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EGI Tidal Wave YouTube
(110369211)

Created by: VinnyEmini VinnyEmini
Started: 03/2017
Forex
Last trade: 2 days ago
Trading style: Futures Short Term Currencies

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 $39.00 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: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
Currencies
Category: Equity

Currencies

Focuses on currency futures.
23.3%
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.

(31.8%)
Max Drawdown
582
Num Trades
58.1%
Win Trades
1.2 : 1
Profit Factor
45.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017              (0.2%)(0.5%)(0.5%)(7.2%)+43.6%+6.4%+11.4%(14.2%)+16.1%+13.1%+75.5%
2018+13.5%(2.8%)(7.6%)+4.4%+7.0%(0.5%)+8.3%+2.4%(17.2%)+3.2%(13.8%)+7.0%(1.1%)
2019(6.9%)+5.8%(4.2%)  -    -    -    -    -  +3.5%                  (2.5%)

Model Account Details

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

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

Trading Record

This strategy has placed 1,255 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/20/19 15:16 @NQZ9 E-MINI NASDAQ 100 STK IDX SHORT 8 7866.97 9/20 15:17 7866.06 0.52%
Trade id #125441339
Max drawdown($445)
Time9/20/19 15:17
Quant open8
Worst price7869.75
Drawdown as % of equity-0.52%
$81
Includes Typical Broker Commissions trade costs of $64.00
9/20/19 15:09 @NQZ9 E-MINI NASDAQ 100 STK IDX SHORT 4 7861.38 9/20 15:11 7858.88 0.06%
Trade id #125441185
Max drawdown($50)
Time9/20/19 15:10
Quant open4
Worst price7862.00
Drawdown as % of equity-0.06%
$168
Includes Typical Broker Commissions trade costs of $32.00
9/20/19 9:54 @ESZ9 E-MINI S&P 500 SHORT 4 3015.25 9/20 10:37 3015.75 0.54%
Trade id #125434983
Max drawdown($450)
Time9/20/19 10:12
Quant open4
Worst price3017.50
Drawdown as % of equity-0.54%
($132)
Includes Typical Broker Commissions trade costs of $32.00
9/20/19 10:10 @NQZ9 E-MINI NASDAQ 100 STK IDX SHORT 10 7935.50 9/20 10:15 7928.45 0.6%
Trade id #125435338
Max drawdown($500)
Time9/20/19 10:12
Quant open10
Worst price7938.00
Drawdown as % of equity-0.60%
$1,330
Includes Typical Broker Commissions trade costs of $80.00
9/20/19 10:08 @NQZ9 E-MINI NASDAQ 100 STK IDX SHORT 4 7934.00 9/20 10:10 7935.00 0.1%
Trade id #125435270
Max drawdown($80)
Time9/20/19 10:09
Quant open4
Worst price7935.00
Drawdown as % of equity-0.10%
($112)
Includes Typical Broker Commissions trade costs of $32.00
9/20/19 10:07 @NQZ9 E-MINI NASDAQ 100 STK IDX SHORT 2 7932.50 9/20 10:08 7934.75 0.06%
Trade id #125435259
Max drawdown($50)
Time9/20/19 10:08
Quant open2
Worst price7933.75
Drawdown as % of equity-0.06%
($106)
Includes Typical Broker Commissions trade costs of $16.00
9/19/19 13:48 @NQZ9 E-MINI NASDAQ 100 STK IDX LONG 4 7920.56 9/19 13:49 7924.00 0.01%
Trade id #125423439
Max drawdown($5)
Time9/19/19 13:49
Quant open2
Worst price7920.00
Drawdown as % of equity-0.01%
$243
Includes Typical Broker Commissions trade costs of $32.00
9/19/19 11:42 @NQZ9 E-MINI NASDAQ 100 STK IDX SHORT 2 7961.25 9/19 11:44 7954.25 0.12%
Trade id #125419414
Max drawdown($100)
Time9/19/19 11:43
Quant open2
Worst price7963.75
Drawdown as % of equity-0.12%
$264
Includes Typical Broker Commissions trade costs of $16.00
9/19/19 11:32 @NQZ9 E-MINI NASDAQ 100 STK IDX SHORT 2 7962.25 9/19 11:34 7964.50 0.01%
Trade id #125419143
Max drawdown($10)
Time9/19/19 11:33
Quant open2
Worst price7962.50
Drawdown as % of equity-0.01%
($106)
Includes Typical Broker Commissions trade costs of $16.00
9/19/19 11:10 @NQZ9 E-MINI NASDAQ 100 STK IDX SHORT 10 7960.45 9/19 11:28 7958.35 0.45%
Trade id #125418571
Max drawdown($370)
Time9/19/19 11:13
Quant open7
Worst price7963.25
Drawdown as % of equity-0.45%
$340
Includes Typical Broker Commissions trade costs of $80.00
9/19/19 10:15 @NQZ9 E-MINI NASDAQ 100 STK IDX SHORT 4 7963.75 9/19 10:17 7964.75 0.35%
Trade id #125417043
Max drawdown($285)
Time9/19/19 10:17
