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These are hypothetical performance results that have certain inherent limitations. Learn more
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The Rosa Negra
(145618203)

Created by: TheRosaNegra TheRosaNegra
Started: 08/2023
Stocks
Last trade: Today
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 $100.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
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."
28.6%
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.

(6.0%)
Max Drawdown
138
Num Trades
58.7%
Win Trades
2.4 : 1
Profit Factor
70.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                   -  +1.8%(4.9%)+7.7%+0.4%+4.7%
2024+0.3%(1.4%)+14.6%+6.6%+1.6%                                          +22.8%

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
5/2/24 9:31 XRAY DENTSPLY SIRONA INC LONG 442 29.26 5/6 9:40 28.46 1.14%
Trade id #148071888
Max drawdown($574)
Time5/3/24 0:00
Quant open442
Worst price27.96
Drawdown as % of equity-1.14%
 ($363)
Includes Typical Broker Commissions trade costs of $8.84
5/1/24 9:30 SWKS SKYWORKS SOLUTIONS LONG 142 92.37 5/3 9:31 92.19 0.93%
Trade id #148061056
Max drawdown($465)
Time5/2/24 0:00
Quant open142
Worst price89.09
Drawdown as % of equity-0.93%
 ($29)
Includes Typical Broker Commissions trade costs of $2.84
5/1/24 11:08 AMD ADVANCED MICRO DEVICES INC. C LONG 92 144.82 5/3 9:30 148.75 0.67%
Trade id #148062512
Max drawdown($337)
Time5/2/24 0:00
Quant open92
Worst price141.16
Drawdown as % of equity-0.67%
 $360
Includes Typical Broker Commissions trade costs of $1.84
5/2/24 9:30 EBAY EBAY LONG 266 48.66 5/3 9:30 49.60 n/a $245
Includes Typical Broker Commissions trade costs of $5.32
5/2/24 9:30 ANSS ANSYS LONG 41 312.65 5/3 9:30 313.87 0.09%
Trade id #148071776
Max drawdown($44)
Time5/2/24 13:04
Quant open41
Worst price311.56
Drawdown as % of equity-0.09%
 $49
Includes Typical Broker Commissions trade costs of $0.82
5/1/24 9:31 IDXX IDEXX LABORATORIES LONG 28 467.93 5/3 9:30 485.82 0.32%
Trade id #148061140
Max drawdown($161)
Time5/1/24 13:55
Quant open28
Worst price462.17
Drawdown as % of equity-0.32%
 $500
Includes Typical Broker Commissions trade costs of $0.56
5/1/24 9:30 SPY SPDR S&P 500 LONG 83 501.38 5/2 10:53 501.70 0.3%
Trade id #148061033
Max drawdown($151)
Time5/2/24 10:09
Quant open83
Worst price499.55
Drawdown as % of equity-0.30%
 $25
Includes Typical Broker Commissions trade costs of $1.66
4/30/24 10:51: Rescaled downward to 40% of previous Model Account size
4/30/24 9:30 PCAR PACCAR LONG 48 106.98 4/30 10:48 106.11 0.15%
Trade id #148049193
Max drawdown($73)
Time4/30/24 9:58
Quant open48
Worst price105.45
Drawdown as % of equity-0.15%
 ($43)
Includes Typical Broker Commissions trade costs of $0.96
4/19/24 14:37 MRVL MARVELL TECHNOLOGY LONG 79.600000000 62.36 4/30 10:48 68.12 0.11%
Trade id #147960685
Max drawdown($50)
Time4/22/24 0:00
Quant open80
Worst price61.72
Drawdown as % of equity-0.11%
 $457
Includes Typical Broker Commissions trade costs of $1.60
4/19/24 13:56 NVDA NVIDIA LONG 6 801.11 4/30 10:48 877.64 0.59%
Trade id #147960229
Max drawdown($270)
Time4/19/24 15:47
Quant open6
Worst price756.06
Drawdown as % of equity-0.59%
 $459
Includes Typical Broker Commissions trade costs of $0.12
4/12/24 15:49 MELI MERCADOLIBRE LONG 3.200000000 1445.00 4/30 10:48 1482.63 0.84%
Trade id #147890990
Max drawdown($384)
Time4/22/24 0:00
Quant open3
Worst price1324.99
Drawdown as % of equity-0.84%
 $120
Includes Typical Broker Commissions trade costs of $0.06
4/12/24 12:58 XRAY DENTSPLY SIRONA INC LONG 160.800000000 31.02 4/30 10:48 30.15 0.35%
Trade id #147888633
Max drawdown($173)
Time4/30/24 9:33
Quant open161
Worst price29.94
Drawdown as % of equity-0.35%
 ($143)
Includes Typical Broker Commissions trade costs of $3.22
3/21/24 11:03 BBAR BANCO BBVA ARGENTINA SA LONG 962.800000000 8.01 4/30 10:48 9.80 0.36%
Trade id #147704020
Max drawdown($173)
Time4/17/24 0:00
Quant open963
Worst price7.83
Drawdown as % of equity-0.36%
 $1,718
Includes Typical Broker Commissions trade costs of $5.00
3/5/24 10:44 DDOG DATADOG INC. LONG 44 122.33 4/30 10:48 129.13 0.41%
Trade id #147539298
Max drawdown($172)
Time3/11/24 0:00
Quant open44
Worst price118.40
Drawdown as % of equity-0.41%
 $298
Includes Typical Broker Commissions trade costs of $0.88
