Collective2 Collective2
Featured Strategy Quant AI pro +18.0% Cumul. Return since Dec 2, 2024 Hypothetical

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ANYTRADE
(124727146)

Created by: ETFCapital ETFCapital
Started: 08/2019
Stocks
Last trade: 636 days ago

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 $595.00 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.

-13.0%
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.

(88.9%)
Max Drawdown
800
Num Trades
46.1%
Win Trades
1.0 : 1
Profit Factor
33.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                 +12.2%+3.6%+14.1%+10.2%+3.1%+50.7%
2020(2.9%)+8.5%+0.8%(3.5%)+0.2%+1.4%(6.5%)+8.2%(8.6%)+15.7%(0.5%)+1.9%+13.0%
2021(1.2%)+6.6%(1.5%)+14.2%+30.9%+11.7%+12.7%(11.7%)(18.8%)+27.0%+23.3%(11.3%)+94.7%
2022(13.3%)(35.6%)(31.1%)(19.8%)(17.9%)(21%)(7.3%)+0.8%+14.3%(7.5%)(6%)+1.3%(81.2%)
2023(4.9%)(5.9%)(15.6%)  -    -    -    -    -    -    -    -    -  (24.5%)
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 2,083 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/9/23 14:41 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 115 38.46 3/27 14:57 32.63 29.04%
Trade id #143831893
Max drawdown($860)
Time3/22/23 0:00
Quant open115
Worst price30.98
Drawdown as % of equity-29.04%
 ($672)
Includes Typical Broker Commissions trade costs of $2.30
3/9/23 10:05 TQQQ PROSHARES ULTRAPRO QQQ LONG 220 23.66 3/9 14:40 22.38 8.13%
Trade id #143826942
Max drawdown($342)
Time3/9/23 14:33
Quant open220
Worst price22.10
Drawdown as % of equity-8.13%
 ($285)
Includes Typical Broker Commissions trade costs of $4.40
3/7/23 15:55 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 120 37.99 3/9 10:05 36.37 4.29%
Trade id #143807203
Max drawdown($199)
Time3/9/23 10:04
Quant open120
Worst price36.33
Drawdown as % of equity-4.29%
 ($197)
Includes Typical Broker Commissions trade costs of $2.40
3/3/23 15:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 210 23.43 3/7 15:55 22.68 3.99%
Trade id #143772313
Max drawdown($191)
Time3/7/23 14:57
Quant open210
Worst price22.52
Drawdown as % of equity-3.99%
 ($163)
Includes Typical Broker Commissions trade costs of $4.20
2/22/23 15:01 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 110 39.23 3/3 15:34 36.77 5.88%
Trade id #143666990
Max drawdown($287)
Time3/3/23 15:09
Quant open110
Worst price36.62
Drawdown as % of equity-5.88%
 ($273)
Includes Typical Broker Commissions trade costs of $2.20
2/10/23 13:47 TQQQ PROSHARES ULTRAPRO QQQ SHORT 94 23.14 2/22 14:59 22.17 2.2%
Trade id #143544195
Max drawdown($114)
Time2/15/23 0:00
Quant open47
Worst price26.10
Drawdown as % of equity-2.20%
 $89
Includes Typical Broker Commissions trade costs of $1.88
2/7/23 15:42 CERS CERUS LONG 390 3.19 2/21 12:15 2.81 2.83%
Trade id #143496665
Max drawdown($146)
Time2/16/23 0:00
Quant open390
Worst price2.81
Drawdown as % of equity-2.83%
 ($153)
Includes Typical Broker Commissions trade costs of $7.80
2/7/23 15:41 GSMG GLORY STAR NEW MEDIA GROUP HOLDINGS LTD LONG 1,350 0.89 2/21 12:15 0.82 3.28%
Trade id #143496652
Max drawdown($174)
Time2/21/23 11:42
Quant open1,350
Worst price0.76
Drawdown as % of equity-3.28%
 ($92)
Includes Typical Broker Commissions trade costs of $5.00
2/7/23 15:41 NOTE FISCALNOTE HOLDINGS INC LONG 336 3.60 2/21 12:15 3.07 3.79%
Trade id #143496643
Max drawdown($200)
Time2/17/23 0:00
Quant open336
Worst price3.00
Drawdown as % of equity-3.79%
 ($182)
Includes Typical Broker Commissions trade costs of $6.72
2/7/23 15:41 VERA VERA THERAPEUTICS INC. CLASS A LONG 170 7.09 2/21 12:15 8.23 0.08%
Trade id #143496630
Max drawdown($5)
Time2/8/23 0:00
Quant open170
Worst price7.06
Drawdown as % of equity-0.08%
 $192
Includes Typical Broker Commissions trade costs of $3.40
2/7/23 15:40 BCAB BIOATLA INC. COMMON STOCK LONG 295 4.10 2/21 12:15 3.38 4.58%
Trade id #143496609
Max drawdown($238)
