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Alpha Capital Circadian
(137387923)

Created by: AlphaCapital AlphaCapital
Started: 09/2021
Futures
Last trade: Yesterday

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 $500.00 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.

260.8%
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.

(58.3%)
Max Drawdown
1056
Num Trades
36.9%
Win Trades
1.4 : 1
Profit Factor
63.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                        +40.5%+17.8%(7.6%)(0.7%)+51.8%
2022(17.1%)(23.7%)(3.3%)+88.2%+131.2%+6.9%+10.8%+18.6%+7.0%+18.2%(1.2%)+8.7%+407.4%
2023(6.8%)(9.5%)+5.4%+10.1%+15.6%+5.7%                                    +19.6%

Model Account Details

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

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

Trading Record

This strategy has placed 832 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 203 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
6/5/23 9:50 @RTYM3 Russell 2000 CME SHORT 10 1819.80 6/5 12:30 1819.51 n/a $65
Includes Typical Broker Commissions trade costs of $80.00
6/5/23 9:35 @NQM3 E-MINI NASDAQ 100 STK IDX LONG 4 14606.25 6/5 9:50 14617.12 0.59%
Trade id #144832014
Max drawdown($440)
Time6/5/23 9:39
Quant open4
Worst price14600.80
Drawdown as % of equity-0.59%
 $838
Includes Typical Broker Commissions trade costs of $32.00
6/3/23 13:08: Rescaled downward to 33% of previous Model Account size
6/2/23 11:00 @RTYM3 Russell 2000 CME LONG 1.320000000 1810.20 6/2 15:30 1831.10 0.02%
Trade id #144814443
Max drawdown($17)
Time6/2/23 11:52
Quant open0
Worst price1809.40
Drawdown as % of equity-0.02%
 $1,368
Includes Typical Broker Commissions trade costs of $10.56
6/2/23 11:00 @ESM3 E-MINI S&P 500 LONG 0.990000000 4279.75 6/2 15:30 4291.25 0.04%
Trade id #144814441
Max drawdown($32)
Time6/2/23 11:50
Quant open0
Worst price4277.75
Drawdown as % of equity-0.04%
 $561
Includes Typical Broker Commissions trade costs of $7.92
6/2/23 11:00 QGCQ3 Gold 100 oz SHORT 0.660000000 1981.6 6/2 13:30 1969.8 0.01%
Trade id #144814439
Max drawdown($6)
Time6/2/23 11:14
Quant open0
Worst price1981.9
Drawdown as % of equity-0.01%
 $774
Includes Typical Broker Commissions trade costs of $5.28
6/2/23 9:38 @ESM3 E-MINI S&P 500 LONG 0.990000000 4268.00 6/2 9:46 4265.00 0.08%
Trade id #144812481
Max drawdown($61)
Time6/2/23 9:46
Quant open0
Worst price4264.25
Drawdown as % of equity-0.08%
 ($157)
Includes Typical Broker Commissions trade costs of $7.92
6/2/23 9:39 @RTYM3 Russell 2000 CME LONG 0.990000000 1800.60 6/2 9:46 1799.50 0.09%
Trade id #144812500
Max drawdown($65)
Time6/2/23 9:46
Quant open0
Worst price1796.60
Drawdown as % of equity-0.09%
 ($62)
Includes Typical Broker Commissions trade costs of $7.92
6/2/23 9:38 @NQM3 E-MINI NASDAQ 100 STK IDX LONG 1.980000000 14607.50 6/2 9:46 14581.00 1%
Trade id #144812466
Max drawdown($738)
Time6/2/23 9:46
Quant open1
