Collective2 Collective2
Featured Strategy Quant AI pro +16.8% Cumul. Return since Dec 2, 2024 Hypothetical

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This is an archived track record. This track record was archived on 12/11/18 14:59 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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IB Latest and Greatest
(113178999)

Created by: JohnSnow2019 JohnSnow2019
Started: 08/2017
Stocks
Last trade: 2,202 days ago
Trading style: Equity Hedged Equity
Subscriptions not currently available.

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 $5.00 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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
-3.9%
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.

(18.0%)
Max Drawdown
329
Num Trades
42.9%
Win Trades
0.9 : 1
Profit Factor
10.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                 +1.8%+1.8%+1.9%+3.9%+2.3%+12.3%
2018(0.5%)(1.2%)(3.8%)(1.2%)+3.3%(2.6%)+1.0%+3.0%+0.2%(9.9%)(1%)(3.3%)(15.6%)
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0

Model Account Details

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

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

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

Trading Record

This strategy has placed 444 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2426 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/11/18 9:30 LFVN LIFEVANTAGE CORP LONG 16 14.40 12/11 14:59 14.85 n/a $7
Includes Typical Broker Commissions trade costs of $0.32
12/11/18 9:30 GNW GENWORTH FINANCIAL LONG 1,622 4.33 12/11 14:59 4.33 n/a ($5)
Includes Typical Broker Commissions trade costs of $5.00
12/11/18 9:30 ENPH ENPHASE ENERGY LONG 665 5.75 12/11 14:59 5.77 n/a $8
Includes Typical Broker Commissions trade costs of $5.00
12/11/18 9:30 MNGA TARONIS TECHNOLOGIES INC LONG 24,335 0.28 12/11 14:59 0.28 n/a ($3)
Includes Typical Broker Commissions trade costs of $5.00
12/11/18 9:30 CRON CRONOS GROUP INC. COMMON SHARE LONG 648 12.95 12/11 14:59 12.88 n/a ($50)
Includes Typical Broker Commissions trade costs of $5.00
12/4/18 13:22 SPXL DIREXION DAILY S&P500 BULL 3X LONG 948 43.18 12/6 12:13 39.92 1.33%
Trade id #121338850
Max drawdown($3,242)
Time12/6/18 5:34
Quant open948
Worst price39.76
Drawdown as % of equity-1.33%
 ($3,093)
Includes Typical Broker Commissions trade costs of $6.15
12/4/18 13:22 UPRO PROSHARES ULTRAPRO S&P 500 LONG 899 45.56 12/6 9:31 42.04 1.33%
Trade id #121338847
Max drawdown($3,227)
Time12/6/18 6:41
Quant open899
Worst price41.97
Drawdown as % of equity-1.33%
 ($3,169)
Includes Typical Broker Commissions trade costs of $5.00
11/28/18 9:49 UPRO PROSHARES ULTRAPRO S&P 500 LONG 1,000 44.28 12/4 13:11 45.59 0.21%
Trade id #121214510
Max drawdown($510)
Time11/28/18 10:32
Quant open1,000
Worst price43.77
