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This is an archived track record. This track record was archived on 12/28/22 2:48 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Algebra Crypto
(140921793)

Created by: Traderkhved Traderkhved
Started: 06/2022
Stocks, Futures
Last trade: 457 days ago
Trading style: Equity Non-hedged Equity

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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
5.1%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(53.1%)
Max Drawdown
24
Num Trades
62.5%
Win Trades
1.1 : 1
Profit Factor
13.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                   (4%)+37.7%+43.0%(9.1%)+0.7%(24.5%)(21.6%)+2.5%
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/27/22 9:40 SNAP SNAP INC LONG 350 8.37 12/28 2:48 8.56 0.12%
Trade id #143004883
Max drawdown($31)
Time12/27/22 9:44
Quant open350
Worst price8.28
Drawdown as % of equity-0.12%
$60
Includes Typical Broker Commissions trade costs of $7.00
12/27/22 9:40 SQ BLOCK INC LONG 50 59.90 12/28 2:48 59.86 0.29%
Trade id #143004870
Max drawdown($78)
Time12/27/22 10:00
Quant open50
Worst price58.34
Drawdown as % of equity-0.29%
($3)
Includes Typical Broker Commissions trade costs of $1.00
10/26/22 9:33 PYPL PAYPAL HOLDINGS CORP LONG 55 89.77 12/28 2:48 68.33 4.75%
Trade id #142318744
Max drawdown($1,286)
Time12/22/22 0:00
Quant open55
Worst price66.39
Drawdown as % of equity-4.75%
($1,180)
Includes Typical Broker Commissions trade costs of $1.10
9/14/22 12:49 COIN COINBASE GLOBAL INC. CLASS A LONG 500 78.60 12/28 2:48 32.65 90.12%
Trade id #141787817
Max drawdown($23,080)
Time12/27/22 15:03
Quant open500
Worst price32.44
Drawdown as % of equity-90.12%
($22,985)
Includes Typical Broker Commissions trade costs of $10.00
12/1/22 0:35 @MBTZ2 MICRO BITCOIN LONG 3 17065 12/13 8:52 17920 0.86%
Trade id #142729035
Max drawdown($277)
Time12/2/22 0:00
Quant open3
Worst price16140
Drawdown as % of equity-0.86%
$233
Includes Typical Broker Commissions trade costs of $24.00
11/24/22 0:13 @MBTZ2 MICRO BITCOIN LONG 2 16300 12/1 0:35 17050 0.4%
Trade id #142667762
Max drawdown($126)
Time11/28/22 0:00
Quant open2
Worst price15670
Drawdown as % of equity-0.40%
$134
Includes Typical Broker Commissions trade costs of $16.00
10/27/22 14:15 SQ BLOCK INC LONG 100 60.36 11/8 9:48 60.65 2.27%
Trade id #142349041
Max drawdown($902)
Time11/3/22 0:00
Quant open100
Worst price51.34
Drawdown as % of equity-2.27%
$27
Includes Typical Broker Commissions trade costs of $2.00
10/25/22 15:50 SQ BLOCK INC LONG 100 59.87 10/27 14:15 60.34 0.35%
Trade id #142311304
Max drawdown($167)
Time10/26/22 0:00
Quant open80
Worst price57.97
Drawdown as % of equity-0.35%
$45
Includes Typical Broker Commissions trade costs of $2.00
10/5/22 1:18 @MBTV2 MICRO BITCOIN LONG 2 20240 10/25 15:46 20240 1.09%
Trade id #142039574
Max drawdown($495)
Time10/13/22 0:00
Quant open2
Worst price17765
Drawdown as % of equity-1.09%
($16)
Includes Typical Broker Commissions trade costs of $16.00
9/12/22 8:12 @MBTV2 MICRO BITCOIN LONG 10 22370 9/14 12:50 20165 4.25%
Trade id #141744492
Max drawdown($2,300)
Time9/13/22 0:00
Quant open10
Worst price20070
Drawdown as % of equity-4.25%
($2,285)
Includes Typical Broker Commissions trade costs of $80.00
9/14/22 9:30 COIN COINBASE GLOBAL INC. CLASS A LONG 500 75.88 9/14 11:40 77.76 1.79%
Trade id #141780083
Max drawdown($885)
Time9/14/22 9:36
Quant open500
Worst price74.11
Drawdown as % of equity-1.79%
$930
Includes Typical Broker Commissions trade costs of $10.00
9/13/22 12:30 COIN COINBASE GLOBAL INC. CLASS A LONG 500 76.38 9/13 13:54 76.91 0.38%
Trade id #141767311
Max drawdown($190)
Time9/13/22 13:03
Quant open500
Worst price76.00
Drawdown as % of equity-0.38%
$255
Includes Typical Broker Commissions trade costs of $10.00