4/25/24 9:30 AMZN AMAZON.COM LONG 28.800000000 167.47 4/26 9:33 177.79 n/a $296
Includes Typical Broker Commissions trade costs of $0.58
2/29/24 9:30 SPY SPDR S&P 500 LONG 98.400000000 512.00 4/24 9:38 506.56 1.53%
Trade id #147499100
Max drawdown($714)
Time4/19/24 0:00
Quant open39
Worst price493.86
Drawdown as % of equity-1.53%
 ($538)
Includes Typical Broker Commissions trade costs of $1.96
4/12/24 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 127.200000000 59.88 4/24 9:37 54.32 1.2%
Trade id #147884323
Max drawdown($561)
Time4/19/24 0:00
Quant open51
Worst price48.85
Drawdown as % of equity-1.20%
 ($710)
Includes Typical Broker Commissions trade costs of $2.54
4/19/24 15:36 TXN TEXAS INSTRUMENTS LONG 31.200000000 159.30 4/22 9:45 160.26 0%
Trade id #147961305
Max drawdown($1)
Time4/19/24 15:46
Quant open12
Worst price159.18
Drawdown as % of equity-0.00%
 $29
Includes Typical Broker Commissions trade costs of $0.62
4/4/24 15:18 AMD ADVANCED MICRO DEVICES INC. C LONG 29.600000000 167.35 4/19 9:37 150.94 0.43%
Trade id #147812389
Max drawdown($200)
Time4/19/24 9:31
Quant open12
Worst price150.42
Drawdown as % of equity-0.43%
 ($487)
Includes Typical Broker Commissions trade costs of $0.60
4/10/24 10:51 IDXX IDEXX LABORATORIES LONG 10 501.61 4/11 9:31 504.18 0.01%
Trade id #147859985
Max drawdown($3)
Time4/10/24 11:38
Quant open4
Worst price500.68
Drawdown as % of equity-0.01%
 $26
Includes Typical Broker Commissions trade costs of $0.20
4/10/24 14:52 TEO TELECOM ARGENTINA LONG 1,013.200000000 7.92 4/11 9:30 8.00 0.01%
Trade id #147863808
Max drawdown($4)
Time4/10/24 15:48
Quant open405
Worst price7.91
Drawdown as % of equity-0.01%
 $76
Includes Typical Broker Commissions trade costs of $5.00
3/28/24 15:43 CEPU CENTRAL PUERTO SA LONG 1,631.200000000 9.84 4/11 9:30 10.57 0.05%
Trade id #147758219
Max drawdown($24)
Time4/1/24 0:00
Quant open350
Worst price9.10
Drawdown as % of equity-0.05%
 $1,187
Includes Typical Broker Commissions trade costs of $7.50
3/5/24 11:44 YPF YPF SOCIEDAD ANONIMA LONG 815.600000000 19.67 4/11 9:30 21.66 0.5%
Trade id #147540385
Max drawdown($205)
Time3/12/24 0:00
Quant open175
Worst price17.12
Drawdown as % of equity-0.50%
 $1,614
Includes Typical Broker Commissions trade costs of $10.65
3/19/24 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 212.800000000 58.48 4/9 9:30 60.81 0.09%
Trade id #147681956
Max drawdown($41)
Time3/19/24 9:44
Quant open48
Worst price57.68
Drawdown as % of equity-0.09%
 $492
Includes Typical Broker Commissions trade costs of $4.26
4/2/24 9:30 PAYX PAYCHEX LONG 44 115.12 4/3 9:30 122.02 n/a $303
Includes Typical Broker Commissions trade costs of $0.88
3/25/24 12:02 CEPU CENTRAL PUERTO SA LONG 820.800000000 9.40 3/26 9:48 9.28 0.19%
Trade id #147726934
Max drawdown($91)
Time3/26/24 9:33
Quant open328
Worst price9.12
Drawdown as % of equity-0.19%
 ($104)
Includes Typical Broker Commissions trade costs of $5.00
3/25/24 15:15 TEO TELECOM ARGENTINA LONG 993.200000000 7.78 3/26 9:30 7.89 0.03%
Trade id #147730750
Max drawdown($15)
Time3/25/24 15:44
Quant open397
Worst price7.74
Drawdown as % of equity-0.03%
 $104
Includes Typical Broker Commissions trade costs of $5.00
3/25/24 11:50 BMA MACRO BANK LONG 152.400000000 50.60 3/26 9:30 52.10 n/a $226
Includes Typical Broker Commissions trade costs of $3.04
3/21/24 11:02 TGS TRANSPORTADORA DE GAS LONG 549.600000000 14.02 3/22 9:30 14.30 0.04%
Trade id #147704010
Max drawdown($19)
Time3/21/24 11:08
Quant open220
Worst price13.93
Drawdown as % of equity-0.04%
 $149
Includes Typical Broker Commissions trade costs of $5.00
3/21/24 11:07 GGAL GRUPO FINANCIERO GALICIA LONG 311.200000000 24.78 3/22 9:30 26.12 n/a $411
Includes Typical Broker Commissions trade costs of $6.22
Next

Statistics

  • Strategy began
    8/23/2023
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    257.26
  • Age
    9 months ago
  • What it trades
    Stocks
  • # Trades
    138
  • # Profitable
    81
  • % Profitable
    58.70%
  • Avg trade duration
    4.1 days
  • Max peak-to-valley drawdown
    6.02%
  • drawdown period
    Oct 04, 2023 - Oct 26, 2023
  • Cumul. Return
    28.6%
  • Avg win
    $263.17
  • Avg loss
    $159.96
  • Model Account Values (Raw)
  • Cash
    $52,398
  • Margin Used
    $0
  • Buying Power
    $52,398
  • Ratios
  • W:L ratio
    2.36:1
  • Sharpe Ratio
    1.9
  • Sortino Ratio
    3.54
  • Calmar Ratio
