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Featured Strategy Lazy Trading ES +44.1% Cumul. Return since Sep 25, 2024 Hypothetical

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Edge Analytics
(127587216)

Created by: Edge_Analytics Edge_Analytics
Started: 02/2020
Options
Last trade: 670 days ago
Trading style: Equity Trend-following Momentum

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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
-32.6%
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.

(91.3%)
Max Drawdown
117
Num Trades
63.2%
Win Trades
0.8 : 1
Profit Factor
39.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020       (33.2%)(5.2%)+26.9%+16.0%(22.1%)+24.5%+16.7%(7.3%)+2.2%(10.8%)+21.1%+8.0%
2021+7.3%(19.1%)(42.5%)(8.4%)(24.6%)(2.9%)(14.8%)(2.2%)+5.0%+13.0%(6.5%)(2.4%)(69.8%)
2022(16.1%)(12.8%)+30.1%(10.8%)(5.8%)(22.3%)+8.7%(5%)(15.6%)+6.4%+7.0%(7.1%)(42.7%)
2023+16.8%(7.5%)(13.9%)+5.5%(6.2%)(0.9%)+10.4%(15.9%)(5.6%)(11.4%)(1.5%)+12.5%(21.4%)
2024(12.2%)+8.7%(2.3%)(8.4%)(9.1%)+0.5%+17.0%+8.2%(3.4%)+2.5%+6.9%      +4.6%

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/19/21 11:09 AI2320A135 AI Jan20'23 135 call LONG 2 56.20 1/21/23 9:35 0.00 221.88%
Trade id #134161650
Max drawdown($11,238)
Time10/10/22 0:00
Quant open2
Worst price0.01
Drawdown as % of equity-221.88%
 ($11,241)
Includes Typical Broker Commissions trade costs of $1.40
2/19/21 11:10 PLTR2320A27 PLTR Jan20'23 27 call LONG 2 15.80 1/21/23 9:35 0.00 51.95%
Trade id #134161667
Max drawdown($3,158)
Time8/8/22 0:00
Quant open2
Worst price0.01
Drawdown as % of equity-51.95%
 ($3,161)
Includes Typical Broker Commissions trade costs of $1.40
2/10/21 14:19 COCP COCRYSTAL PHARMA INC. COMMON STOCK LONG 1,000 2.08 5/13 12:59 1.11 9.12%
Trade id #133991810
Max drawdown($1,000)
Time5/13/21 11:00
Quant open1,000
Worst price1.08
Drawdown as % of equity-9.12%
 ($975)
Includes Typical Broker Commissions trade costs of $5.00
11/25/20 14:54 MP MP MATERIALS CORP LONG 300 22.00 5/13/21 12:59 31.93 4.7%
Trade id #132463677
Max drawdown($1,050)
Time11/30/20 0:00
Quant open300
Worst price18.50
Drawdown as % of equity-4.70%
 $2,973
Includes Typical Broker Commissions trade costs of $6.00
2/26/21 11:45 INUV INUVO LONG 1,000 1.13 5/13 12:59 0.61 4.79%
Trade id #134311717
Max drawdown($525)
Time5/13/21 12:06
Quant open1,000
Worst price0.60
Drawdown as % of equity-4.79%
 ($525)
Includes Typical Broker Commissions trade costs of $5.00
2/2/21 12:28 RPRX ROYALTY PHARMA PLC LONG 300 46.77 2/19 11:08 47.40 1.86%
Trade id #133798920
Max drawdown($528)
Time2/18/21 0:00
Quant open300
Worst price45.01
Drawdown as % of equity-1.86%
 $183
Includes Typical Broker Commissions trade costs of $6.00
2/16/21 12:31 TNA DIREXION DAILY SMALL CAP BULL 3X SHORT 100 99.94 2/19 11:08 98.25 0.04%
Trade id #134089856
Max drawdown($11)
Time2/16/21 15:05
Quant open100
Worst price100.05
Drawdown as % of equity-0.04%
 $167
Includes Typical Broker Commissions trade costs of $2.00
1/21/21 11:34 PENN2221A90 PENN Jan21'22 90 call LONG 1 38.30 2/16 12:24 45.85 2.25%
Trade id #133515340
Max drawdown($588)
Time1/27/21 0:00
Quant open1
Worst price32.42
Drawdown as % of equity-2.25%
 $753
Includes Typical Broker Commissions trade costs of $2.00
2/4/21 10:55 KRBN KRANESHARES GLOBAL CARBON ETF LONG 200 27.27 2/16 12:23 28.00 0.05%
Trade id #133849138
Max drawdown($16)
Time2/11/21 0:00
Quant open200
Worst price27.19
Drawdown as % of equity-0.05%
 $142
Includes Typical Broker Commissions trade costs of $4.00
2/2/21 9:51 VST VISTRA CORP LONG 500 20.58 2/16 10:56 21.94 0.11%
Trade id #133792861
Max drawdown($30)
Time2/2/21 9:55
Quant open500
Worst price20.52
Drawdown as % of equity-0.11%
 $670
Includes Typical Broker Commissions trade costs of $10.00
