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These are hypothetical performance results that have certain inherent limitations. Learn more

ALPHA AI Master by FDG
(124994120)

Created by: FDominguez FDominguez
Started: 08/2019
Stocks
Last trade: 8 days ago
Trading style: Equity Hedged Equity Event-driven

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 $49.00 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.
Event-driven
Category: Equity

Event-driven

Seeks to exploit pricing inefficiencies that may occur before or after a corporate event, such as an earnings call, bankruptcy, merger, acquisition, or spinoff.
8.9%
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.

(42.7%)
Max Drawdown
657
Num Trades
57.4%
Win Trades
1.2 : 1
Profit Factor
60.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                 +1.5%(3.3%)+3.7%+7.5%(1.4%)+7.9%
2020(0.3%)(0.3%)(0.3%)+6.8%+2.2%(1.9%)+4.3%+2.5%+9.2%+3.7%+0.9%+0.1%+29.8%
2021+13.9%+1.8%(2.5%)+7.5%+1.7%(1.9%)+8.7%+2.5%(3.4%)+14.9%+1.2%+1.7%+54.2%
2022(23.6%)+37.2%+2.2%(17.5%)(7%)(10.2%)+4.5%(6.7%)(6.3%)+4.8%+0.3%+0.9%(28.5%)
2023(10.6%)+0.5%+8.1%+1.9%+0.1%+1.0%+10.2%(6.8%)(7.9%)+0.3%(0.2%)(0.2%)(5.5%)
2024(0.2%)+2.0%  -                                                        +1.8%

