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These are hypothetical performance results that have certain inherent limitations. Learn more
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Alex Capital
(128013554)

Created by: MattRidgeview MattRidgeview
Started: 03/2020
Stocks
Last trade: 15 days ago
Trading style: Equity Hedged Equity
Subscriptions not currently available. This is a new strategy, and Collective2 is verifying the strategy developer. Please check back soon.

Subscription terms. Subscriptions to this system cost $200.00 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.
15.6%
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.

(46.9%)
Max Drawdown
26
Num Trades
38.5%
Win Trades
2.0 : 1
Profit Factor
30.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              +3.9%+17.1%(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)+18.0%
2021(5.1%)(3.9%)+13.4%+13.1%(0.3%)(0.4%)(0.3%)(0.4%)(0.3%)(0.4%)(0.4%)(0.3%)+13.6%
2022(6.8%)+30.2%(0.3%)(0.3%)(0.2%)(0.5%)(0.1%)(0.1%)(0.5%)(0.1%)+0.1%+0.3%+19.1%
2023(0.5%)(6.1%)(29%)+5.2%(0.6%)+16.5%+10.2%(19.2%)(5.4%)(16%)+30.2%+17.6%(12.4%)
2024+8.5%+18.5%+5.0%(3.9%)                                                +29.8%

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.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/2/23 10:08 UPRO PROSHARES ULTRAPRO S&P 500 LONG 1,700 40.32 4/5/24 9:45 67.21 0.33%
Trade id #146314958
Max drawdown($153)
Time11/2/23 10:13
Quant open1,700
Worst price40.23
Drawdown as % of equity-0.33%
 $45,708
Includes Typical Broker Commissions trade costs of $5.00
10/23/23 10:08 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 6,350 12.59 10/23 10:54 12.54 1.3%
Trade id #146204938
Max drawdown($603)
Time10/23/23 10:25
Quant open6,350
Worst price12.49
Drawdown as % of equity-1.30%
 ($323)
Includes Typical Broker Commissions trade costs of $5.00
10/11/23 9:41 UPRO PROSHARES ULTRAPRO S&P 500 LONG 1,810 43.45 10/23 10:07 38.72 21.12%
Trade id #146098578
Max drawdown($9,850)
Time10/23/23 9:43
Quant open1,810
Worst price38.01
Drawdown as % of equity-21.12%
 ($8,566)
Includes Typical Broker Commissions trade costs of $5.00
9/8/23 9:57 SHV ISHARES BARCLAYS SHORT TREASUR LONG 725 110.17 10/11 9:40 110.18 0.19%
Trade id #145769598
Max drawdown($101)
Time10/2/23 0:00
Quant open725
Worst price110.03
Drawdown as % of equity-0.19%
 $2
Includes Typical Broker Commissions trade costs of $5.00
8/30/23 10:08 UPRO PROSHARES ULTRAPRO S&P 500 LONG 1,640 48.73 9/8 9:57 46.64 8.66%
Trade id #145687658
Max drawdown($4,780)
Time9/7/23 0:00
Quant open1,640
Worst price45.81
Drawdown as % of equity-8.66%
 ($3,433)
Includes Typical Broker Commissions trade costs of $5.00
8/18/23 10:44 SHV ISHARES BARCLAYS SHORT TREASUR LONG 725 110.30 8/30 10:07 110.44 0.02%
Trade id #145572703
Max drawdown($14)
Time8/18/23 15:21
Quant open725
Worst price110.28
Drawdown as % of equity-0.02%
 $97
Includes Typical Broker Commissions trade costs of $5.00
7/5/23 15:31 UPRO PROSHARES ULTRAPRO S&P 500 LONG 1,642 47.47 8/18 10:42 43.81 11.71%
Trade id #145124829
Max drawdown($6,912)
Time8/18/23 9:30
Quant open1,642
Worst price43.26
Drawdown as % of equity-11.71%
 ($6,015)
Includes Typical Broker Commissions trade costs of $5.00
6/27/23 10:52 SHV ISHARES BARCLAYS SHORT TREASUR LONG 725 110.36 7/5 15:30 110.03 0.39%
Trade id #145042749
Max drawdown($253)
Time7/3/23 0:00
Quant open725
Worst price110.01
Drawdown as % of equity-0.39%
 ($244)
Includes Typical Broker Commissions trade costs of $5.00
4/3/23 14:02 UPRO PROSHARES ULTRAPRO S&P 500 LONG 2,000 38.50 6/27 10:51 44.40 8.11%
Trade id #144158834
Max drawdown($4,150)
Time5/4/23 0:00
Quant open2,000
Worst price36.42
Drawdown as % of equity-8.11%
 $11,795
Includes Typical Broker Commissions trade costs of $5.00