2/2/21 9:51 FUBO2117L30 FUBO Dec17'21 30 call LONG 1 31.05 2/16 10:55 23.50 2.93%
Trade id #133792815
Max drawdown($840)
Time2/12/21 0:00
Quant open1
Worst price22.65
Drawdown as % of equity-2.93%
 ($757)
Includes Typical Broker Commissions trade costs of $2.00
1/31/21 22:23 @ESH1 E-MINI S&P 500 SHORT 1 3709.75 2/1 2:25 3732.00 3.93%
Trade id #133741135
Max drawdown($1,137)
Time2/1/21 2:25
Quant open1
Worst price3732.50
Drawdown as % of equity-3.93%
 ($1,121)
Includes Typical Broker Commissions trade costs of $8.00
1/21/21 11:35 TNA DIREXION DAILY SMALL CAP BULL 3X SHORT 300 83.39 1/29 15:54 76.50 7.13%
Trade id #133515363
Max drawdown($1,908)
Time1/25/21 0:00
Quant open300
Worst price89.75
Drawdown as % of equity-7.13%
 $2,061
Includes Typical Broker Commissions trade costs of $6.00
12/29/20 12:58 CPER UNITED STATES COPPER LONG 200 21.99 1/21/21 11:33 22.46 0.21%
Trade id #133074351
Max drawdown($58)
Time12/31/20 0:00
Quant open200
Worst price21.70
Drawdown as % of equity-0.21%
 $90
Includes Typical Broker Commissions trade costs of $4.00
11/25/20 15:52 WORK SLACK TECHNOLOGIES INC LONG 100 39.91 12/23 11:09 42.79 1.04%
Trade id #132465150
Max drawdown($241)
Time11/27/20 0:00
Quant open100
Worst price37.50
Drawdown as % of equity-1.04%
 $286
Includes Typical Broker Commissions trade costs of $2.00
11/25/20 14:54 PLTR PALANTIR TECHNOLOGIES INC LONG 400 28.22 12/23 11:05 28.68 13.14%
Trade id #132463663
Max drawdown($2,828)
Time12/2/20 0:00
Quant open400
Worst price21.15
Drawdown as % of equity-13.14%
 $176
Includes Typical Broker Commissions trade costs of $8.00
11/19/20 8:05 SPY SPDR S&P 500 SHORT 200 350.00 11/25 14:53 360.68 8.53%
Trade id #132341799
Max drawdown($1,988)
Time11/24/20 0:00
Quant open144
Worst price363.81
Drawdown as % of equity-8.53%
 ($2,139)
Includes Typical Broker Commissions trade costs of $4.00
10/6/20 9:50 AAPL APPLE LONG 50 114.92 11/19 10:54 118.03 1.52%
Trade id #131539186
Max drawdown($380)
Time11/2/20 0:00
Quant open50
Worst price107.32
Drawdown as % of equity-1.52%
 $155
Includes Typical Broker Commissions trade costs of $1.00
8/17/20 11:48 GLD2131C170 GLD Mar31'21 170 call LONG 5 19.74 11/19 10:54 9.65 21.81%
Trade id #130651653
Max drawdown($5,045)
Time11/19/20 9:30
Quant open5
Worst price9.65
Drawdown as % of equity-21.81%
 ($5,052)
Includes Typical Broker Commissions trade costs of $7.00
11/3/20 10:08 SPY2018K350 SPY Nov18'20 350 call SHORT 2 2.67 11/19 8:05 0.00 9.46%
Trade id #132046866
Max drawdown($2,596)
Time11/9/20 0:00
Quant open2
Worst price15.65
Drawdown as % of equity-9.46%
 $533
Includes Typical Broker Commissions trade costs of $1.40
10/6/20 9:51 CHWY CHEWY INC LONG 50 57.60 11/3 10:07 62.16 0.34%
Trade id #131539217
Max drawdown($83)
Time10/6/20 15:56
Quant open50
Worst price55.94
Drawdown as % of equity-0.34%
 $227
Includes Typical Broker Commissions trade costs of $1.00
9/21/20 10:09 SPY2030J340 SPY Oct30'20 340 call SHORT 2 3.50 10/31 9:35 0.00 10.04%
Trade id #131270442
Max drawdown($2,538)
Time10/12/20 0:00
Quant open2
Worst price16.19
Drawdown as % of equity-10.04%
 $699
Includes Typical Broker Commissions trade costs of $1.40
9/14/20 14:38 LQD ISHARES IBOXX $ INVEST GRADE C LONG 100 135.83 10/6 9:41 134.61 0.72%
Trade id #131166070
Max drawdown($179)
Time9/25/20 0:00
Quant open100
Worst price134.04
Drawdown as % of equity-0.72%
 ($124)
Includes Typical Broker Commissions trade costs of $2.00
9/11/20 13:11 UNH2009J315 UNH Oct9'20 315 call SHORT 2 3.45 9/21 10:09 1.24 2.3%
Trade id #131136167
Max drawdown($610)
Time9/14/20 0:00
Quant open2
Worst price6.50
Drawdown as % of equity-2.30%
 $439
Includes Typical Broker Commissions trade costs of $2.80
9/8/20 13:41 CWH2016V30 CWH Oct16'20 30 put SHORT 4 2.14 9/14 14:38 1.45 0.95%
Trade id #131070116
Max drawdown($241)
Time9/9/20 0:00
Quant open4
Worst price2.74