    5.336
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    11.77%
  • Correlation to SP500
    0.29040
  • Return Percent SP500 (cumu) during strategy life
    16.79%
  • Return Statistics
  • Ann Return (w trading costs)
    42.1%
  • Slump
  • Current Slump as Pcnt Equity
    0.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • 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)
    0.286%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    46.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    3.50%
  • Chance of 20% account loss
    n/a
  • 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
    100.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    709
  • Popularity (Last 6 weeks)
    840
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    932
  • Popularity (7 days, Percentile 1000 scale)
    758
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $160
  • Avg Win
    $263
  • Sum Trade PL (losers)
    $9,118.000
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $21,317.000
  • # Winners
    81
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    201
  • Win / Loss
  • # Losers
    57
  • % Winners
    58.7%
  • Frequency
  • Avg Position Time (mins)
    5837.98
  • Avg Position Time (hrs)
    97.30
  • Avg Trade Length
    4.1 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.76
  • Daily leverage (max)
    2.41
  • Regression
  • Alpha
    0.08
  • Beta
    0.36
  • Treynor Index
    0.27
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.31
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    1.457
  • 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
    0.239
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.853
  • Hold-and-Hope Ratio
    0.678
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43106
  • SD
    0.28533
  • Sharpe ratio (Glass type estimate)
    1.51074
  • Sharpe ratio (Hedges UMVUE)
    1.31227
  • df
    6.00000
  • t
    1.15385
  • p
    0.14622
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24322
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.15430
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.35917
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.98372
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.48508
  • Upside Potential Ratio
    10.28750
  • Upside part of mean
    0.52263
  • Downside part of mean
    -0.09157
  • Upside SD
    0.28755
  • Downside SD
    0.05080
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.24062
  • Mean of criterion
    0.43106
  • SD of predictor
    0.12296
  • SD of criterion
    0.28533
  • Covariance
    0.00315
  • r
    0.08990
  • b (slope, estimate of beta)
    0.20862
  • a (intercept, estimate of alpha)
    0.38086
  • Mean Square Error
    0.09691
  • DF error
    5.00000
  • t(b)
    0.20185
  • p(b)
    0.42400
  • t(a)
    0.79767
  • p(a)
    0.23062
  • Lowerbound of 95% confidence interval for beta
    -2.44829
  • Upperbound of 95% confidence interval for beta
    2.86553
  • Lowerbound of 95% confidence interval for alpha
    -0.84655
  • Upperbound of 95% confidence interval for alpha
    1.60828
  • Treynor index (mean / b)
    2.06624
  • Jensen alpha (a)
    0.38086
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39219
  • SD
    0.26181
  • Sharpe ratio (Glass type estimate)
    1.49802
  • Sharpe ratio (Hedges UMVUE)
    1.30122
  • df
    6.00000
  • t
    1.14413
  • p
    0.14808
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.25338
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.13987
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36849
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.97094
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.62342
  • Upside Potential Ratio
    9.42459
  • Upside part of mean
    0.48486
  • Downside part of mean
    -0.09266
  • Upside SD
    0.26253
  • Downside SD
    0.05145
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.23147
  • Mean of criterion
    0.39219
  • SD of predictor
    0.12060
  • SD of criterion
    0.26181
  • Covariance
    0.00350
  • r
    0.11083
  • b (slope, estimate of beta)
    0.24059
  • a (intercept, estimate of alpha)
    0.33650
  • Mean Square Error
    0.08124
  • DF error
    5.00000
  • t(b)
    0.24935
  • p(b)
    0.40650
  • t(a)
    0.77372
  • p(a)
    0.23703
