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This is an archived track record. This track record was archived on 10/24/23 15:23 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Keshav RIA Trading ETF
(143682886)

Created by: KeshavAgrawal_CA_CPA KeshavAgrawal_CA_CPA
Started: 02/2023
Stocks
Last trade: 157 days ago
Trading style: Equity Momentum

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $125.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Momentum
Category: Equity

Momentum

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

(20.9%)
Max Drawdown
284
Num Trades
73.2%
Win Trades
1.1 : 1
Profit Factor
28.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023       (0.1%)+12.4%+4.1%(2.6%)+5.3%(1.1%)(4.3%)(7.6%)(4.7%)+0.1%  -  0.0
2024  -    -    -                                                        0.0

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/10/23 9:49 DIS WALT DISNEY LONG 60 87.97 10/24 15:23 82.36 1.32%
Trade id #145492854
Max drawdown($554)
Time10/4/23 0:00
Quant open60
Worst price78.73
Drawdown as % of equity-1.32%
($338)
Includes Typical Broker Commissions trade costs of $1.20
8/9/23 15:48 WYNN WYNN RESORTS LONG 40 101.43 10/24 15:23 91.77 1.47%
Trade id #145486302
Max drawdown($596)
Time10/18/23 0:00
Quant open40
Worst price86.53
Drawdown as % of equity-1.47%
($387)
Includes Typical Broker Commissions trade costs of $0.80
8/8/23 12:23 NFLX NETFLIX LONG 15 437.70 10/24 15:23 412.15 3.45%
Trade id #145473349
Max drawdown($1,394)
Time10/18/23 0:00
Quant open15
Worst price344.73
Drawdown as % of equity-3.45%
($383)
Includes Typical Broker Commissions trade costs of $0.30
8/4/23 15:03 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 200 83.32 10/24 15:23 82.84 2.49%
Trade id #145442575
Max drawdown($975)
Time10/23/23 0:00
Quant open200
Worst price78.44
Drawdown as % of equity-2.49%
($100)
Includes Typical Broker Commissions trade costs of $4.00
8/1/23 14:27 AMD ADVANCED MICRO DEVICES INC. C LONG 15 117.50 10/24 15:23 101.28 0.82%
Trade id #145396516
Max drawdown($345)
Time9/25/23 0:00
Quant open15
Worst price94.46
Drawdown as % of equity-0.82%
($243)
Includes Typical Broker Commissions trade costs of $0.30
7/28/23 9:39 INTC INTEL LONG 100 36.17 10/24 15:23 34.52 0.97%
Trade id #145353886
Max drawdown($415)
Time8/21/23 0:00
Quant open100
Worst price32.02
Drawdown as % of equity-0.97%
($167)
Includes Typical Broker Commissions trade costs of $2.00
7/27/23 12:22 LUV SOUTHWEST AIRLINES LONG 50 33.01 10/24 15:23 23.95 1.16%
Trade id #145344433
Max drawdown($457)
Time10/24/23 12:49
Quant open50
Worst price23.86
Drawdown as % of equity-1.16%
($454)
Includes Typical Broker Commissions trade costs of $1.00
7/25/23 15:52 DLA DELTA APPAREL LONG 60 9.14 10/24 15:23 8.44 0.38%
Trade id #145320741
Max drawdown($161)
Time9/29/23 0:00
Quant open60
Worst price6.45
Drawdown as % of equity-0.38%
