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

Mega Capital Growth
(130046986)

Created by: EnnoHochhuth3 EnnoHochhuth3
Started: 07/2020
Stocks
Last trade: 8 days ago
Trading style: Equity Non-hedged Equity Trend-following

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 $199.00 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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
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.
119.7%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(19.3%)
Max Drawdown
129
Num Trades
73.6%
Win Trades
3.3 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                          (0.5%)+3.3%(1.8%)(9.1%)+36.3%+6.6%+33.3%
2021+51.4%+16.0%+1.3%(5.6%)                                                +68.0%

Model Account Details

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

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

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

Trading Record

This strategy has placed 195 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/30/21 11:22 TZA2101P30 TZA Apr1'21 30 put LONG 10 0.04 4/2 8:05 0.00 0.02%
Trade id #134930350
Max drawdown($28)
Time3/31/21 0:00
Quant open10
Worst price0.01
Drawdown as % of equity-0.02%
($46)
Includes Typical Broker Commissions trade costs of $7.00
3/23/21 12:18 UVXY2101D7 UVXY Apr1'21 7 call SHORT 7 0.31 4/2 8:05 0.00 0.17%
Trade id #134813335
Max drawdown($195)
Time3/25/21 0:00
Quant open5
Worst price0.65
Drawdown as % of equity-0.17%
$211
Includes Typical Broker Commissions trade costs of $4.90
3/30/21 11:22 TZA2101P34.5 TZA Apr1'21 34.5 put SHORT 10 0.74 4/2 8:05 0.00 1.11%
Trade id #134930354
Max drawdown($1,282)
Time4/1/21 0:00
Quant open10
Worst price2.02
Drawdown as % of equity-1.11%
$731
Includes Typical Broker Commissions trade costs of $7.00
3/25/21 13:48 UVXY2101P5 UVXY Apr1'21 5 put LONG 10 0.02 4/2 8:05 0.00 0.01%
Trade id #134866006
Max drawdown($10)
Time3/25/21 14:57
Quant open10
Worst price0.01
Drawdown as % of equity-0.01%
($27)
Includes Typical Broker Commissions trade costs of $7.00
3/23/21 12:19 UVXY2101D7.5 UVXY Apr1'21 7.5 call SHORT 5 0.20 4/2 8:05 0.00 0.12%
Trade id #134813364
Max drawdown($145)
Time3/25/21 0:00
Quant open5
Worst price0.49
Drawdown as % of equity-0.12%
$97
Includes Typical Broker Commissions trade costs of $3.50
3/25/21 13:48 UVXY2101P6 UVXY Apr1'21 6 put SHORT 10 0.15 3/31 16:04 0.42 0.38%
Trade id #134866018
Max drawdown($440)
Time3/31/21 10:01
Quant open10
Worst price0.59
Drawdown as % of equity-0.38%
($284)
Includes Typical Broker Commissions trade costs of $14.00
3/19/21 15:48 UVXY2126O5.5 UVXY Mar26'21 5.5 put LONG 10 0.02 3/27 9:36 0.00 0.01%
Trade id #134741065
Max drawdown($10)
Time3/22/21 0:00
Quant open10
Worst price0.01
Drawdown as % of equity-0.01%
($27)
Includes Typical Broker Commissions trade costs of $7.00
3/24/21 11:14 TZA DIREXION DAILY SMALL CAP BEAR LONG 100 35.16 3/25 13:20 37.43 n/a $225