Drawdown as % of equity-0.21%
 $1,305
Includes Typical Broker Commissions trade costs of $5.00
12/3/18 14:06 BPMX BIOPHARMX CORPORATIO LONG 3,111 0.16 12/3 15:43 0.16 0%
Trade id #121316502
Max drawdown($5)
Time12/3/18 15:09
Quant open3,111
Worst price0.16
Drawdown as % of equity-0.00%
 ($9)
Includes Typical Broker Commissions trade costs of $5.01
12/3/18 14:08 USAS AMERICAS SILVER CORP LONG 360 1.39 12/3 15:35 1.37 0%
Trade id #121316572
Max drawdown($9)
Time12/3/18 14:28
Quant open360
Worst price1.36
Drawdown as % of equity-0.00%
 ($14)
Includes Typical Broker Commissions trade costs of $7.20
12/3/18 14:07 TAOP TAOPING INC. BVI ORDINARY SHARES LONG 452 1.10 12/3 15:35 1.09 0%
Trade id #121316555
Max drawdown($5)
Time12/3/18 15:35
Quant open0
Worst price1.09
Drawdown as % of equity-0.00%
 ($14)
Includes Typical Broker Commissions trade costs of $9.04
12/3/18 14:07 ROYT PACIFIC COAST OIL TRUST LONG 263 1.90 12/3 15:35 1.87 0%
Trade id #121316548
Max drawdown($8)
Time12/3/18 15:35
Quant open0
Worst price1.87
Drawdown as % of equity-0.00%
 ($13)
Includes Typical Broker Commissions trade costs of $5.26
12/3/18 14:07 PGLC PERSHING GOLD CORPORATION LONG 547 0.91 12/3 15:35 0.89 0%
Trade id #121316558
Max drawdown($9)
Time12/3/18 15:29
Quant open547
Worst price0.89
Drawdown as % of equity-0.00%
 ($14)
Includes Typical Broker Commissions trade costs of $5.00
12/3/18 14:06 INUV INUVO LONG 448 1.12 12/3 15:34 1.11 0%
Trade id #121316487
Max drawdown($4)
Time12/3/18 15:34
Quant open0
Worst price1.11
Drawdown as % of equity-0.00%
 ($13)
Includes Typical Broker Commissions trade costs of $8.96
12/3/18 14:06 CTXR CITIUS PHARMACEUTICALS INC. LONG 388 1.28 12/3 15:34 1.25 0%
Trade id #121316511
Max drawdown($12)
Time12/3/18 15:34
Quant open0
Worst price1.25
Drawdown as % of equity-0.00%
 ($20)
Includes Typical Broker Commissions trade costs of $7.76
12/3/18 14:07 LEJU LEJU HOLDINGS LTD LONG 299 1.65 12/3 15:34 1.64 0%
Trade id #121316521
Max drawdown($3)
Time12/3/18 15:34
Quant open0
Worst price1.64
Drawdown as % of equity-0.00%
 ($9)
Includes Typical Broker Commissions trade costs of $5.98
12/3/18 14:06 GPL GREAT PANTHER MINING LTD LONG 829 0.60 12/3 15:33 0.60 0%
Trade id #121316508
Max drawdown($2)
Time12/3/18 14:14
Quant open829
Worst price0.59
Drawdown as % of equity-0.00%
 ($3)
Includes Typical Broker Commissions trade costs of $5.00
12/3/18 14:06 IZEA IZEA INC. COMMON STOCK LONG 360 1.38 12/3 15:33 1.36 0%
Trade id #121316505
Max drawdown($10)
Time12/3/18 14:10
Quant open360
Worst price1.35
Drawdown as % of equity-0.00%
 ($14)
Includes Typical Broker Commissions trade costs of $7.20
11/12/18 9:31 INUV INUVO LONG 557 1.20 11/28 9:30 1.15 0.02%
Trade id #120880419
Max drawdown($50)
Time11/20/18 9:46
Quant open557
Worst price1.11
Drawdown as % of equity-0.02%
 ($33)
Includes Typical Broker Commissions trade costs of $5.00