Time2/15/23 0:00
Quant open295
Worst price3.29
Drawdown as % of equity-4.58%
 ($217)
Includes Typical Broker Commissions trade costs of $5.90
1/31/23 9:30 YANG DIREXION DAILY FTSE CHINA BEAR 3X LONG 200 8.05 2/7 12:54 8.70 2.32%
Trade id #143397450
Max drawdown($140)
Time2/1/23 0:00
Quant open200
Worst price7.35
Drawdown as % of equity-2.32%
 $125
Includes Typical Broker Commissions trade costs of $4.00
1/25/23 15:32 TQQQ PROSHARES ULTRAPRO QQQ LONG 430 21.43 1/27 15:57 23.40 1%
Trade id #143341308
Max drawdown($92)
Time1/25/23 15:53
Quant open430
Worst price21.22
Drawdown as % of equity-1.00%
 $835
Includes Typical Broker Commissions trade costs of $8.60
1/20/23 14:25 LYT LYTUS TECHNOLOGIES HOLDINGS PTV. LTD. SHORT 1,200 1.48 1/24 9:30 1.17 1.18%
Trade id #143286615
Max drawdown($108)
Time1/20/23 14:55
Quant open1,200
Worst price1.57
Drawdown as % of equity-1.18%
 $367
Includes Typical Broker Commissions trade costs of $5.00
1/20/23 14:26 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 110 45.57 1/24 9:30 42.54 3.8%
Trade id #143286622
Max drawdown($340)
Time1/24/23 9:30
Quant open110
Worst price42.47
Drawdown as % of equity-3.80%
 ($335)
Includes Typical Broker Commissions trade costs of $2.20
1/13/23 12:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 420 19.68 1/20 13:54 19.99 5.09%
Trade id #143214311
Max drawdown($459)
Time1/19/23 0:00
Quant open420
Worst price18.58
Drawdown as % of equity-5.09%
 $126
Includes Typical Broker Commissions trade costs of $8.40
1/10/23 13:19 BOIL PROSHARES ULTRA BLOOMBERG NATU LONG 500 11.56 1/13 12:57 10.86 6.79%
Trade id #143166333
Max drawdown($669)
Time1/11/23 0:00
Quant open500
Worst price10.22
Drawdown as % of equity-6.79%
 ($358)
Includes Typical Broker Commissions trade costs of $10.00
1/6/23 12:39 ZOM ZOMEDICA CORP SHORT 11,000 0.21 1/9 11:07 0.25 5.33%
Trade id #143127763
Max drawdown($554)
Time1/9/23 9:30
Quant open11,000
Worst price0.27
Drawdown as % of equity-5.33%
 ($394)
Includes Typical Broker Commissions trade costs of $5.00
1/6/23 14:41 YANG DIREXION DAILY FTSE CHINA BEAR 3X LONG 500 8.61 1/9 11:07 8.38 1.66%
Trade id #143129064
Max drawdown($172)
Time1/9/23 9:32
Quant open500
Worst price8.26
Drawdown as % of equity-1.66%
 ($121)
Includes Typical Broker Commissions trade costs of $10.00
1/6/23 13:20 PSQ PROSHARES SHORT QQQ LONG 500 14.71 1/9 11:07 14.39 1.33%
Trade id #143128140
Max drawdown($138)
Time1/9/23 11:07
Quant open300
Worst price14.25
Drawdown as % of equity-1.33%
 ($175)
Includes Typical Broker Commissions trade costs of $10.00
1/5/23 14:48 VYNT VYANT BIO INC. COMMON STOCK SHORT 4,000 1.13 1/6 12:50 1.03 4.69%
Trade id #143113503
Max drawdown($488)
Time1/5/23 15:54
Quant open4,000
Worst price1.25
Drawdown as % of equity-4.69%
 $404
Includes Typical Broker Commissions trade costs of $5.00
12/29/22 14:20 TQQQ PROSHARES ULTRAPRO QQQ LONG 600 17.23 1/5/23 10:49 16.52 5.13%
Trade id #143036982
Max drawdown($549)
Time1/5/23 9:47
Quant open600
Worst price16.32
Drawdown as % of equity-5.13%
 ($441)
Includes Typical Broker Commissions trade costs of $8.50
12/30/22 13:16 DRMA DERMATA THERAPEUTICS INC. COMMON STOCK SHORT 4,000 0.38 12/30 15:46 0.41 1.66%
Trade id #143048276
Max drawdown($180)
Time12/30/22 15:41
Quant open4,000
Worst price0.42
Drawdown as % of equity-1.66%
 ($128)
Includes Typical Broker Commissions trade costs of $5.00
12/28/22 12:23 LUCY INNOVATIVE EYEWEAR INC. SHORT 900 1.22 12/30 15:46 1.44 2.16%
Trade id #143021412
Max drawdown($234)
Time12/30/22 15:16
Quant open900
Worst price1.48
Drawdown as % of equity-2.16%
 ($203)
Includes Typical Broker Commissions trade costs of $5.00
12/27/22 15:57 ELYS ELYS BMG GROUP INC. SHORT 6,100 0.36 12/30 15:46 0.27 0.94%
Trade id #143011533
Max drawdown($94)
Time12/27/22 16:00
Quant open6,100
Worst price0.38
Drawdown as % of equity-0.94%
 $553
