Collective2 Collective2
Featured Strategy MT3 Algotrading +79.6% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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Wave Chaos
(136161097)

Created by: MarselSalahov MarselSalahov
Started: 06/2021
Stocks
Last trade: 926 days ago
Trading style: 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 $139.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
4.2%
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.

(64.5%)
Max Drawdown
88
Num Trades
37.5%
Win Trades
1.2 : 1
Profit Factor
21.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                   +8.3%+5.0%+10.3%+10.1%+2.6%+4.4%+9.4%+61.8%
2022+9.5%(22.1%)(6.1%)(17.4%)+7.4%  -    -    -    -    -    -    -  (28.9%)
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.

Trading Record

This strategy has placed 66 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/7/22 9:31 OPEN OPENDOOR TECHNOLOGIES INC LONG 6,570 7.33 5/13 11:51 7.29 88.63%
Trade id #140056415
Max drawdown($14,352)
Time5/12/22 0:00
Quant open6,570
Worst price5.15
Drawdown as % of equity-88.63%
 ($290)
Includes Typical Broker Commissions trade costs of $5.00
2/10/22 11:52 LYFT LYFT INC. CLASS A COMMON STOCK LONG 654 43.00 4/7 9:30 35.89 21.46%
Trade id #139339818
Max drawdown($5,800)
Time3/8/22 0:00
Quant open654
Worst price34.13
Drawdown as % of equity-21.46%
 ($4,654)
Includes Typical Broker Commissions trade costs of $5.00
2/10/22 9:33 MGM MGM RESORTS INTERNATIONAL LONG 670 47.86 4/7 9:30 39.62 28.26%
Trade id #139334823
Max drawdown($7,638)
Time3/8/22 0:00
Quant open670
Worst price36.46
Drawdown as % of equity-28.26%
 ($5,527)
Includes Typical Broker Commissions trade costs of $5.00
2/14/22 10:38 PAA PLAINS ALL AMERICAN LONG 1,500 10.70 2/22 12:08 9.91 3.54%
Trade id #139380738
Max drawdown($1,201)
Time2/22/22 12:07
Quant open1,500
Worst price9.90
Drawdown as % of equity-3.54%
 ($1,191)
Includes Typical Broker Commissions trade costs of $5.00
2/4/22 13:43 DISH DISH NETWORK SHORT 1,123 31.02 2/9 9:30 31.14 0.69%
Trade id #139258506
Max drawdown($286)
Time2/9/22 9:30
Quant open884
Worst price31.34
Drawdown as % of equity-0.69%
 ($152)
Includes Typical Broker Commissions trade costs of $8.39
2/4/22 9:58 COLD AMERICOLD REALTY TRUST SHORT 1,375 27.84 2/8 11:45 28.22 1.46%
Trade id #139252685
Max drawdown($602)
Time2/8/22 11:45
Quant open1,309
Worst price28.30
Drawdown as % of equity-1.46%
 ($523)
Includes Typical Broker Commissions trade costs of $5.66
2/4/22 13:53 IOVA IOVANCE BIOTHERAPEUTICS INC. SHORT 833 16.04 2/7 10:09 16.64 1.26%
Trade id #139258833
Max drawdown($527)
Time2/7/22 10:09
Quant open719
Worst price16.77
Drawdown as % of equity-1.26%
 ($506)
Includes Typical Broker Commissions trade costs of $7.14
2/4/22 10:01 BFLY BUTTERFLY NETWORK INC SHORT 2,395 5.69 2/7 9:44 5.90 1.26%
Trade id #139252763
Max drawdown($541)
Time2/7/22 9:44
Quant open2,073
Worst price5.95
Drawdown as % of equity-1.26%
 ($508)
Includes Typical Broker Commissions trade costs of $11.22
2/4/22 10:07 PSTG PURE STORAGE INC SHORT 1,000 26.09 2/4 14:33 26.65 1.43%
Trade id #139252938
Max drawdown($606)
Time2/4/22 14:33
Quant open1,000
Worst price26.70
Drawdown as % of equity-1.43%
 ($565)
Includes Typical Broker Commissions trade costs of $5.00
2/4/22 9:42 PLUG PLUG POWER SHORT 550 21.00 2/4 10:15 21.76 0.97%
Trade id #139252198
Max drawdown($421)
Time2/4/22 10:15
Quant open550
Worst price21.77
Drawdown as % of equity-0.97%
 ($422)
Includes Typical Broker Commissions trade costs of $5.00
2/3/22 9:30 HBI HANESBRANDS SHORT 2,200 15.90 2/3 9:33 16.21 1.79%
Trade id #139232026
Max drawdown($792)
Time2/3/22 9:33
Quant open2,200
Worst price16.26
Drawdown as % of equity-1.79%
 ($677)
Includes Typical Broker Commissions trade costs of $5.00
1/12/22 10:06 FOLD AMICUS THERAPEUTICS SHORT 1,300 9.69 1/21 13:25 9.23 3.04%