11/12/18 9:31 IZEA IZEA INC. COMMON STOCK LONG 391 1.70 11/28 9:30 1.42 0.06%
Trade id #120880423
Max drawdown($156)
Time11/14/18 19:52
Quant open391
Worst price1.30
Drawdown as % of equity-0.06%
 ($117)
Includes Typical Broker Commissions trade costs of $7.82
11/12/18 9:31 PSTI PLURISTEM THERAPEUTIC LONG 553 1.18 11/28 9:30 1.06 0.03%
Trade id #120880447
Max drawdown($82)
Time11/27/18 11:46
Quant open553
Worst price1.03
Drawdown as % of equity-0.03%
 ($71)
Includes Typical Broker Commissions trade costs of $5.00
11/12/18 9:31 ROYT PACIFIC COAST OIL TRUST LONG 308 2.14 11/28 9:30 1.88 0.09%
Trade id #120880445
Max drawdown($227)
Time11/19/18 8:04
Quant open308
Worst price1.40
Drawdown as % of equity-0.09%
 ($86)
Includes Typical Broker Commissions trade costs of $6.16
11/12/18 9:31 SITO SITO MOBILE LTD. COMMON STOCK LONG 453 1.43 11/28 9:30 1.04 0.09%
Trade id #120880448
Max drawdown($221)
Time11/16/18 9:54
Quant open453
Worst price0.94
Drawdown as % of equity-0.09%
 ($186)
Includes Typical Broker Commissions trade costs of $9.06
11/6/18 10:22 ENPH ENPHASE ENERGY LONG 362 5.53 11/28 9:30 5.34 0.13%
Trade id #120759650
Max drawdown($336)
Time11/7/18 9:32
Quant open362
Worst price4.60
Drawdown as % of equity-0.13%
 ($76)
Includes Typical Broker Commissions trade costs of $7.24
11/12/18 9:31 GPL GREAT PANTHER MINING LTD LONG 1,115 0.61 11/28 9:30 0.56 0.03%
Trade id #120880421
Max drawdown($80)
Time11/14/18 9:31
Quant open1,115
Worst price0.54
Drawdown as % of equity-0.03%
 ($57)
Includes Typical Broker Commissions trade costs of $5.00
11/12/18 9:31 BPMX BIOPHARMX CORPORATIO LONG 3,656 0.18 11/28 9:30 0.17 0.04%
Trade id #120880434
Max drawdown($87)
Time11/21/18 9:48
Quant open3,656
Worst price0.16
Drawdown as % of equity-0.04%
 ($56)
Includes Typical Broker Commissions trade costs of $5.00
11/12/18 9:31 USAS AMERICAS SILVER CORP LONG 350 1.88 11/28 9:30 1.32 0.08%
Trade id #120880459
Max drawdown($196)
Time11/27/18 14:24
Quant open350
Worst price1.32
Drawdown as % of equity-0.08%
 ($203)
Includes Typical Broker Commissions trade costs of $7.00
11/12/18 9:31 MN MANNING & NAPIER LONG 332 2.01 11/28 9:30 1.71 0.05%
Trade id #120880437
Max drawdown($119)
Time11/26/18 14:46
Quant open332
Worst price1.65
Drawdown as % of equity-0.05%
 ($107)
Includes Typical Broker Commissions trade costs of $6.64
11/13/18 9:30 CTXR CITIUS PHARMACEUTICALS INC. LONG 487 1.35 11/28 9:30 1.17 0.05%
Trade id #120903578
Max drawdown($117)
Time11/26/18 12:48
Quant open487
Worst price1.11
Drawdown as % of equity-0.05%
 ($98)
Includes Typical Broker Commissions trade costs of $9.74
11/12/18 9:31 LEJU LEJU HOLDINGS LTD LONG 401 1.68 11/28 9:30 1.69 0.03%
Trade id #120880453
Max drawdown($72)
Time11/15/18 9:44
Quant open401
Worst price1.50
Drawdown as % of equity-0.03%
 ($4)
Includes Typical Broker Commissions trade costs of $8.02
Next