Includes Typical Broker Commissions trade costs of $5.00
12/23/22 15:53 APE AMC ENTERTAINMENT HOLDINGS INC PFD EQUITY UTS SHORT 1,200 1.72 12/30 13:15 1.38 4.28%
Trade id #142987557
Max drawdown($414)
Time12/27/22 0:00
Quant open1,200
Worst price2.06
Drawdown as % of equity-4.28%
 $399
Includes Typical Broker Commissions trade costs of $5.00
12/22/22 15:59 TMV DIREXION DAILY 20+ YR TRSY BEA LONG 60 120.66 12/29 11:24 133.22 n/a $753
Includes Typical Broker Commissions trade costs of $1.20
12/23/22 11:21 XPON EXPION360 INC. COMMON STOCK SHORT 700 2.24 12/23 12:57 2.25 2.92%
Trade id #142984362
Max drawdown($279)
Time12/23/22 11:34
Quant open700
Worst price2.64
Drawdown as % of equity-2.92%
 ($11)
Includes Typical Broker Commissions trade costs of $5.00
12/21/22 12:04 TMV DIREXION DAILY 20+ YR TRSY BEA LONG 60 122.24 12/22 14:55 119.93 1.87%
Trade id #142956243
Max drawdown($175)
Time12/22/22 10:35
Quant open60
Worst price119.32
Drawdown as % of equity-1.87%
 ($140)
Includes Typical Broker Commissions trade costs of $1.20
12/15/22 13:25 PSQ PROSHARES SHORT QQQ LONG 550 14.20 12/21 12:03 14.39 0.13%
Trade id #142892931
Max drawdown($12)
Time12/15/22 15:29
Quant open550
Worst price14.18
Drawdown as % of equity-0.13%
 $98
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    8/1/2019
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1968.23
  • Age
    66 months ago
  • What it trades
    Stocks
  • # Trades
    800
  • # Profitable
    369
  • % Profitable
    46.10%
  • Avg trade duration
    3.8 days
  • Max peak-to-valley drawdown
    88.87%
  • drawdown period
    Nov 29, 2021 - Oct 18, 2022
  • Annual Return (Compounded)
    -13.0%
  • Avg win
    $694.37
  • Avg loss
    $571.27
  • Model Account Values (Raw)
  • Cash
    $35,210
  • Margin Used
    $0
  • Buying Power
    $35,210
  • Ratios
  • W:L ratio
    1.04:1
  • Sharpe Ratio
    -0.27
  • Sortino Ratio
    -0.37
  • Calmar Ratio
    0.126
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -153.75%
  • Correlation to SP500
    0.11760
  • Return Percent SP500 (cumu) during strategy life
    100.80%
  • Return Statistics
  • Ann Return (w trading costs)
    -13.0%
  • Slump
  • Current Slump as Pcnt Equity
    734.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.57%
  • 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)
    -0.130%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    78.50%
  • Chance of 20% account loss
    60.00%
  • Chance of 30% account loss
    33.50%
  • Chance of 40% account loss
    14.00%
  • Chance of 60% account loss (Monte Carlo)
    2.00%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    4.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $571
  • Avg Win
    $694
  • Sum Trade PL (losers)
    $246,216.000
  • Age
  • Num Months filled monthly returns table
    65
  • Win / Loss
  • Sum Trade PL (winners)
    $256,222.000
  • # Winners
    369
  • Num Months Winners
    22
  • Dividends
  • Dividends Received in Model Acct
    190
  • Win / Loss
  • # Losers
    431
  • % Winners
    46.1%
  • Frequency
  • Avg Position Time (mins)
    5414.23
  • Avg Position Time (hrs)
    90.24
  • Avg Trade Length
    3.8 days
  • Last Trade Ago
    634
  • Leverage
  • Daily leverage (average)
    2.00
  • Daily leverage (max)
    4.55
  • Regression
  • Alpha
    -0.04
  • Beta
    0.18
  • Treynor Index
    -0.16
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.65
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -21.449
  • 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
    0.280
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.082
  • Hold-and-Hope Ratio
    -0.047
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13889
  • SD
    0.40131
  • Sharpe ratio (Glass type estimate)
    0.34609
  • Sharpe ratio (Hedges UMVUE)
    0.34054
  • df
    47.00000
  • t
    0.69219
  • p