Trade id #138918577
Max drawdown($1,213)
Time1/14/22 0:00
Quant open1,300
Worst price10.62
Drawdown as % of equity-3.04%
 $590
Includes Typical Broker Commissions trade costs of $5.00
1/11/22 15:26 SHO SUNSTONE HOTEL INVESTORS SHORT 1,025 11.72 1/21 13:25 11.15 0.73%
Trade id #138909481
Max drawdown($287)
Time1/18/22 0:00
Quant open1,025
Worst price12.00
Drawdown as % of equity-0.73%
 $576
Includes Typical Broker Commissions trade costs of $5.00
1/11/22 10:39 MOS MOSAIC SHORT 340 39.49 1/21 9:31 39.60 3.94%
Trade id #138903373
Max drawdown($1,554)
Time1/18/22 0:00
Quant open340
Worst price44.06
Drawdown as % of equity-3.94%
 ($45)
Includes Typical Broker Commissions trade costs of $6.80
1/13/22 10:12 TPR TAPESTRY INC SHORT 690 38.89 1/20 15:38 37.01 1.49%
Trade id #138933572
Max drawdown($578)
Time1/13/22 14:15
Quant open690
Worst price39.73
Drawdown as % of equity-1.49%
 $1,287
Includes Typical Broker Commissions trade costs of $5.00
1/12/22 10:26 ALIT ALIGHT INC SHORT 1,350 10.11 1/18 13:05 9.22 n/a $1,190
Includes Typical Broker Commissions trade costs of $5.00
1/11/22 10:58 NKLA NIKOLA CORP SHORT 836 10.22 1/11 12:44 10.70 0.98%
Trade id #138903696
Max drawdown($401)
Time1/11/22 12:44
Quant open836
Worst price10.70
Drawdown as % of equity-0.98%
 ($406)
Includes Typical Broker Commissions trade costs of $5.00
1/10/22 15:41 MGM MGM RESORTS INTERNATIONAL SHORT 253 43.42 1/11 10:42 44.35 0.89%
Trade id #138893907
Max drawdown($365)
Time1/11/22 10:05
Quant open253
Worst price44.86
Drawdown as % of equity-0.89%
 ($240)
Includes Typical Broker Commissions trade costs of $5.06
1/7/22 12:54 LYFT LYFT INC. CLASS A COMMON STOCK SHORT 356 43.40 1/11 9:34 44.62 1.11%
Trade id #138867760
Max drawdown($460)
Time1/11/22 9:34
Quant open356
Worst price44.69
Drawdown as % of equity-1.11%
 ($443)
Includes Typical Broker Commissions trade costs of $7.12
1/3/22 10:15 IOVA IOVANCE BIOTHERAPEUTICS INC. SHORT 500 19.20 1/10 9:52 15.34 0.42%
Trade id #138789714
Max drawdown($168)
Time1/3/22 10:25
Quant open500
Worst price19.54
Drawdown as % of equity-0.42%
 $1,917
Includes Typical Broker Commissions trade costs of $10.00
1/6/22 9:39 AR ANTERO RESOURCES CORP SHORT 520 17.95 1/7 13:51 18.76 1.02%
Trade id #138842121
Max drawdown($421)
Time1/7/22 13:51
Quant open520
Worst price18.76
Drawdown as % of equity-1.02%
 ($427)
Includes Typical Broker Commissions trade costs of $5.00
12/20/21 12:22 BOX BOX INC LONG 342 26.08 12/21 10:23 25.72 0.36%
Trade id #138642344
Max drawdown($145)
Time12/21/21 10:23
Quant open342
Worst price25.66
Drawdown as % of equity-0.36%
 ($130)
Includes Typical Broker Commissions trade costs of $6.84
12/16/21 10:55 DVN DEVON ENERGY SHORT 571 41.33 12/17 10:08 38.79 0.33%
Trade id #138604302
Max drawdown($126)
Time12/16/21 11:28
Quant open571
Worst price41.55
Drawdown as % of equity-0.33%
 $1,445
Includes Typical Broker Commissions trade costs of $5.00
12/16/21 10:52 OXY OCCIDENTAL PETROLEUM SHORT 800 29.58 12/17 9:44 27.50 0.24%
Trade id #138604234
Max drawdown($92)
Time12/16/21 11:00
Quant open800
Worst price29.70
Drawdown as % of equity-0.24%
 $1,659
Includes Typical Broker Commissions trade costs of $5.00
12/15/21 9:30 HUN HUNTSMAN SHORT 975 32.70 12/16 10:48 32.76 0.33%
Trade id #138587325
Max drawdown($131)
Time12/16/21 0:00
Quant open975
Worst price32.84
Drawdown as % of equity-0.33%
 ($61)
Includes Typical Broker Commissions trade costs of $5.00
12/16/21 9:30 CNK CINEMARK HOLDINGS SHORT 1,250 16.72 12/16 10:47 16.42 0.33%
Trade id #138601766
Max drawdown($131)
Time12/16/21 9:36
Quant open1,250
Worst price16.83
Drawdown as % of equity-0.33%
 $371
Includes Typical Broker Commissions trade costs of $5.00
12/15/21 15:28 AR ANTERO RESOURCES CORP SHORT 1,080 17.01 12/16 9:30 17.44 2.69%
Trade id #138594303
Max drawdown($1,061)
Time12/16/21 0:00
Quant open1,080
Worst price18.00