Statistics

  • Strategy began
    8/16/2017
  • Suggested Minimum Cap
    $250,000
  • Strategy Age (days)
    2682.37
  • Age
    89 months ago
  • What it trades
    Stocks
  • # Trades
    329
  • # Profitable
    141
  • % Profitable
    42.90%
  • Avg trade duration
    10.0 days
  • Max peak-to-valley drawdown
    17.97%
  • drawdown period
    Jan 12, 2018 - Dec 11, 2018
  • Annual Return (Compounded)
    -3.9%
  • Avg win
    $691.99
  • Avg loss
    $603.82
  • Model Account Values (Raw)
  • Cash
    $239,203
  • Margin Used
    $0
  • Buying Power
    $239,203
  • Ratios
  • W:L ratio
    0.90:1
  • Sharpe Ratio
    -0.5
  • Sortino Ratio
    -0.65
  • Calmar Ratio
    -0.122
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -11.97%
  • Correlation to SP500
    0.14880
  • Return Percent SP500 (cumu) during strategy life
    140.30%
  • Return Statistics
  • Ann Return (w trading costs)
    -3.9%
  • Slump
  • Current Slump as Pcnt Equity
    22.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.94%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    40.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.039%
  • Instruments
  • Percent Trades Options
    0.02%
  • Percent Trades Stocks
    0.98%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    51.00%
  • 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
    0.78%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    586
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    311
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $604
  • Avg Win
    $692
  • Sum Trade PL (losers)
    $113,519.000
  • Age
  • Num Months filled monthly returns table
    89
  • Win / Loss
  • Sum Trade PL (winners)
    $97,571.000
  • # Winners
    141
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    5144
  • Win / Loss
  • # Losers
    188
  • % Winners
    42.9%
  • Frequency
  • Avg Position Time (mins)
    14425.10
  • Avg Position Time (hrs)
    240.42
  • Avg Trade Length
    10.0 days
  • Last Trade Ago
    2200
  • Regression
  • Alpha
    -0.01
  • Beta
    0.04
  • Treynor Index
    -0.20
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    43.16
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    30.83
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.35
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -5.656
  • 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
    0.480
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.260
  • Hold-and-Hope Ratio
    -0.177
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03991
  • SD
    0.11470
  • Sharpe ratio (Glass type estimate)
    -0.34795
  • Sharpe ratio (Hedges UMVUE)
    -0.32892
  • df
    14.00000
  • t
    -0.38902
  • p
    0.55171
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.09957
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41582
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.08619
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42836
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.42841
  • Upside Potential Ratio
    1.40466
  • Upside part of mean
    0.13086
  • Downside part of mean
    -0.17077
  • Upside SD
    0.06110
  • Downside SD
    0.09316
  • N nonnegative terms
    8.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.03370
  • Mean of criterion
    -0.03991
  • SD of predictor
    0.09919
  • SD of criterion
    0.11470
  • Covariance
    0.01003
  • r
    0.88138
  • b (slope, estimate of beta)
    1.01922
  • a (intercept, estimate of alpha)
    -0.07426
  • Mean Square Error
    0.00316
  • DF error
    13.00000
  • t(b)
    6.72704
  • p(b)
    0.02408
  • t(a)
    -1.46901
  • p(a)
    0.73438
  • Lowerbound of 95% confidence interval for beta
    0.69190
  • Upperbound of 95% confidence interval for beta
    1.34654
  • Lowerbound of 95% confidence interval for alpha
    -0.18348
  • Upperbound of 95% confidence interval for alpha
    0.03495
  • Treynor index (mean / b)
    -0.03916
  • Jensen alpha (a)
    -0.07426
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04613
  • SD
    0.11610
  • Sharpe ratio (Glass type estimate)
    -0.39732
  • Sharpe ratio (Hedges UMVUE)
    -0.37558
  • df
    14.00000
  • t
    -0.44422
  • p
    0.55895
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.14946
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.36874
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.13414
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.38297