($43)
Includes Typical Broker Commissions trade costs of $1.20
7/24/23 10:29 IDXX IDEXX LABORATORIES LONG 5 556.49 10/24 15:23 430.27 1.65%
Trade id #145303518
Max drawdown($681)
Time10/5/23 0:00
Quant open5
Worst price420.22
Drawdown as % of equity-1.65%
($631)
Includes Typical Broker Commissions trade costs of $0.10
7/24/23 10:24 SGEN SEATTLE GENETICS LONG 10 195.18 10/24 15:23 217.23 0.08%
Trade id #145303449
Max drawdown($40)
Time7/27/23 0:00
Quant open10
Worst price191.14
Drawdown as % of equity-0.08%
$221
Includes Typical Broker Commissions trade costs of $0.20
7/21/23 14:44 CCVI CHURCHILL CAPITAL CORP VI LONG 100 10.38 10/24 15:23 10.46 0%
Trade id #145289204
Max drawdown($2)
Time7/24/23 0:00
Quant open100
Worst price10.36
Drawdown as % of equity-0.00%
$6
Includes Typical Broker Commissions trade costs of $2.00
7/21/23 11:42 ME 23ANDME HC. CLASS A LONG 500 1.88 10/24 15:23 0.79 1.39%
Trade id #145286936
Max drawdown($549)
Time10/24/23 9:30
Quant open500
Worst price0.78
Drawdown as % of equity-1.39%
($556)
Includes Typical Broker Commissions trade costs of $10.00
7/21/23 11:34 REI RING ENERGY INC. LONG 100 2.13 10/24 15:23 1.75 0.1%
Trade id #145286842
Max drawdown($44)
Time10/4/23 0:00
Quant open100
Worst price1.69
Drawdown as % of equity-0.10%
($40)
Includes Typical Broker Commissions trade costs of $2.00
7/19/23 10:14 SCPH SCPHARMACEUTICALS INC. COMMON STOCK LONG 100 8.44 10/24 15:23 5.69 0.77%
Trade id #145260710
Max drawdown($304)
Time10/24/23 10:00
Quant open100
Worst price5.40
Drawdown as % of equity-0.77%
($277)
Includes Typical Broker Commissions trade costs of $2.00
7/19/23 10:06 RBBN RIBBON COMMUNICATION INC LONG 100 3.38 10/24 15:23 1.90 0.38%
Trade id #145260508
Max drawdown($148)
Time10/19/23 0:00
Quant open100
Worst price1.90
Drawdown as % of equity-0.38%
($150)
Includes Typical Broker Commissions trade costs of $2.00
7/19/23 10:05 OPI OFFICE PROPERTIES INCOME TRUST LONG 100 8.71 10/24 15:23 4.20 1.18%
Trade id #145260498
Max drawdown($496)
Time10/3/23 0:00
Quant open100
Worst price3.75
Drawdown as % of equity-1.18%
($453)
Includes Typical Broker Commissions trade costs of $2.00
7/13/23 15:00 PLTN PLUTONIAN ACQUISITION CORP. LONG 50 10.42 10/24 15:23 10.57 0%
Trade id #145212476
Max drawdown($0)
Time7/13/23 15:06
Quant open50
Worst price10.41
Drawdown as % of equity-0.00%
$7
Includes Typical Broker Commissions trade costs of $1.00
7/13/23 14:12 KNSW KNIGHTSWAN ACQUISITION CORP LONG 50 10.57 10/24 15:23 10.53 0.03%
Trade id #145212003
Max drawdown($13)
Time7/17/23 0:00
Quant open50
Worst price10.30
Drawdown as % of equity-0.03%
($3)
Includes Typical Broker Commissions trade costs of $1.00
7/13/23 14:04 KRNL KERNEL GROUP HOLDINGS INC. CLASS A LONG 100 10.43 10/24 15:23 10.59 0.05%
Trade id #145211933
Max drawdown($24)
Time8/8/23 0:00
Quant open100
Worst price10.19
Drawdown as % of equity-0.05%
$14