3/13/23 12:13 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 4,900 16.03 4/3 14:01 13.50 25.4%
Trade id #143880400
Max drawdown($13,377)
Time4/3/23 10:22
Quant open4,900
Worst price13.30
Drawdown as % of equity-25.40%
 ($12,402)
Includes Typical Broker Commissions trade costs of $5.00
3/6/23 9:31 UPRO PROSHARES ULTRAPRO S&P 500 LONG 2,125 37.58 3/13 12:12 32.99 21.61%
Trade id #143784712
Max drawdown($13,812)
Time3/13/23 9:38
Quant open2,125
Worst price31.08
Drawdown as % of equity-21.61%
 ($9,759)
Includes Typical Broker Commissions trade costs of $5.00
2/23/23 9:34 SHV ISHARES BARCLAYS SHORT TREASUR LONG 725 110.19 3/6 9:30 110.02 0.23%
Trade id #143674162
Max drawdown($174)
Time3/1/23 0:00
Quant open725
Worst price109.95
Drawdown as % of equity-0.23%
 ($128)
Includes Typical Broker Commissions trade costs of $5.00
1/18/23 13:46 UPRO PROSHARES ULTRAPRO S&P 500 LONG 2,250 35.52 2/23 9:31 36.76 5.86%
Trade id #143257062
Max drawdown($4,162)
Time1/19/23 0:00
Quant open2,250
Worst price33.67
Drawdown as % of equity-5.86%
 $2,785
Includes Typical Broker Commissions trade costs of $5.00
1/3/23 9:59 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 4,740 16.96 1/18 13:45 15.45 15.05%
Trade id #143072771
Max drawdown($10,570)
Time1/18/23 10:08
Quant open4,740
Worst price14.73
Drawdown as % of equity-15.05%
 ($7,162)
Includes Typical Broker Commissions trade costs of $5.00
2/24/22 9:35 SHV ISHARES BARCLAYS SHORT TREASUR LONG 770 110.32 1/3/23 9:56 109.93 0.57%
Trade id #139527519
Max drawdown($454)
Time12/15/22 0:00
Quant open770
Worst price109.73
Drawdown as % of equity-0.57%
 ($305)
Includes Typical Broker Commissions trade costs of $5.00
2/11/22 9:33 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 4,500 14.23 2/24 9:30 18.48 1.09%
Trade id #139353240
Max drawdown($675)
Time2/11/22 9:46
Quant open4,500
Worst price14.08
Drawdown as % of equity-1.09%
 $19,120
Includes Typical Broker Commissions trade costs of $5.00
2/1/22 9:46 UPRO PROSHARES ULTRAPRO S&P 500 LONG 1,010 63.85 2/11 9:30 63.79 3.97%
Trade id #139190658
Max drawdown($2,424)
Time2/4/22 0:00
Quant open1,010
Worst price61.45
Drawdown as % of equity-3.97%
 ($66)
Includes Typical Broker Commissions trade costs of $5.00
1/27/22 10:06 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 4,420 15.38 2/1 9:43 14.43 7.99%
Trade id #139126183
Max drawdown($4,972)
Time2/1/22 9:35
Quant open4,420
Worst price14.26
Drawdown as % of equity-7.99%
 ($4,204)
Includes Typical Broker Commissions trade costs of $5.00
4/13/21 15:49 SHV ISHARES BARCLAYS SHORT TREASUR LONG 650 110.52 1/27/22 10:02 110.33 0.2%
Trade id #135131500
Max drawdown($134)
Time5/10/21 0:00
Quant open650
Worst price110.31
Drawdown as % of equity-0.20%
 ($129)
Includes Typical Broker Commissions trade costs of $5.00
2/5/21 9:31 UPRO PROSHARES ULTRAPRO S&P 500 LONG 700 85.00 4/13 15:46 102.03 13.94%
Trade id #133870973
Max drawdown($7,553)
Time3/4/21 0:00
Quant open700
Worst price74.21
Drawdown as % of equity-13.94%
 $11,916
Includes Typical Broker Commissions trade costs of $5.00
2/1/21 9:32 SHV ISHARES BARCLAYS SHORT TREASUR LONG 535 110.52 2/5 9:30 110.52 0.01%
Trade id #133751931
Max drawdown($5)
Time2/1/21 9:35
Quant open535
Worst price110.51
Drawdown as % of equity-0.01%
 ($5)
Includes Typical Broker Commissions trade costs of $5.00
1/4/21 9:32 UPRO PROSHARES ULTRAPRO S&P 500 LONG 770 77.57 2/1 9:30 76.26 8.71%
Trade id #133153446
Max drawdown($4,851)
Time1/4/21 12:15
Quant open770
Worst price71.27
Drawdown as % of equity-8.71%
 ($1,014)
Includes Typical Broker Commissions trade costs of $5.00
4/7/20 9:33 SHV ISHARES BARCLAYS SHORT TREASUR LONG 540 110.92 1/4/21 9:30 110.52 0.64%
Trade id #128451326
Max drawdown($379)
Time9/18/20 0:00
Quant open540
Worst price110.22
Drawdown as % of equity-0.64%
 ($221)