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.48219
  • Upside Potential Ratio
    1.34572
  • Upside part of mean
    0.12873
  • Downside part of mean
    -0.17486
  • Upside SD
    0.06005
  • Downside SD
    0.09566
  • N nonnegative terms
    8.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.02896
  • Mean of criterion
    -0.04613
  • SD of predictor
    0.09994
  • SD of criterion
    0.11610
  • Covariance
    0.01025
  • r
    0.88348
  • b (slope, estimate of beta)
    1.02632
  • a (intercept, estimate of alpha)
    -0.07585
  • Mean Square Error
    0.00319
  • DF error
    13.00000
  • t(b)
    6.79958
  • p(b)
    0.02345
  • t(a)
    -1.49684
  • p(a)
    0.73797
  • Lowerbound of 95% confidence interval for beta
    0.70024
  • Upperbound of 95% confidence interval for beta
    1.35241
  • Lowerbound of 95% confidence interval for alpha
    -0.18532
  • Upperbound of 95% confidence interval for alpha
    0.03362
  • Treynor index (mean / b)
    -0.04494
  • Jensen alpha (a)
    -0.07585
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05727
  • Expected Shortfall on VaR
    0.07030
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03166
  • Expected Shortfall on VaR
    0.05982
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.93439
  • Quartile 1
    0.98382
  • Median
    1.00508
  • Quartile 3
    1.02957
  • Maximum
    1.03643
  • Mean of quarter 1
    0.95210
  • Mean of quarter 2
    0.99988
  • Mean of quarter 3
    1.01417
  • Mean of quarter 4
    1.03365
  • Inter Quartile Range
    0.04576
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -9.01269
  • VaR(95%) (moments method)
    0.04859
  • Expected Shortfall (moments method)
    0.04859
  • Extreme Value Index (regression method)
    -0.89818
  • VaR(95%) (regression method)
    0.05762
  • Expected Shortfall (regression method)
    0.06188
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.14578
  • Quartile 1
    0.14578
  • Median
    0.14578
  • Quartile 3
    0.14578
  • Maximum
    0.14578
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01801
  • Compounded annual return (geometric extrapolation)
    -0.01806
  • Calmar ratio (compounded annual return / max draw down)
    -0.12385
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.25682
  • 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
    -0.05690
  • SD
    0.10274
  • Sharpe ratio (Glass type estimate)
    -0.55388
  • Sharpe ratio (Hedges UMVUE)
    -0.55266
  • df
    341.00000
  • t
    -0.63282
  • p
    0.73636
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.26949
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.16247
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.26864
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.16332
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.72027
  • Upside Potential Ratio
    6.63902
  • Upside part of mean
    0.52449
  • Downside part of mean
    -0.58140
  • Upside SD
    0.06553
  • Downside SD
    0.07900
  • N nonnegative terms
    168.00000
  • N negative terms
    174.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    342.00000
  • Mean of predictor
    0.03270
  • Mean of criterion
    -0.05690
  • SD of predictor
    0.13928
  • SD of criterion
    0.10274
  • Covariance
    0.00644
  • r
    0.45029
  • b (slope, estimate of beta)
    0.33213
  • a (intercept, estimate of alpha)
    -0.06200
  • Mean Square Error
    0.00844
  • DF error
    340.00000
  • t(b)
    9.29892
  • p(b)
    0.00000
  • t(a)
    -0.84268
  • p(a)
    0.80000
  • Lowerbound of 95% confidence interval for beta
    0.26188
  • Upperbound of 95% confidence interval for beta
    0.40239
  • Lowerbound of 95% confidence interval for alpha
    -0.22594
  • Upperbound of 95% confidence interval for alpha
    0.09041
  • Treynor index (mean / b)
    -0.17133
  • Jensen alpha (a)
    -0.06776
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06218
  • SD
    0.10293
  • Sharpe ratio (Glass type estimate)
    -0.60408
  • Sharpe ratio (Hedges UMVUE)
    -0.60275
  • df
    341.00000
  • t
    -0.69017
  • p
    0.75472
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.31975
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.11241
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.31883
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.11332
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.78088