9/2/22 9:38 COIN COINBASE GLOBAL INC. CLASS A LONG 500 73.32 9/13 10:37 76.70 3.16%
Trade id #141635468
Max drawdown($1,413)
Time9/7/22 0:00
Quant open300
Worst price61.83
Drawdown as % of equity-3.16%
$1,682
Includes Typical Broker Commissions trade costs of $10.00
8/24/22 15:45 @MBTU2 MICRO BITCOIN LONG 10 21710 9/12 8:03 22310 7.55%
Trade id #141528736
Max drawdown($3,375)
Time9/7/22 0:00
Quant open10
Worst price18335
Drawdown as % of equity-7.55%
$520
Includes Typical Broker Commissions trade costs of $80.00
8/22/22 9:33 COIN COINBASE GLOBAL INC. CLASS A LONG 400 71.28 8/30 11:53 66.00 5.5%
Trade id #141492830
Max drawdown($2,590)
Time8/30/22 10:47
Quant open400
Worst price64.80
Drawdown as % of equity-5.50%
($2,118)
Includes Typical Broker Commissions trade costs of $8.00
8/21/22 22:15 @MBTU2 MICRO BITCOIN LONG 5 21405 8/24 15:44 21685 0.56%
Trade id #141489386
Max drawdown($285)
Time8/23/22 0:00
Quant open5
Worst price20835
Drawdown as % of equity-0.56%
$100
Includes Typical Broker Commissions trade costs of $40.00
8/18/22 0:46 @MBTU2 MICRO BITCOIN SHORT 14 23168 8/21 22:14 21405 0.24%
Trade id #141456788
Max drawdown($117)
Time8/18/22 15:32
Quant open10
Worst price23455
Drawdown as % of equity-0.24%
$2,357
Includes Typical Broker Commissions trade costs of $112.00
8/18/22 9:43 COIN COINBASE GLOBAL INC. CLASS A LONG 250 83.53 8/18 12:48 82.09 1.07%
Trade id #141460215
Max drawdown($528)
Time8/18/22 12:44
Quant open250
Worst price81.42
Drawdown as % of equity-1.07%
($366)
Includes Typical Broker Commissions trade costs of $5.00
8/15/22 3:06 @MBTU2 MICRO BITCOIN LONG 10 24163 8/17 14:10 23425 1.64%
Trade id #141413904
Max drawdown($828)
Time8/17/22 11:04
Quant open10
Worst price23335
Drawdown as % of equity-1.64%
($818)
Includes Typical Broker Commissions trade costs of $80.00
8/4/22 10:51 COIN COINBASE GLOBAL INC. CLASS A LONG 300 94.12 8/17 14:10 87.00 6.85%
Trade id #141303228
Max drawdown($3,543)
Time8/11/22 0:00
Quant open300
Worst price82.31
Drawdown as % of equity-6.85%
($2,142)
Includes Typical Broker Commissions trade costs of $6.00
8/11/22 1:43 @MBTU2 MICRO BITCOIN LONG 10 24765 8/14 23:19 25195 2.31%
Trade id #141379029
Max drawdown($1,115)
Time8/12/22 0:00
Quant open10
Worst price23650
Drawdown as % of equity-2.31%
$350
Includes Typical Broker Commissions trade costs of $80.00
8/8/22 10:28 @MBTQ2 MICRO BITCOIN LONG 10 24348 8/11 1:42 24735 1.62%
Trade id #141335683
Max drawdown($795)
Time8/10/22 0:00
Quant open5
Worst price22640
Drawdown as % of equity-1.62%
$308
Includes Typical Broker Commissions trade costs of $80.00
7/20/22 1:25 @MBTQ2 MICRO BITCOIN LONG 14 23532 8/8 10:28 24185 0.59%
Trade id #141113734
Max drawdown($289)
Time8/5/22 0:00
Quant open4
Worst price22465
Drawdown as % of equity-0.59%
$801
Includes Typical Broker Commissions trade costs of $112.00
6/30/22 12:57 COIN COINBASE GLOBAL INC. CLASS A LONG 700 48.10 8/4 9:59 85.77 5.94%
Trade id #140921822
Max drawdown($1,505)
Time7/5/22 0:00
Quant open700
Worst price45.95
Drawdown as % of equity-5.94%
$26,357
Includes Typical Broker Commissions trade costs of $9.50

Statistics

  • Strategy began
    6/30/2022
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    635.11
  • Age
    21 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    24
  • # Profitable
    15
  • % Profitable
    62.50%
  • Avg trade duration
    14.4 days
  • Max peak-to-valley drawdown
    53.08%
  • drawdown period
    Sept 12, 2022 - Dec 27, 2022
  • Cumul. Return
    2.5%
  • Avg win
    $2,316
  • Avg loss
    $3,522
  • Model Account Values (Raw)
  • Cash
    $28,044
  • Margin Used
    $0
  • Buying Power
    $28,044
  • Ratios
  • W:L ratio
    1.10:1
  • Sharpe Ratio
    0.19
  • Sortino Ratio
    0.32
  • Calmar Ratio
    0.509
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1.36%
  • Correlation to SP500
    0.27970
  • Return Percent SP500 (cumu) during strategy life