Includes Typical Broker Commissions trade costs of $2.00
3/15/21 15:29 UVXY2126O6 UVXY Mar26'21 6 put LONG 10 0.03 3/24 11:17 0.13 0.01%
Trade id #134626499
Max drawdown($10)
Time3/15/21 15:32
Quant open10
Worst price0.02
Drawdown as % of equity-0.01%
$86
Includes Typical Broker Commissions trade costs of $14.00
3/12/21 10:28 GEO2119C8 GEO Mar19'21 8 call SHORT 16 0.22 3/20 9:36 0.00 0.31%
Trade id #134586854
Max drawdown($367)
Time3/15/21 0:00
Quant open16
Worst price0.45
Drawdown as % of equity-0.31%
$342
Includes Typical Broker Commissions trade costs of $11.20
3/15/21 14:29 UVXY2119O7 UVXY Mar19'21 7 put SHORT 10 0.22 3/20 9:36 0.00 0.28%
Trade id #134624942
Max drawdown($330)
Time3/17/21 0:00
Quant open10
Worst price0.55
Drawdown as % of equity-0.28%
$213
Includes Typical Broker Commissions trade costs of $7.00
3/5/21 10:50 SQQQ2119O12.5 SQQQ Mar19'21 12.5 put LONG 12 0.06 3/20 9:35 0.00 0.05%
Trade id #134448202
Max drawdown($60)
Time3/18/21 0:00
Quant open12
Worst price0.01
Drawdown as % of equity-0.05%
($80)
Includes Typical Broker Commissions trade costs of $8.40
3/1/21 9:41 GEO2119O7 GEO Mar19'21 7 put SHORT 10 0.22 3/20 9:35 0.00 0.03%
Trade id #134337356
Max drawdown($36)
Time3/1/21 10:00
Quant open10
Worst price0.26
Drawdown as % of equity-0.03%
$216
Includes Typical Broker Commissions trade costs of $7.00
3/12/21 13:01 UVXY2119C10 UVXY Mar19'21 10 call SHORT 10 0.13 3/20 9:35 0.00 0.12%
Trade id #134591106
Max drawdown($140)
Time3/17/21 0:00
Quant open10
Worst price0.27
Drawdown as % of equity-0.12%
$123
Includes Typical Broker Commissions trade costs of $7.00
3/15/21 14:29 UVXY2119O6.5 UVXY Mar19'21 6.5 put LONG 10 0.04 3/20 9:35 0.00 0.03%
Trade id #134624936
Max drawdown($30)
Time3/16/21 0:00
Quant open10
Worst price0.01
Drawdown as % of equity-0.03%
($47)
Includes Typical Broker Commissions trade costs of $7.00
3/5/21 10:44 SDOW2119O12 SDOW Mar19'21 12 put SHORT 10 0.66 3/20 9:35 0.61 1.5%
Trade id #134447885
Max drawdown($1,792)
Time3/18/21 0:00
Quant open10
Worst price2.45
Drawdown as % of equity-1.50%
$42
Includes Typical Broker Commissions trade costs of $9.10
3/5/21 10:41 SQQQ2119O15.5 SQQQ Mar19'21 15.5 put SHORT 12 0.92 3/20 9:35 0.53 1.81%
Trade id #134447721
Max drawdown($2,166)
Time3/17/21 0:00
Quant open12
Worst price2.73
Drawdown as % of equity-1.81%
$459
Includes Typical Broker Commissions trade costs of $11.20
3/12/21 10:06 VERO VENUS CONCEPT INC LONG 2,000 2.59 3/19 10:11 2.70 0.28%
Trade id #134586287
Max drawdown($329)
Time3/17/21 0:00
Quant open2,000
Worst price2.43
Drawdown as % of equity-0.28%
$197
Includes Typical Broker Commissions trade costs of $5.00
2/22/21 13:05 LEE2118R2.5 LEE Jun18'21 2.5 put SHORT 40 0.66 3/18 12:18 0.65 0.39%
Trade id #134198819
Max drawdown($447)
Time2/23/21 0:00
Quant open40
Worst price0.77
Drawdown as % of equity-0.39%
($24)
