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This is an archived track record. This track record was archived on 12/31/20 10:59 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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killed11
(130787997)

Created by: TechnicalAccuracy TechnicalAccuracy
Started: 09/2020
Options
Last trade: 1,212 days ago
Trading style: Options Long Volatility

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: Options
Long Volatility
Category: Equity

Long Volatility

This strategy employs one of the several ways that are available to construct a portfolio that will profit when volatility rises.
-
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.

(100.0%)
Max Drawdown
314
Num Trades
42.4%
Win Trades
0.8 : 1
Profit Factor
0.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                        (62.4%)(136.9%)(17%)(94.2%)(131.6%)
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

System developer has asked us to delay this information by 36 hours.

Trading Record

This strategy has placed 739 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1211 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/31/20 10:02 PLTR2031X24 PLTR Dec31'20 24 put LONG 32 0.27 12/31 10:59 0.17 n/a ($365)
Includes Typical Broker Commissions trade costs of $44.80
12/30/20 15:58 PLUG2031L35 PLUG Dec31'20 35 call LONG 7 0.26 12/31 10:59 0.08 n/a ($136)
Includes Typical Broker Commissions trade costs of $9.80
12/30/20 12:26 JNJ2122A160 JNJ Jan22'21 160 call LONG 2 2.29 12/31 10:59 1.83 0.56%
Trade id #133095013
Max drawdown($30)
Time12/30/20 15:27
Quant open2
Worst price2.14
Drawdown as % of equity0.56%
 ($95)
Includes Typical Broker Commissions trade costs of $2.80
12/30/20 12:24 BILI2115A95 BILI Jan15'21 95 call LONG 1 4.34 12/31 10:59 2.60 1.23%
Trade id #133094974
Max drawdown($65)
Time12/30/20 15:41
Quant open1
Worst price3.69
Drawdown as % of equity1.23%
 ($176)
Includes Typical Broker Commissions trade costs of $2.00
12/30/20 9:49 MARA2115A13 MARA Jan15'21 13 call LONG 2 2.24 12/31 10:59 1.25 3.55%
Trade id #133090498
Max drawdown($188)
Time12/30/20 15:42
Quant open2
Worst price1.30
Drawdown as % of equity3.55%
 ($202)
Includes Typical Broker Commissions trade costs of $2.80
12/23/20 10:36 PLTR2119B30 PLTR Feb19'21 30 call LONG 4 3.39 12/31 10:59 1.73 9.1%
Trade id #132985606
Max drawdown($520)
Time12/30/20 0:00
Quant open2
Worst price1.90
Drawdown as % of equity9.10%
 ($668)
Includes Typical Broker Commissions trade costs of $5.60
12/22/20 9:50 PLUG2115A35 PLUG Jan15'21 35 call LONG 4 2.76 12/31 10:59 2.15 6.11%
Trade id #132961624
Max drawdown($418)
Time12/29/20 0:00
Quant open2
Worst price1.31
Drawdown as % of equity6.11%
 ($252)
Includes Typical Broker Commissions trade costs of $5.60
12/30/20 14:06 SPY2031X372 SPY Dec31'20 372 put LONG 4 1.11 12/30 14:46 1.15 0.17%
Trade id #133096884
Max drawdown($9)
Time12/30/20 14:10
Quant open4
Worst price1.09
Drawdown as % of equity0.17%
 $7
Includes Typical Broker Commissions trade costs of $5.60
12/30/20 10:13 TSLA2031L680 TSLA Dec31'20 680 call LONG 1 5.49 12/30 11:28 8.72 3.66%
Trade id #133091287
Max drawdown($208)
Time12/30/20 10:44
Quant open1
Worst price3.40
Drawdown as % of equity3.66%
 $321
Includes Typical Broker Commissions trade costs of $2.00
12/29/20 9:51 BABA2031L235 BABA Dec31'20 235 call LONG 4 2.34 12/29 11:41 3.31 4.05%
Trade id #133067801
Max drawdown($273)
Time12/29/20 10:16
Quant open4
Worst price1.66
Drawdown as % of equity4.05%
 $380
Includes Typical Broker Commissions trade costs of $5.90
12/28/20 10:42 QS2031X118 QS Dec31'20 118 put LONG 1 10.61 12/29 9:52 19.42 1.1%
Trade id #133046220
Max drawdown($74)
Time12/28/20 14:16
Quant open1
Worst price9.87
Drawdown as % of equity1.10%
 $879
Includes Typical Broker Commissions trade costs of $2.00
12/28/20 10:29 MYOV2115M25 MYOV Jan15'21 25 put LONG 4 1.45 12/28 12:13 1.00 2.73%
Trade id #133045861
Max drawdown($180)
Time12/28/20 12:13