Includes Typical Broker Commissions trade costs of $5.00
3/27/20 9:33 UPRO PROSHARES ULTRAPRO S&P 500 LONG 1,900 26.49 4/7 9:30 32.43 11.91%
Trade id #128283973
Max drawdown($6,194)
Time4/1/20 0:00
Quant open1,900
Worst price23.23
Drawdown as % of equity-11.91%
 $11,281
Includes Typical Broker Commissions trade costs of $5.00
3/12/20 15:32 SHV ISHARES BARCLAYS SHORT TREASUR LONG 450 110.97 3/27 9:31 111.07 0.34%
Trade id #128013638
Max drawdown($171)
Time3/23/20 0:00
Quant open450
Worst price110.59
Drawdown as % of equity-0.34%
 $36
Includes Typical Broker Commissions trade costs of $9.00
Next

Statistics

  • Strategy began
    3/12/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1499.4
  • Age
    50 months ago
  • What it trades
    Stocks
  • # Trades
    26
  • # Profitable
    10
  • % Profitable
    38.50%
  • Avg trade duration
    57.3 days
  • Max peak-to-valley drawdown
    46.88%
  • drawdown period
    Feb 02, 2023 - Oct 24, 2023
  • Annual Return (Compounded)
    15.6%
  • Avg win
    $10,294
  • Avg loss
    $3,368
  • Model Account Values (Raw)
  • Cash
    $54,767
  • Margin Used
    $0
  • Buying Power
    $54,923
  • Ratios
  • W:L ratio
    1.98:1
  • Sharpe Ratio
    0.52
  • Sortino Ratio
    0.85
  • Calmar Ratio
    0.655
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -18.66%
  • Correlation to SP500
    0.25630
  • Return Percent SP500 (cumu) during strategy life
    100.24%
  • Return Statistics
  • Ann Return (w trading costs)
    15.6%
  • Slump
  • Current Slump as Pcnt Equity
    4.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • 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)
    0.156%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    19.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    47.00%
  • Chance of 20% account loss
    22.50%
  • Chance of 30% account loss
    7.50%
  • Chance of 40% account loss
    0.50%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    434
  • Popularity (Last 6 weeks)
    555
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    267
  • Popularity (7 days, Percentile 1000 scale)
    325
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $3,368
  • Avg Win
    $10,294
  • Sum Trade PL (losers)
    $53,896.000
  • Age
  • Num Months filled monthly returns table
    50
  • Win / Loss
  • Sum Trade PL (winners)
    $102,945.000
  • # Winners
    10
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    3522
  • Win / Loss
  • # Losers
    16
  • % Winners
    38.5%
  • Frequency
  • Avg Position Time (mins)
    82490.00
  • Avg Position Time (hrs)
    1374.83
  • Avg Trade Length
    57.3 days
  • Last Trade Ago
    15
  • Leverage
  • Daily leverage (average)
    1.85
  • Daily leverage (max)
    5.14
  • Regression
  • Alpha
    0.03
  • Beta
    0.31
  • Treynor Index
    0.14
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.07
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.62
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.09
  • Avg(MAE) / Avg(PL) - All trades
    1.973
  • 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
    0.21
  • Avg(MAE) / Avg(PL) - Winning trades
    0.225
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.365
  • Hold-and-Hope Ratio
    0.507
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29757
  • SD
    0.41846
  • Sharpe ratio (Glass type estimate)
    0.71110
  • Sharpe ratio (Hedges UMVUE)
    0.69617
  • df
    36.00000
  • t
    1.24865
  • p
    0.10993
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42182
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83441
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43155
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82388
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.55761
  • Upside Potential Ratio
    2.98403