Drawdown as % of equity-2.69%
 ($464)
Includes Typical Broker Commissions trade costs of $5.00
12/14/21 9:41 MGNI MAGNITE INC. COMMON STOCK SHORT 735 17.59 12/16 9:30 18.25 1.49%
Trade id #138573718
Max drawdown($588)
Time12/16/21 9:30
Quant open735
Worst price18.39
Drawdown as % of equity-1.49%
 ($494)
Includes Typical Broker Commissions trade costs of $5.00
12/13/21 10:24 PLTR PALANTIR TECHNOLOGIES INC LONG 974 18.62 12/13 10:56 18.33 0.83%
Trade id #138558155
Max drawdown($321)
Time12/13/21 10:56
Quant open974
Worst price18.30
Drawdown as % of equity-0.83%
 ($292)
Includes Typical Broker Commissions trade costs of $5.00
12/9/21 9:46 CFG CITIZENS FINANCIAL GROUP INC LONG 430 47.17 12/13 10:15 46.50 1.11%
Trade id #138523391
Max drawdown($438)
Time12/13/21 9:54
Quant open430
Worst price46.15
Drawdown as % of equity-1.11%
 ($296)
Includes Typical Broker Commissions trade costs of $8.60
Next

Statistics

  • Strategy began
    6/22/2021
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1248.05
  • Age
    42 months ago
  • What it trades
    Stocks
  • # Trades
    88
  • # Profitable
    33
  • % Profitable
    37.50%
  • Avg trade duration
    5.1 days
  • Max peak-to-valley drawdown
    64.46%
  • drawdown period
    Jan 21, 2022 - May 11, 2022
  • Annual Return (Compounded)
    4.2%
  • Avg win
    $1,080
  • Avg loss
    $536.44
  • Model Account Values (Raw)
  • Cash
    $31,148
  • Margin Used
    $0
  • Buying Power
    $31,148
  • Ratios
  • W:L ratio
    1.21:1
  • Sharpe Ratio
    0.2
  • Sortino Ratio
    0.32
  • Calmar Ratio
    0.324
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -24.35%
  • Correlation to SP500
    0.19300
  • Return Percent SP500 (cumu) during strategy life
    40.57%
  • Return Statistics
  • Ann Return (w trading costs)
    4.2%
  • Slump
  • Current Slump as Pcnt Equity
    54.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.83%
  • 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)
    0.042%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    81.50%
  • Chance of 20% account loss
    62.50%
  • Chance of 30% account loss
    37.50%
  • Chance of 40% account loss
    15.00%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • Chance of 70% account loss (Monte Carlo)
    0.50%
  • 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
    9.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $536
  • Avg Win
    $1,080
  • Sum Trade PL (losers)
    $29,504.000
  • Age
  • Num Months filled monthly returns table
    42
  • Win / Loss
  • Sum Trade PL (winners)
    $35,651.000
  • # Winners
    33
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    2
  • Win / Loss
  • # Losers
    55
  • % Winners
    37.5%
  • Frequency
  • Avg Position Time (mins)
    7315.52
  • Avg Position Time (hrs)
    121.92
  • Avg Trade Length
    5.1 days
  • Last Trade Ago
    927
  • Leverage
  • Daily leverage (average)
    1.58
  • Daily leverage (max)
    3.02
  • Regression
  • Alpha
    0.01
  • Beta
    0.43
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.17
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    16.068
  • 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
    0.28
  • Avg(MAE) / Avg(PL) - Winning trades
    0.572
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.773
  • Hold-and-Hope Ratio
    0.061
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26192
  • SD
    0.48511
  • Sharpe ratio (Glass type estimate)
    0.53991
  • Sharpe ratio (Hedges UMVUE)
    0.50805
  • df
    13.00000
  • t
    0.58317
  • p
    0.39879
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.29640
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35598
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.31700
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33310
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.93340
