    0.6
  • Calmar Ratio
    0.589
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    24.25%
  • Correlation to SP500
    0.05320
  • Return Percent SP500 (cumu) during strategy life
    28.75%
  • Return Statistics
  • Ann Return (w trading costs)
    14.6%
  • Slump
  • Current Slump as Pcnt Equity
    78.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.53%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.146%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    28.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    86.50%
  • Chance of 20% account loss
    67.00%
  • Chance of 30% account loss
    51.00%
  • Chance of 40% account loss
    28.50%
  • Chance of 60% account loss (Monte Carlo)
    5.00%
  • Chance of 70% account loss (Monte Carlo)
    2.50%
  • 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
    16.50%
  • Popularity
  • Popularity (Today)
    905
  • Popularity (Last 6 weeks)
    903
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    466
  • Popularity (7 days, Percentile 1000 scale)
    906
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $127
  • Avg Win
    $75
  • Sum Trade PL (losers)
    $30,679.000
  • Age
  • Num Months filled monthly returns table
    38
  • Win / Loss
  • Sum Trade PL (winners)
    $35,426.000
  • # Winners
    475
  • Num Months Winners
    19
  • Dividends
  • Dividends Received in Model Acct
    1033
  • AUM
  • AUM (AutoTrader live capital)
    8784
  • Win / Loss
  • # Losers
    241
  • % Winners
    66.3%
  • Frequency
  • Avg Position Time (mins)
    3895.97
  • Avg Position Time (hrs)
    64.93
  • Avg Trade Length
    2.7 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.20
  • Daily leverage (max)
    6.85
  • Regression
  • Alpha
    0.06
  • Beta
    0.15
  • Treynor Index
    0.43
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.37
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -71.030
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    1.109
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.040
  • Hold-and-Hope Ratio
    -0.014
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36789
  • SD
    0.58234
  • Sharpe ratio (Glass type estimate)
    0.63175
  • Sharpe ratio (Hedges UMVUE)
    0.61809
  • df
    35.00000
  • t
    1.09421
  • p
    0.14067
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51379
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76851
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52272
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75890
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.12989
  • Upside Potential Ratio
    2.74918
  • Upside part of mean
    0.89512
  • Downside part of mean
    -0.52723
  • Upside SD
    0.48473
  • Downside SD
    0.32560
  • N nonnegative terms
    16.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.06978
  • Mean of criterion
    0.36789
  • SD of predictor
    0.16174
  • SD of criterion
    0.58234
  • Covariance
    0.01894
  • r
    0.20114
  • b (slope, estimate of beta)
    0.72419
  • a (intercept, estimate of alpha)
    0.31735
  • Mean Square Error
    0.33497
  • DF error
    34.00000
  • t(b)
    1.19730
  • p(b)
    0.11974
  • t(a)
    0.94224
  • p(a)
    0.17636
  • Lowerbound of 95% confidence interval for beta
    -0.50502
  • Upperbound of 95% confidence interval for beta
    1.95339
  • Lowerbound of 95% confidence interval for alpha
    -0.36712
  • Upperbound of 95% confidence interval for alpha
    1.00182
  • Treynor index (mean / b)
    0.50800
  • Jensen alpha (a)
    0.31735
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20305
  • SD
    0.57845
  • Sharpe ratio (Glass type estimate)
    0.35103
  • Sharpe ratio (Hedges UMVUE)
    0.34345
  • df
    35.00000
  • t
    0.60801
  • p
    0.27355
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78599
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.48310
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79100
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47789
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.52058
  • Upside Potential Ratio
    2.04115
  • Upside part of mean
    0.79615
  • Downside part of mean
    -0.59310
  • Upside SD
    0.42024
  • Downside SD
    0.39005
  • N nonnegative terms
    16.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.05650
  • Mean of criterion