Quant open4
Worst price1.00
Drawdown as % of equity2.73%
 ($186)
Includes Typical Broker Commissions trade costs of $5.60
12/28/20 9:31 MYOV2115A35 MYOV Jan15'21 35 call LONG 2 1.92 12/28 10:06 1.25 2.39%
Trade id #133043490
Max drawdown($144)
Time12/28/20 10:05
Quant open2
Worst price1.20
Drawdown as % of equity2.39%
 ($138)
Includes Typical Broker Commissions trade costs of $3.40
12/24/20 9:57 PDD2115A170 PDD Jan15'21 170 call LONG 1 3.36 12/28 9:34 3.00 0.74%
Trade id #133005591
Max drawdown($44)
Time12/28/20 9:34
Quant open1
Worst price2.92
Drawdown as % of equity0.74%
 ($38)
Includes Typical Broker Commissions trade costs of $2.00
12/10/20 10:20 GHIV2115A12.5 GHIV Jan15'21 12.5 call LONG 6 1.22 12/24 12:27 1.66 5.25%
Trade id #132743421
Max drawdown($314)
Time12/18/20 0:00
Quant open4
Worst price0.45
Drawdown as % of equity5.25%
 $250
Includes Typical Broker Commissions trade costs of $8.40
12/24/20 9:46 BABA2024X220 BABA Dec24'20 220 put LONG 6 1.39 12/24 10:10 2.11 4.2%
Trade id #133005229
Max drawdown($269)
Time12/24/20 9:54
Quant open6
Worst price0.94
Drawdown as % of equity4.20%
 $426
Includes Typical Broker Commissions trade costs of $8.40
12/23/20 10:59 UAL2024L45 UAL Dec24'20 45 call LONG 15 0.39 12/23 11:39 0.17 5.02%
Trade id #132986342
Max drawdown($325)
Time12/23/20 11:38
Quant open15
Worst price0.17
Drawdown as % of equity5.02%
 ($346)
Includes Typical Broker Commissions trade costs of $21.00
12/23/20 9:49 QS2024X108 QS Dec24'20 108 put LONG 1 7.92 12/23 9:51 5.16 4.61%
Trade id #132983659
Max drawdown($276)
Time12/23/20 9:51
Quant open1
Worst price5.16
Drawdown as % of equity4.61%
 ($278)
Includes Typical Broker Commissions trade costs of $2.00
12/22/20 10:12 FSLR2024L105 FSLR Dec24'20 105 call LONG 4 1.70 12/22 10:19 1.91 0.02%
Trade id #132962468
Max drawdown($1)
Time12/22/20 10:15
Quant open4
Worst price1.70
Drawdown as % of equity0.02%
 $75
Includes Typical Broker Commissions trade costs of $5.60
12/22/20 9:44 AAPL2024L133 AAPL Dec24'20 133 call LONG 5 1.45 12/22 10:02 2.00 0.01%
Trade id #132961332
Max drawdown($0)
Time12/22/20 9:47
Quant open5
Worst price1.45
Drawdown as % of equity0.01%
 $269
Includes Typical Broker Commissions trade costs of $7.00
12/22/20 9:39 PTON2024L165 PTON Dec24'20 165 call LONG 2 4.11 12/22 10:00 4.80 3.22%
Trade id #132961086
Max drawdown($212)
Time12/22/20 9:46
Quant open2
Worst price3.05
Drawdown as % of equity3.22%
 $134
Includes Typical Broker Commissions trade costs of $2.80
12/16/20 9:54 TDOC2018X175 TDOC Dec18'20 175 put LONG 10 1.19 12/19 9:35 0.00 20.52%
Trade id #132849075
Max drawdown($1,183)
Time12/17/20 0:00
Quant open10
Worst price0.01
Drawdown as % of equity20.52%
 ($1,201)
Includes Typical Broker Commissions trade costs of $7.30
12/18/20 12:18 QS2018L71 QS Dec18'20 71 call LONG 3 1.15 12/18 12:18 1.06 0.41%
Trade id #132911905
Max drawdown($27)
Time12/18/20 12:18
Quant open3
Worst price1.06
Drawdown as % of equity0.41%
 ($31)
Includes Typical Broker Commissions trade costs of $4.20
12/18/20 9:53 PLUG2024L32 PLUG Dec24'20 32 call LONG 5 1.33 12/18 11:02 1.33 1.19%
Trade id #132907449
Max drawdown($71)
Time12/18/20 9:56
Quant open5
Worst price1.19
Drawdown as % of equity1.19%
 ($6)
Includes Typical Broker Commissions trade costs of $7.00
12/18/20 10:19 PLUG2018L32 PLUG Dec18'20 32 call LONG 20 0.38 12/18 11:02 0.25 4.71%
Trade id #132908370
Max drawdown($300)
Time12/18/20 11:02
Quant open20
Worst price0.23
Drawdown as % of equity4.71%
 ($288)
Includes Typical Broker Commissions trade costs of $28.00
12/16/20 9:42 TDOC2018X185 TDOC Dec18'20 185 put LONG 1 3.39 12/18 10:16 0.05 5.58%
Trade id #132848742
Max drawdown($334)
Time12/18/20 9:30
Quant open1
Worst price0.05
Drawdown as % of equity5.58%
 ($336)
Includes Typical Broker Commissions trade costs of $2.00
12/18/20 9:59 PLUG2018L31 PLUG Dec18'20 31 call LONG 9 0.86 12/18 10:06 0.58 4.26%
Trade id #132907641
Max drawdown($258)
Time12/18/20 10:06
Quant open9