  • Upside Potential Ratio
    2.34704
  • Upside part of mean
    0.65859
  • Downside part of mean
    -0.39667
  • Upside SD
    0.38145
  • Downside SD
    0.28060
  • N nonnegative terms
    7.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.12970
  • Mean of criterion
    0.26192
  • SD of predictor
    0.25544
  • SD of criterion
    0.48511
  • Covariance
    0.00906
  • r
    0.07309
  • b (slope, estimate of beta)
    0.13880
  • a (intercept, estimate of alpha)
    0.24391
  • Mean Square Error
    0.25358
  • DF error
    12.00000
  • t(b)
    0.25386
  • p(b)
    0.46346
  • t(a)
    0.51723
  • p(a)
    0.42616
  • Lowerbound of 95% confidence interval for beta
    -1.05247
  • Upperbound of 95% confidence interval for beta
    1.33007
  • Lowerbound of 95% confidence interval for alpha
    -0.78356
  • Upperbound of 95% confidence interval for alpha
    1.27140
  • Treynor index (mean / b)
    1.88701
  • Jensen alpha (a)
    0.24391
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15430
  • SD
    0.47575
  • Sharpe ratio (Glass type estimate)
    0.32433
  • Sharpe ratio (Hedges UMVUE)
    0.30519
  • df
    13.00000
  • t
    0.35031
  • p
    0.43853
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.50058
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13700
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51317
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12355
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.48464
  • Upside Potential Ratio
    1.87369
  • Upside part of mean
    0.59655
  • Downside part of mean
    -0.44225
  • Upside SD
    0.33285
  • Downside SD
    0.31838
  • N nonnegative terms
    7.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.09915
  • Mean of criterion
    0.15430
  • SD of predictor
    0.25254
  • SD of criterion
    0.47575
  • Covariance
    0.01361
  • r
    0.11328
  • b (slope, estimate of beta)
    0.21341
  • a (intercept, estimate of alpha)
    0.13314
  • Mean Square Error
    0.24205
  • DF error
    12.00000
  • t(b)
    0.39495
  • p(b)
    0.44336
  • t(a)
    0.29030
  • p(a)
    0.45825
  • Lowerbound of 95% confidence interval for beta
    -0.96388
  • Upperbound of 95% confidence interval for beta
    1.39070
  • Lowerbound of 95% confidence interval for alpha
    -0.86614
  • Upperbound of 95% confidence interval for alpha
    1.13242
  • Treynor index (mean / b)
    0.72303
  • Jensen alpha (a)
    0.13314
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19188
  • Expected Shortfall on VaR
    0.23598
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07496
  • Expected Shortfall on VaR
    0.15801
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.74272
  • Quartile 1
    0.99735
  • Median
    1.01282
  • Quartile 3
    1.06118
  • Maximum
    1.36696
  • Mean of quarter 1
    0.88838
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.03672
  • Mean of quarter 4
    1.16862
  • Inter Quartile Range
    0.06383
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.79687
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    1.36696
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.93265
  • VaR(95%) (moments method)
    0.01819
  • Expected Shortfall (moments method)
    0.01820
  • Extreme Value Index (regression method)
    -0.04474
  • VaR(95%) (regression method)
    0.22785
  • Expected Shortfall (regression method)
    0.35137
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00353
  • Quartile 1
    0.02012
  • Median
    0.03670
  • Quartile 3
    0.19421
  • Maximum
    0.35172
  • Mean of quarter 1
    0.00353
  • Mean of quarter 2
    0.03670
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.35172
  • Inter Quartile Range
    0.17409
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20302