  • Upside part of mean
    0.57007
  • Downside part of mean
    -0.27251
  • Upside SD
    0.37584
  • Downside SD
    0.19104
  • N nonnegative terms
    13.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.23344
  • Mean of criterion
    0.29757
  • SD of predictor
    0.18140
  • SD of criterion
    0.41846
  • Covariance
    0.03132
  • r
    0.41264
  • b (slope, estimate of beta)
    0.95188
  • a (intercept, estimate of alpha)
    0.07536
  • Mean Square Error
    0.14944
  • DF error
    35.00000
  • t(b)
    2.68001
  • p(b)
    0.00557
  • t(a)
    0.32033
  • p(a)
    0.37531
  • Lowerbound of 95% confidence interval for beta
    0.23083
  • Upperbound of 95% confidence interval for beta
    1.67294
  • Lowerbound of 95% confidence interval for alpha
    -0.40223
  • Upperbound of 95% confidence interval for alpha
    0.55294
  • Treynor index (mean / b)
    0.31261
  • Jensen alpha (a)
    0.07536
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21660
  • SD
    0.39291
  • Sharpe ratio (Glass type estimate)
    0.55127
  • Sharpe ratio (Hedges UMVUE)
    0.53969
  • df
    36.00000
  • t
    0.96800
  • p
    0.16975
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57584
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67092
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58344
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66282
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.02238
  • Upside Potential Ratio
    2.40430
  • Upside part of mean
    0.50936
  • Downside part of mean
    -0.29277
  • Upside SD
    0.33050
  • Downside SD
    0.21185
  • N nonnegative terms
    13.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.21515
  • Mean of criterion
    0.21660
  • SD of predictor
    0.17922
  • SD of criterion
    0.39291
  • Covariance
    0.02750
  • r
    0.39047
  • b (slope, estimate of beta)
    0.85603
  • a (intercept, estimate of alpha)
    0.03242
  • Mean Square Error
    0.13458
  • DF error
    35.00000
  • t(b)
    2.50923
  • p(b)
    0.00844
  • t(a)
    0.14642
  • p(a)
    0.44222
  • Lowerbound of 95% confidence interval for beta
    0.16345
  • Upperbound of 95% confidence interval for beta
    1.54862
  • Lowerbound of 95% confidence interval for alpha
    -0.41712
  • Upperbound of 95% confidence interval for alpha
    0.48196
  • Treynor index (mean / b)
    0.25302
  • Jensen alpha (a)
    0.03242
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15508
  • Expected Shortfall on VaR
    0.19349
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06091
  • Expected Shortfall on VaR
    0.12387
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    37.00000
  • Minimum
    0.74668
  • Quartile 1
    0.99969
  • Median
    0.99999
  • Quartile 3
    1.02523
  • Maximum
    1.37778
  • Mean of quarter 1
    0.92154
  • Mean of quarter 2
    0.99989
  • Mean of quarter 3
    1.00699
  • Mean of quarter 4
    1.19181
  • Inter Quartile Range
    0.02554
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.18919
  • Mean of outliers low
    0.89316
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.16216
  • Mean of outliers high
    1.26175
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -33.00550
  • VaR(95%) (moments method)
    0.00415
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.65465
  • VaR(95%) (regression method)
    0.10097
  • Expected Shortfall (regression method)
    0.12340
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00013
  • Quartile 1
    0.00070
  • Median
    0.06674
  • Quartile 3
    0.09418
  • Maximum
    0.36591
  • Mean of quarter 1
    0.00042
  • Mean of quarter 2
    0.06674
  • Mean of quarter 3
    0.09418
  • Mean of quarter 4
    0.36591
  • Inter Quartile Range
    0.09348