Includes Typical Broker Commissions trade costs of $2.00
7/12/23 14:56 VRM VROOM INC. LONG 300 2.53 10/24 15:23 0.86 1.27%
Trade id #145198137
Max drawdown($503)
Time10/24/23 14:37
Quant open300
Worst price0.85
Drawdown as % of equity-1.27%
($506)
Includes Typical Broker Commissions trade costs of $6.00
7/21/23 14:22 WBA WALGREEN BOOTS ALLIANCE INC. LONG 100 30.50 8/15 15:51 28.61 0.43%
Trade id #145289080
Max drawdown($189)
Time8/15/23 15:51
Quant open100
Worst price28.61
Drawdown as % of equity-0.43%
($191)
Includes Typical Broker Commissions trade costs of $2.00
8/8/23 12:23 NVDA NVIDIA LONG 15 445.29 8/11 15:39 409.88 1.31%
Trade id #145473351
Max drawdown($583)
Time8/11/23 11:52
Quant open15
Worst price406.39
Drawdown as % of equity-1.31%
($531)
Includes Typical Broker Commissions trade costs of $0.30
8/1/23 14:26 MAR MARRIOT INTERNATIONAL CLASS A LONG 20 205.57 8/9 14:37 206.36 0.36%
Trade id #145396471
Max drawdown($165)
Time8/3/23 0:00
Quant open20
Worst price197.31
Drawdown as % of equity-0.36%
$16
Includes Typical Broker Commissions trade costs of $0.40
8/4/23 15:12 GOOGL ALPHABET INC CLASS A LONG 50 128.21 8/9 14:36 130.93 0.03%
Trade id #145442713
Max drawdown($13)
Time8/4/23 15:50
Quant open50
Worst price127.95
Drawdown as % of equity-0.03%
$135
Includes Typical Broker Commissions trade costs of $1.00
8/9/23 12:10 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 39.80 8/9 14:36 40.63 0.07%
Trade id #145484049
Max drawdown($30)
Time8/9/23 12:22
Quant open200
Worst price39.65
Drawdown as % of equity-0.07%
$162
Includes Typical Broker Commissions trade costs of $4.00
7/18/23 13:51 APAM ARTISAN PARTNERS ASSET MANAGEM LONG 30 42.78 8/9 12:09 37.95 0.35%
Trade id #145251071
Max drawdown($164)
Time8/2/23 0:00
Quant open30
Worst price37.30
Drawdown as % of equity-0.35%
($146)
Includes Typical Broker Commissions trade costs of $0.60
7/20/23 11:34 XENE XENON PHARMACEUTICALS INC LONG 50 38.88 8/9 12:08 35.76 0.42%
Trade id #145274010
Max drawdown($191)
Time8/9/23 9:47
Quant open50
Worst price35.06
Drawdown as % of equity-0.42%
($157)
Includes Typical Broker Commissions trade costs of $1.00
8/4/23 15:12 AAPL APPLE LONG 100 182.86 8/7 10:01 178.61 1.02%
Trade id #145442707
Max drawdown($464)
Time8/7/23 9:59
Quant open100
Worst price178.21
Drawdown as % of equity-1.02%
($427)
Includes Typical Broker Commissions trade costs of $2.00
7/27/23 15:59 F FORD MOTOR LONG 300 13.77 8/4 15:03 12.82 0.62%
Trade id #145348428
Max drawdown($288)
Time8/4/23 14:55
Quant open300
Worst price12.81
Drawdown as % of equity-0.62%
($291)
Includes Typical Broker Commissions trade costs of $6.00
7/27/23 12:23 HON HONEYWELL INTERNATIONAL LONG 60 195.71 8/4 15:03 189.42 0.84%
Trade id #145344437
Max drawdown($393)
Time8/4/23 14:55
Quant open60
Worst price189.15
Drawdown as % of equity-0.84%
($378)
Includes Typical Broker Commissions trade costs of $1.20