  • Compounded annual return (geometric extrapolation)
    0.19986
  • Calmar ratio (compounded annual return / max draw down)
    0.56825
  • Compounded annual return / average of 25% largest draw downs
    0.56825
  • Compounded annual return / Expected Shortfall lognormal
    0.84695
  • 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
    0.29478
  • SD
    0.55711
  • Sharpe ratio (Glass type estimate)
    0.52913
  • Sharpe ratio (Hedges UMVUE)
    0.52790
  • df
    323.00000
  • t
    0.58841
  • p
    0.27833
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.23422
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.29170
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.23506
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29085
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.83679
  • Upside Potential Ratio
    6.77086
  • Upside part of mean
    2.38521
  • Downside part of mean
    -2.09043
  • Upside SD
    0.43087
  • Downside SD
    0.35228
  • N nonnegative terms
    93.00000
  • N negative terms
    231.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    324.00000
  • Mean of predictor
    0.26467
  • Mean of criterion
    0.29478
  • SD of predictor
    0.27259
  • SD of criterion
    0.55711
  • Covariance
    0.02956
  • r
    0.19468
  • b (slope, estimate of beta)
    0.39787
  • a (intercept, estimate of alpha)
    0.18900
  • Mean Square Error
    0.29954
  • DF error
    322.00000
  • t(b)
    3.56148
  • p(b)
    0.00021
  • t(a)
    0.38430
  • p(a)
    0.35050
  • Lowerbound of 95% confidence interval for beta
    0.17809
  • Upperbound of 95% confidence interval for beta
    0.61765
  • Lowerbound of 95% confidence interval for alpha
    -0.78052
  • Upperbound of 95% confidence interval for alpha
    1.15947
  • Treynor index (mean / b)
    0.74091
  • Jensen alpha (a)
    0.18948
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14399
  • SD
    0.54712
  • Sharpe ratio (Glass type estimate)
    0.26318
  • Sharpe ratio (Hedges UMVUE)
    0.26257
  • df
    323.00000
  • t
    0.29267
  • p
    0.38498
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.49962
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02559
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.50004
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02517
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.38943
  • Upside Potential Ratio
    6.22151
  • Upside part of mean
    2.30036
  • Downside part of mean
    -2.15637
  • Upside SD
    0.40222
  • Downside SD
    0.36974
  • N nonnegative terms
    93.00000
  • N negative terms
    231.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    324.00000
  • Mean of predictor
    0.22748
  • Mean of criterion
    0.14399
  • SD of predictor
    0.27274
  • SD of criterion
    0.54712
  • Covariance
    0.02970
  • r
    0.19904
  • b (slope, estimate of beta)
    0.39928
  • a (intercept, estimate of alpha)
    0.05316
  • Mean Square Error
    0.28837
  • DF error
    322.00000
  • t(b)
    3.64454
  • p(b)
    0.00016
  • t(a)
    0.10994
  • p(a)
    0.45626
  • Lowerbound of 95% confidence interval for beta
    0.18374
  • Upperbound of 95% confidence interval for beta
    0.61481
  • Lowerbound of 95% confidence interval for alpha
    -0.89813
  • Upperbound of 95% confidence interval for alpha
    1.00445
  • Treynor index (mean / b)
    0.36063
  • Jensen alpha (a)
    0.05316
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05356
  • Expected Shortfall on VaR
    0.06676
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02261
  • Expected Shortfall on VaR
    0.04712
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    324.00000
  • Minimum
    0.84009
  • Quartile 1
    0.99611
  • Median
    1.00000
  • Quartile 3
    1.00337
  • Maximum
    1.28959
  • Mean of quarter 1
    0.96867