    0.20305
  • SD of predictor
    0.16442
  • SD of criterion
    0.57845
  • Covariance
    0.01843
  • r
    0.19378
  • b (slope, estimate of beta)
    0.68174
  • a (intercept, estimate of alpha)
    0.16454
  • Mean Square Error
    0.33151
  • DF error
    34.00000
  • t(b)
    1.15174
  • p(b)
    0.12873
  • t(a)
    0.49248
  • p(a)
    0.31277
  • Lowerbound of 95% confidence interval for beta
    -0.52119
  • Upperbound of 95% confidence interval for beta
    1.88466
  • Lowerbound of 95% confidence interval for alpha
    -0.51443
  • Upperbound of 95% confidence interval for alpha
    0.84350
  • Treynor index (mean / b)
    0.29785
  • Jensen alpha (a)
    0.16454
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.22720
  • Expected Shortfall on VaR
    0.27794
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10774
  • Expected Shortfall on VaR
    0.21233
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    36.00000
  • Minimum
    0.58640
  • Quartile 1
    0.93930
  • Median
    1.00000
  • Quartile 3
    1.10550
  • Maximum
    1.44271
  • Mean of quarter 1
    0.84386
  • Mean of quarter 2
    0.98535
  • Mean of quarter 3
    1.04984
  • Mean of quarter 4
    1.25289
  • Inter Quartile Range
    0.16619
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02778
  • Mean of outliers low
    0.58640
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05556
  • Mean of outliers high
    1.41145
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07441
  • VaR(95%) (moments method)
    0.15425
  • Expected Shortfall (moments method)
    0.21536
  • Extreme Value Index (regression method)
    0.45498
  • VaR(95%) (regression method)
    0.14747
  • Expected Shortfall (regression method)
    0.26636
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.07440
  • Quartile 1
    0.12783
  • Median
    0.17491
  • Quartile 3
    0.26579
  • Maximum
    0.45059
  • Mean of quarter 1
    0.07440
  • Mean of quarter 2
    0.14563
  • Mean of quarter 3
    0.20419
  • Mean of quarter 4
    0.45059
  • Inter Quartile Range
    0.13796
  • 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)
    0.33316
  • Compounded annual return (geometric extrapolation)
    0.25981
  • Calmar ratio (compounded annual return / max draw down)
    0.57659
  • Compounded annual return / average of 25% largest draw downs
    0.57659
  • Compounded annual return / Expected Shortfall lognormal
    0.93476
  • 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
    0.29840
  • SD
    0.38530
  • Sharpe ratio (Glass type estimate)
    0.77446
  • Sharpe ratio (Hedges UMVUE)
    0.77374
  • df
    796.00000
  • t
    1.35077
  • p
    0.08858
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35017
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89862
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35066
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89813
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.15259
  • Upside Potential Ratio
    7.52327
  • Upside part of mean
    1.94775
  • Downside part of mean
    -1.64934
  • Upside SD
    0.28563
  • Downside SD
    0.25890
  • N nonnegative terms
    338.00000
  • N negative terms
    459.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    797.00000
  • Mean of predictor
    0.06933
  • Mean of criterion
    0.29840
  • SD of predictor
    0.17464
  • SD of criterion
    0.38530
  • Covariance
    0.00262
  • r
    0.03894
  • b (slope, estimate of beta)
    0.08591
  • a (intercept, estimate of alpha)
    0.29200
  • Mean Square Error
    0.14842
  • DF error
    795.00000
  • t(b)
    1.09880
  • p(b)
    0.13609
  • t(a)
    1.32358
  • p(a)
    0.09301
  • Lowerbound of 95% confidence interval for beta
    -0.06757
  • Upperbound of 95% confidence interval for beta
    0.23939
  • Lowerbound of 95% confidence interval for alpha
    -0.14127
  • Upperbound of 95% confidence interval for alpha
    0.72616
  • Treynor index (mean / b)
    3.47328
  • Jensen alpha (a)
    0.29245
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22440
  • SD
    0.38440
  • Sharpe ratio (Glass type estimate)
    0.58377
  • Sharpe ratio (Hedges UMVUE)
    0.58322
  • df
    796.00000
  • t
    1.01817
  • p
    0.15445
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54051
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70772