Statistics

  • Strategy began
    2/23/2023
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    396.33
  • Age
    13 months ago
  • What it trades
    Stocks
  • # Trades
    284
  • # Profitable
    208
  • % Profitable
    73.20%
  • Avg trade duration
    10.5 days
  • Max peak-to-valley drawdown
    20.93%
  • drawdown period
    July 19, 2023 - Oct 22, 2023
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $117.06
  • Avg loss
    $296.09
  • Model Account Values (Raw)
  • Cash
    $42,704
  • Margin Used
    $0
  • Buying Power
    $42,704
  • Ratios
  • W:L ratio
    1.11:1
  • Sharpe Ratio
    -0.07
  • Sortino Ratio
    -0.09
  • Calmar Ratio
    0.275
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -30.01%
  • Correlation to SP500
    0.40210
  • Return Percent SP500 (cumu) during strategy life
    30.96%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    0.0%
  • Slump
  • Current Slump as Pcnt Equity
    23.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.63%
  • 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)
    0.000%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.50%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    3.26%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    407
  • Popularity (Last 6 weeks)
    620
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    329
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $296
  • Avg Win
    $117
  • Sum Trade PL (losers)
    $22,503.000
  • Age
  • Num Months filled monthly returns table
    14
  • Win / Loss
  • Sum Trade PL (winners)
    $24,349.000
  • # Winners
    208
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    302
  • Win / Loss
  • # Losers
    76
  • % Winners
    73.2%
  • Frequency
  • Avg Position Time (mins)
    15079.10
  • Avg Position Time (hrs)
    251.32
  • Avg Trade Length
    10.5 days
  • Last Trade Ago
    154
  • Leverage
  • Daily leverage (average)
    1.23
  • Daily leverage (max)
    3.19
  • Regression
  • Alpha
    -0.03
  • Beta
    0.38
  • Treynor Index
    -0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.21
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    46.322
  • 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
    0.961
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.280
  • Hold-and-Hope Ratio
    -0.001
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03918
  • SD
    0.18142
  • Sharpe ratio (Glass type estimate)
    0.21595
  • Sharpe ratio (Hedges UMVUE)
    0.20082
  • df
    11.00000
  • t
    0.21595
  • p
    0.41649
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.75082
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17312
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.76094
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16258
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.33965
  • Upside Potential Ratio
    1.96364
  • Upside part of mean
    0.22650
  • Downside part of mean
    -0.18732
  • Upside SD
    0.13036
  • Downside SD
    0.11534
  • N nonnegative terms
    4.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.22883
  • Mean of criterion
    0.03918
  • SD of predictor
    0.13614
  • SD of criterion
    0.18142
  • Covariance
    0.00731
  • r
    0.29613
  • b (slope, estimate of beta)
    0.39462
  • a (intercept, estimate of alpha)
    -0.05112
  • Mean Square Error
    0.03303
  • DF error
    10.00000
  • t(b)
    0.98043
  • p(b)
    0.17500
  • t(a)
    -0.25093
  • p(a)
    0.59652
  • Lowerbound of 95% confidence interval for beta
    -0.50219
  • Upperbound of 95% confidence interval for beta
    1.29142
  • Lowerbound of 95% confidence interval for alpha
    -0.50510
  • Upperbound of 95% confidence interval for alpha
    0.40285
  • Treynor index (mean / b)
    0.09928
  • Jensen alpha (a)
    -0.05112
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02404
  • SD
    0.18104
  • Sharpe ratio (Glass type estimate)
    0.13282
  • Sharpe ratio (Hedges UMVUE)
    0.12351
  • df
    11.00000
  • t
    0.13282
  • p
    0.44837
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.83082
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09061
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.83713
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08416
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.19895
  • Upside Potential Ratio
    1.80373
  • Upside part of mean
    0.21800
  • Downside part of mean
    -0.19395
  • Upside SD
    0.12444
  • Downside SD
    0.12086
  • N nonnegative terms
    4.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.21801
  • Mean of criterion
    0.02404
  • SD of predictor
    0.13331
  • SD of criterion
    0.18104
  • Covariance
    0.00795
  • r
    0.32940
  • b (slope, estimate of beta)
    0.44733
  • a (intercept, estimate of alpha)
    -0.07348
  • Mean Square Error
    0.03214
  • DF error
    10.00000
  • t(b)
    1.10323
  • p(b)
    0.14788
  • t(a)
    -0.36760
  • p(a)
    0.63958
  • Lowerbound of 95% confidence interval for beta
    -0.45612
  • Upperbound of 95% confidence interval for beta
    1.35077
  • Lowerbound of 95% confidence interval for alpha
    -0.51885
  • Upperbound of 95% confidence interval for alpha
    0.37189
  • Treynor index (mean / b)
    0.05375
  • Jensen alpha (a)
    -0.07348
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08053
  • Expected Shortfall on VaR
    0.10022
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04276
  • Expected Shortfall on VaR
    0.08234
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.89668