Model Account Details

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

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

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

Trading Record

This strategy has placed 1,285 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 161 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/12/24 15:59 META META PLATFORMS INC. CLASS A LONG 3 499.78 3/19 15:59 496.23 0.15%
Trade id #147613433
Max drawdown($55)
Time3/19/24 9:45
Quant open3
Worst price481.28
Drawdown as % of equity-0.15%
($11)
Includes Typical Broker Commissions trade costs of $0.06
2/1/24 15:59 TEAM ATLASSIAN CORPORATION PLC CLASS A LONG 55 217.40 3/15 15:59 206.02 1.54%
Trade id #147197930
Max drawdown($574)
Time2/13/24 0:00
Quant open30
Worst price203.27
Drawdown as % of equity-1.54%
($627)
Includes Typical Broker Commissions trade costs of $1.10
2/22/24 15:59 SH PROSHARES SHORT S&P500 LONG 242 12.29 3/12 15:59 12.14 0.1%
Trade id #147415950
Max drawdown($36)
Time3/7/24 0:00
Quant open242
Worst price12.14
Drawdown as % of equity-0.10%
($41)
Includes Typical Broker Commissions trade costs of $4.84
3/6/24 15:59 EXPE EXPEDIA LONG 3 132.57 3/12 15:59 136.77 0.01%
Trade id #147559065
Max drawdown($3)
Time3/7/24 0:00
Quant open3
Worst price131.41
Drawdown as % of equity-0.01%
$13
Includes Typical Broker Commissions trade costs of $0.06
2/26/24 15:59 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 227 13.76 3/6 15:59 14.17 0.25%
Trade id #147455210
Max drawdown($93)
Time3/1/24 0:00
Quant open224
Worst price13.35
Drawdown as % of equity-0.25%
$88
Includes Typical Broker Commissions trade costs of $4.54
2/9/24 15:59 IEF ISHARES BARCLAYS 7-10 YEAR TRE LONG 7 94.50 3/6 15:59 94.97 0.02%
Trade id #147278524
Max drawdown($7)
Time2/22/24 0:00
Quant open7
Worst price93.44
Drawdown as % of equity-0.02%
$3
Includes Typical Broker Commissions trade costs of $0.14
2/1/24 15:59 AAPL APPLE LONG 38 183.38 3/6 15:59 171.41 1.26%
Trade id #147197889
Max drawdown($455)
Time3/6/24 14:15
Quant open31
Worst price168.68
Drawdown as % of equity-1.26%
($456)
Includes Typical Broker Commissions trade costs of $0.76
2/21/24 15:59 TDOC TELADOC HEALTH INC LONG 80 15.64 2/26 15:59 14.79 0.28%
Trade id #147403029
Max drawdown($102)
Time2/26/24 9:30
Quant open80
Worst price14.36
Drawdown as % of equity-0.28%
($70)
Includes Typical Broker Commissions trade costs of $1.60
2/12/24 15:59 EXPE EXPEDIA LONG 3 133.47 2/23 15:59 136.36 0.02%
Trade id #147294360
Max drawdown($8)
Time2/13/24 0:00
Quant open3
Worst price130.70
Drawdown as % of equity-0.02%
$9
Includes Typical Broker Commissions trade costs of $0.06
2/21/24 15:59 IWY ISHARES RUSSELL TOP 200 GROWTH LONG 8 186.45 2/22 15:59 192.43 n/a $48
Includes Typical Broker Commissions trade costs of $0.16
2/21/24 15:59 SPY SPDR S&P 500 LONG 5 497.20 2/22 15:59 507.64 n/a $52
Includes Typical Broker Commissions trade costs of $0.10
2/21/24 15:59 NVDA NVIDIA LONG 2 674.87 2/22 15:59 784.72 n/a $220
Includes Typical Broker Commissions trade costs of $0.04
2/1/24 15:59 SH PROSHARES SHORT S&P500 LONG 111 12.72 2/21 15:59 12.55 0.1%
Trade id #147197935
Max drawdown($38)
Time2/12/24 0:00
Quant open111
Worst price12.37
Drawdown as % of equity-0.10%
($21)
Includes Typical Broker Commissions trade costs of $2.22
2/1/24 15:59 CELH CELSIUS HOLDINGS INC. COMMON STOCK LONG 73 51.08 2/20 15:59 63.55 0.16%
Trade id #147197903
Max drawdown($57)
Time2/5/24 0:00
Quant open73
Worst price50.29
Drawdown as % of equity-0.16%
$909
Includes Typical Broker Commissions trade costs of $1.46
2/6/24 15:59 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 509 14.04 2/13 15:59 15.08 0.4%
Trade id #147242264
Max drawdown($147)
Time2/9/24 0:00
Quant open509
Worst price13.75
Drawdown as % of equity-0.40%
$521
Includes Typical Broker Commissions trade costs of $7.60