  • 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
    0.20000
  • Mean of outliers high
    0.36591
  • 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)
    0.36494
  • Compounded annual return (geometric extrapolation)
    0.27699
  • Calmar ratio (compounded annual return / max draw down)
    0.75698
  • Compounded annual return / average of 25% largest draw downs
    0.75698
  • Compounded annual return / Expected Shortfall lognormal
    1.43154
  • 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
    0.23694
  • SD
    0.26589
  • Sharpe ratio (Glass type estimate)
    0.89111
  • Sharpe ratio (Hedges UMVUE)
    0.89030
  • df
    818.00000
  • t
    1.57552
  • p
    0.05776
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21855
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00024
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21910
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99969
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.44590
  • Upside Potential Ratio
    6.54678
  • Upside part of mean
    1.07282
  • Downside part of mean
    -0.83588
  • Upside SD
    0.20970
  • Downside SD
    0.16387
  • N nonnegative terms
    271.00000
  • N negative terms
    548.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    819.00000
  • Mean of predictor
    0.22352
  • Mean of criterion
    0.23694
  • SD of predictor
    0.24161
  • SD of criterion
    0.26589
  • Covariance
    0.01576
  • r
    0.24534
  • b (slope, estimate of beta)
    0.27000
  • a (intercept, estimate of alpha)
    0.17700
  • Mean Square Error
    0.06652
  • DF error
    817.00000
  • t(b)
    7.23381
  • p(b)
    -0.00000
  • t(a)
    1.20852
  • p(a)
    0.11360
  • Lowerbound of 95% confidence interval for beta
    0.19674
  • Upperbound of 95% confidence interval for beta
    0.34327
  • Lowerbound of 95% confidence interval for alpha
    -0.11023
  • Upperbound of 95% confidence interval for alpha
    0.46340
  • Treynor index (mean / b)
    0.87755
  • Jensen alpha (a)
    0.17659
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20204
  • SD
    0.26308
  • Sharpe ratio (Glass type estimate)
    0.76800
  • Sharpe ratio (Hedges UMVUE)
    0.76729
  • df
    818.00000
  • t
    1.35785
  • p
    0.08744
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34141
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87694
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34188
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87647
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.19892
  • Upside Potential Ratio
    6.24116
  • Upside part of mean
    1.05177
  • Downside part of mean
    -0.84973
  • Upside SD
    0.20220
  • Downside SD
    0.16852
  • N nonnegative terms
    271.00000
  • N negative terms
    548.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    819.00000
  • Mean of predictor
    0.19422
  • Mean of criterion
    0.20204
  • SD of predictor
    0.24201
  • SD of criterion
    0.26308
  • Covariance
    0.01555
  • r
    0.24424
  • b (slope, estimate of beta)
    0.26550
  • a (intercept, estimate of alpha)
    0.15048
  • Mean Square Error
    0.06516
  • DF error
    817.00000
  • t(b)
    7.19904
  • p(b)
    -0.00000
  • t(a)
    1.04097
  • p(a)
    0.14910
  • Lowerbound of 95% confidence interval for beta
    0.19311
  • Upperbound of 95% confidence interval for beta
    0.33789
  • Lowerbound of 95% confidence interval for alpha
    -0.13327
  • Upperbound of 95% confidence interval for alpha
    0.43423
  • Treynor index (mean / b)
    0.76100
  • Jensen alpha (a)
    0.15048
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02563
  • Expected Shortfall on VaR
    0.03221
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00864
  • Expected Shortfall on VaR
    0.01876