  • Quartile 1
    0.98798
  • Median
    1.00000
  • Quartile 3
    1.03512
  • Maximum
    1.11400
  • Mean of quarter 1
    0.94589
  • Mean of quarter 2
    0.99768
  • Mean of quarter 3
    1.01157
  • Mean of quarter 4
    1.06723
  • Inter Quartile Range
    0.04715
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.08333
  • Mean of outliers low
    0.89668
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    1.11400
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44941
  • VaR(95%) (moments method)
    0.05959
  • Expected Shortfall (moments method)
    0.12276
  • Extreme Value Index (regression method)
    2.98705
  • VaR(95%) (regression method)
    0.11310
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00695
  • Quartile 1
    0.04408
  • Median
    0.08121
  • Quartile 3
    0.11833
  • Maximum
    0.15546
  • Mean of quarter 1
    0.00695
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.15546
  • Inter Quartile Range
    0.07426
  • 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)
    0.05332
  • Compounded annual return (geometric extrapolation)
    0.05332
  • Calmar ratio (compounded annual return / max draw down)
    0.34301
  • Compounded annual return / average of 25% largest draw downs
    0.34301
  • Compounded annual return / Expected Shortfall lognormal
    0.53206
  • 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
    0.02726
  • SD
    0.11146
  • Sharpe ratio (Glass type estimate)
    0.24458
  • Sharpe ratio (Hedges UMVUE)
    0.24392
  • df
    277.00000
  • t
    0.25194
  • p
    0.40064
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.65842
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14725
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.65891
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14676
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.33393
  • Upside Potential Ratio
    6.57980
  • Upside part of mean
    0.53716
  • Downside part of mean
    -0.50990
  • Upside SD
    0.07561
  • Downside SD
    0.08164
  • N nonnegative terms
    98.00000
  • N negative terms
    180.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    278.00000
  • Mean of predictor
    0.22723
  • Mean of criterion
    0.02726
  • SD of predictor
    0.12167
  • SD of criterion
    0.11146
  • Covariance
    0.00550
  • r
    0.40583
  • b (slope, estimate of beta)
    0.37178
  • a (intercept, estimate of alpha)
    -0.05700
  • Mean Square Error
    0.01041
  • DF error
    276.00000
  • t(b)
    7.37692
  • p(b)
    0.00000
  • t(a)
    -0.57373
  • p(a)
    0.71669
  • Lowerbound of 95% confidence interval for beta
    0.27256
  • Upperbound of 95% confidence interval for beta
    0.47099
  • Lowerbound of 95% confidence interval for alpha
    -0.25355
  • Upperbound of 95% confidence interval for alpha
    0.13911
  • Treynor index (mean / b)
    0.07333
  • Jensen alpha (a)
    -0.05722
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02105
  • SD
    0.11164
  • Sharpe ratio (Glass type estimate)
    0.18859
  • Sharpe ratio (Hedges UMVUE)
    0.18808
  • df
    277.00000
  • t
    0.19426
  • p
    0.42306
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.71432
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09127
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.71471
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09087
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.25545
  • Upside Potential Ratio
    6.48225
  • Upside part of mean
    0.53428
  • Downside part of mean
    -0.51322
  • Upside SD
    0.07502
  • Downside SD
    0.08242
  • N nonnegative terms
    98.00000
  • N negative terms
    180.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    278.00000
  • Mean of predictor
    0.21975
  • Mean of criterion
    0.02105
  • SD of predictor
    0.12155
  • SD of criterion
    0.11164
  • Covariance
    0.00551
  • r
    0.40571
  • b (slope, estimate of beta)
    0.37266
  • a (intercept, estimate of alpha)
    -0.06084
  • Mean Square Error
    0.01045
  • DF error
    276.00000
  • t(b)
    7.37442
  • p(b)
    0.00000
  • t(a)
    -0.60922
  • p(a)
    0.72856
  • Lowerbound of 95% confidence interval for beta
    0.27318
  • Upperbound of 95% confidence interval for beta
    0.47214
  • Lowerbound of 95% confidence interval for alpha
    -0.25742
  • Upperbound of 95% confidence interval for alpha
    0.13575
  • Treynor index (mean / b)
    0.05650
  • Jensen alpha (a)
    -0.06084
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01120
  • Expected Shortfall on VaR
    0.01404
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00520
  • Expected Shortfall on VaR
    0.01080
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    278.00000
  • Minimum
    0.96866
  • Quartile 1
    0.99961
  • Median
    1.00000
  • Quartile 3
    1.00274
  • Maximum
    1.03131
  • Mean of quarter 1
    0.99255
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00054
  • Mean of quarter 4
    1.00776
  • Inter Quartile Range
    0.00314
  • Number outliers low
    37.00000
  • Percentage of outliers low
    0.13309
  • Mean of outliers low
    0.98828
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.09353
  • Mean of outliers high
    1.01298
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.25640
  • VaR(95%) (moments method)
    0.00369
  • Expected Shortfall (moments method)
    0.00484
  • Extreme Value Index (regression method)
    -0.00557
  • VaR(95%) (regression method)
    0.00669