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54090
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70733
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.83893
  • Upside Potential Ratio
    7.13527
  • Upside part of mean
    1.90857
  • Downside part of mean
    -1.68417
  • Upside SD
    0.27608
  • Downside SD
    0.26748
  • N nonnegative terms
    338.00000
  • N negative terms
    459.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    797.00000
  • Mean of predictor
    0.05407
  • Mean of criterion
    0.22440
  • SD of predictor
    0.17476
  • SD of criterion
    0.38440
  • Covariance
    0.00257
  • r
    0.03823
  • b (slope, estimate of beta)
    0.08409
  • a (intercept, estimate of alpha)
    0.21985
  • Mean Square Error
    0.14773
  • DF error
    795.00000
  • t(b)
    1.07874
  • p(b)
    0.14051
  • t(a)
    0.99746
  • p(a)
    0.15942
  • Lowerbound of 95% confidence interval for beta
    -0.06893
  • Upperbound of 95% confidence interval for beta
    0.23711
  • Lowerbound of 95% confidence interval for alpha
    -0.21281
  • Upperbound of 95% confidence interval for alpha
    0.65251
  • Treynor index (mean / b)
    2.66853
  • Jensen alpha (a)
    0.21985
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03749
  • Expected Shortfall on VaR
    0.04695
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01562
  • Expected Shortfall on VaR
    0.03270
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    797.00000
  • Minimum
    0.86899
  • Quartile 1
    0.99479
  • Median
    1.00000
  • Quartile 3
    1.00804
  • Maximum
    1.15306
  • Mean of quarter 1
    0.97608
  • Mean of quarter 2
    0.99907
  • Mean of quarter 3
    1.00272
  • Mean of quarter 4
    1.02724
  • Inter Quartile Range
    0.01325
  • Number outliers low
    66.00000
  • Percentage of outliers low
    0.08281
  • Mean of outliers low
    0.95267
  • Number of outliers high
    65.00000
  • Percentage of outliers high
    0.08156
  • Mean of outliers high
    1.05067
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45682
  • VaR(95%) (moments method)
    0.02031
  • Expected Shortfall (moments method)
    0.04473
  • Extreme Value Index (regression method)
    0.21035
  • VaR(95%) (regression method)
    0.02220
  • Expected Shortfall (regression method)
    0.03795
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00126
  • Quartile 1
    0.00414
  • Median
    0.03337
  • Quartile 3
    0.10969
  • Maximum
    0.48731
  • Mean of quarter 1
    0.00244
  • Mean of quarter 2
    0.01879
  • Mean of quarter 3
    0.06236
  • Mean of quarter 4
    0.23781
  • Inter Quartile Range
    0.10555
  • 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
    0.04762
  • Mean of outliers high
    0.48731
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.24968
  • VaR(95%) (moments method)
    0.24490
  • Expected Shortfall (moments method)
    0.38433
  • Extreme Value Index (regression method)
    0.83954
  • VaR(95%) (regression method)
    0.30786
  • Expected Shortfall (regression method)
    1.67338
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.37949
  • Compounded annual return (geometric extrapolation)
    0.28699
  • Calmar ratio (compounded annual return / max draw down)
    0.58892
  • Compounded annual return / average of 25% largest draw downs
    1.20681
  • Compounded annual return / Expected Shortfall lognormal
    6.11236
  • 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
    0.13672
  • SD
    0.19515
  • Sharpe ratio (Glass type estimate)
    0.70056
  • Sharpe ratio (Hedges UMVUE)
    0.69651
  • df
    130.00000
  • t
    0.49537
  • p
    0.47830
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.07389
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.47235
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.07659
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.46961
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.06180
  • Upside Potential Ratio
    7.40421
  • Upside part of mean
    0.95335
  • Downside part of mean
    -0.81663
  • Upside SD
    0.14590
  • Downside SD
    0.12876
  • N nonnegative terms
    47.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15722
  • Mean of criterion
    0.13672
  • SD of predictor
    0.14515
  • SD of criterion
    0.19515
  • Covariance
    0.00090
  • r
    0.03190