Drawdown as % of equity-0.95%
 $268
Includes Typical Broker Commissions trade costs of $6.80
9/9/20 10:36 GLD2030U175 GLD Sep30'20 175 put SHORT 3 0.84 9/11 13:12 0.82 0.01%
Trade id #131087133
Max drawdown($3)
Time9/9/20 10:55
Quant open3
Worst price0.85
Drawdown as % of equity-0.01%
 $2
Includes Typical Broker Commissions trade costs of $4.20
9/9/20 15:57 MO ALTRIA SHORT 100 43.99 9/11 12:28 43.63 n/a $34
Includes Typical Broker Commissions trade costs of $2.00
9/8/20 13:03 VXX2025I30.5 VXX Sep25'20 30.5 call SHORT 6 2.44 9/10 15:18 1.57 1.14%
Trade id #131069499
Max drawdown($293)
Time9/8/20 14:49
Quant open6
Worst price2.93
Drawdown as % of equity-1.14%
 $514
Includes Typical Broker Commissions trade costs of $8.70
9/3/20 14:49 VXX2002J35 VXX Oct2'20 35 call SHORT 7 3.36 9/10 15:18 1.40 3.8%
Trade id #130985924
Max drawdown($950)
Time9/4/20 0:00
Quant open5
Worst price5.30
Drawdown as % of equity-3.80%
 $1,359
Includes Typical Broker Commissions trade costs of $11.30
9/4/20 11:07 SPY2028I344 SPY Sep28'20 344 call SHORT 1 5.37 9/9 10:16 4.00 0.8%
Trade id #131004892
Max drawdown($195)
Time9/4/20 15:36
Quant open1
Worst price7.32
Drawdown as % of equity-0.80%
 $135
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    2/18/2020
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1727.08
  • Age
    58 months ago
  • What it trades
    Stocks, Options
  • # Trades
    117
  • # Profitable
    74
  • % Profitable
    63.20%
  • Avg trade duration
    48.8 days
  • Max peak-to-valley drawdown
    91.29%
  • drawdown period
    Feb 10, 2021 - July 05, 2024
  • Annual Return (Compounded)
    -32.6%
  • Avg win
    $829.42
  • Avg loss
    $1,882
  • Model Account Values (Raw)
  • Cash
    $7,710
  • Margin Used
    $0
  • Buying Power
    ($7)
  • Ratios
  • W:L ratio
    0.76:1
  • Sharpe Ratio
    -0.38
  • Sortino Ratio
    -0.5
  • Calmar Ratio
    -0.64
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -162.54%
  • Correlation to SP500
    0.26020
  • Return Percent SP500 (cumu) during strategy life
    76.50%
  • Return Statistics
  • Ann Return (w trading costs)
    -32.6%
  • Slump
  • Current Slump as Pcnt Equity
    697.20%
  • Instruments
  • Percent Trades Futures
    0.12%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.79%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    10.91%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.326%
  • Instruments
  • Percent Trades Options
    0.60%
  • Percent Trades Stocks
    0.25%
  • Percent Trades Forex
    0.03%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -26.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    62.00%
  • Chance of 90% account loss (Monte Carlo)
    30.50%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • 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
    $1,882
  • Avg Win
    $829
  • Sum Trade PL (losers)
    $80,926.000
  • Age
  • Num Months filled monthly returns table
    58
  • Win / Loss
  • Sum Trade PL (winners)
    $61,377.000
  • # Winners
    74
  • Num Months Winners
    23
  • Dividends
  • Dividends Received in Model Acct
    288
  • Win / Loss
  • # Losers
    43
  • % Winners
    63.2%
  • Frequency
  • Avg Position Time (mins)
    70215.00
  • Avg Position Time (hrs)
    1170.25
  • Avg Trade Length
    48.8 days
  • Last Trade Ago
    660
  • Leverage
  • Daily leverage (average)
    2.41
  • Daily leverage (max)
    19.19
  • Regression
  • Alpha
    -0.09
  • Beta
    0.68
  • Treynor Index
    -0.10
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.12
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.07
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.25
  • Avg(MAE) / Avg(PL) - All trades
    -4.072
  • 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
    0.57