    0.24611
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63818
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.32673
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64186
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.32293
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.54402
  • Upside Potential Ratio
    2.11667
  • Upside part of mean
    0.54040
  • Downside part of mean
    -0.40151
  • Upside SD
    0.30679
  • Downside SD
    0.25531
  • N nonnegative terms
    23.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    48.00000
  • Mean of predictor
    0.15979
  • Mean of criterion
    0.13889
  • SD of predictor
    0.21122
  • SD of criterion
    0.40131
  • Covariance
    0.02551
  • r
    0.30098
  • b (slope, estimate of beta)
    0.57186
  • a (intercept, estimate of alpha)
    0.04752
  • Mean Square Error
    0.14965
  • DF error
    46.00000
  • t(b)
    2.14064
  • p(b)
    0.01882
  • t(a)
    0.23989
  • p(a)
    0.40574
  • Lowerbound of 95% confidence interval for beta
    0.03413
  • Upperbound of 95% confidence interval for beta
    1.10959
  • Lowerbound of 95% confidence interval for alpha
    -0.35119
  • Upperbound of 95% confidence interval for alpha
    0.44622
  • Treynor index (mean / b)
    0.24288
  • Jensen alpha (a)
    0.04752
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05733
  • SD
    0.41268
  • Sharpe ratio (Glass type estimate)
    0.13893
  • Sharpe ratio (Hedges UMVUE)
    0.13670
  • df
    47.00000
  • t
    0.27786
  • p
    0.39117
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84216
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.11861
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84367
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.11707
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.19015
  • Upside Potential Ratio
    1.65293
  • Upside part of mean
    0.49839
  • Downside part of mean
    -0.44105
  • Upside SD
    0.27590
  • Downside SD
    0.30152
  • N nonnegative terms
    23.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    48.00000
  • Mean of predictor
    0.13727
  • Mean of criterion
    0.05733
  • SD of predictor
    0.20755
  • SD of criterion
    0.41268
  • Covariance
    0.02790
  • r
    0.32574
  • b (slope, estimate of beta)
    0.64769
  • a (intercept, estimate of alpha)
    -0.03157
  • Mean Square Error
    0.15554
  • DF error
    46.00000
  • t(b)
    2.33674
  • p(b)
    0.01193
  • t(a)
    -0.15722
  • p(a)
    0.56212
  • Lowerbound of 95% confidence interval for beta
    0.08976
  • Upperbound of 95% confidence interval for beta
    1.20561
  • Lowerbound of 95% confidence interval for alpha
    -0.43583
  • Upperbound of 95% confidence interval for alpha
    0.37268
  • Treynor index (mean / b)
    0.08852
  • Jensen alpha (a)
    -0.03157
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17401
  • Expected Shortfall on VaR
    0.21337
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07861
  • Expected Shortfall on VaR
    0.15828
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    48.00000
  • Minimum
    0.61257
  • Quartile 1
    0.96156
  • Median
    1.00000
  • Quartile 3
    1.07255
  • Maximum
    1.35242
  • Mean of quarter 1
    0.88580
  • Mean of quarter 2
    0.98521
  • Mean of quarter 3
    1.02858
  • Mean of quarter 4
    1.15602
  • Inter Quartile Range
    0.11099
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02083
  • Mean of outliers low
    0.61257
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.04167
  • Mean of outliers high
    1.30822
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.23459
  • VaR(95%) (moments method)
    0.10091
  • Expected Shortfall (moments method)
    0.12731
  • Extreme Value Index (regression method)
    0.01897
  • VaR(95%) (regression method)