Includes Typical Broker Commissions trade costs of $56.00
3/5/21 10:49 SDOW2119O10 SDOW Mar19'21 10 put LONG 12 0.08 3/18 10:22 0.31 0.03%
Trade id #134448140
Max drawdown($36)
Time3/8/21 0:00
Quant open12
Worst price0.05
Drawdown as % of equity-0.03%
$257
Includes Typical Broker Commissions trade costs of $16.80
2/12/21 11:08 CXW2119O7 CXW Mar19'21 7 put SHORT 5 0.39 3/15 11:17 0.05 0.07%
Trade id #134036215
Max drawdown($78)
Time2/18/21 0:00
Quant open5
Worst price0.55
Drawdown as % of equity-0.07%
$167
Includes Typical Broker Commissions trade costs of $7.00
3/5/21 9:38 CXW CORECIVIC INC LONG 500 7.88 3/12 10:27 8.40 0.17%
Trade id #134443597
Max drawdown($199)
Time3/5/21 11:42
Quant open500
Worst price7.48
Drawdown as % of equity-0.17%
$252
Includes Typical Broker Commissions trade costs of $10.00
3/5/21 10:55 RKT ROCKET COMPANIES INC LONG 200 24.82 3/8 10:00 25.02 0.22%
Trade id #134448505
Max drawdown($268)
Time3/5/21 11:29
Quant open200
Worst price23.48
Drawdown as % of equity-0.22%
$36
Includes Typical Broker Commissions trade costs of $4.00
2/18/21 9:53 SDOW PROSHARES ULTRAPRO SHORT DOW30 LONG 1,250 11.48 3/5 10:42 11.82 0.44%
Trade id #134132178
Max drawdown($495)
Time2/24/21 0:00
Quant open750
Worst price10.88
Drawdown as % of equity-0.44%
$416
Includes Typical Broker Commissions trade costs of $20.00
3/3/21 14:39 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,100 14.86 3/5 10:42 15.84 0.23%
Trade id #134398253
Max drawdown($275)
Time3/4/21 0:00
Quant open1,100
Worst price14.61
Drawdown as % of equity-0.23%
$1,064
Includes Typical Broker Commissions trade costs of $13.50
3/4/21 9:53 RKT ROCKET COMPANIES INC LONG 200 28.13 3/4 11:20 29.30 0.46%
Trade id #134414348
Max drawdown($549)
Time3/4/21 10:19
Quant open200
Worst price25.38
Drawdown as % of equity-0.46%
$231
Includes Typical Broker Commissions trade costs of $4.00
3/3/21 14:46 RKT ROCKET COMPANIES INC LONG 200 28.96 3/4 9:40 29.72 0.24%
Trade id #134398452
Max drawdown($279)
Time3/3/21 15:25
Quant open200
Worst price27.56
Drawdown as % of equity-0.24%
$149
Includes Typical Broker Commissions trade costs of $4.00
8/18/20 15:51 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,120 15.05 3/3/21 14:36 14.93 3.34%
Trade id #130675922
Max drawdown($3,689)
Time2/16/21 0:00
Quant open1,120
Worst price11.76
Drawdown as % of equity-3.34%
($154)
Includes Typical Broker Commissions trade costs of $13.70
2/16/21 10:49 LEE LEE ENTERPRISES LONG 10,000 2.23 3/3 10:58 2.61 1.55%
Trade id #134085976
Max drawdown($1,774)
Time2/18/21 0:00
Quant open10,000
Worst price2.05
Drawdown as % of equity-1.55%
$3,828
Includes Typical Broker Commissions trade costs of $15.00
2/22/21 12:59 LEE2118F2.5 LEE Jun18'21 2.5 call SHORT 60 0.43 3/3 10:58 0.89 2.38%
Trade id #134198630
Max drawdown($2,840)
Time3/3/21 10:58
Quant open60
Worst price0.90
Drawdown as % of equity-2.38%
($2,874)
Includes Typical Broker Commissions trade costs of $84.00