  • Expected Shortfall (regression method)
    0.01032
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00503
  • Median
    0.00829
  • Quartile 3
    0.01509
  • Maximum
    0.18225
  • Mean of quarter 1
    0.00203
  • Mean of quarter 2
    0.00624
  • Mean of quarter 3
    0.01050
  • Mean of quarter 4
    0.06671
  • Inter Quartile Range
    0.01006
  • 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
    0.21429
  • Mean of outliers high
    0.08348
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.47541
  • VaR(95%) (moments method)
    0.06073
  • Expected Shortfall (moments method)
    0.14117
  • Extreme Value Index (regression method)
    1.35595
  • VaR(95%) (regression method)
    0.10880
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05026
  • Compounded annual return (geometric extrapolation)
    0.05018
  • Calmar ratio (compounded annual return / max draw down)
    0.27534
  • Compounded annual return / average of 25% largest draw downs
    0.75223
  • Compounded annual return / Expected Shortfall lognormal
    3.57305
  • 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
    -0.22231
  • SD
    0.08231
  • Sharpe ratio (Glass type estimate)
    -2.70082
  • Sharpe ratio (Hedges UMVUE)
    -2.68520
  • df
    130.00000
  • t
    -1.90977
  • p
    0.58260
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.48689
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.09535
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.47616
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10575
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.88756
  • Upside Potential Ratio
    1.72322
  • Upside part of mean
    0.13267
  • Downside part of mean
    -0.35497
  • Upside SD
    0.03138
  • Downside SD
    0.07699
  • N nonnegative terms
    13.00000
  • N negative terms
    118.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.29610
  • Mean of criterion
    -0.22231
  • SD of predictor
    0.11803
  • SD of criterion
    0.08231
  • Covariance
    0.00311
  • r
    0.32044
  • b (slope, estimate of beta)
    0.22347
  • a (intercept, estimate of alpha)
    -0.28847
  • Mean Square Error
    0.00613
  • DF error
    129.00000
  • t(b)
    3.84213
  • p(b)
    0.29955
  • t(a)
    -2.57508
  • p(a)
    0.63961
  • Lowerbound of 95% confidence interval for beta
    0.10839
  • Upperbound of 95% confidence interval for beta
    0.33854
  • Lowerbound of 95% confidence interval for alpha
    -0.51012
  • Upperbound of 95% confidence interval for alpha
    -0.06683
  • Treynor index (mean / b)
    -0.99482
  • Jensen alpha (a)
    -0.28847
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.22578
  • SD
    0.08302
  • Sharpe ratio (Glass type estimate)
    -2.71962
  • Sharpe ratio (Hedges UMVUE)
    -2.70390
  • df
    130.00000
  • t
    -1.92306
  • p
    0.58316
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.50596
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.07694
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.49512
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08733
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.90090
  • Upside Potential Ratio
    1.69808
  • Upside part of mean
    0.13216
  • Downside part of mean
    -0.35794
  • Upside SD
    0.03125
  • Downside SD
    0.07783
  • N nonnegative terms
    13.00000
  • N negative terms
    118.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28900
  • Mean of criterion
    -0.22578
  • SD of predictor
    0.11791
  • SD of criterion
    0.08302
  • Covariance
    0.00315
  • r
    0.32138
  • b (slope, estimate of beta)
    0.22627
  • a (intercept, estimate of alpha)
    -0.29117
  • Mean Square Error
    0.00623
  • DF error
    129.00000
  • t(b)
    3.85460
  • p(b)
    0.29899
  • t(a)
    -2.57925
  • p(a)
    0.63982
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    0.11013
  • Upperbound of 95% confidence interval for beta
    0.34242
  • Lowerbound of 95% confidence interval for alpha
    -0.51453
  • Upperbound of 95% confidence interval for alpha
    -0.06782
  • Treynor index (mean / b)
    -0.99782
  • Jensen alpha (a)
    -0.29117
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00925
  • Expected Shortfall on VaR
    0.01137
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00442
  • Expected Shortfall on VaR
    0.00949
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96866
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01059
  • Mean of quarter 1
    0.99500
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00205
  • Inter Quartile Range
    0.00000
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.98731
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.00521
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -7.26870
  • VaR(95%) (moments method)
    0.00362
  • Expected Shortfall (moments method)
    0.00364
  • Extreme Value Index (regression method)
    -0.21760
  • VaR(95%) (regression method)
    0.00672
  • Expected Shortfall (regression method)
    0.01321
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.11091
  • Quartile 1
    0.11091
  • Median
    0.11091
  • Quartile 3
    0.11091
  • Maximum
    0.11091
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -361490000
  • Max Equity Drawdown (num days)
    95
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.18840
  • Compounded annual return (geometric extrapolation)
    -0.17953
  • Calmar ratio (compounded annual return / max draw down)
    -1.61859
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -15.78350