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    819.00000
  • Minimum
    0.87411
  • Quartile 1
    0.99991
  • Median
    1.00000
  • Quartile 3
    1.00038
  • Maximum
    1.15681
  • Mean of quarter 1
    0.98754
  • Mean of quarter 2
    0.99997
  • Mean of quarter 3
    1.00009
  • Mean of quarter 4
    1.01644
  • Inter Quartile Range
    0.00047
  • Number outliers low
    150.00000
  • Percentage of outliers low
    0.18315
  • Mean of outliers low
    0.98306
  • Number of outliers high
    174.00000
  • Percentage of outliers high
    0.21245
  • Mean of outliers high
    1.01925
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.39455
  • VaR(95%) (moments method)
    0.00486
  • Expected Shortfall (moments method)
    0.01125
  • Extreme Value Index (regression method)
    0.07282
  • VaR(95%) (regression method)
    0.01317
  • Expected Shortfall (regression method)
    0.02390
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00013
  • Median
    0.00202
  • Quartile 3
    0.03821
  • Maximum
    0.39479
  • Mean of quarter 1
    0.00006
  • Mean of quarter 2
    0.00105
  • Mean of quarter 3
    0.01525
  • Mean of quarter 4
    0.15885
  • Inter Quartile Range
    0.03807
  • 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
    0.21739
  • Mean of outliers high
    0.18251
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.60073
  • VaR(95%) (moments method)
    0.11622
  • Expected Shortfall (moments method)
    0.11744
  • Extreme Value Index (regression method)
    0.12147
  • VaR(95%) (regression method)
    0.17488
  • Expected Shortfall (regression method)
    0.27949
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33654
  • Compounded annual return (geometric extrapolation)
    0.25854
  • Calmar ratio (compounded annual return / max draw down)
    0.65488
  • Compounded annual return / average of 25% largest draw downs
    1.62760
  • Compounded annual return / Expected Shortfall lognormal
    8.02761
  • 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
    0.53723
  • SD
    0.30344
  • Sharpe ratio (Glass type estimate)
    1.77044
  • Sharpe ratio (Hedges UMVUE)
    1.76020
  • df
    130.00000
  • t
    1.25189
  • p
    0.44543
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01298
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.54720
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01985
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.54026
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.25458
  • Upside Potential Ratio
    10.24740
  • Upside part of mean
    1.69152
  • Downside part of mean
    -1.15430
  • Upside SD
    0.25540
  • Downside SD
    0.16507
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16409
  • Mean of criterion
    0.53723
  • SD of predictor
    0.14094
  • SD of criterion
    0.30344
  • Covariance
    0.02831
  • r
    0.66192
  • b (slope, estimate of beta)
    1.42515
  • a (intercept, estimate of alpha)
    0.30337
  • Mean Square Error
    0.05214
  • DF error
    129.00000
  • t(b)
    10.02970
  • p(b)
    0.11181
  • t(a)
    0.93704
  • p(a)
    0.44771
  • Lowerbound of 95% confidence interval for beta
    1.14401
  • Upperbound of 95% confidence interval for beta
    1.70628
  • Lowerbound of 95% confidence interval for alpha
    -0.33718
  • Upperbound of 95% confidence interval for alpha
    0.94392
  • Treynor index (mean / b)
    0.37696
  • Jensen alpha (a)
    0.30337
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49194
  • SD
    0.29879
  • Sharpe ratio (Glass type estimate)
    1.64647
  • Sharpe ratio (Hedges UMVUE)
    1.63695
  • df
    130.00000
  • t
    1.16423
  • p
    0.44921
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.13558
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.42235