  • Lowerbound of 95% confidence interval for beta
    -2.23977
  • Upperbound of 95% confidence interval for beta
    2.72095
  • Lowerbound of 95% confidence interval for alpha
    -0.78153
  • Upperbound of 95% confidence interval for alpha
    1.45454
  • Treynor index (mean / b)
    1.63013
  • Jensen alpha (a)
    0.33650
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08756
  • Expected Shortfall on VaR
    0.11558
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01214
  • Expected Shortfall on VaR
    0.02534
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.96934
  • Quartile 1
    0.99424
  • Median
    1.01325
  • Quartile 3
    1.04319
  • Maximum
    1.21031
  • Mean of quarter 1
    0.97562
  • Mean of quarter 2
    1.00991
  • Mean of quarter 3
    1.01579
  • Mean of quarter 4
    1.14045
  • Inter Quartile Range
    0.04896
  • 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
    0.14286
  • Mean of outliers high
    1.21031
  • 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
    2.00000
  • Minimum
    0.01809
  • Quartile 1
    0.02124
  • Median
    0.02438
  • Quartile 3
    0.02752
  • Maximum
    0.03066
  • Mean of quarter 1
    0.01809
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03066
  • Inter Quartile Range
    0.00629
  • 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)
    0.47605
  • Compounded annual return (geometric extrapolation)
    0.52211
  • Calmar ratio (compounded annual return / max draw down)
    17.02710
  • Compounded annual return / average of 25% largest draw downs
    17.02710
  • Compounded annual return / Expected Shortfall lognormal
    4.51737
  • 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
    0.39738
  • SD
    0.15810
  • Sharpe ratio (Glass type estimate)
    2.51345
  • Sharpe ratio (Hedges UMVUE)
    2.50235
  • df
    170.00000
  • t
    2.03057
  • p
    0.42306
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06911
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.95055
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06176
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.94294
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.70187
  • Upside Potential Ratio
    11.24160
  • Upside part of mean
    0.95010
  • Downside part of mean
    -0.55272
  • Upside SD
    0.13531
  • Downside SD
    0.08452
  • N nonnegative terms
    98.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    171.00000
  • Mean of predictor
    0.21777
  • Mean of criterion
    0.39738
  • SD of predictor
    0.12522
  • SD of criterion
    0.15810
  • Covariance
    0.00590
  • r
    0.29797
  • b (slope, estimate of beta)
    0.37622
  • a (intercept, estimate of alpha)
    0.31500
  • Mean Square Error
    0.02291
  • DF error
    169.00000
  • t(b)
    4.05800
  • p(b)
    0.31315
  • t(a)
    1.67395
  • p(a)
    0.41892
  • Lowerbound of 95% confidence interval for beta
    0.19320
  • Upperbound of 95% confidence interval for beta
    0.55925
  • Lowerbound of 95% confidence interval for alpha
    -0.05656
  • Upperbound of 95% confidence interval for alpha
    0.68747
  • Treynor index (mean / b)
    1.05625
  • Jensen alpha (a)
    0.31545
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38476
  • SD
    0.15690
  • Sharpe ratio (Glass type estimate)
    2.45231
  • Sharpe ratio (Hedges UMVUE)
    2.44148
  • df
    170.00000
  • t
    1.98118
  • p
    0.42489
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00876
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.88880
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00158
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.88137
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.51394
  • Upside Potential Ratio
    11.04010
  • Upside part of mean
    0.94103
  • Downside part of mean
    -0.55627
  • Upside SD
    0.13331
  • Downside SD
    0.08524
  • N nonnegative terms
    98.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    171.00000
  • Mean of predictor
    0.20987
  • Mean of criterion
    0.38476
  • SD of predictor
    0.12520
  • SD of criterion
    0.15690
  • Covariance
    0.00587
  • r
    0.29898
  • b (slope, estimate of beta)
    0.37467
  • a (intercept, estimate of alpha)
    0.30612
  • Mean Square Error
    0.02255
  • DF error
    169.00000
  • t(b)
    4.07301
  • p(b)
    0.31254
  • t(a)