    38.81%
  • Return Statistics
  • Ann Return (w trading costs)
    5.1%
  • Slump
  • Current Slump as Pcnt Equity
    112.70%
  • Instruments
  • Percent Trades Futures
    0.51%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.88%
  • 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)
    0.025%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.49%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    77.50%
  • Chance of 20% account loss
    56.00%
  • Chance of 30% account loss
    31.50%
  • Chance of 40% account loss
    14.50%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    6.56%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    3.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    612
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $3,523
  • Avg Win
    $2,317
  • Sum Trade PL (losers)
    $31,706.000
  • Age
  • Num Months filled monthly returns table
    22
  • Win / Loss
  • Sum Trade PL (winners)
    $34,753.000
  • # Winners
    15
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    9
  • % Winners
    62.5%
  • Frequency
  • Avg Position Time (mins)
    20751.90
  • Avg Position Time (hrs)
    345.87
  • Avg Trade Length
    14.4 days
  • Last Trade Ago
    454
  • Leverage
  • Daily leverage (average)
    1.04
  • Daily leverage (max)
    1.84
  • Regression
  • Alpha
    -0.01
  • Beta
    0.70
  • Treynor Index
    0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.06
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.20
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.14
  • Avg(MAE) / Avg(PL) - All trades
    15.001
  • 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
    0.330
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.080
  • Hold-and-Hope Ratio
    0.066
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.21943
  • SD
    1.06174
  • Sharpe ratio (Glass type estimate)
    1.14851
  • Sharpe ratio (Hedges UMVUE)
    0.91638
  • df
    4.00000
  • t
    0.74136
  • p
    0.24982
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.04786
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.21619
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.18567
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01843
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.78210
  • Upside Potential Ratio
    4.75192
  • Upside part of mean
    2.08282
  • Downside part of mean
    -0.86339
  • Upside SD
    0.91304
  • Downside SD
    0.43831
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.18453
  • Mean of criterion
    1.21943
  • SD of predictor
    0.27795
  • SD of criterion
    1.06174
  • Covariance
    0.00743
  • r
    0.02519
  • b (slope, estimate of beta)
    0.09623
  • a (intercept, estimate of alpha)
    1.20167
  • Mean Square Error
    1.50211
  • DF error
    3.00000
  • t(b)
    0.04365
  • p(b)
    0.48396
  • t(a)
    0.61884
  • p(a)
    0.28992
  • Lowerbound of 95% confidence interval for beta
    -6.92025
  • Upperbound of 95% confidence interval for beta
    7.11272
  • Lowerbound of 95% confidence interval for alpha
    -4.97801
  • Upperbound of 95% confidence interval for alpha
    7.38134
  • Treynor index (mean / b)
    12.67160
  • Jensen alpha (a)
    1.20167
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.77491
  • SD
    0.98900
  • Sharpe ratio (Glass type estimate)
    0.78353
  • Sharpe ratio (Hedges UMVUE)
    0.62517
  • df
    4.00000
  • t
    0.50577
  • p
    0.31981
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.34318
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.81926
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.44194
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.69228
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.53879
  • Upside Potential Ratio
    3.47837