  • Upside Potential Ratio
    6.55957
  • Upside part of mean
    0.52231
  • Downside part of mean
    -0.58449
  • Upside SD
    0.06510
  • Downside SD
    0.07963
  • N nonnegative terms
    168.00000
  • N negative terms
    174.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    342.00000
  • Mean of predictor
    0.02296
  • Mean of criterion
    -0.06218
  • SD of predictor
    0.13993
  • SD of criterion
    0.10293
  • Covariance
    0.00648
  • r
    0.44991
  • b (slope, estimate of beta)
    0.33095
  • a (intercept, estimate of alpha)
    -0.06978
  • Mean Square Error
    0.00847
  • DF error
    340.00000
  • t(b)
    9.28926
  • p(b)
    0.00000
  • t(a)
    -0.86596
  • p(a)
    0.80644
  • Lowerbound of 95% confidence interval for beta
    0.26087
  • Upperbound of 95% confidence interval for beta
    0.40103
  • Lowerbound of 95% confidence interval for alpha
    -0.22828
  • Upperbound of 95% confidence interval for alpha
    0.08872
  • Treynor index (mean / b)
    -0.18788
  • Jensen alpha (a)
    -0.06978
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01064
  • Expected Shortfall on VaR
    0.01326
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00514
  • Expected Shortfall on VaR
    0.01037
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    342.00000
  • Minimum
    0.96861
  • Quartile 1
    0.99737
  • Median
    1.00006
  • Quartile 3
    1.00298
  • Maximum
    1.02717
  • Mean of quarter 1
    0.99205
  • Mean of quarter 2
    0.99933
  • Mean of quarter 3
    1.00146
  • Mean of quarter 4
    1.00673
  • Inter Quartile Range
    0.00561
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.04971
  • Mean of outliers low
    0.98341
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.03216
  • Mean of outliers high
    1.01609
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19618
  • VaR(95%) (moments method)
    0.00726
  • Expected Shortfall (moments method)
    0.01143
  • Extreme Value Index (regression method)
    0.11856
  • VaR(95%) (regression method)
    0.00741
  • Expected Shortfall (regression method)
    0.01109
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00198
  • Median
    0.00308
  • Quartile 3
    0.01770
  • Maximum
    0.17336
  • Mean of quarter 1
    0.00074
  • Mean of quarter 2
    0.00281
  • Mean of quarter 3
    0.01022
  • Mean of quarter 4
    0.05908
  • Inter Quartile Range
    0.01572
  • 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
    0.06667
  • Mean of outliers high
    0.17336
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.96065
  • VaR(95%) (moments method)
    0.06428
  • Expected Shortfall (moments method)
    1.51996
  • Extreme Value Index (regression method)
    5.17126
  • VaR(95%) (regression method)
    0.10379
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.03352
  • Compounded annual return (geometric extrapolation)
    -0.03369
  • Calmar ratio (compounded annual return / max draw down)
    -0.19434
  • Compounded annual return / average of 25% largest draw downs
    -0.57026
  • Compounded annual return / Expected Shortfall lognormal
    -2.54026
  • 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
    -0.28213
  • SD
    0.12440
  • Sharpe ratio (Glass type estimate)
    -2.26804
  • Sharpe ratio (Hedges UMVUE)
    -2.25493
  • df
    130.00000
  • t
    -1.60375
  • p
    0.56964
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.04928
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.52168
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.04026
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53039
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.70995
  • Upside Potential Ratio
    5.35993
  • Upside part of mean
    0.55803
  • Downside part of mean
    -0.84016
  • Upside SD
    0.06943
  • Downside SD
    0.10411
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12358
  • Mean of criterion
    -0.28213
  • SD of predictor
    0.14800
  • SD of criterion
    0.12440
  • Covariance
    0.01075
  • r
    0.58395
  • b (slope, estimate of beta)
    0.49082
  • a (intercept, estimate of alpha)
    -0.22148
  • Mean Square Error
    0.01028
  • DF error
    129.00000
  • t(b)
    8.17003
  • p(b)
    0.15061
  • t(a)
    -1.54279
  • p(a)
    0.58543
  • Lowerbound of 95% confidence interval for beta
    0.37196
  • Upperbound of 95% confidence interval for beta
    0.60968
  • Lowerbound of 95% confidence interval for alpha