2/9/24 15:59 LQD ISHARES IBOXX $ INVEST GRADE C LONG 25 108.16 2/12 15:59 108.16 0.02%
Trade id #147278529
Max drawdown($7)
Time2/12/24 10:24
Quant open25
Worst price107.86
Drawdown as % of equity-0.02%
($1)
Includes Typical Broker Commissions trade costs of $0.50
2/1/24 15:59 POOL POOL LONG 3 376.94 2/7 15:59 380.86 0.13%
Trade id #147197919
Max drawdown($47)
Time2/2/24 0:00
Quant open3
Worst price361.16
Drawdown as % of equity-0.13%
$12
Includes Typical Broker Commissions trade costs of $0.06
2/2/24 15:59 JKS JINKOSOLAR HOLDING LONG 29 26.15 2/6 15:59 24.89 0.24%
Trade id #147208958
Max drawdown($87)
Time2/5/24 0:00
Quant open29
Worst price23.12
Drawdown as % of equity-0.24%
($38)
Includes Typical Broker Commissions trade costs of $0.58
2/1/24 10:27 RELX RELX PLC LONG 150 41.73 2/1 15:59 42.24 0.02%
Trade id #147193179
Max drawdown($7)
Time2/1/24 11:00
Quant open150
Worst price41.68
Drawdown as % of equity-0.02%
$74
Includes Typical Broker Commissions trade costs of $3.00
9/8/23 15:57 MDY SPDR S&P MIDCAP 400 LONG 4 470.86 10/18 15:57 449.40 0.26%
Trade id #145775175
Max drawdown($92)
Time10/4/23 0:00
Quant open3
Worst price440.00
Drawdown as % of equity-0.26%
($86)
Includes Typical Broker Commissions trade costs of $0.08
9/18/23 15:57 SPY SPDR S&P 500 LONG 20 439.65 10/12 15:57 429.85 0.79%
Trade id #145860589
Max drawdown($292)
Time9/26/23 0:00
Quant open20
Worst price425.02
Drawdown as % of equity-0.79%
($196)
Includes Typical Broker Commissions trade costs of $0.40
9/22/23 15:57 IEF ISHARES BARCLAYS 7-10 YEAR TRE LONG 8 92.44 10/11 15:57 91.59 0.04%
Trade id #145911126
Max drawdown($13)
Time10/6/23 0:00
Quant open5
Worst price89.69
Drawdown as % of equity-0.04%
($7)
Includes Typical Broker Commissions trade costs of $0.16
9/5/23 15:57 TDG TRANSDIGM GROUP LONG 9 889.06 10/9 15:57 856.08 1.25%
Trade id #145741758
Max drawdown($458)
Time9/25/23 0:00
Quant open9
Worst price838.10
Drawdown as % of equity-1.25%
($297)
Includes Typical Broker Commissions trade costs of $0.18
9/15/23 15:57 V VISA LONG 12 240.47 10/9 15:57 231.84 0.35%
Trade id #145842203
Max drawdown($130)
Time9/26/23 0:00
Quant open12
Worst price229.60
Drawdown as % of equity-0.35%
($104)
Includes Typical Broker Commissions trade costs of $0.24
9/18/23 15:57 DG DOLLAR GENERAL LONG 23 113.64 10/4 15:58 106.60 0.51%
Trade id #145860582
Max drawdown($189)
Time9/26/23 0:00
Quant open23
Worst price105.39
Drawdown as % of equity-0.51%
($162)
Includes Typical Broker Commissions trade costs of $0.46
9/20/23 15:57 TYD DIREXION DAILY 7-10 YR TRSY BU LONG 194 25.43 9/22 15:57 25.09 0.34%
Trade id #145883835
Max drawdown($125)
Time9/21/23 0:00
Quant open189
Worst price24.79
Drawdown as % of equity-0.34%
($70)
Includes Typical Broker Commissions trade costs of $3.88
9/5/23 15:57 UNH UNITEDHEALTH GROUP LONG 7 481.01 9/15 15:57 486.76 0.17%
Trade id #145741762
Max drawdown($62)
Time9/12/23 0:00
Quant open7
Worst price472.12
Drawdown as % of equity-0.17%
$40
Includes Typical Broker Commissions trade costs of $0.14
9/6/23 15:57 SPXL DIREXION DAILY S&P500 BULL 3X LONG 54 89.20 9/7 15:57 88.30 0.3%
Trade id #145753509
Max drawdown($112)
Time9/7/23 10:33
Quant open54
Worst price87.12
Drawdown as % of equity-0.30%
($50)
Includes Typical Broker Commissions trade costs of $1.08
8/29/23 15:57 EDZ DIREXION DAILY EMRG MKTS BEAR 3X LONG 218 11.92 9/5 15:57 12.35 0.01%
Trade id #145682151
Max drawdown($4)
Time9/1/23 0:00
Quant open218
Worst price11.90
Drawdown as % of equity-0.01%
$90
Includes Typical Broker Commissions trade costs of $4.36
7/28/23 15:57 UTSL DIREXION DAILY UTILITIES BULL 3X LONG 2,182 23.84 9/5 13:04 21.53 12.26%
Trade id #145361746
Max drawdown($4,659)
Time9/5/23 11:26
Quant open1,242
Worst price20.09
Drawdown as % of equity-12.26%
($5,077)
Includes Typical Broker Commissions trade costs of $26.20