  • Upside part of mean
    1.75166
  • Downside part of mean
    -0.97674
  • Upside SD
    0.76088
  • Downside SD
    0.50358
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.15204
  • Mean of criterion
    0.77491
  • SD of predictor
    0.27873
  • SD of criterion
    0.98900
  • Covariance
    0.00730
  • r
    0.02648
  • b (slope, estimate of beta)
    0.09395
  • a (intercept, estimate of alpha)
    0.76063
  • Mean Square Error
    1.30324
  • DF error
    3.00000
  • t(b)
    0.04588
  • p(b)
    0.48314
  • t(a)
    0.42357
  • p(a)
    0.35021
  • Lowerbound of 95% confidence interval for beta
    -6.42323
  • Upperbound of 95% confidence interval for beta
    6.61114
  • Lowerbound of 95% confidence interval for alpha
    -4.95425
  • Upperbound of 95% confidence interval for alpha
    6.47550
  • Treynor index (mean / b)
    8.24769
  • Jensen alpha (a)
    0.76063
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.33304
  • Expected Shortfall on VaR
    0.40487
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.14682
  • Expected Shortfall on VaR
    0.27064
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.73488
  • Quartile 1
    0.91003
  • Median
    1.04423
  • Quartile 3
    1.36783
  • Maximum
    1.46277
  • Mean of quarter 1
    0.82246
  • Mean of quarter 2
    1.04423
  • Mean of quarter 3
    1.36783
  • Mean of quarter 4
    1.46277
  • Inter Quartile Range
    0.45779
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.30166
  • Quartile 1
    0.30166
  • Median
    0.30166
  • Quartile 3
    0.30166
  • Maximum
    0.30166
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.95340
  • Compounded annual return (geometric extrapolation)
    1.23182
  • Calmar ratio (compounded annual return / max draw down)
    4.08350
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    3.04250
  • 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
    0.50502
  • SD
    0.71605
  • Sharpe ratio (Glass type estimate)
    0.70530
  • Sharpe ratio (Hedges UMVUE)
    0.70115
  • df
    128.00000
  • t
    0.49490
  • p
    0.47815
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.09060
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.49849
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.09338
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.49568
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.22573
  • Upside Potential Ratio
    10.59740
  • Upside part of mean
    4.36635
  • Downside part of mean
    -3.86133
  • Upside SD
    0.58306
  • Downside SD
    0.41202
  • N nonnegative terms
    60.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    129.00000
  • Mean of predictor
    0.02237
  • Mean of criterion
    0.50502
  • SD of predictor
    0.23315
  • SD of criterion
    0.71605
  • Covariance
    0.05654
  • r
    0.33864
  • b (slope, estimate of beta)
    1.04000
  • a (intercept, estimate of alpha)
    0.04600
  • Mean Square Error
    0.45750
  • DF error
    127.00000
  • t(b)
    4.05590
  • p(b)
    0.28861
  • t(a)
    0.49977
  • p(a)
    0.47180
  • Lowerbound of 95% confidence interval for beta
    0.53260
  • Upperbound of 95% confidence interval for beta
    1.54741
  • Lowerbound of 95% confidence interval for alpha
    -1.42574
  • Upperbound of 95% confidence interval for alpha
    2.38926
  • Treynor index (mean / b)
    0.48560
  • Jensen alpha (a)
    0.48176
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25890
  • SD
    0.69851
  • Sharpe ratio (Glass type estimate)
    0.37065
  • Sharpe ratio (Hedges UMVUE)
    0.36847
  • df
    128.00000
  • t
    0.26008
  • p
    0.48851
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.42355
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.16361
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.42510
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.16204