Quant open3
Worst price7968.50
Drawdown as % of equity-0.35%
($112)
Includes Typical Broker Commissions trade costs of $32.00
9/19/19 9:06 @ESZ9 E-MINI S&P 500 LONG 8 3016.06 9/19 10:11 3018.75 0.18%
Trade id #125414759
Max drawdown($150)
Time9/19/19 9:29
Quant open2
Worst price3012.75
Drawdown as % of equity-0.18%
$1,011
Includes Typical Broker Commissions trade costs of $64.00
3/29/19 10:18 USD/JPY USD/JPY LONG 100 110.820 3/29 11:03 110.920 0.15%
Trade id #123126567
Max drawdown($126)
Time3/29/19 10:25
Quant open100
Worst price110.806
Drawdown as % of equity-0.15%
$904
3/28/19 20:12 GBP/USD GBP/USD LONG 200 1.30610 3/28 22:52 1.30710 1.78%
Trade id #123120067
Max drawdown($1,420)
Time3/28/19 20:57
Quant open200
Worst price1.30539
Drawdown as % of equity-1.78%
$2,000
3/28/19 17:34 EUR/JPY EUR/JPY LONG 200 124.190 3/28 19:17 124.290 0.55%
Trade id #123119475
Max drawdown($433)
Time3/28/19 17:36
Quant open200
Worst price124.166
Drawdown as % of equity-0.55%
$1,807
3/28/19 5:38 GBP/JPY GBP/JPY LONG 200 145.160 3/28 5:53 144.910 5.49%
Trade id #123109153
Max drawdown($4,532)
Time3/28/19 5:53
Quant open180
Worst price144.910
Drawdown as % of equity-5.49%
($4,532)
3/28/19 4:49 USD/JPY USD/JPY LONG 200 110.261 3/28 5:18 110.361 0.22%
Trade id #123108777
Max drawdown($181)
Time3/28/19 5:10
Quant open200
Worst price110.251
Drawdown as % of equity-0.22%
$1,813
3/28/19 3:55 EUR/JPY EUR/JPY SHORT 200 123.740 3/28 4:45 123.970 5.14%
Trade id #123108182
Max drawdown($4,353)
Time3/28/19 4:45
Quant open-200
Worst price123.980
Drawdown as % of equity-5.14%
($4,172)
3/28/19 3:42 EUR/JPY EUR/JPY LONG 200 123.924 3/28 3:53 123.710 4.53%
Trade id #123108073
Max drawdown($3,888)
Time3/28/19 3:53
Quant open0
Worst price123.710
Drawdown as % of equity-4.53%
($3,888)
3/26/19 12:19 GBP/JPY GBP/JPY LONG 100 145.960 3/26 12:33 146.060 0.03%
Trade id #123080262
Max drawdown($27)
Time3/26/19 12:25
Quant open100
Worst price145.957
Drawdown as % of equity-0.03%
$905
3/25/19 1:55 EUR/USD EUR/USD LONG 100 1.13030 3/25 3:49 1.13130 0.36%
Trade id #123051019
Max drawdown($310)
Time3/25/19 2:46
Quant open100
Worst price1.12999
Drawdown as % of equity-0.36%
$1,000
3/25/19 1:54 GBP/JPY GBP/JPY LONG 100 145.140 3/25 2:37 144.890 2.54%
Trade id #123051013
Max drawdown($2,274)
Time3/25/19 2:37
Quant open80
Worst price144.890
Drawdown as % of equity-2.54%
($2,274)
3/18/19 1:31 USD/JPY USD/JPY LONG 100 111.550 3/18 3:02 111.550 0.14%
Trade id #122943931
Max drawdown($125)
Time3/18/19 2:59
Quant open100
Worst price111.536
Drawdown as % of equity-0.14%
$0
3/18/19 1:58 GBP/USD GBP/USD LONG 100 1.32810 3/18 2:45 1.32910 0.76%
Trade id #122944053
Max drawdown($670)
Time3/18/19 2:17
Quant open100
Worst price1.32743
Drawdown as % of equity-0.76%
$1,000
3/14/19 0:56 USD/JPY USD/JPY LONG 100 111.600 3/14 4:29 111.700 0.6%
Trade id #122903875
Max drawdown($519)
Time3/14/19 1:38
Quant open100
Worst price111.542
Drawdown as % of equity-0.60%
$895
3/14/19 0:56 EUR/USD EUR/USD LONG 100 1.13180 3/14 3:32 1.13280 0.65%
Trade id #122903881
Max drawdown($560)
Time3/14/19 3:05
Quant open100
Worst price1.13124
Drawdown as % of equity-0.65%
$1,000
2/28/19 1:28 USD/JPY USD/JPY LONG 100 110.750 2/28 7:12 110.740 0.96%
Trade id #122726506
Max drawdown($803)
Time2/28/19 3:11
Quant open100
Worst price110.661
Drawdown as % of equity-0.96%
($90)
2/28/19 1:29 EUR/JPY EUR/JPY LONG 100 125.950 2/28 6:51 126.490 0.67%
Trade id #122726519
Max drawdown($550)
Time2/28/19 2:04
Quant open100
Worst price125.889
Drawdown as % of equity-0.67%
$4,874
2/27/19 15:11 USD/JPY USD/JPY LONG 100 111.040 2/28 1:26 110.790 2.72%
Trade id #122721617
Max drawdown($2,257)
Time2/28/19 1:26
Quant open80
Worst price110.790
Drawdown as % of equity-2.72%
($2,257)
2/27/19 15:11 EUR/USD EUR/USD LONG 100 1.13680 2/27 18:39 1.13800 0.33%
Trade id #122721648
Max drawdown($270)
Time2/27/19 17:02
Quant open100
Worst price1.13653
Drawdown as % of equity-0.33%
$1,200