  • Avg(MAE) / Avg(PL) - Winning trades
    0.706
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.138
  • Hold-and-Hope Ratio
    -0.248
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.63297
  • SD
    0.63111
  • Sharpe ratio (Glass type estimate)
    -1.00294
  • Sharpe ratio (Hedges UMVUE)
    -0.96662
  • df
    21.00000
  • t
    -1.35799
  • p
    0.67842
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.47017
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.48702
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.44337
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51013
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.14306
  • Upside Potential Ratio
    1.10573
  • Upside part of mean
    0.61230
  • Downside part of mean
    -1.24527
  • Upside SD
    0.32703
  • Downside SD
    0.55375
  • N nonnegative terms
    9.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.26975
  • Mean of criterion
    -0.63297
  • SD of predictor
    0.32113
  • SD of criterion
    0.63111
  • Covariance
    0.11389
  • r
    0.56194
  • b (slope, estimate of beta)
    1.10438
  • a (intercept, estimate of alpha)
    -0.93088
  • Mean Square Error
    0.28616
  • DF error
    20.00000
  • t(b)
    3.03810
  • p(b)
    0.21903
  • t(a)
    -2.28682
  • p(a)
    0.72764
  • Lowerbound of 95% confidence interval for beta
    0.34611
  • Upperbound of 95% confidence interval for beta
    1.86264
  • Lowerbound of 95% confidence interval for alpha
    -1.78000
  • Upperbound of 95% confidence interval for alpha
    -0.08176
  • Treynor index (mean / b)
    -0.57315
  • Jensen alpha (a)
    -0.93088
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.87194
  • SD
    0.69552
  • Sharpe ratio (Glass type estimate)
    -1.25366
  • Sharpe ratio (Hedges UMVUE)
    -1.20825
  • df
    21.00000
  • t
    -1.69746
  • p
    0.71660
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.73555
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.25601
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.70119
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28468
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.32050
  • Upside Potential Ratio
    0.85355
  • Upside part of mean
    0.56361
  • Downside part of mean
    -1.43556
  • Upside SD
    0.29850
  • Downside SD
    0.66031
  • N nonnegative terms
    9.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.21431
  • Mean of criterion
    -0.87194
  • SD of predictor
    0.33923
  • SD of criterion
    0.69552
  • Covariance
    0.13618
  • r
    0.57718
  • b (slope, estimate of beta)
    1.18340
  • a (intercept, estimate of alpha)
    -1.12555
  • Mean Square Error
    0.33872
  • DF error
    20.00000
  • t(b)
    3.16089
  • p(b)
    0.21141
  • t(a)
    -2.57412
  • p(a)
    0.74943
  • Lowerbound of 95% confidence interval for beta
    0.40244
  • Upperbound of 95% confidence interval for beta
    1.96436
  • Lowerbound of 95% confidence interval for alpha
    -2.03766
  • Upperbound of 95% confidence interval for alpha
    -0.21345
  • Treynor index (mean / b)
    -0.73681
  • Jensen alpha (a)
    -1.12555
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.33163
  • Expected Shortfall on VaR
    0.38377
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.26314
  • Expected Shortfall on VaR
    0.40827
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.59835
  • Quartile 1
    0.82547
  • Median
    0.92844
  • Quartile 3
    1.11035
  • Maximum
    1.24808
  • Mean of quarter 1
    0.72963
  • Mean of quarter 2
    0.88594
  • Mean of quarter 3
    1.00636
  • Mean of quarter 4
    1.17525
  • Inter Quartile Range
    0.28488
  • 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)
    -0.38630
  • VaR(95%) (moments method)
    0.30451