    1.63816
  • p(a)
    0.42062
  • Lowerbound of 95% confidence interval for beta
    0.19307
  • Upperbound of 95% confidence interval for beta
    0.55627
  • Lowerbound of 95% confidence interval for alpha
    -0.06278
  • Upperbound of 95% confidence interval for alpha
    0.67503
  • Treynor index (mean / b)
    1.02692
  • Jensen alpha (a)
    0.30612
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01437
  • Expected Shortfall on VaR
    0.01835
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00429
  • Expected Shortfall on VaR
    0.00929
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    171.00000
  • Minimum
    0.97448
  • Quartile 1
    0.99893
  • Median
    1.00068
  • Quartile 3
    1.00349
  • Maximum
    1.04667
  • Mean of quarter 1
    0.99196
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00184
  • Mean of quarter 4
    1.01274
  • Inter Quartile Range
    0.00456
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.98596
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.02166
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22157
  • VaR(95%) (moments method)
    0.00456
  • Expected Shortfall (moments method)
    0.00790
  • Extreme Value Index (regression method)
    -0.12577
  • VaR(95%) (regression method)
    0.00819
  • Expected Shortfall (regression method)
    0.01174
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00013
  • Quartile 1
    0.00313
  • Median
    0.00905
  • Quartile 3
    0.01895
  • Maximum
    0.09574
  • Mean of quarter 1
    0.00097
  • Mean of quarter 2
    0.00736
  • Mean of quarter 3
    0.01239
  • Mean of quarter 4
    0.04537
  • Inter Quartile Range
    0.01582
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10526
  • Mean of outliers high
    0.07221
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.15414
  • VaR(95%) (moments method)
    0.04782
  • Expected Shortfall (moments method)
    0.07084
  • Extreme Value Index (regression method)
    0.92334
  • VaR(95%) (regression method)
    0.06092
  • Expected Shortfall (regression method)
    0.65595
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.47358
  • Compounded annual return (geometric extrapolation)
    0.51084
  • Calmar ratio (compounded annual return / max draw down)
    5.33572
  • Compounded annual return / average of 25% largest draw downs
    11.25930
  • Compounded annual return / Expected Shortfall lognormal
    27.84080
  • 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
    0.50796
  • SD
    0.17832
  • Sharpe ratio (Glass type estimate)
    2.84861
  • Sharpe ratio (Hedges UMVUE)
    2.83214
  • df
    130.00000
  • t
    2.01427
  • p
    0.41302
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04991
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.63661
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03904
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.62525
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.36996
  • Upside Potential Ratio
    12.21100
  • Upside part of mean
    1.15507
  • Downside part of mean
    -0.64711
  • Upside SD
    0.15360
  • Downside SD
    0.09459
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34593
  • Mean of criterion
    0.50796
  • SD of predictor
    0.12461
  • SD of criterion
    0.17832
  • Covariance
    0.00744
  • r
    0.33482
  • b (slope, estimate of beta)
    0.47914
  • a (intercept, estimate of alpha)
    0.34221
  • Mean Square Error
    0.02845
  • DF error
    129.00000
  • t(b)
    4.03578
  • p(b)
    0.29090
  • t(a)
    1.41377
  • p(a)
    0.42156
  • Lowerbound of 95% confidence interval for beta
    0.24424
  • Upperbound of 95% confidence interval for beta
    0.71404
  • Lowerbound of 95% confidence interval for alpha
    -0.13670
  • Upperbound of 95% confidence interval for alpha
    0.82111
  • Treynor index (mean / b)
    1.06014
  • Jensen alpha (a)
    0.34221
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49182
  • SD
    0.17695
  • Sharpe ratio (Glass type estimate)
    2.77942
  • Sharpe ratio (Hedges UMVUE)
    2.76335
  • df
    130.00000
  • t
    1.96535
  • p
    0.41507
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01801
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.56651
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02873
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.55544