    0.10148
  • Expected Shortfall (regression method)
    0.14070
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00896
  • Quartile 1
    0.03204
  • Median
    0.05598
  • Quartile 3
    0.12091
  • Maximum
    0.66125
  • Mean of quarter 1
    0.01975
  • Mean of quarter 2
    0.03375
  • Mean of quarter 3
    0.07839
  • Mean of quarter 4
    0.45280
  • Inter Quartile Range
    0.08886
  • 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
    0.12500
  • Mean of outliers high
    0.66125
  • 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)
    0.10158
  • Compounded annual return (geometric extrapolation)
    0.08898
  • Calmar ratio (compounded annual return / max draw down)
    0.13456
  • Compounded annual return / average of 25% largest draw downs
    0.19651
  • Compounded annual return / Expected Shortfall lognormal
    0.41702
  • 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
    0.09752
  • SD
    0.28536
  • Sharpe ratio (Glass type estimate)
    0.34175
  • Sharpe ratio (Hedges UMVUE)
    0.34150
  • df
    1053.00000
  • t
    0.68545
  • p
    0.48656
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63561
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.31899
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63579
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.31880
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.48975
  • Upside Potential Ratio
    7.60299
  • Upside part of mean
    1.51395
  • Downside part of mean
    -1.41643
  • Upside SD
    0.20430
  • Downside SD
    0.19913
  • N nonnegative terms
    479.00000
  • N negative terms
    575.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1054.00000
  • Mean of predictor
    0.17445
  • Mean of criterion
    0.09752
  • SD of predictor
    0.24038
  • SD of criterion
    0.28536
  • Covariance
    0.00852
  • r
    0.12419
  • b (slope, estimate of beta)
    0.14743
  • a (intercept, estimate of alpha)
    0.07200
  • Mean Square Error
    0.08025
  • DF error
    1052.00000
  • t(b)
    4.05933
  • p(b)
    0.43791
  • t(a)
    0.50786
  • p(a)
    0.49217
  • Lowerbound of 95% confidence interval for beta
    0.07616
  • Upperbound of 95% confidence interval for beta
    0.21869
  • Lowerbound of 95% confidence interval for alpha
    -0.20562
  • Upperbound of 95% confidence interval for alpha
    0.34923
  • Treynor index (mean / b)
    0.66149
  • Jensen alpha (a)
    0.07180
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05685
  • SD
    0.28531
  • Sharpe ratio (Glass type estimate)
    0.19925
  • Sharpe ratio (Hedges UMVUE)
    0.19911
  • df
    1053.00000
  • t
    0.39964
  • p
    0.49216
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77800
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.17645
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77812
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.17634
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.27934
  • Upside Potential Ratio
    7.33892
  • Upside part of mean
    1.49353
  • Downside part of mean
    -1.43668
  • Upside SD
    0.19980
  • Downside SD
    0.20351
  • N nonnegative terms
    479.00000
  • N negative terms
    575.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1054.00000
  • Mean of predictor
    0.14539
  • Mean of criterion
    0.05685
  • SD of predictor
    0.24131
  • SD of criterion
    0.28531
  • Covariance
    0.00865
  • r
    0.12566
  • b (slope, estimate of beta)
    0.14858
  • a (intercept, estimate of alpha)
    0.03525
  • Mean Square Error
    0.08019
  • DF error
    1052.00000
  • t(b)
    4.10836
  • p(b)
    0.43717
  • t(a)
    0.24947
  • p(a)
    0.49615
  • Lowerbound of 95% confidence interval for beta
    0.07761
  • Upperbound of 95% confidence interval for beta
    0.21954
  • Lowerbound of 95% confidence interval for alpha