  • Expected Shortfall (moments method)
    0.34809
  • Extreme Value Index (regression method)
    -0.40690
  • VaR(95%) (regression method)
    0.32649
  • Expected Shortfall (regression method)
    0.37063
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.09136
  • Quartile 1
    0.22662
  • Median
    0.36189
  • Quartile 3
    0.59150
  • Maximum
    0.82112
  • Mean of quarter 1
    0.09136
  • Mean of quarter 2
    0.36189
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.82112
  • Inter Quartile Range
    0.36488
  • 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)
    -0.42938
  • Compounded annual return (geometric extrapolation)
    -0.57003
  • Calmar ratio (compounded annual return / max draw down)
    -0.69421
  • Compounded annual return / average of 25% largest draw downs
    -0.69421
  • Compounded annual return / Expected Shortfall lognormal
    -1.48536
  • 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
    -0.48627
  • SD
    0.79038
  • Sharpe ratio (Glass type estimate)
    -0.61524
  • Sharpe ratio (Hedges UMVUE)
    -0.61432
  • df
    501.00000
  • t
    -0.85162
  • p
    0.80258
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.03145
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.80147
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.03078
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80214
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.81489
  • Upside Potential Ratio
    6.00845
  • Upside part of mean
    3.58543
  • Downside part of mean
    -4.07170
  • Upside SD
    0.51794
  • Downside SD
    0.59673
  • N nonnegative terms
    244.00000
  • N negative terms
    258.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    502.00000
  • Mean of predictor
    0.31051
  • Mean of criterion
    -0.48627
  • SD of predictor
    0.32690
  • SD of criterion
    0.79038
  • Covariance
    0.06234
  • r
    0.24129
  • b (slope, estimate of beta)
    0.58338
  • a (intercept, estimate of alpha)
    -0.66700
  • Mean Square Error
    0.58950
  • DF error
    500.00000
  • t(b)
    5.55958
  • p(b)
    0.00000
  • t(a)
    -1.20118
  • p(a)
    0.88487
  • Lowerbound of 95% confidence interval for beta
    0.37722
  • Upperbound of 95% confidence interval for beta
    0.78954
  • Lowerbound of 95% confidence interval for alpha
    -1.75908
  • Upperbound of 95% confidence interval for alpha
    0.42425
  • Treynor index (mean / b)
    -0.83354
  • Jensen alpha (a)
    -0.66742
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.81869
  • SD
    0.83259
  • Sharpe ratio (Glass type estimate)
    -0.98330
  • Sharpe ratio (Hedges UMVUE)
    -0.98182
  • df
    501.00000
  • t
    -1.36109
  • p
    0.91295
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.40011
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.43440
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.39907
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43543
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.20661
  • Upside Potential Ratio
    5.10346
  • Upside part of mean
    3.46271
  • Downside part of mean
    -4.28140
  • Upside SD
    0.48376
  • Downside SD
    0.67850
  • N nonnegative terms
    244.00000
  • N negative terms
    258.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    502.00000
  • Mean of predictor
    0.25665
  • Mean of criterion
    -0.81869
  • SD of predictor
    0.32867
  • SD of criterion
    0.83259
  • Covariance
    0.06411
  • r
    0.23427
  • b (slope, estimate of beta)
    0.59345
  • a (intercept, estimate of alpha)
    -0.97099
  • Mean Square Error
    0.65648
  • DF error
    500.00000
  • t(b)
    5.38830
  • p(b)
    0.00000
  • t(a)
    -1.65692
  • p(a)
    0.95092
  • Lowerbound of 95% confidence interval for beta