Statistics

  • Strategy began
    8/19/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1682.89
  • Age
    56 months ago
  • What it trades
    Stocks
  • # Trades
    657
  • # Profitable
    377
  • % Profitable
    57.40%
  • Avg trade duration
    12.7 days
  • Max peak-to-valley drawdown
    42.72%
  • drawdown period
    March 25, 2022 - Feb 02, 2023
  • Annual Return (Compounded)
    8.9%
  • Avg win
    $267.28
  • Avg loss
    $296.62
  • Model Account Values (Raw)
  • Cash
    $17,613
  • Margin Used
    $0
  • Buying Power
    $17,791
  • Ratios
  • W:L ratio
    1.22:1
  • Sharpe Ratio
    0.35
  • Sortino Ratio
    0.58
  • Calmar Ratio
    0.349
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -31.26%
  • Correlation to SP500
    0.13740
  • Return Percent SP500 (cumu) during strategy life
    79.61%
  • Return Statistics
  • Ann Return (w trading costs)
    8.9%
  • Slump
  • Current Slump as Pcnt Equity
    59.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.43%
  • 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)
    0.089%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    12.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    60.00%
  • Chance of 20% account loss
    27.50%
  • Chance of 30% account loss
    16.50%
  • Chance of 40% account loss
    1.50%
  • 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
    87.68%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    667
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    348
  • Popularity (7 days, Percentile 1000 scale)
    329
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $298
  • Avg Win
    $268
  • Sum Trade PL (losers)
    $83,406.000
  • Age
  • Num Months filled monthly returns table
    56
  • Win / Loss
  • Sum Trade PL (winners)
    $101,065.000
  • # Winners
    377
  • Num Months Winners
    35
  • Dividends
  • Dividends Received in Model Acct
    468
  • Win / Loss
  • # Losers
    280
  • % Winners
    57.4%
  • Frequency
  • Avg Position Time (mins)
    18250.10
  • Avg Position Time (hrs)
    304.17
  • Avg Trade Length
    12.7 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.01
  • Daily leverage (max)
    3.98
  • Regression
  • Alpha
    0.02
  • Beta
    0.13
  • Treynor Index
    0.18
  • 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)
    -0.10
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    12.509
  • 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
    0.506
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.442
  • Hold-and-Hope Ratio
    0.080
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12370
  • SD
    0.24281
  • Sharpe ratio (Glass type estimate)
    0.50946
  • Sharpe ratio (Hedges UMVUE)
    0.50193
  • df
    51.00000
  • t
    1.06053
  • p
    0.14695
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43967
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.45369
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44463
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44849
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.93666
  • Upside Potential Ratio
    2.51551
  • Upside part of mean
    0.33221
  • Downside part of mean
    -0.20851
  • Upside SD
    0.20410
  • Downside SD
    0.13207
  • N nonnegative terms
    28.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    52.00000
  • Mean of predictor
    0.12707
  • Mean of criterion
    0.12370
  • SD of predictor
    0.21741
  • SD of criterion
    0.24281
  • Covariance
    0.00614
  • r
    0.11630
  • b (slope, estimate of beta)
    0.12988
  • a (intercept, estimate of alpha)
    0.10720
  • Mean Square Error
    0.05932
  • DF error
    50.00000
  • t(b)
    0.82795
  • p(b)
    0.20582
  • t(a)
    0.90318
  • p(a)
    0.18538
  • Lowerbound of 95% confidence interval for beta
    -0.18520
  • Upperbound of 95% confidence interval for beta
    0.44496
  • Lowerbound of 95% confidence interval for alpha
    -0.13120
  • Upperbound of 95% confidence interval for alpha
    0.34559
  • Treynor index (mean / b)
    0.95243
  • Jensen alpha (a)
    0.10720
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09566
  • SD
    0.23337
  • Sharpe ratio (Glass type estimate)
    0.40990
  • Sharpe ratio (Hedges UMVUE)
    0.40384
  • df
    51.00000
  • t
    0.85328
  • p
    0.19875
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53695
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35280
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54095
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.34863
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.68278