    -0.24199
  • Upperbound of 95% confidence interval for alpha
    0.31248
  • Treynor index (mean / b)
    0.38262
  • Jensen alpha (a)
    0.03525
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02837
  • Expected Shortfall on VaR
    0.03548
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01305
  • Expected Shortfall on VaR
    0.02647
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1054.00000
  • Minimum
    0.92141
  • Quartile 1
    0.99389
  • Median
    1.00000
  • Quartile 3
    1.00767
  • Maximum
    1.12785
  • Mean of quarter 1
    0.98046
  • Mean of quarter 2
    0.99818
  • Mean of quarter 3
    1.00268
  • Mean of quarter 4
    1.02060
  • Inter Quartile Range
    0.01378
  • Number outliers low
    57.00000
  • Percentage of outliers low
    0.05408
  • Mean of outliers low
    0.95739
  • Number of outliers high
    45.00000
  • Percentage of outliers high
    0.04269
  • Mean of outliers high
    1.04547
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29848
  • VaR(95%) (moments method)
    0.01812
  • Expected Shortfall (moments method)
    0.03152
  • Extreme Value Index (regression method)
    -0.03943
  • VaR(95%) (regression method)
    0.01936
  • Expected Shortfall (regression method)
    0.02702
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    41.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00733
  • Median
    0.03436
  • Quartile 3
    0.07044
  • Maximum
    0.70247
  • Mean of quarter 1
    0.00300
  • Mean of quarter 2
    0.02067
  • Mean of quarter 3
    0.05148
  • Mean of quarter 4
    0.18288
  • Inter Quartile Range
    0.06311
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.07317
  • Mean of outliers high
    0.38922
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.68744
  • VaR(95%) (moments method)
    0.20274
  • Expected Shortfall (moments method)
    0.64121
  • Extreme Value Index (regression method)
    1.74108
  • VaR(95%) (regression method)
    0.16324
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10100
  • Compounded annual return (geometric extrapolation)
    0.08845
  • Calmar ratio (compounded annual return / max draw down)
    0.12591
  • Compounded annual return / average of 25% largest draw downs
    0.48367
  • Compounded annual return / Expected Shortfall lognormal
    2.49330
  • 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
    -0.10981
  • SD
    0.02433
  • Sharpe ratio (Glass type estimate)
    -4.51258
  • Sharpe ratio (Hedges UMVUE)
    -4.48650
  • df
    130.00000
  • t
    -3.19088
  • p
    0.63475
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -7.32978
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -1.67878
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -7.31144
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.66156
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.51870
  • Upside Potential Ratio
    0.87268
  • Upside part of mean
    0.02121
  • Downside part of mean
    -0.13101
  • Upside SD
    0.00657
  • Downside SD
    0.02430
  • N nonnegative terms
    7.00000
  • N negative terms
    124.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.78211
  • Mean of criterion
    -0.10981
  • SD of predictor
    0.23472
  • SD of criterion
    0.02433
  • Covariance
    -0.00000
  • r
    -0.00057
  • b (slope, estimate of beta)
    -0.00006
  • a (intercept, estimate of alpha)
    -0.10976
  • Mean Square Error
    0.00060
  • DF error
    129.00000
  • t(b)
    -0.00644
  • p(b)
    0.50036
  • t(a)
    -3.11151
  • p(a)
    0.66623
  • Lowerbound of 95% confidence interval for beta
    -0.01812
  • Upperbound of 95% confidence interval for beta
    0.01800
  • Lowerbound of 95% confidence interval for alpha
    -0.17955
  • Upperbound of 95% confidence interval for alpha
    -0.03997
  • Treynor index (mean / b)