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14199
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.41589
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.93354
  • Upside Potential Ratio
    9.89908
  • Upside part of mean
    1.66003
  • Downside part of mean
    -1.16809
  • Upside SD
    0.24778
  • Downside SD
    0.16770
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15423
  • Mean of criterion
    0.49194
  • SD of predictor
    0.14040
  • SD of criterion
    0.29879
  • Covariance
    0.02770
  • r
    0.66034
  • b (slope, estimate of beta)
    1.40528
  • a (intercept, estimate of alpha)
    0.27521
  • Mean Square Error
    0.05074
  • DF error
    129.00000
  • t(b)
    9.98704
  • p(b)
    0.11257
  • t(a)
    0.86196
  • p(a)
    0.45187
  • VAR (95 Confidence Intrvl)
    0.02600
  • Lowerbound of 95% confidence interval for beta
    1.12688
  • Upperbound of 95% confidence interval for beta
    1.68368
  • Lowerbound of 95% confidence interval for alpha
    -0.35650
  • Upperbound of 95% confidence interval for alpha
    0.90692
  • Treynor index (mean / b)
    0.35007
  • Jensen alpha (a)
    0.27521
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02808
  • Expected Shortfall on VaR
    0.03553
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00926
  • Expected Shortfall on VaR
    0.01947
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94841
  • Quartile 1
    0.99598
  • Median
    1.00017
  • Quartile 3
    1.00615
  • Maximum
    1.10861
  • Mean of quarter 1
    0.98330
  • Mean of quarter 2
    0.99944
  • Mean of quarter 3
    1.00159
  • Mean of quarter 4
    1.02429
  • Inter Quartile Range
    0.01017
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.97044
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.04122
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17031
  • VaR(95%) (moments method)
    0.01339
  • Expected Shortfall (moments method)
    0.02128
  • Extreme Value Index (regression method)
    0.09955
  • VaR(95%) (regression method)
    0.01671
  • Expected Shortfall (regression method)
    0.02598
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00068
  • Quartile 1
    0.00375
  • Median
    0.03118
  • Quartile 3
    0.04541
  • Maximum
    0.30291
  • Mean of quarter 1
    0.00081
  • Mean of quarter 2
    0.01887
  • Mean of quarter 3
    0.03588
  • Mean of quarter 4
    0.17893
  • Inter Quartile Range
    0.04166
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.30291
  • 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?
    -322215000
  • Max Equity Drawdown (num days)
    264
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.59366
  • Compounded annual return (geometric extrapolation)
    0.68177
  • Calmar ratio (compounded annual return / max draw down)
    2.25072
  • Compounded annual return / average of 25% largest draw downs
    3.81023
  • Compounded annual return / Expected Shortfall lognormal
    19.18960

Strategy Description

System seeks absolute annual return of 13%-20% per year. *
System is macro long/short, designed to work in bull, bear, and sideways markets.
System developed using extensive back testing and live testing.

*Of course, these are goals only. No performance can be guaranteed, and the actual real-world results may be vastly different from these goals.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-03-12
Suggested Minimum Capital
$15,000
# Trades
26
# Profitable
10
% Profitable
38.5%
Net Dividends
$3,522
Correlation S&P500
0.256
Sharpe Ratio
0.52
Sortino Ratio
0.85
Beta
0.31
Alpha
0.03
Leverage
1.85 Average
5.14 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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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.