Worst price14551.00
Drawdown as % of equity-1.00%
 ($1,065)
Includes Typical Broker Commissions trade costs of $15.84
6/1/23 11:16 @ESM3 E-MINI S&P 500 LONG 1.980000000 4212.00 6/1 16:00 4228.12 0.05%
Trade id #144802530
Max drawdown($32)
Time6/1/23 11:31
Quant open1
Worst price4211.00
Drawdown as % of equity-0.05%
 $1,580
Includes Typical Broker Commissions trade costs of $15.84
6/1/23 12:30 @NQM3 E-MINI NASDAQ 100 STK IDX LONG 0.330000000 14455.50 6/1 15:30 14483.50 0.04%
Trade id #144804340
Max drawdown($25)
Time6/1/23 12:46
Quant open0
Worst price14443.80
Drawdown as % of equity-0.04%
 $182
Includes Typical Broker Commissions trade costs of $2.64
5/31/23 10:19 @ESM3 E-MINI S&P 500 SHORT 0.330000000 4183.00 5/31 14:00 4195.25 0.1%
Trade id #144789769
Max drawdown($74)
Time5/31/23 13:40
Quant open0
Worst price4196.75
Drawdown as % of equity-0.10%
 ($205)
Includes Typical Broker Commissions trade costs of $2.64
5/31/23 12:30 @NQM3 E-MINI NASDAQ 100 STK IDX SHORT 0.330000000 14264.50 5/31 13:26 14305.00 0.13%
Trade id #144792205
Max drawdown($90)
Time5/31/23 13:26
Quant open0
Worst price14306.20
Drawdown as % of equity-0.13%
 ($270)
Includes Typical Broker Commissions trade costs of $2.64
5/31/23 9:35 @ESM3 E-MINI S&P 500 LONG 0.660000000 4192.75 5/31 10:19 4188.12 0.04%
Trade id #144788627
Max drawdown($28)
Time5/31/23 10:10
Quant open0
Worst price4187.50
Drawdown as % of equity-0.04%
 ($158)
Includes Typical Broker Commissions trade costs of $5.28
5/30/23 19:00 @ESM3 E-MINI S&P 500 LONG 0.330000000 4213.25 5/31 7:00 4206.00 0.14%
Trade id #144785414
Max drawdown($102)
Time5/31/23 2:13
Quant open0
Worst price4194.50
Drawdown as % of equity-0.14%
 ($123)
Includes Typical Broker Commissions trade costs of $2.64
5/30/23 19:00 @NQM3 E-MINI NASDAQ 100 STK IDX LONG 0.330000000 14404.50 5/31 7:00 14375.00 0.22%
Trade id #144785412
Max drawdown($157)
Time5/31/23 2:13
Quant open0
Worst price14332.20
Drawdown as % of equity-0.22%
 ($198)
Includes Typical Broker Commissions trade costs of $2.64
5/30/23 10:01 @RTYM3 Russell 2000 CME SHORT 0.330000000 1775.20 5/30 16:00 1770.00 0.07%
Trade id #144778873
Max drawdown($49)
Time5/30/23 10:21
Quant open0
Worst price1784.30
Drawdown as % of equity-0.07%
 $83
Includes Typical Broker Commissions trade costs of $2.64
5/30/23 9:35 @RTYM3 Russell 2000 CME LONG 1.650000000 1790.90 5/30 9:37 1785.90 0.19%
Trade id #144778195
Max drawdown($136)
Time5/30/23 9:37
Quant open1
Worst price1785.90
Drawdown as % of equity-0.19%
 ($426)
Includes Typical Broker Commissions trade costs of $13.20
5/30/23 9:35 @ESM3 E-MINI S&P 500 LONG 1.320000000 4235.50 5/30 9:36 4232.75 0.08%
Trade id #144778197
Max drawdown($59)
Time5/30/23 9:36
Quant open0
Worst price4232.75
Drawdown as % of equity-0.08%
 ($193)
Includes Typical Broker Commissions trade costs of $10.56
5/29/23 19:00 @NQM3 E-MINI NASDAQ 100 STK IDX LONG 0.330000000 14398.75 5/30 7:00 14483.50 0.09%
Trade id #144774215