  • Upside Potential Ratio
    2.23482
  • Upside part of mean
    0.31310
  • Downside part of mean
    -0.21744
  • Upside SD
    0.18587
  • Downside SD
    0.14010
  • N nonnegative terms
    28.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    52.00000
  • Mean of predictor
    0.10189
  • Mean of criterion
    0.09566
  • SD of predictor
    0.22647
  • SD of criterion
    0.23337
  • Covariance
    0.00717
  • r
    0.13575
  • b (slope, estimate of beta)
    0.13989
  • a (intercept, estimate of alpha)
    0.08140
  • Mean Square Error
    0.05453
  • DF error
    50.00000
  • t(b)
    0.96889
  • p(b)
    0.16863
  • t(a)
    0.71954
  • p(a)
    0.23758
  • Lowerbound of 95% confidence interval for beta
    -0.15011
  • Upperbound of 95% confidence interval for beta
    0.42989
  • Lowerbound of 95% confidence interval for alpha
    -0.14583
  • Upperbound of 95% confidence interval for alpha
    0.30864
  • Treynor index (mean / b)
    0.68380
  • Jensen alpha (a)
    0.08140
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09773
  • Expected Shortfall on VaR
    0.12250
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03776
  • Expected Shortfall on VaR
    0.07721
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    52.00000
  • Minimum
    0.82898
  • Quartile 1
    0.98019
  • Median
    1.00413
  • Quartile 3
    1.04185
  • Maximum
    1.31264
  • Mean of quarter 1
    0.93831
  • Mean of quarter 2
    0.99697
  • Mean of quarter 3
    1.01828
  • Mean of quarter 4
    1.09698
  • Inter Quartile Range
    0.06166
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01923
  • Mean of outliers low
    0.82898
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01923
  • Mean of outliers high
    1.31264
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11008
  • VaR(95%) (moments method)
    0.05325
  • Expected Shortfall (moments method)
    0.07990
  • Extreme Value Index (regression method)
    -0.04455
  • VaR(95%) (regression method)
    0.07622
  • Expected Shortfall (regression method)
    0.10895
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00081
  • Quartile 1
    0.00800
  • Median
    0.01699
  • Quartile 3
    0.02617
  • Maximum
    0.31545
  • Mean of quarter 1
    0.00338
  • Mean of quarter 2
    0.01420
  • Mean of quarter 3
    0.01978
  • Mean of quarter 4
    0.17188
  • Inter Quartile Range
    0.01817
  • 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
    0.16667
  • Mean of outliers high
    0.31545
  • 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)
    0.16343
  • Compounded annual return (geometric extrapolation)
    0.13152
  • Calmar ratio (compounded annual return / max draw down)
    0.41693
  • Compounded annual return / average of 25% largest draw downs
    0.76522
  • Compounded annual return / Expected Shortfall lognormal
    1.07365
  • 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
    0.11541
  • SD
    0.19895
  • Sharpe ratio (Glass type estimate)
    0.58011
  • Sharpe ratio (Hedges UMVUE)
    0.57973
  • df
    1152.00000
  • t
    1.21696
  • p
    0.48208
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35459
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51460
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35486
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51433
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95381
  • Upside Potential Ratio
    7.67632
  • Upside part of mean
    0.92886
  • Downside part of mean
    -0.81344
  • Upside SD
    0.15798
  • Downside SD
    0.12100
  • N nonnegative terms
    520.00000
  • N negative terms
    633.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1153.00000
  • Mean of predictor
    0.12940
  • Mean of criterion
    0.11541
  • SD of predictor
    0.21885
  • SD of criterion
    0.19895
  • Covariance
    0.00619
  • r
    0.14213
  • b (slope, estimate of beta)
    0.12921
  • a (intercept, estimate of alpha)
    0.09900
  • Mean Square Error
    0.03882
  • DF error
    1151.00000
  • t(b)
    4.87147
  • p(b)
    0.40982
  • t(a)
    1.05017
  • p(a)
    0.48031
  • Lowerbound of 95% confidence interval for beta
    0.07717
  • Upperbound of 95% confidence interval for beta
    0.18125
  • Lowerbound of 95% confidence interval for alpha
    -0.08569
  • Upperbound of 95% confidence interval for alpha
    0.28308
  • Treynor index (mean / b)
    0.89323
  • Jensen alpha (a)
    0.09869
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09599
  • SD
    0.19613
  • Sharpe ratio (Glass type estimate)
    0.48942
  • Sharpe ratio (Hedges UMVUE)
    0.48910
  • df