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.60933
  • Upside Potential Ratio
    9.90423
  • Upside part of mean
    4.20824
  • Downside part of mean
    -3.94934
  • Upside SD
    0.55124
  • Downside SD
    0.42489
  • N nonnegative terms
    60.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    129.00000
  • Mean of predictor
    -0.00450
  • Mean of criterion
    0.25890
  • SD of predictor
    0.23255
  • SD of criterion
    0.69851
  • Covariance
    0.05633
  • r
    0.34680
  • b (slope, estimate of beta)
    1.04168
  • a (intercept, estimate of alpha)
    0.26359
  • Mean Square Error
    0.43262
  • DF error
    127.00000
  • t(b)
    4.16685
  • p(b)
    0.28373
  • t(a)
    0.28121
  • p(a)
    0.48412
  • Lowerbound of 95% confidence interval for beta
    0.54699
  • Upperbound of 95% confidence interval for beta
    1.53638
  • Lowerbound of 95% confidence interval for alpha
    -1.59129
  • Upperbound of 95% confidence interval for alpha
    2.11847
  • Treynor index (mean / b)
    0.24854
  • Jensen alpha (a)
    0.26359
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06760
  • Expected Shortfall on VaR
    0.08415
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03575
  • Expected Shortfall on VaR
    0.06227
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    129.00000
  • Minimum
    0.87974
  • Quartile 1
    0.97360
  • Median
    0.99817
  • Quartile 3
    1.01872
  • Maximum
    1.21633
  • Mean of quarter 1
    0.95599
  • Mean of quarter 2
    0.98636
  • Mean of quarter 3
    1.00801
  • Mean of quarter 4
    1.05921
  • Inter Quartile Range
    0.04512
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00775
  • Mean of outliers low
    0.87974
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03876
  • Mean of outliers high
    1.13187
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.10504
  • VaR(95%) (moments method)
    0.04741
  • Expected Shortfall (moments method)
    0.06333
  • Extreme Value Index (regression method)
    0.19944
  • VaR(95%) (regression method)
    0.04279
  • Expected Shortfall (regression method)
    0.05755
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.10733
  • Quartile 1
    0.11515
  • Median
    0.17772
  • Quartile 3
    0.30168
  • Maximum
    0.49372
  • Mean of quarter 1
    0.10733
  • Mean of quarter 2
    0.11776
  • Mean of quarter 3
    0.23767
  • Mean of quarter 4
    0.49372
  • Inter Quartile Range
    0.18653
  • 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)
    0.30805
  • Compounded annual return (geometric extrapolation)
    0.33217
  • Calmar ratio (compounded annual return / max draw down)
    0.67278
  • Compounded annual return / average of 25% largest draw downs
    0.67278
  • Compounded annual return / Expected Shortfall lognormal
    3.94749
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.06000
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -355591000
  • Max Equity Drawdown (num days)
    106

Strategy Description

*I have been working with crypto since 2016 and using my experience, I want to introduce you an actively managed strategy based on the Micro Bitcoin Futures and crypto shares;
*Classical technical analysis and a proven author's trading system;
*Min leverage;
*HIGH VOLATILITY (it's crypto!) but mathematically optimal combination of risk and MAX REWARD;
*The best tactic is to join on drawdowns;
*Working timeframes - day, week;
*CONTINUOUSLY FOLLOWING THE STRATEGY MULTIPLIES THE CHANCES OF SUCCESS!

Summary Statistics

Strategy began
2022-06-30
Suggested Minimum Capital
$25,000
# Trades
24
# Profitable
15
% Profitable
62.5%
Correlation S&P500
0.280
Sharpe Ratio
0.19
Sortino Ratio
0.32
Beta
0.70
Alpha
-0.01
Leverage
1.04 Average
1.84 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.