Statistics

  • Strategy began
    3/22/2017
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    914.24
  • Age
    31 months ago
  • What it trades
    Forex
  • # Trades
    582
  • # Profitable
    338
  • % Profitable
    58.10%
  • Avg trade duration
    1.4 days
  • Max peak-to-valley drawdown
    31.81%
  • drawdown period
    Sept 13, 2018 - March 28, 2019
  • Annual Return (Compounded)
    23.3%
  • Avg win
    $770.10
  • Avg loss
    $917.67
  • Model Account Values (Raw)
  • Cash
    $86,382
  • Margin Used
    $0
  • Buying Power
    $86,382
  • Ratios
  • W:L ratio
    1.16:1
  • Sharpe Ratio
    0.52
  • Sortino Ratio
    0.78
  • Calmar Ratio
    0.958
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.07840
  • Return Statistics
  • Ann Return (w trading costs)
    23.3%
  • Ann Return (Compnd, No Fees)
    24.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    71.00%
  • Chance of 20% account loss
    47.00%
  • Chance of 30% account loss
    30.50%
  • Chance of 40% account loss
    17.00%
  • Chance of 50% account loss
    4.50%
  • Popularity
  • Popularity (Today)
    841
  • Popularity (Last 6 weeks)
    788
  • C2 Score
    193
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $918
  • Avg Win
    $770
  • # Winners
    338
  • # Losers
    244
  • % Winners
    58.1%
  • Frequency
  • Avg Position Time (mins)
    1946.10
  • Avg Position Time (hrs)
    32.44
  • Avg Trade Length
    1.4 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    22.05
  • Daily leverage (max)
    62.47
  • Regression
  • Alpha
    0.08
  • Beta
    0.29
  • Treynor Index
    0.30
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    12.726
  • Avg(MAE) / Avg(PL) - Winning trades
    0.477
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.061
  • Hold-and-Hope Ratio
    0.078
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32713
  • SD
    0.51701
  • Sharpe ratio (Glass type estimate)
    0.63274
  • Sharpe ratio (Hedges UMVUE)
    0.61272
  • df
    24.00000
  • t
    0.91328
  • p
    0.18509
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74319
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99584
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75620
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98164
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.60127
  • Upside Potential Ratio
    3.45305
  • Upside part of mean
    0.70544
  • Downside part of mean
    -0.37831
  • Upside SD
    0.47306
  • Downside SD
    0.20429
  • N nonnegative terms
    11.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.10513
  • Mean of criterion
    0.32713
  • SD of predictor
    0.16213
  • SD of criterion
    0.51701
  • Covariance
    0.01818
  • r
    0.21683
  • b (slope, estimate of beta)
    0.69142
  • a (intercept, estimate of alpha)
    0.25444
  • Mean Square Error
    0.26580
  • DF error
    23.00000
  • t(b)
    1.06521
  • p(b)
    0.14892
  • t(a)
    0.69969
  • p(a)
    0.24557
  • Lowerbound of 95% confidence interval for beta
    -0.65133
  • Upperbound of 95% confidence interval for beta
    2.03417
  • Lowerbound of 95% confidence interval for alpha
    -0.49783
  • Upperbound of 95% confidence interval for alpha
    1.00671
  • Treynor index (mean / b)
    0.47313
  • Jensen alpha (a)
    0.25444
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21521
  • SD
    0.45835
  • Sharpe ratio (Glass type estimate)
    0.46952
  • Sharpe ratio (Hedges UMVUE)
    0.45467
  • df
    24.00000
  • t
    0.67770
  • p
    0.25222
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89958
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82905
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90931
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81865
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.98287
  • Upside Potential Ratio
    2.81099
  • Upside part of mean
    0.61548
  • Downside part of mean
    -0.40027
  • Upside SD
    0.39698
  • Downside SD
    0.21896
  • N nonnegative terms
    11.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.09182
  • Mean of criterion
    0.21521