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.15425
  • Upside Potential Ratio
    11.98270
  • Upside part of mean
    1.14339
  • Downside part of mean
    -0.65157
  • Upside SD
    0.15130
  • Downside SD
    0.09542
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33798
  • Mean of criterion
    0.49182
  • SD of predictor
    0.12451
  • SD of criterion
    0.17695
  • Covariance
    0.00741
  • r
    0.33649
  • b (slope, estimate of beta)
    0.47821
  • a (intercept, estimate of alpha)
    0.33019
  • Mean Square Error
    0.02798
  • DF error
    129.00000
  • t(b)
    4.05844
  • p(b)
    0.28990
  • t(a)
    1.37642
  • p(a)
    0.42359
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    0.24508
  • Upperbound of 95% confidence interval for beta
    0.71134
  • Lowerbound of 95% confidence interval for alpha
    -0.14444
  • Upperbound of 95% confidence interval for alpha
    0.80483
  • Treynor index (mean / b)
    1.02846
  • Jensen alpha (a)
    0.33019
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01598
  • Expected Shortfall on VaR
    0.02045
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00499
  • Expected Shortfall on VaR
    0.01067
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97448
  • Quartile 1
    0.99848
  • Median
    1.00080
  • Quartile 3
    1.00419
  • Maximum
    1.04667
  • Mean of quarter 1
    0.99053
  • Mean of quarter 2
    1.00002
  • Mean of quarter 3
    1.00238
  • Mean of quarter 4
    1.01526
  • Inter Quartile Range
    0.00571
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.98315
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.02517
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.04591
  • VaR(95%) (moments method)
    0.00615
  • Expected Shortfall (moments method)
    0.00909
  • Extreme Value Index (regression method)
    -0.15235
  • VaR(95%) (regression method)
    0.00933
  • Expected Shortfall (regression method)
    0.01289
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00013
  • Quartile 1
    0.00397
  • Median
    0.00905
  • Quartile 3
    0.02270
  • Maximum
    0.09574
  • Mean of quarter 1
    0.00099
  • Mean of quarter 2
    0.00821
  • Mean of quarter 3
    0.01567
  • Mean of quarter 4
    0.04826
  • Inter Quartile Range
    0.01873
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.05882
  • Mean of outliers high
    0.09574
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.28511
  • VaR(95%) (moments method)
    0.05023
  • Expected Shortfall (moments method)
    0.08098
  • Extreme Value Index (regression method)
    0.98806
  • VaR(95%) (regression method)
    0.05914
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    3.75510
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -351046000
  • Max Equity Drawdown (num days)
    22
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.59350
  • Compounded annual return (geometric extrapolation)
    0.68156
  • Calmar ratio (compounded annual return / max draw down)
    7.11898
  • Compounded annual return / average of 25% largest draw downs
    14.12220
  • Compounded annual return / Expected Shortfall lognormal
    33.32490

Strategy Description

This is a well-structured and diversified algorithmic trading approach designed to maximize profits and manage risk trough diversification, effectively keeping both a high Sharpe Ratio, resilience to market fluctuations and a low draw down. The strategy's primary focus is on aligning various trading instruments and systems, resulting in a comprehensive and robust portfolio. By combining the US Indices, ADRs, leveraged ETFs, and dip-buyers, The Rosa Negra aims to capitalize on multiple market opportunities simultaneously.

Despite new to C2, The Rosa Negra have been running out of sample in the stock markets for quite some time, however investing in stocks and ETFs involves considerable risk and past performance does not warrant future profits.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-08-23
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 6.8%
Rank # 
#360
# Trades
138
# Profitable
81
% Profitable
58.7%
Net Dividends
$201
Correlation S&P500
0.290
Sharpe Ratio
1.90
Sortino Ratio
3.54
Beta
0.36
Alpha
0.08
Leverage
0.76 Average
2.41 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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