Statistics

  • Strategy began
    7/13/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    271.02
  • Age
    9 months ago
  • What it trades
    Stocks, Options
  • # Trades
    129
  • # Profitable
    95
  • % Profitable
    73.60%
  • Avg trade duration
    17.0 days
  • Max peak-to-valley drawdown
    19.31%
  • drawdown period
    Aug 18, 2020 - Nov 06, 2020
  • Cumul. Return
    119.7%
  • Avg win
    $994.59
  • Avg loss
    $864.21
  • Model Account Values (Raw)
  • Cash
    $37,598
  • Margin Used
    $16,097
  • Buying Power
    $16,271
  • Ratios
  • W:L ratio
    3.33:1
  • Sharpe Ratio
    2.21
  • Sortino Ratio
    5.08
  • Calmar Ratio
    12.957
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    88.83%
  • Correlation to SP500
    0.04950
  • Return Percent SP500 (cumu) during strategy life
    30.86%
  • Return Statistics
  • Ann Return (w trading costs)
    184.6%
  • Slump
  • Current Slump as Pcnt Equity
    10.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.07%
  • Instruments
  • Short Options - Percent Covered
    36.11%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.197%
  • Instruments
  • Percent Trades Options
    0.28%
  • Percent Trades Stocks
    0.72%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    203.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    15.50%
  • Chance of 20% account loss
    2.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    988
  • Popularity (Last 6 weeks)
    996
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    903
  • Popularity (7 days, Percentile 1000 scale)
    992
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $975
  • Avg Win
    $1,007
  • Sum Trade PL (losers)
    $33,161.000
  • AUM
  • AUM (AutoTrader num accounts)
    3
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $95,656.000
  • # Winners
    95
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    1752
  • AUM
  • AUM (AutoTrader live capital)
    246771
  • Win / Loss
  • # Losers
    34
  • % Winners
    73.6%
  • Frequency
  • Avg Position Time (mins)
    24520.70
  • Avg Position Time (hrs)
    408.68
  • Avg Trade Length
    17.0 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.09
  • Daily leverage (max)
    7.37
  • Regression
  • Alpha
    0.31
  • Beta
    0.14
  • Treynor Index
    2.37
  • 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)
    1.39
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.346
  • 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
    0.771
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.207
  • Hold-and-Hope Ratio
    0.468
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.50088
  • SD
    0.57893
  • Sharpe ratio (Glass type estimate)
    2.59249
  • Sharpe ratio (Hedges UMVUE)
    2.30266
  • df
    7.00000
  • t
    2.11676
  • p
    0.03603
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22110
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.26908
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38380
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.98912
  • Statistics related to Sortino ratio
  • Sortino ratio
    25.16800
  • Upside Potential Ratio
    26.39270
  • Upside part of mean
    1.57392
  • Downside part of mean
    -0.07304
  • Upside SD
    0.69097
  • Downside SD
    0.05963
  • N nonnegative terms
    7.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.32675
  • Mean of criterion
    1.50088
  • SD of predictor
    0.08905
  • SD of criterion
    0.57893
  • Covariance
    -0.00020
  • r
    -0.00381
  • b (slope, estimate of beta)
    -0.02476
  • a (intercept, estimate of alpha)
    1.50897
  • Mean Square Error
    0.39102
  • DF error
    6.00000
  • t(b)
    -0.00933
  • p(b)
    0.50357
  • t(a)
    1.30424
  • p(a)
    0.11997
  • Lowerbound of 95% confidence interval for beta
    -6.51915
  • Upperbound of 95% confidence interval for beta
    6.46963
  • Lowerbound of 95% confidence interval for alpha
    -1.32209
  • Upperbound of 95% confidence interval for alpha
    4.34003
  • Treynor index (mean / b)
    -60.61910
  • Jensen alpha (a)
    1.50897
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.30195
  • SD
    0.49262
  • Sharpe ratio (Glass type estimate)
    2.64287
  • Sharpe ratio (Hedges UMVUE)
    2.34741
  • df
    7.00000
  • t
    2.15790
  • p
    0.03391
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18395
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.33143