Max drawdown($68)
Time5/30/23 0:00
Quant open0
Worst price14367.50
Drawdown as % of equity-0.09%
 $556
Includes Typical Broker Commissions trade costs of $2.64
5/29/23 19:00 @ESM3 E-MINI S&P 500 LONG 0.660000000 4226.00 5/30 7:00 4234.75 0.09%
Trade id #144774213
Max drawdown($62)
Time5/30/23 0:00
Quant open0
Worst price4220.25
Drawdown as % of equity-0.09%
 $284
Includes Typical Broker Commissions trade costs of $5.28
5/30/23 1:06 QGCM3 Gold 100 oz SHORT 2.640000000 1936.7 5/30 3:00 1936.4 n/a $58
Includes Typical Broker Commissions trade costs of $21.12
5/30/23 0:08 QGCM3 Gold 100 oz SHORT 2.640000000 1936.8 5/30 0:18 1938.7 0.23%
Trade id #144775213
Max drawdown($164)
Time5/30/23 0:18
Quant open1
Worst price1938.7
Drawdown as % of equity-0.23%
 ($516)
Includes Typical Broker Commissions trade costs of $21.12
5/26/23 10:28 @RTYM3 Russell 2000 CME LONG 1.980000000 1773.70 5/26 16:00 1768.50 0.31%
Trade id #144755605
Max drawdown($209)
Time5/26/23 11:12
Quant open1
Worst price1767.30
Drawdown as % of equity-0.31%
 ($531)
Includes Typical Broker Commissions trade costs of $15.84
5/26/23 9:55 @NQM3 E-MINI NASDAQ 100 STK IDX LONG 0.990000000 14121.00 5/26 16:00 14334.75 0.18%
Trade id #144754815
Max drawdown($119)
Time5/26/23 9:59
Quant open0
Worst price14102.80
Drawdown as % of equity-0.18%
 $4,224
Includes Typical Broker Commissions trade costs of $7.92
5/26/23 9:35 @ESM3 E-MINI S&P 500 LONG 2.970000000 4185.31 5/26 16:00 4204.75 0%
Trade id #144754047
Max drawdown($1)
Time5/26/23 9:38
Quant open0
Worst price4172.75
Drawdown as % of equity-0.00%
 $2,864
Includes Typical Broker Commissions trade costs of $23.76
5/25/23 9:30 @ESM3 E-MINI S&P 500 LONG 0.660000000 4163.38 5/25 16:00 4159.62 0.19%
Trade id #144741228
Max drawdown($132)
Time5/25/23 10:21
Quant open0
Worst price4137.50
Drawdown as % of equity-0.19%
 ($129)
Includes Typical Broker Commissions trade costs of $5.28
5/25/23 10:00 QGCM3 Gold 100 oz SHORT 0.330000000 1946.8 5/25 13:30 1943.9 0.09%
Trade id #144742546
Max drawdown($58)
Time5/25/23 10:24
Quant open0
Worst price1952.2
Drawdown as % of equity-0.09%
 $93
Includes Typical Broker Commissions trade costs of $2.64
5/25/23 9:00 QGCM3 Gold 100 oz SHORT 0.330000000 1946.2 5/25 9:20 1953.0 0.12%
Trade id #144740953
Max drawdown($83)
Time5/25/23 9:20
Quant open0
Worst price1953.9
Drawdown as % of equity-0.12%
 ($227)
Includes Typical Broker Commissions trade costs of $2.64
5/25/23 8:30 QGCM3 Gold 100 oz SHORT 1.650000000 1956.1 5/25 8:30 1957.7 0.13%
Trade id #144740665
Max drawdown($88)
Time5/25/23 8:30
Quant open1
Worst price1957.7
Drawdown as % of equity-0.13%
 ($280)
Includes Typical Broker Commissions trade costs of $13.20
5/25/23 1:55 QGCM3 Gold 100 oz SHORT 2.310000000 1955.9 5/25 1:58 1956.5 0.07%
Trade id #144739281
Max drawdown($45)
Time5/25/23 1:58
Quant open1
Worst price1956.5
Drawdown as % of equity-0.07%
 ($157)
Includes Typical Broker Commissions trade costs of $18.48
Next