    0.37706
  • Upperbound of 95% confidence interval for beta
    0.80984
  • Lowerbound of 95% confidence interval for alpha
    -2.12237
  • Upperbound of 95% confidence interval for alpha
    0.18038
  • Treynor index (mean / b)
    -1.37953
  • Jensen alpha (a)
    -0.97099
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08399
  • Expected Shortfall on VaR
    0.10331
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03598
  • Expected Shortfall on VaR
    0.07472
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    502.00000
  • Minimum
    0.55638
  • Quartile 1
    0.98032
  • Median
    1.00000
  • Quartile 3
    1.01630
  • Maximum
    1.33751
  • Mean of quarter 1
    0.94529
  • Mean of quarter 2
    0.99296
  • Mean of quarter 3
    1.00757
  • Mean of quarter 4
    1.04722
  • Inter Quartile Range
    0.03598
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.05578
  • Mean of outliers low
    0.88162
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.04382
  • Mean of outliers high
    1.11771
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.34649
  • VaR(95%) (moments method)
    0.05438
  • Expected Shortfall (moments method)
    0.09749
  • Extreme Value Index (regression method)
    0.21337
  • VaR(95%) (regression method)
    0.04922
  • Expected Shortfall (regression method)
    0.07676
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00064
  • Quartile 1
    0.01696
  • Median
    0.04973
  • Quartile 3
    0.37303
  • Maximum
    0.85387
  • Mean of quarter 1
    0.00817
  • Mean of quarter 2
    0.03094
  • Mean of quarter 3
    0.17589
  • Mean of quarter 4
    0.72777
  • Inter Quartile Range
    0.35607
  • 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)
    -0.40721
  • Compounded annual return (geometric extrapolation)
    -0.54651
  • Calmar ratio (compounded annual return / max draw down)
    -0.64004
  • Compounded annual return / average of 25% largest draw downs
    -0.75094
  • Compounded annual return / Expected Shortfall lognormal
    -5.28998
  • 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
    -1.07973
  • SD
    0.62406
  • Sharpe ratio (Glass type estimate)
    -1.73018
  • Sharpe ratio (Hedges UMVUE)
    -1.72017
  • df
    130.00000
  • t
    -1.22342
  • p
    0.55334
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.50668
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.05287
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.49986
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.05951
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.23784
  • Upside Potential Ratio
    6.39108
  • Upside part of mean
    3.08362
  • Downside part of mean
    -4.16335
  • Upside SD
    0.39766
  • Downside SD
    0.48249
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.51974
  • Mean of criterion
    -1.07973
  • SD of predictor
    0.39402
  • SD of criterion
    0.62406
  • Covariance
    0.12854
  • r
    0.52276
  • b (slope, estimate of beta)
    0.82797
  • a (intercept, estimate of alpha)
    -1.51006
  • Mean Square Error
    0.28521
  • DF error
    129.00000
  • t(b)
    6.96490
  • p(b)
    0.18305
  • t(a)
    -1.99271
  • p(a)
    0.60946
  • Lowerbound of 95% confidence interval for beta
    0.59277
  • Upperbound of 95% confidence interval for beta
    1.06317
  • Lowerbound of 95% confidence interval for alpha
    -3.00937
  • Upperbound of 95% confidence interval for alpha
    -0.01075
  • Treynor index (mean / b)
    -1.30408
  • Jensen alpha (a)
    -1.51006
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.27756
  • SD
    0.62898
  • Sharpe ratio (Glass type estimate)
    -2.03115
  • Sharpe ratio (Hedges UMVUE)
    -2.01941
  • df
    130.00000
  • t
    -1.43624
  • p
    0.56249