    1869.11000
  • Jensen alpha (a)
    -0.10976
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11011
  • SD
    0.02440
  • Sharpe ratio (Glass type estimate)
    -4.51197
  • Sharpe ratio (Hedges UMVUE)
    -4.48589
  • df
    130.00000
  • t
    -3.19045
  • p
    0.63474
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -7.32915
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -1.67819
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -7.31082
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.66096
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.51676
  • Upside Potential Ratio
    0.86890
  • Upside part of mean
    0.02118
  • Downside part of mean
    -0.13129
  • Upside SD
    0.00656
  • Downside SD
    0.02438
  • N nonnegative terms
    7.00000
  • N negative terms
    124.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.75369
  • Mean of criterion
    -0.11011
  • SD of predictor
    0.23407
  • SD of criterion
    0.02440
  • Covariance
    -0.00000
  • r
    -0.00025
  • b (slope, estimate of beta)
    -0.00003
  • a (intercept, estimate of alpha)
    -0.11009
  • Mean Square Error
    0.00060
  • DF error
    129.00000
  • t(b)
    -0.00289
  • p(b)
    0.50016
  • t(a)
    -3.11605
  • p(a)
    0.66645
  • VAR (95 Confidence Intrvl)
    0.02800
  • Lowerbound of 95% confidence interval for beta
    -0.01819
  • Upperbound of 95% confidence interval for beta
    0.01814
  • Lowerbound of 95% confidence interval for alpha
    -0.18000
  • Upperbound of 95% confidence interval for alpha
    -0.04019
  • Treynor index (mean / b)
    4150.43000
  • Jensen alpha (a)
    -0.11009
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00290
  • Expected Shortfall on VaR
    0.00352
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00168
  • Expected Shortfall on VaR
    0.00350
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99126
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00306
  • Mean of quarter 1
    0.99842
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00034
  • Inter Quartile Range
    0.00000
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.12214
  • Mean of outliers low
    0.99673
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.00162
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.15292
  • VaR(95%) (moments method)
    0.00201
  • Expected Shortfall (moments method)
    0.00273
  • Extreme Value Index (regression method)
    -0.40184
  • VaR(95%) (regression method)
    0.00284
  • Expected Shortfall (regression method)
    0.00488
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00227
  • Quartile 1
    0.01296
  • Median
    0.02366
  • Quartile 3
    0.03436
  • Maximum
    0.04505
  • Mean of quarter 1
    0.00227
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04505
  • Inter Quartile Range
    0.02139
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -357876000
  • Max Equity Drawdown (num days)
    323
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.08054
  • Compounded annual return (geometric extrapolation)
    -0.07892
  • Calmar ratio (compounded annual return / max draw down)
    -1.75173
  • Compounded annual return / average of 25% largest draw downs
    -1.75173
  • Compounded annual return / Expected Shortfall lognormal
    -22.39500

Strategy Description

Trades both long and short.
Do not trade more than $1
Trading is risky, you may lose some or all of your money doing so.


Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2019-08-01
Suggested Minimum Capital
$15,000
# Trades
800
# Profitable
369
% Profitable
46.1%
Net Dividends
$190
Correlation S&P500
0.118
Sharpe Ratio
-0.27
Sortino Ratio
-0.37
Beta
0.18
Alpha
-0.04
Leverage
2.00 Average
4.55 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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