    1152.00000
  • t
    1.02670
  • p
    0.48488
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44517
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.42384
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44541
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42361
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.78145
  • Upside Potential Ratio
    7.46371
  • Upside part of mean
    0.91682
  • Downside part of mean
    -0.82083
  • Upside SD
    0.15291
  • Downside SD
    0.12284
  • N nonnegative terms
    520.00000
  • N negative terms
    633.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1153.00000
  • Mean of predictor
    0.10523
  • Mean of criterion
    0.09599
  • SD of predictor
    0.22034
  • SD of criterion
    0.19613
  • Covariance
    0.00620
  • r
    0.14353
  • b (slope, estimate of beta)
    0.12777
  • a (intercept, estimate of alpha)
    0.08255
  • Mean Square Error
    0.03771
  • DF error
    1151.00000
  • t(b)
    4.92055
  • p(b)
    0.40894
  • t(a)
    0.89135
  • p(a)
    0.48328
  • Lowerbound of 95% confidence interval for beta
    0.07682
  • Upperbound of 95% confidence interval for beta
    0.17871
  • Lowerbound of 95% confidence interval for alpha
    -0.09915
  • Upperbound of 95% confidence interval for alpha
    0.26424
  • Treynor index (mean / b)
    0.75130
  • Jensen alpha (a)
    0.08255
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01937
  • Expected Shortfall on VaR
    0.02432
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00750
  • Expected Shortfall on VaR
    0.01551
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1153.00000
  • Minimum
    0.93272
  • Quartile 1
    0.99692
  • Median
    1.00000
  • Quartile 3
    1.00349
  • Maximum
    1.15056
  • Mean of quarter 1
    0.98874
  • Mean of quarter 2
    0.99910
  • Mean of quarter 3
    1.00129
  • Mean of quarter 4
    1.01309
  • Inter Quartile Range
    0.00657
  • Number outliers low
    76.00000
  • Percentage of outliers low
    0.06592
  • Mean of outliers low
    0.97598
  • Number of outliers high
    92.00000
  • Percentage of outliers high
    0.07979
  • Mean of outliers high
    1.02595
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.39459
  • VaR(95%) (moments method)
    0.01027
  • Expected Shortfall (moments method)
    0.02023
  • Extreme Value Index (regression method)
    0.22735
  • VaR(95%) (regression method)
    0.00976
  • Expected Shortfall (regression method)
    0.01617
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    47.00000
  • Minimum
    0.00013
  • Quartile 1
    0.00255
  • Median
    0.00996
  • Quartile 3
    0.03484
  • Maximum
    0.37760
  • Mean of quarter 1
    0.00133
  • Mean of quarter 2
    0.00593
  • Mean of quarter 3
    0.01813
  • Mean of quarter 4
    0.10915
  • Inter Quartile Range
    0.03229
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.10638
  • Mean of outliers high
    0.19197
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.59430
  • VaR(95%) (moments method)
    0.11705
  • Expected Shortfall (moments method)
    0.31383
  • Extreme Value Index (regression method)
    0.69888
  • VaR(95%) (regression method)
    0.11027
  • Expected Shortfall (regression method)
    0.36416
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16475
  • Compounded annual return (geometric extrapolation)
    0.13190
  • Calmar ratio (compounded annual return / max draw down)
    0.34931
  • Compounded annual return / average of 25% largest draw downs
    1.20842
  • Compounded annual return / Expected Shortfall lognormal
    5.42417
  • 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
    -0.02178
  • SD
    0.05005
  • Sharpe ratio (Glass type estimate)
    -0.43508
  • Sharpe ratio (Hedges UMVUE)
    -0.43256
  • df
    130.00000
  • t
    -0.30765
  • p
    0.51349
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.20667
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33796
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.20487
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33974
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.60204
  • Upside Potential Ratio
    6.34569
  • Upside part of mean
    0.22953
  • Downside part of mean
    -0.25130
  • Upside SD
    0.03434
  • Downside SD
    0.03617
  • N nonnegative terms
    35.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31103
  • Mean of criterion
    -0.02178
  • SD of predictor
    0.12348
  • SD of criterion
    0.05005
  • Covariance
    0.00264
  • r
    0.42711
  • b (slope, estimate of beta)
    0.17313
  • a (intercept, estimate of alpha)