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34966
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.04447
  • Statistics related to Sortino ratio
  • Sortino ratio
    21.34700
  • Upside Potential Ratio
    22.57170
  • Upside part of mean
    1.37664
  • Downside part of mean
    -0.07470
  • Upside SD
    0.59151
  • Downside SD
    0.06099
  • N nonnegative terms
    7.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.31837
  • Mean of criterion
    1.30195
  • SD of predictor
    0.08647
  • SD of criterion
    0.49262
  • Covariance
    -0.00095
  • r
    -0.02220
  • b (slope, estimate of beta)
    -0.12649
  • a (intercept, estimate of alpha)
    1.34222
  • Mean Square Error
    0.28299
  • DF error
    6.00000
  • t(b)
    -0.05440
  • p(b)
    0.52081
  • t(a)
    1.36103
  • p(a)
    0.11120
  • Lowerbound of 95% confidence interval for beta
    -5.81643
  • Upperbound of 95% confidence interval for beta
    5.56346
  • Lowerbound of 95% confidence interval for alpha
    -1.07090
  • Upperbound of 95% confidence interval for alpha
    3.75533
  • Treynor index (mean / b)
    -10.29310
  • Jensen alpha (a)
    1.34222
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11787
  • Expected Shortfall on VaR
    0.16763
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00390
  • Expected Shortfall on VaR
    0.01292
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.95364
  • Quartile 1
    1.01913
  • Median
    1.04365
  • Quartile 3
    1.25421
  • Maximum
    1.43481
  • Mean of quarter 1
    0.98335
  • Mean of quarter 2
    1.02989
  • Mean of quarter 3
    1.15122
  • Mean of quarter 4
    1.34514
  • Inter Quartile Range
    0.23508
  • 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)
    0.00000
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.04636
  • Quartile 1
    0.04636
  • Median
    0.04636
  • Quartile 3
    0.04636
  • Maximum
    0.04636
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.14018
  • Compounded annual return (geometric extrapolation)
    2.78049
  • Calmar ratio (compounded annual return / max draw down)
    59.97200
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    16.58700
  • 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
    1.26719
  • SD
    0.44014
  • Sharpe ratio (Glass type estimate)
    2.87907
  • Sharpe ratio (Hedges UMVUE)
    2.86732
  • df
    184.00000
  • t
    2.41929
  • p
    0.41221
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.52435
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.22612
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51654
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.21809
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.70541
  • Upside Potential Ratio
    13.43010
  • Upside part of mean
    2.53803
  • Downside part of mean
    -1.27083
  • Upside SD
    0.40385
  • Downside SD
    0.18898
  • N nonnegative terms
    92.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    185.00000
  • Mean of predictor
    0.36679
  • Mean of criterion
    1.26719
  • SD of predictor
    0.16485
  • SD of criterion
    0.44014
  • Covariance
    0.00312
  • r
    0.04307
  • b (slope, estimate of beta)
    0.11499
  • a (intercept, estimate of alpha)
    1.22500
  • Mean Square Error
    0.19442
  • DF error
    183.00000
  • t(b)
    0.58315
  • p(b)
    0.47259
  • t(a)
    2.31270
  • p(a)
    0.39323
  • Lowerbound of 95% confidence interval for beta
    -0.27406
  • Upperbound of 95% confidence interval for beta
    0.50404
  • Lowerbound of 95% confidence interval for alpha
    0.17993
  • Upperbound of 95% confidence interval for alpha
    2.27011
  • Treynor index (mean / b)
    11.02020
  • Jensen alpha (a)
    1.22502
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.17275
  • SD
    0.42390
  • Sharpe ratio (Glass type estimate)
    2.76659
  • Sharpe ratio (Hedges UMVUE)
    2.75529
  • df
    184.00000
  • t
    2.32477
  • p
    0.41554
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41345
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.11240
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40592
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.10467
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.06050
  • Upside Potential Ratio
    12.72240
  • Upside part of mean
    2.46187
  • Downside part of mean
    -1.28912
  • Upside SD
    0.38278
  • Downside SD
    0.19351
  • N nonnegative terms
    92.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    185.00000