Strategy Description

Requirement:
Minimum investment : $27,000 (We are pattern Day trader)

Account type : Margin Enabled
We usually will not trade more than account balance but we need the funds to be available as soon as we sell the position. Margin enabled accounts allow us to trade immediately again. If the account is not enabled for margin then it (e.g. Cash Account) requires the trades to be settled first and funds to be available to be able to trade again.


Pattern Day Trader
Pattern day trading is defined as making four or more day trades over five business days.
If your account is flagged as a pattern day trader (“PDT”) due to your trading activity, you will need to follow certain rules. Violation of these rules can result in restrictions being placed on the transactions you are permitted to make.


What Are the Requirements for Pattern Day Traders?
First, pattern day traders must maintain minimum equity of $25,000 in their margin account on any day that the customer day trades. This required minimum equity, which can be a combination of cash and eligible securities, must be in your account prior to engaging in any day-trading activities. If the account falls below the $25,000 requirement, the pattern day trader won’t be permitted to day trade until the account is restored to the $25,000 minimum equity level.

In addition, pattern day traders cannot trade in excess of their "day-trading buying power," which is generally up to four times the maintenance margin excess as of the close of business of the prior day. Maintenance margin excess is the amount by which the equity in the margin account exceeds the required margin.

For more and current information, please contact your broker / FINRA.

Summary Statistics

Strategy began
2023-02-23
Suggested Minimum Capital
$15,000
# Trades
284
# Profitable
208
% Profitable
73.2%
Net Dividends
Correlation S&P500
0.402
Sharpe Ratio
-0.07
Sortino Ratio
-0.09
Beta
0.38
Alpha
-0.03
Leverage
1.23 Average
3.19 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.