Worst price0.57
Drawdown as % of equity4.26%
 ($261)
Includes Typical Broker Commissions trade costs of $12.60
12/18/20 9:41 SPCE2018L25 SPCE Dec18'20 25 call LONG 10 0.44 12/18 9:57 0.27 2.99%
Trade id #132906924
Max drawdown($179)
Time12/18/20 9:57
Quant open10
Worst price0.26
Drawdown as % of equity2.99%
 ($180)
Includes Typical Broker Commissions trade costs of $14.00
12/18/20 9:46 PLUG2018L31 PLUG Dec18'20 31 call LONG 10 0.40 12/18 9:52 0.57 n/a $153
Includes Typical Broker Commissions trade costs of $14.00
12/17/20 12:46 ROKU2018X340 ROKU Dec18'20 340 put LONG 1 7.26 12/17 14:18 9.41 1.71%
Trade id #132889626
Max drawdown($105)
Time12/17/20 12:54
Quant open1
Worst price6.20
Drawdown as % of equity1.71%
 $213
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    9/4/2020
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    1321.47
  • Age
    44 months ago
  • What it trades
    Options
  • # Trades
    314
  • # Profitable
    133
  • % Profitable
    42.40%
  • Avg trade duration
    1.1 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Oct 21, 2020 - Dec 28, 2020
  • Cumul. Return
    -130.0%
  • Avg win
    $569.98
  • Avg loss
    $536.06
  • Model Account Values (Raw)
  • Cash
    ($1,213)
  • Margin Used
    $0
  • Buying Power
    ($1,213)
  • Ratios
  • W:L ratio
    0.78:1
  • Sharpe Ratio
    -3.09
  • Sortino Ratio
    -3.18
  • Calmar Ratio
    -1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -138.90%
  • Correlation to SP500
    0.20530
  • Return Percent SP500 (cumu) during strategy life
    47.31%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -1.300%
  • Instruments
  • Percent Trades Options
    0.98%
  • Percent Trades Stocks
    0.02%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Automation
  • Percentage Signals Automated
    0.94%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    666
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    434
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $536
  • Avg Win
    $570
  • Sum Trade PL (losers)
    $97,026.000
  • Age
  • Num Months filled monthly returns table
    2
  • Win / Loss
  • Sum Trade PL (winners)
    $75,808.000
  • # Winners
    133
  • Num Months Winners
    0
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    181
  • % Winners
    42.4%
  • Frequency
  • Avg Position Time (mins)
    1651.57
  • Avg Position Time (hrs)
    27.53
  • Avg Trade Length
    1.1 days
  • Last Trade Ago
    1204
  • Leverage
  • Daily leverage (average)
    38.00
  • Daily leverage (max)
    206.90
  • Regression
  • Alpha
    0.00
  • Beta
    6.19
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.12
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -4.566
  • 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
    0.569
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.125
  • Hold-and-Hope Ratio
    -0.219
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -8.65729
  • SD
    0.33302
  • Sharpe ratio (Glass type estimate)
    -25.99620
  • Sharpe ratio (Hedges UMVUE)
    -14.66680
  • df
    2.00000
  • t
    -12.99810
  • p
    0.99707
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -3.65039
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -29.56490
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23134
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.44378
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -8.65729
  • Upside SD
    0.00000
  • Downside SD
    2.51389
  • N nonnegative terms
    0.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.30770
  • Mean of criterion
    -8.65729
  • SD of predictor
    0.13527
  • SD of criterion
    0.33302
  • Covariance
    -0.04342
  • r
    -0.96390
  • b (slope, estimate of beta)
    -2.37296
  • a (intercept, estimate of alpha)
    -7.92713
  • Mean Square Error
    0.01572
  • DF error
    1.00000
  • t(b)
    -3.62028
  • p(b)
    0.91421
  • t(a)
    -24.63170
  • p(a)
    0.98708