  • Mean of predictor
    0.35295
  • Mean of criterion
    1.17275
  • SD of predictor
    0.16525
  • SD of criterion
    0.42390
  • Covariance
    0.00281
  • r
    0.04013
  • b (slope, estimate of beta)
    0.10295
  • a (intercept, estimate of alpha)
    1.13641
  • Mean Square Error
    0.18038
  • DF error
    183.00000
  • t(b)
    0.54337
  • p(b)
    0.47446
  • t(a)
    2.22899
  • p(a)
    0.39696
  • Lowerbound of 95% confidence interval for beta
    -0.27088
  • Upperbound of 95% confidence interval for beta
    0.47679
  • Lowerbound of 95% confidence interval for alpha
    0.13050
  • Upperbound of 95% confidence interval for alpha
    2.14231
  • Treynor index (mean / b)
    11.39090
  • Jensen alpha (a)
    1.13641
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03786
  • Expected Shortfall on VaR
    0.04829
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01106
  • Expected Shortfall on VaR
    0.02314
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    185.00000
  • Minimum
    0.92937
  • Quartile 1
    0.99536
  • Median
    1.00000
  • Quartile 3
    1.00691
  • Maximum
    1.20049
  • Mean of quarter 1
    0.98322
  • Mean of quarter 2
    0.99785
  • Mean of quarter 3
    1.00284
  • Mean of quarter 4
    1.03633
  • Inter Quartile Range
    0.01155
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.04865
  • Mean of outliers low
    0.95530
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.12432
  • Mean of outliers high
    1.05771
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53493
  • VaR(95%) (moments method)
    0.01646
  • Expected Shortfall (moments method)
    0.04007
  • Extreme Value Index (regression method)
    0.35134
  • VaR(95%) (regression method)
    0.01533
  • Expected Shortfall (regression method)
    0.02867
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00099
  • Quartile 1
    0.00676
  • Median
    0.01391
  • Quartile 3
    0.02228
  • Maximum
    0.17923
  • Mean of quarter 1
    0.00395
  • Mean of quarter 2
    0.01041
  • Mean of quarter 3
    0.01852
  • Mean of quarter 4
    0.07837
  • Inter Quartile Range
    0.01552
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.16000
  • Mean of outliers high
    0.10230
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.26471
  • VaR(95%) (moments method)
    0.06767
  • Expected Shortfall (moments method)
    0.11577
  • Extreme Value Index (regression method)
    0.33267
  • VaR(95%) (regression method)
    0.09055
  • Expected Shortfall (regression method)
    0.16992
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.88991
  • Compounded annual return (geometric extrapolation)
    2.32229
  • Calmar ratio (compounded annual return / max draw down)
    12.95730
  • Compounded annual return / average of 25% largest draw downs
    29.63080
  • Compounded annual return / Expected Shortfall lognormal
    48.08940
  • 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
    1.72051
  • SD
    0.50367
  • Sharpe ratio (Glass type estimate)
    3.41596
  • Sharpe ratio (Hedges UMVUE)
    3.39621
  • df
    130.00000
  • t
    2.41545
  • p
    0.39638
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.60688
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.21222
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.59383
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.19859
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.39404
  • Upside Potential Ratio
    15.35640
  • Upside part of mean
    3.14758
  • Downside part of mean
    -1.42707
  • Upside SD
    0.47014
  • Downside SD
    0.20497
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.43446
  • Mean of criterion
    1.72051
  • SD of predictor
    0.16121
  • SD of criterion
    0.50367
  • Covariance
    0.00597
  • r
    0.07349
  • b (slope, estimate of beta)
    0.22960
  • a (intercept, estimate of alpha)
    1.62076
  • Mean Square Error
    0.25427
  • DF error
    129.00000
  • t(b)
    0.83692
  • p(b)
    0.45326
  • t(a)
    2.24168
  • p(a)
    0.37750
  • Lowerbound of 95% confidence interval for beta
    -0.31319
  • Upperbound of 95% confidence interval for beta
    0.77240
  • Lowerbound of 95% confidence interval for alpha
    0.19027
  • Upperbound of 95% confidence interval for alpha
    3.05126
  • Treynor index (mean / b)
    7.49345
  • Jensen alpha (a)
    1.62076
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.59602
  • SD
    0.48381