  • SD of predictor
    0.16297
  • SD of criterion
    0.45835
  • Covariance
    0.01847
  • r
    0.24733
  • b (slope, estimate of beta)
    0.69560
  • a (intercept, estimate of alpha)
    0.15133
  • Mean Square Error
    0.20581
  • DF error
    23.00000
  • t(b)
    1.22418
  • p(b)
    0.11664
  • t(a)
    0.47499
  • p(a)
    0.31964
  • Lowerbound of 95% confidence interval for beta
    -0.47984
  • Upperbound of 95% confidence interval for beta
    1.87103
  • Lowerbound of 95% confidence interval for alpha
    -0.50775
  • Upperbound of 95% confidence interval for alpha
    0.81042
  • Treynor index (mean / b)
    0.30938
  • Jensen alpha (a)
    0.15133
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18102
  • Expected Shortfall on VaR
    0.22416
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07829
  • Expected Shortfall on VaR
    0.14336
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.81617
  • Quartile 1
    0.95907
  • Median
    1.00000
  • Quartile 3
    1.06100
  • Maximum
    1.51981
  • Mean of quarter 1
    0.89936
  • Mean of quarter 2
    0.99110
  • Mean of quarter 3
    1.02185
  • Mean of quarter 4
    1.22775
  • Inter Quartile Range
    0.10193
  • 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
    0.08000
  • Mean of outliers high
    1.43616
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.04703
  • VaR(95%) (moments method)
    0.08935
  • Expected Shortfall (moments method)
    0.08942
  • Extreme Value Index (regression method)
    -0.46697
  • VaR(95%) (regression method)
    0.10045
  • Expected Shortfall (regression method)
    0.11631
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00471
  • Quartile 1
    0.03612
  • Median
    0.08743
  • Quartile 3
    0.17020
  • Maximum
    0.27481
  • Mean of quarter 1
    0.01478
  • Mean of quarter 2
    0.06992
  • Mean of quarter 3
    0.10494
  • Mean of quarter 4
    0.23338
  • Inter Quartile Range
    0.13407
  • 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)
    0.31653
  • Compounded annual return (geometric extrapolation)
    0.27521
  • Calmar ratio (compounded annual return / max draw down)
    1.00145
  • Compounded annual return / average of 25% largest draw downs
    1.17923
  • Compounded annual return / Expected Shortfall lognormal
    1.22774
  • 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
    0.35991
  • SD
    0.52288
  • Sharpe ratio (Glass type estimate)
    0.68832
  • Sharpe ratio (Hedges UMVUE)
    0.68740
  • df
    561.00000
  • t
    1.00811
  • p
    0.15692
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65080
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02687
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65143
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02623
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.01173
  • Upside Potential Ratio
    6.69594
  • Upside part of mean
    2.38198
  • Downside part of mean
    -2.02207
  • Upside SD
    0.38322
  • Downside SD
    0.35574
  • N nonnegative terms
    198.00000
  • N negative terms
    364.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    562.00000
  • Mean of predictor
    0.09538
  • Mean of criterion
    0.35991
  • SD of predictor
    0.14385
  • SD of criterion
    0.52288
  • Covariance
    0.00668
  • r
    0.08888
  • b (slope, estimate of beta)
    0.32306
  • a (intercept, estimate of alpha)
    0.32900
  • Mean Square Error
    0.27172
  • DF error
    560.00000
  • t(b)
    2.11154
  • p(b)
    0.01758
  • t(a)
    0.92387
  • p(a)
    0.17798
  • Lowerbound of 95% confidence interval for beta
    0.02254
  • Upperbound of 95% confidence interval for beta
    0.62358
  • Lowerbound of 95% confidence interval for alpha
    -0.37059
  • Upperbound of 95% confidence interval for alpha
    1.02878
  • Treynor index (mean / b)
    1.11406
  • Jensen alpha (a)
    0.32910
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22340
  • SD
    0.52297
  • Sharpe ratio (Glass type estimate)
    0.42717
  • Sharpe ratio (Hedges UMVUE)
    0.42660
  • df
    561.00000
  • t
    0.62563
  • p
    0.26591