  • Lowerbound of 95% confidence interval for beta
    -10.70140
  • Upperbound of 95% confidence interval for beta
    5.95550
  • Lowerbound of 95% confidence interval for alpha
    -12.01630
  • Upperbound of 95% confidence interval for alpha
    -3.83794
  • Treynor index (mean / b)
    3.64830
  • Jensen alpha (a)
    -7.92713
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -15.78330
  • SD
    1.13497
  • Sharpe ratio (Glass type estimate)
    -13.90640
  • Sharpe ratio (Hedges UMVUE)
    -7.84582
  • df
    2.00000
  • t
    -6.95318
  • p
    0.98997
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -1.29481
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -16.47620
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78452
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.39460
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -15.78330
  • Upside SD
    0.00000
  • Downside SD
    4.64952
  • N nonnegative terms
    0.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.29794
  • Mean of criterion
    -15.78330
  • SD of predictor
    0.13335
  • SD of criterion
    1.13497
  • Covariance
    -0.14354
  • r
    -0.94837
  • b (slope, estimate of beta)
    -8.07168
  • a (intercept, estimate of alpha)
    -13.37840
  • Mean Square Error
    0.25914
  • DF error
    1.00000
  • t(b)
    -2.99030
  • p(b)
    0.89727
  • t(a)
    -10.31160
  • p(a)
    0.96923
  • Lowerbound of 95% confidence interval for beta
    -42.36930
  • Upperbound of 95% confidence interval for beta
    26.22600
  • Lowerbound of 95% confidence interval for alpha
    -29.86370
  • Upperbound of 95% confidence interval for alpha
    3.10687
  • Treynor index (mean / b)
    1.95539
  • Jensen alpha (a)
    -13.37840
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.84342
  • Expected Shortfall on VaR
    0.86250
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.73873
  • Expected Shortfall on VaR
    0.73873
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.20701
  • Quartile 1
    0.22392
  • Median
    0.24083
  • Quartile 3
    0.31433
  • Maximum
    0.38784
  • Mean of quarter 1
    0.20701
  • Mean of quarter 2
    0.24083
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.38784
  • Inter Quartile Range
    0.09041
  • 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
    0.98067
  • Quartile 1
    0.98067
  • Median
    0.98067
  • Quartile 3
    0.98067
  • Maximum
    0.98067
  • 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)
    -3.92266
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.01972
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.15943
  • 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
    245.74900
  • SD
    146.72900
  • Sharpe ratio (Glass type estimate)
    1.67485
  • Sharpe ratio (Hedges UMVUE)
    1.65948
  • df
    82.00000
  • t
    0.94268
  • p
    0.17431
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.82179
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.16146
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.83201
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.15098
  • Statistics related to Sortino ratio
  • Sortino ratio
    73.93830
  • Upside Potential Ratio
    82.19000
  • Upside part of mean
    273.17500
  • Downside part of mean
    -27.42630
  • Upside SD
    146.59300
  • Downside SD
    3.32371
  • N nonnegative terms
    38.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    83.00000
  • Mean of predictor
    0.28518
  • Mean of criterion
    245.74900
  • SD of predictor
    0.17880
  • SD of criterion
    146.72900
  • Covariance
    3.13751
  • r
    0.11959
  • b (slope, estimate of beta)
    98.14240
  • a (intercept, estimate of alpha)
    94.54400
  • Mean Square Error
    21483.50000
  • DF error
    81.00000
  • t(b)
    1.08411
  • p(b)
    0.14077
  • t(a)
    0.83213
  • p(a)
    0.20389
  • Lowerbound of 95% confidence interval for beta
    -81.97940