  • Sharpe ratio (Glass type estimate)
    3.29886
  • Sharpe ratio (Hedges UMVUE)
    3.27979
  • df
    130.00000
  • t
    2.33265
  • p
    0.39978
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49210
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.09330
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47946
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.08012
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.59871
  • Upside Potential Ratio
    14.49560
  • Upside part of mean
    3.04464
  • Downside part of mean
    -1.44862
  • Upside SD
    0.44485
  • Downside SD
    0.21004
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.42116
  • Mean of criterion
    1.59602
  • SD of predictor
    0.16136
  • SD of criterion
    0.48381
  • Covariance
    0.00559
  • r
    0.07165
  • b (slope, estimate of beta)
    0.21482
  • a (intercept, estimate of alpha)
    1.50555
  • Mean Square Error
    0.23467
  • DF error
    129.00000
  • t(b)
    0.81588
  • p(b)
    0.45443
  • t(a)
    2.16935
  • p(a)
    0.38127
  • VAR (95 Confidence Intrvl)
    0.03800
  • Lowerbound of 95% confidence interval for beta
    -0.30613
  • Upperbound of 95% confidence interval for beta
    0.73578
  • Lowerbound of 95% confidence interval for alpha
    0.13243
  • Upperbound of 95% confidence interval for alpha
    2.87866
  • Treynor index (mean / b)
    7.42943
  • Jensen alpha (a)
    1.50555
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04216
  • Expected Shortfall on VaR
    0.05399
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01247
  • Expected Shortfall on VaR
    0.02577
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92937
  • Quartile 1
    0.99482
  • Median
    0.99986
  • Quartile 3
    1.01102
  • Maximum
    1.20049
  • Mean of quarter 1
    0.98129
  • Mean of quarter 2
    0.99730
  • Mean of quarter 3
    1.00399
  • Mean of quarter 4
    1.04404
  • Inter Quartile Range
    0.01620
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.94950
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.06481
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38906
  • VaR(95%) (moments method)
    0.01705
  • Expected Shortfall (moments method)
    0.03338
  • Extreme Value Index (regression method)
    0.23283
  • VaR(95%) (regression method)
    0.01947
  • Expected Shortfall (regression method)
    0.03330
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00099
  • Quartile 1
    0.00679
  • Median
    0.01383
  • Quartile 3
    0.02016
  • Maximum
    0.16434
  • Mean of quarter 1
    0.00403
  • Mean of quarter 2
    0.00971
  • Mean of quarter 3
    0.01644
  • Mean of quarter 4
    0.07841
  • Inter Quartile Range
    0.01337
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    0.10334
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.11595
  • VaR(95%) (moments method)
    0.06017
  • Expected Shortfall (moments method)
    0.06131
  • Extreme Value Index (regression method)
    -0.50291
  • VaR(95%) (regression method)
    0.10871
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.13149
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -310368000
  • Max Equity Drawdown (num days)
    80
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.50465
  • Compounded annual return (geometric extrapolation)
    4.07298
  • Calmar ratio (compounded annual return / max draw down)
    24.78410
  • Compounded annual return / average of 25% largest draw downs
    51.94270
  • Compounded annual return / Expected Shortfall lognormal
    75.44070

Strategy Description

Goal of the strategy is capital growth. Please drop me a message before you subscribe with real money and keep into account that I often use the full buying power of my account. I suggest to use IB and I also want to point out that I plan to use options and options spreads every now and then. Scale your positions down according to your needs.

To paying subscribers: Make sure to contact me about any open derivative positions before you take them over. These are highly time sensitive.
To non-paying subscribers: Welcome. Please be aware that I have built in a 168 hours delay.

Summary Statistics

Strategy began
2020-07-13
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 9.7%
Rank # 
#75
# Trades
129
# Profitable
95
% Profitable
73.6%
Net Dividends
Correlation S&P500
0.050
Sharpe Ratio
2.21
Sortino Ratio
5.08
Beta
0.14
Alpha
0.31
Leverage
1.09 Average
7.37 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.