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91146
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76546
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91187
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76506
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.59984
  • Upside Potential Ratio
    6.20928
  • Upside part of mean
    2.31249
  • Downside part of mean
    -2.08910
  • Upside SD
    0.36674
  • Downside SD
    0.37243
  • N nonnegative terms
    198.00000
  • N negative terms
    364.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    562.00000
  • Mean of predictor
    0.08501
  • Mean of criterion
    0.22340
  • SD of predictor
    0.14401
  • SD of criterion
    0.52297
  • Covariance
    0.00708
  • r
    0.09402
  • b (slope, estimate of beta)
    0.34145
  • a (intercept, estimate of alpha)
    0.19437
  • Mean Square Error
    0.27156
  • DF error
    560.00000
  • t(b)
    2.23489
  • p(b)
    0.01291
  • t(a)
    0.54591
  • p(a)
    0.29267
  • Lowerbound of 95% confidence interval for beta
    0.04136
  • Upperbound of 95% confidence interval for beta
    0.64155
  • Lowerbound of 95% confidence interval for alpha
    -0.50498
  • Upperbound of 95% confidence interval for alpha
    0.89372
  • Treynor index (mean / b)
    0.65425
  • Jensen alpha (a)
    0.19437
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05095
  • Expected Shortfall on VaR
    0.06361
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02055
  • Expected Shortfall on VaR
    0.04375
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    562.00000
  • Minimum
    0.84082
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00606
  • Maximum
    1.17890
  • Mean of quarter 1
    0.96951
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00118
  • Mean of quarter 4
    1.03522
  • Inter Quartile Range
    0.00606
  • Number outliers low
    95.00000
  • Percentage of outliers low
    0.16904
  • Mean of outliers low
    0.95638
  • Number of outliers high
    99.00000
  • Percentage of outliers high
    0.17616
  • Mean of outliers high
    1.04585
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16076
  • VaR(95%) (moments method)
    0.00485
  • Expected Shortfall (moments method)
    0.00843
  • Extreme Value Index (regression method)
    0.20585
  • VaR(95%) (regression method)
    0.02519
  • Expected Shortfall (regression method)
    0.04836
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00159
  • Quartile 1
    0.01847
  • Median
    0.06026
  • Quartile 3
    0.15399
  • Maximum
    0.29835
  • Mean of quarter 1
    0.00815
  • Mean of quarter 2
    0.04530
  • Mean of quarter 3
    0.09762
  • Mean of quarter 4
    0.26695
  • Inter Quartile Range
    0.13552
  • 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)
    -16.85580
  • VaR(95%) (moments method)
    0.24306
  • Expected Shortfall (moments method)
    0.24306
  • Extreme Value Index (regression method)
    -1.99958
  • VaR(95%) (regression method)
    0.28141
  • Expected Shortfall (regression method)
    0.28436
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33304
  • Compounded annual return (geometric extrapolation)
    0.28570
  • Calmar ratio (compounded annual return / max draw down)
    0.95760
  • Compounded annual return / average of 25% largest draw downs
    1.07021
  • Compounded annual return / Expected Shortfall lognormal
    4.49162
  • 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
    0.09090
  • SD
    0.17203
  • Sharpe ratio (Glass type estimate)
    0.52840
  • Sharpe ratio (Hedges UMVUE)
    0.52535
  • df
    130.00000
  • t
    0.37364
  • p
    0.48362
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.24512
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.29999
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.24720
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.29789
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.67607
  • Upside Potential Ratio
    4.12042
  • Upside part of mean
    0.55403
  • Downside part of mean
    -0.46313
  • Upside SD
    0.10641
  • Downside SD
    0.13446
  • N nonnegative terms