  • Upperbound of 95% confidence interval for beta
    278.26400
  • Lowerbound of 95% confidence interval for alpha
    -302.92100
  • Upperbound of 95% confidence interval for alpha
    738.44300
  • Treynor index (mean / b)
    2.50400
  • Jensen alpha (a)
    217.76100
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -31.26130
  • SD
    15.32800
  • Sharpe ratio (Glass type estimate)
    -2.03949
  • Sharpe ratio (Hedges UMVUE)
    -2.02078
  • df
    82.00000
  • t
    -1.14792
  • p
    0.87283
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.52958
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46284
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.51673
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47517
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.39135
  • Upside Potential Ratio
    1.90668
  • Upside part of mean
    24.92540
  • Downside part of mean
    -56.18670
  • Upside SD
    8.05931
  • Downside SD
    13.07260
  • N nonnegative terms
    38.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    83.00000
  • Mean of predictor
    0.26920
  • Mean of criterion
    -31.26130
  • SD of predictor
    0.17918
  • SD of criterion
    15.32800
  • Covariance
    0.21398
  • r
    0.07791
  • b (slope, estimate of beta)
    6.66500
  • a (intercept, estimate of alpha)
    -33.05550
  • Mean Square Error
    236.40400
  • DF error
    81.00000
  • t(b)
    0.70334
  • p(b)
    0.24193
  • t(a)
    -1.20481
  • p(a)
    0.88411
  • Lowerbound of 95% confidence interval for beta
    -12.18980
  • Upperbound of 95% confidence interval for beta
    25.51980
  • Lowerbound of 95% confidence interval for alpha
    -87.64500
  • Upperbound of 95% confidence interval for alpha
    21.53400
  • Treynor index (mean / b)
    -4.69036
  • Jensen alpha (a)
    -33.05550
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.81305
  • Expected Shortfall on VaR
    0.86733
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.25436
  • Expected Shortfall on VaR
    0.48119
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    83.00000
  • Minimum
    0.00340
  • Quartile 1
    0.84071
  • Median
    0.96647
  • Quartile 3
    1.00885
  • Maximum
    83.50000
  • Mean of quarter 1
    0.68637
  • Mean of quarter 2
    0.90286
  • Mean of quarter 3
    0.99804
  • Mean of quarter 4
    5.11987
  • Inter Quartile Range
    0.16814
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.04819
  • Mean of outliers low
    0.25517
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.07229
  • Mean of outliers high
    15.14210
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.55975
  • VaR(95%) (moments method)
    0.36798
  • Expected Shortfall (moments method)
    0.81995
  • Extreme Value Index (regression method)
    0.19330
  • VaR(95%) (regression method)
    0.27750
  • Expected Shortfall (regression method)
    0.38288
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.22961
  • Quartile 1
    0.42220
  • Median
    0.61479
  • Quartile 3
    0.80738
  • Maximum
    0.99997
  • Mean of quarter 1
    0.22961
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99997
  • Inter Quartile Range
    0.38518
  • 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)
    -3.15647
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00003
  • Compounded annual return / average of 25% largest draw downs
    -1.00003
  • Compounded annual return / Expected Shortfall lognormal
    -1.15296
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.64700
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -301349000
  • Max Equity Drawdown (num days)
    68

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-09-04
Suggested Minimum Capital
$35,000
# Trades
314
# Profitable
133
% Profitable
42.4%
Correlation S&P500
0.205
Sharpe Ratio
-3.09
Sortino Ratio
-3.18
Beta
6.19
Alpha
0.00
Leverage
38.00 Average
206.90 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.