  • Mean of quarter 2
    0.99971
  • Mean of quarter 3
    1.00025
  • Mean of quarter 4
    1.03628
  • Inter Quartile Range
    0.00727
  • Number outliers low
    54.00000
  • Percentage of outliers low
    0.16667
  • Mean of outliers low
    0.95731
  • Number of outliers high
    56.00000
  • Percentage of outliers high
    0.17284
  • Mean of outliers high
    1.04860
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24459
  • VaR(95%) (moments method)
    0.01703
  • Expected Shortfall (moments method)
    0.03017
  • Extreme Value Index (regression method)
    0.20132
  • VaR(95%) (regression method)
    0.03108
  • Expected Shortfall (regression method)
    0.05586
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00300
  • Quartile 1
    0.00570
  • Median
    0.02890
  • Quartile 3
    0.07922
  • Maximum
    0.57871
  • Mean of quarter 1
    0.00445
  • Mean of quarter 2
    0.02003
  • Mean of quarter 3
    0.05300
  • Mean of quarter 4
    0.23791
  • Inter Quartile Range
    0.07352
  • 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
    0.05882
  • Mean of outliers high
    0.57871
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.71014
  • VaR(95%) (moments method)
    0.25774
  • Expected Shortfall (moments method)
    0.91335
  • Extreme Value Index (regression method)
    1.80816
  • VaR(95%) (regression method)
    0.35095
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19153
  • Compounded annual return (geometric extrapolation)
    0.18755
  • Calmar ratio (compounded annual return / max draw down)
    0.32409
  • Compounded annual return / average of 25% largest draw downs
    0.78833
  • Compounded annual return / Expected Shortfall lognormal
    2.80936
  • 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
    0.01024
  • SD
    0.70817
  • Sharpe ratio (Glass type estimate)
    0.01446
  • Sharpe ratio (Hedges UMVUE)
    0.01438
  • df
    130.00000
  • t
    0.01023
  • p
    0.49955
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.75735
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78627
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.75743
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78618
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02305
  • Upside Potential Ratio
    4.98530
  • Upside part of mean
    2.21466
  • Downside part of mean
    -2.20442
  • Upside SD
    0.54803
  • Downside SD
    0.44424
  • N nonnegative terms
    16.00000
  • N negative terms
    115.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.54216
  • Mean of criterion
    0.01024
  • SD of predictor
    0.38322
  • SD of criterion
    0.70817
  • Covariance
    0.04462
  • r
    0.16442
  • b (slope, estimate of beta)
    0.30384
  • a (intercept, estimate of alpha)
    -0.15449
  • Mean Square Error
    0.49173
  • DF error
    129.00000
  • t(b)
    1.89325
  • p(b)
    0.39580
  • t(a)
    -0.15519
  • p(a)
    0.50870
  • Lowerbound of 95% confidence interval for beta
    -0.01368
  • Upperbound of 95% confidence interval for beta
    0.62137
  • Lowerbound of 95% confidence interval for alpha
    -2.12413
  • Upperbound of 95% confidence interval for alpha
    1.81515
  • Treynor index (mean / b)
    0.03371
  • Jensen alpha (a)
    -0.15449
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.22929
  • SD
    0.68968
  • Sharpe ratio (Glass type estimate)
    -0.33245
  • Sharpe ratio (Hedges UMVUE)
    -0.33053
  • df
    130.00000
  • t
    -0.23508
  • p
    0.51031
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.10395
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.44025
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.10263
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.44157
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.48594
  • Upside Potential Ratio
    4.41207