  • b (slope, estimate of beta)
    0.04289
  • a (intercept, estimate of alpha)
    0.12997
  • Mean Square Error
    0.03834
  • DF error
    129.00000
  • t(b)
    0.36250
  • p(b)
    0.47969
  • t(a)
    0.46831
  • p(a)
    0.47378
  • Lowerbound of 95% confidence interval for beta
    -0.19120
  • Upperbound of 95% confidence interval for beta
    0.27698
  • Lowerbound of 95% confidence interval for alpha
    -0.41914
  • Upperbound of 95% confidence interval for alpha
    0.67908
  • Treynor index (mean / b)
    3.18756
  • Jensen alpha (a)
    0.12997
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11782
  • SD
    0.19478
  • Sharpe ratio (Glass type estimate)
    0.60492
  • Sharpe ratio (Hedges UMVUE)
    0.60142
  • df
    130.00000
  • t
    0.42774
  • p
    0.48125
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.16895
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.37662
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.17135
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.37419
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.90177
  • Upside Potential Ratio
    7.21583
  • Upside part of mean
    0.94282
  • Downside part of mean
    -0.82500
  • Upside SD
    0.14363
  • Downside SD
    0.13066
  • N nonnegative terms
    47.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14669
  • Mean of criterion
    0.11782
  • SD of predictor
    0.14536
  • SD of criterion
    0.19478
  • Covariance
    0.00097
  • r
    0.03414
  • b (slope, estimate of beta)
    0.04575
  • a (intercept, estimate of alpha)
    0.11112
  • Mean Square Error
    0.03819
  • DF error
    129.00000
  • t(b)
    0.38798
  • p(b)
    0.47827
  • t(a)
    0.40127
  • p(a)
    0.47753
  • VAR (95 Confidence Intrvl)
    0.03700
  • Lowerbound of 95% confidence interval for beta
    -0.18754
  • Upperbound of 95% confidence interval for beta
    0.27904
  • Lowerbound of 95% confidence interval for alpha
    -0.43675
  • Upperbound of 95% confidence interval for alpha
    0.65898
  • Treynor index (mean / b)
    2.57553
  • Jensen alpha (a)
    0.11112
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01916
  • Expected Shortfall on VaR
    0.02407
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00828
  • Expected Shortfall on VaR
    0.01714
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95721
  • Quartile 1
    0.99827
  • Median
    1.00000
  • Quartile 3
    1.00428
  • Maximum
    1.04438
  • Mean of quarter 1
    0.98802
  • Mean of quarter 2
    0.99988
  • Mean of quarter 3
    1.00088
  • Mean of quarter 4
    1.01374
  • Inter Quartile Range
    0.00601
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.97916
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.03063
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13062
  • VaR(95%) (moments method)
    0.00712
  • Expected Shortfall (moments method)
    0.01131
  • Extreme Value Index (regression method)
    -0.05484
  • VaR(95%) (regression method)
    0.01449
  • Expected Shortfall (regression method)
    0.02158
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00417
  • Quartile 1
    0.04550
  • Median
    0.08684
  • Quartile 3
    0.12818
  • Maximum
    0.16951
  • Mean of quarter 1
    0.00417
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.16951
  • Inter Quartile Range
    0.08267
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -353454000
  • Max Equity Drawdown (num days)
    364
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15117
  • Compounded annual return (geometric extrapolation)
    0.15689
  • Calmar ratio (compounded annual return / max draw down)
    0.92551
  • Compounded annual return / average of 25% largest draw downs
    0.92551
  • Compounded annual return / Expected Shortfall lognormal
    6.51858

Strategy Description

Algorithm Trade System:
Algo monitor the market all session to open Long Trade.

the system was backtest and working well in the past.
past results may not represent the future.

need margin account to follow all trades
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-01-06
Suggested Minimum Capital
$35,000
# Trades
716
# Profitable
475
% Profitable
66.3%
Net Dividends
$1,032
Correlation S&P500
0.053
Sharpe Ratio
0.41
Sortino Ratio
0.60
Beta
0.15
Alpha
0.06
Leverage
2.20 Average
6.85 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.