    -0.07562
  • Mean Square Error
    0.00206
  • DF error
    129.00000
  • t(b)
    5.36502
  • p(b)
    0.23660
  • t(a)
    -1.16294
  • p(a)
    0.56473
  • Lowerbound of 95% confidence interval for beta
    0.10928
  • Upperbound of 95% confidence interval for beta
    0.23697
  • Lowerbound of 95% confidence interval for alpha
    -0.20429
  • Upperbound of 95% confidence interval for alpha
    0.05304
  • Treynor index (mean / b)
    -0.12578
  • Jensen alpha (a)
    -0.07562
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02302
  • SD
    0.05006
  • Sharpe ratio (Glass type estimate)
    -0.45981
  • Sharpe ratio (Hedges UMVUE)
    -0.45715
  • df
    130.00000
  • t
    -0.32514
  • p
    0.51425
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.23134
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.31340
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.22952
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.31521
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.63415
  • Upside Potential Ratio
    6.30663
  • Upside part of mean
    0.22891
  • Downside part of mean
    -0.25193
  • Upside SD
    0.03422
  • Downside SD
    0.03630
  • N nonnegative terms
    35.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30327
  • Mean of criterion
    -0.02302
  • SD of predictor
    0.12338
  • SD of criterion
    0.05006
  • Covariance
    0.00264
  • r
    0.42726
  • b (slope, estimate of beta)
    0.17335
  • a (intercept, estimate of alpha)
    -0.07559
  • Mean Square Error
    0.00206
  • DF error
    129.00000
  • t(b)
    5.36735
  • p(b)
    0.23652
  • t(a)
    -1.16295
  • p(a)
    0.56473
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    0.10945
  • Upperbound of 95% confidence interval for beta
    0.23725
  • Lowerbound of 95% confidence interval for alpha
    -0.20419
  • Upperbound of 95% confidence interval for alpha
    0.05301
  • Treynor index (mean / b)
    -0.13278
  • Jensen alpha (a)
    -0.07559
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00516
  • Expected Shortfall on VaR
    0.00645
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00278
  • Expected Shortfall on VaR
    0.00549
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98878
  • Quartile 1
    0.99973
  • Median
    1.00000
  • Quartile 3
    1.00048
  • Maximum
    1.01115
  • Mean of quarter 1
    0.99651
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00002
  • Mean of quarter 4
    1.00357
  • Inter Quartile Range
    0.00075
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.19847
  • Mean of outliers low
    0.99575
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.19847
  • Mean of outliers high
    1.00425
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.89819
  • VaR(95%) (moments method)
    0.00289
  • Expected Shortfall (moments method)
    0.00325
  • Extreme Value Index (regression method)
    0.07282
  • VaR(95%) (regression method)
    0.00316
  • Expected Shortfall (regression method)
    0.00488
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00425
  • Quartile 1
    0.01668
  • Median
    0.02912
  • Quartile 3
    0.03102
  • Maximum
    0.03293
  • Mean of quarter 1
    0.00425
  • Mean of quarter 2
    0.02912
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03293
  • Inter Quartile Range
    0.01434
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -346134000
  • Max Equity Drawdown (num days)
    314
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00489
  • Compounded annual return (geometric extrapolation)
    0.00490
  • Calmar ratio (compounded annual return / max draw down)
    0.14885
  • Compounded annual return / average of 25% largest draw downs
    0.14885
  • Compounded annual return / Expected Shortfall lognormal
    0.76035

Strategy Description

This is a STOCKS ONLY Strategy. No derivatives or FX positions are taken. Daily evaluation defines if it’s necessary to trade, at all, Trades are submitted normally near the end of the US session. A proprietary method continuously monitors Portfolio´s Health. If Portfolio Risk metrics are met, leverage may be reduced or increased. 1:1. Leverage is usually normal. All investment decisions are automated, relying on human behavior only for the Tracker Origination and overall Risk Assessment.

Summary Statistics

Strategy began
2019-08-19
Suggested Minimum Capital
$15,000
# Trades
657
# Profitable
377
% Profitable
57.4%
Net Dividends
Correlation S&P500
0.137
Sharpe Ratio
0.35
Sortino Ratio
0.58
Beta
0.13
Alpha
0.02
Leverage
1.01 Average
3.98 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.