  • Upside part of mean
    2.08180
  • Downside part of mean
    -2.31108
  • Upside SD
    0.49960
  • Downside SD
    0.47184
  • N nonnegative terms
    16.00000
  • N negative terms
    115.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.46870
  • Mean of criterion
    -0.22929
  • SD of predictor
    0.38359
  • SD of criterion
    0.68968
  • Covariance
    0.04483
  • r
    0.16946
  • b (slope, estimate of beta)
    0.30469
  • a (intercept, estimate of alpha)
    -0.37210
  • Mean Square Error
    0.46559
  • DF error
    129.00000
  • t(b)
    1.95295
  • p(b)
    0.39264
  • t(a)
    -0.38450
  • p(a)
    0.52153
  • VAR (95 Confidence Intrvl)
    0.05400
  • Lowerbound of 95% confidence interval for beta
    -0.00399
  • Upperbound of 95% confidence interval for beta
    0.61337
  • Lowerbound of 95% confidence interval for alpha
    -2.28679
  • Upperbound of 95% confidence interval for alpha
    1.54260
  • Treynor index (mean / b)
    -0.75253
  • Jensen alpha (a)
    -0.37210
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06850
  • Expected Shortfall on VaR
    0.08483
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02706
  • Expected Shortfall on VaR
    0.05744
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.84009
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.28959
  • Mean of quarter 1
    0.96697
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.03361
  • Inter Quartile Range
    0.00000
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.15267
  • Mean of outliers low
    0.94550
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.12214
  • Mean of outliers high
    1.06931
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -8.89009
  • VaR(95%) (moments method)
    0.00148
  • Expected Shortfall (moments method)
    0.00148
  • Extreme Value Index (regression method)
    0.08950
  • VaR(95%) (regression method)
    0.03735
  • Expected Shortfall (regression method)
    0.07599
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01801
  • Quartile 1
    0.08015
  • Median
    0.14228
  • Quartile 3
    0.33505
  • Maximum
    0.52782
  • Mean of quarter 1
    0.01801
  • Mean of quarter 2
    0.14228
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.52782
  • Inter Quartile Range
    0.25490
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -340535000
  • Max Equity Drawdown (num days)
    110
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.19157
  • Compounded annual return (geometric extrapolation)
    -0.18240
  • Calmar ratio (compounded annual return / max draw down)
    -0.34557
  • Compounded annual return / average of 25% largest draw downs
    -0.34557
  • Compounded annual return / Expected Shortfall lognormal
    -2.15028

Strategy Description

Martingale or a variant is not used.
A stop loss and take profit are set for each trade.Then I watch where the price will go - take or loss.I try to take trades with a loss/profit ratio of at least 1/3. If I got a good profit, I can close the trade without waiting for take profit.
Algorithmic trading is not used.Trading is done manually.
I'm using simplified Elliott wave analysis. Entry into the trade occurs in an impulse wave on a pullback in the direction of the trend.Sometimes there are trades against the trend.
The frequency of trades approximately is 5-20 in month.
Transaction duration: from several days to several weeks.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2021-06-22
Suggested Minimum Capital
$15,000
# Trades
88
# Profitable
33
% Profitable
37.5%
Net Dividends
$1
Correlation S&P500
0.193
Sharpe Ratio
0.20
Sortino Ratio
0.32
Beta
0.43
Alpha
0.01
Leverage
1.58 Average
3.02 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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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.