    21.00000
  • N negative terms
    110.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17558
  • Mean of criterion
    0.09090
  • SD of predictor
    0.20230
  • SD of criterion
    0.17203
  • Covariance
    -0.00086
  • r
    -0.02464
  • b (slope, estimate of beta)
    -0.02096
  • a (intercept, estimate of alpha)
    0.09458
  • Mean Square Error
    0.02981
  • DF error
    129.00000
  • t(b)
    -0.27997
  • p(b)
    0.51569
  • t(a)
    0.38682
  • p(a)
    0.47834
  • Lowerbound of 95% confidence interval for beta
    -0.16905
  • Upperbound of 95% confidence interval for beta
    0.12714
  • Lowerbound of 95% confidence interval for alpha
    -0.38919
  • Upperbound of 95% confidence interval for alpha
    0.57836
  • Treynor index (mean / b)
    -4.33799
  • Jensen alpha (a)
    0.09458
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07595
  • SD
    0.17418
  • Sharpe ratio (Glass type estimate)
    0.43607
  • Sharpe ratio (Hedges UMVUE)
    0.43355
  • df
    130.00000
  • t
    0.30834
  • p
    0.48648
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.33697
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.20766
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.33876
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.20585
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.54966
  • Upside Potential Ratio
    3.96859
  • Upside part of mean
    0.54841
  • Downside part of mean
    -0.47245
  • Upside SD
    0.10504
  • Downside SD
    0.13819
  • N nonnegative terms
    21.00000
  • N negative terms
    110.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15527
  • Mean of criterion
    0.07595
  • SD of predictor
    0.20181
  • SD of criterion
    0.17418
  • Covariance
    -0.00081
  • r
    -0.02301
  • b (slope, estimate of beta)
    -0.01986
  • a (intercept, estimate of alpha)
    0.07904
  • Mean Square Error
    0.03056
  • DF error
    129.00000
  • t(b)
    -0.26140
  • p(b)
    0.51465
  • t(a)
    0.31935
  • p(a)
    0.48211
  • Lowerbound of 95% confidence interval for beta
    -0.17017
  • Upperbound of 95% confidence interval for beta
    0.13045
  • Lowerbound of 95% confidence interval for alpha
    -0.41064
  • Upperbound of 95% confidence interval for alpha
    0.56872
  • Treynor index (mean / b)
    -3.82473
  • Jensen alpha (a)
    0.07904
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01726
  • Expected Shortfall on VaR
    0.02166
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00551
  • Expected Shortfall on VaR
    0.01228
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93443
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03658
  • Mean of quarter 1
    0.99334
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00846
  • Inter Quartile Range
    0.00000
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.98001
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.16031
  • Mean of outliers high
    1.01330
  • 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)
    0.45394
  • VaR(95%) (regression method)
    0.00586
  • Expected Shortfall (regression method)
    0.02633
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01986
  • Quartile 1
    0.02997
  • Median
    0.05456
  • Quartile 3
    0.07644
  • Maximum
    0.07843
  • Mean of quarter 1
    0.01986
  • Mean of quarter 2
    0.03334
  • Mean of quarter 3
    0.07577
  • Mean of quarter 4
    0.07843
  • Inter Quartile Range
    0.04647
  • 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)
    0.10661
  • Compounded annual return (geometric extrapolation)
    0.10945
  • Calmar ratio (compounded annual return / max draw down)
    1.39541
  • Compounded annual return / average of 25% largest draw downs
    1.39541
  • Compounded annual return / Expected Shortfall lognormal
    5.05274

Strategy Description

Summary Statistics

Strategy began
2017-03-22
Suggested Minimum Capital
$80,000
# Trades
582
# Profitable
338
% Profitable
58.1%
Correlation S&P500
0.078
Sharpe Ratio
0.52
Sortino Ratio
0.78
Beta
0.29
Alpha
0.08
Leverage
22.05 Average
62.47 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.