    -0.50551
  • Upperbound of 95% confidence interval for alpha
    0.06255
  • Treynor index (mean / b)
    -0.57482
  • Jensen alpha (a)
    -0.22148
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.28998
  • SD
    0.12486
  • Sharpe ratio (Glass type estimate)
    -2.32235
  • Sharpe ratio (Hedges UMVUE)
    -2.30892
  • df
    130.00000
  • t
    -1.64215
  • p
    0.57128
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.10413
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.46816
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.09490
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47706
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.76034
  • Upside Potential Ratio
    5.28862
  • Upside part of mean
    0.55558
  • Downside part of mean
    -0.84556
  • Upside SD
    0.06897
  • Downside SD
    0.10505
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.13453
  • Mean of criterion
    -0.28998
  • SD of predictor
    0.14864
  • SD of criterion
    0.12486
  • Covariance
    0.01085
  • r
    0.58475
  • b (slope, estimate of beta)
    0.49120
  • a (intercept, estimate of alpha)
    -0.22390
  • Mean Square Error
    0.01034
  • DF error
    129.00000
  • t(b)
    8.18700
  • p(b)
    0.15020
  • t(a)
    -1.55452
  • p(a)
    0.58606
  • VAR (95 Confidence Intrvl)
    0.00800
  • Lowerbound of 95% confidence interval for beta
    0.37249
  • Upperbound of 95% confidence interval for beta
    0.60991
  • Lowerbound of 95% confidence interval for alpha
    -0.50886
  • Upperbound of 95% confidence interval for alpha
    0.06107
  • Treynor index (mean / b)
    -0.59035
  • Jensen alpha (a)
    -0.22390
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01370
  • Expected Shortfall on VaR
    0.01687
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00744
  • Expected Shortfall on VaR
    0.01438
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96861
  • Quartile 1
    0.99562
  • Median
    1.00004
  • Quartile 3
    1.00328
  • Maximum
    1.02287
  • Mean of quarter 1
    0.98906
  • Mean of quarter 2
    0.99843
  • Mean of quarter 3
    1.00154
  • Mean of quarter 4
    1.00717
  • Inter Quartile Range
    0.00766
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.97718
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.01901
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.10912
  • VaR(95%) (moments method)
    0.01019
  • Expected Shortfall (moments method)
    0.01318
  • Extreme Value Index (regression method)
    0.03141
  • VaR(95%) (regression method)
    0.01198
  • Expected Shortfall (regression method)
    0.01693
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00212
  • Quartile 1
    0.00310
  • Median
    0.01775
  • Quartile 3
    0.03662
  • Maximum
    0.13912
  • Mean of quarter 1
    0.00249
  • Mean of quarter 2
    0.01054
  • Mean of quarter 3
    0.03335
  • Mean of quarter 4
    0.08951
  • Inter Quartile Range
    0.03352
  • 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
    0.13912
  • 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?
    -16
  • Max Equity Drawdown (num days)
    333
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.24563
  • Compounded annual return (geometric extrapolation)
    -0.23054
  • Calmar ratio (compounded annual return / max draw down)
    -1.65711
  • Compounded annual return / average of 25% largest draw downs
    -2.57574
  • Compounded annual return / Expected Shortfall lognormal
    -13.66520

Strategy Description

As of December 10th, 2018 I am using this strategy to simulate the trades that I make in my Robinhood brokerage account. At this time my brokerage account is only about 6% of the size of this strategy, so my actual holdings are much smaller and I do not have my account directly linked to Collective2. Therefore, they can not verify that I make the same trades like they can with my IRA accounts.

You will notice many similarities and differences in how I trade in my margin account at Robinhood and my IRA connected to C2. If you have any questions feel free to ask.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2017-08-16
Suggested Minimum Capital
$100,000
# Trades
329
# Profitable
141
% Profitable
42.9%
Net Dividends
$5,143
Correlation S&P500
0.149
Sharpe Ratio
-0.50
Sortino Ratio
-0.65
Beta
0.04
Alpha
-0.01

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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