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.81006
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.75538
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.80207
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.76324
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.54932
  • Upside Potential Ratio
    6.00185
  • Upside part of mean
    3.00776
  • Downside part of mean
    -4.28532
  • Upside SD
    0.38431
  • Downside SD
    0.50114
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.44196
  • Mean of criterion
    -1.27756
  • SD of predictor
    0.39514
  • SD of criterion
    0.62898
  • Covariance
    0.13254
  • r
    0.53326
  • b (slope, estimate of beta)
    0.84884
  • a (intercept, estimate of alpha)
    -1.65272
  • Mean Square Error
    0.28531
  • DF error
    129.00000
  • t(b)
    7.15959
  • p(b)
    0.17737
  • t(a)
    -2.18262
  • p(a)
    0.61942
  • VAR (95 Confidence Intrvl)
    0.08400
  • Lowerbound of 95% confidence interval for beta
    0.61426
  • Upperbound of 95% confidence interval for beta
    1.08341
  • Lowerbound of 95% confidence interval for alpha
    -3.15089
  • Upperbound of 95% confidence interval for alpha
    -0.15455
  • Treynor index (mean / b)
    -1.50507
  • Jensen alpha (a)
    -1.65272
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06648
  • Expected Shortfall on VaR
    0.08142
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03966
  • Expected Shortfall on VaR
    0.07266
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89162
  • Quartile 1
    0.97456
  • Median
    0.99900
  • Quartile 3
    1.01470
  • Maximum
    1.11985
  • Mean of quarter 1
    0.94759
  • Mean of quarter 2
    0.98959
  • Mean of quarter 3
    1.00513
  • Mean of quarter 4
    1.04191
  • Inter Quartile Range
    0.04014
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.90214
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.09598
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.03074
  • VaR(95%) (moments method)
    0.05212
  • Expected Shortfall (moments method)
    0.06978
  • Extreme Value Index (regression method)
    -0.46238
  • VaR(95%) (regression method)
    0.05463
  • Expected Shortfall (regression method)
    0.06293
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.57454
  • Quartile 1
    0.57454
  • Median
    0.57454
  • Quartile 3
    0.57454
  • Maximum
    0.57454
  • 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
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -430042000
  • Max Equity Drawdown (num days)
    1241
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.92929
  • Compounded annual return (geometric extrapolation)
    -0.71340
  • Calmar ratio (compounded annual return / max draw down)
    -1.24169
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -8.76185

Strategy Description

A mixed, Quantamental strategy. We own a data analysis company that actively takes positions in the public and private markets.

Technical: Quantitative trend-following strategy, with statistical determinations of trend continuations, reversals, probabilities, and hedging levels
Fundamental: Quantitative selection of highly correlated quarterly TTM values to price action, combined with regression analysis to develop a standard deviation of price target for risk determination.

Collective2 is a means of displaying how we implement our custom analytics into these positions for developing a track record.

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-02-18
Suggested Minimum Capital
$25,000
# Trades
117
# Profitable
74
% Profitable
63.2%
Net Dividends
$287
Correlation S&P500
0.260
Sharpe Ratio
-0.38
Sortino Ratio
-0.50
Beta
0.68
Alpha
-0.09
Leverage
2.41 Average
19.19 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.