Statistics

  • Strategy began
    9/15/2021
  • Suggested Minimum Cap
    $70,000
  • Strategy Age (days)
    628.37
  • Age
    21 months ago
  • What it trades
    Futures
  • # Trades
    1056
  • # Profitable
    390
  • % Profitable
    36.90%
  • Avg trade duration
    4.2 hours
  • Max peak-to-valley drawdown
    58.27%
  • drawdown period
    Nov 22, 2021 - April 14, 2022
  • Annual Return (Compounded)
    260.8%
  • Avg win
    $655.82
  • Avg loss
    $268.63
  • Model Account Values (Raw)
  • Cash
    $85,126
  • Margin Used
    $0
  • Buying Power
    $85,126
  • Ratios
  • W:L ratio
    1.43:1
  • Sharpe Ratio
    1.82
  • Sortino Ratio
    4.41
  • Calmar Ratio
    7.021
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    825.90%
  • Correlation to SP500
    -0.07430
  • Return Percent SP500 (cumu) during strategy life
    -4.62%
  • Return Statistics
  • Ann Return (w trading costs)
    260.8%
  • Slump
  • Current Slump as Pcnt Equity
    20.80%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    2.608%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    287.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    47.50%
  • Chance of 20% account loss
    21.50%
  • Chance of 30% account loss
    5.50%
  • Chance of 40% account loss
    4.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    99.92%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    945
  • Popularity (Last 6 weeks)
    887
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    845
  • Popularity (7 days, Percentile 1000 scale)
    898
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $269
  • Avg Win
    $656
  • Sum Trade PL (losers)
    $178,906.000
  • Age
  • Num Months filled monthly returns table
    22
  • Win / Loss
  • Sum Trade PL (winners)
    $255,770.000
  • # Winners
    390
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    39899
  • Win / Loss
  • # Losers
    666
  • % Winners
    36.9%
  • Frequency
  • Avg Position Time (mins)
    250.73
  • Avg Position Time (hrs)
    4.18
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    8.06
  • Daily leverage (max)
    42.43
  • Regression
  • Alpha
    0.41
  • Beta
    -0.24
  • Treynor Index
    -1.68
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.22
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    12.174
  • 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
    0.085
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.389
  • Hold-and-Hope Ratio
    0.082
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.16725
  • SD
    1.91024
  • Sharpe ratio (Glass type estimate)
    1.13455
  • Sharpe ratio (Hedges UMVUE)
    1.08906
  • df
    19.00000
  • t
    1.46469
  • p
    0.30071
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43938
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68039
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46810
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.64623
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.36832
  • Upside Potential Ratio
    10.87140
  • Upside part of mean
    2.51497
  • Downside part of mean
    -0.34772
  • Upside SD
    1.95050
  • Downside SD
    0.23134
  • N nonnegative terms
    14.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    -0.05121
  • Mean of criterion
    2.16725
  • SD of predictor
    0.18550
  • SD of criterion
    1.91024
  • Covariance
    -0.16059
  • r
    -0.45322
  • b (slope, estimate of beta)
    -4.66726
  • a (intercept, estimate of alpha)
    1.92826
  • Mean Square Error
    3.06055
  • DF error
    18.00000
  • t(b)
    -2.15712
  • p(b)
    0.72661
  • t(a)
    1.41822
  • p(a)
    0.34148
  • Lowerbound of 95% confidence interval for beta
    -9.21292
  • Upperbound of 95% confidence interval for beta
    -0.12160
  • Lowerbound of 95% confidence interval for alpha
    -0.92823
  • Upperbound of 95% confidence interval for alpha
    4.78475
  • Treynor index (mean / b)
    -0.46435
  • Jensen alpha (a)
    1.92826
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.30101
  • SD
    1.04829
  • Sharpe ratio (Glass type estimate)
    1.24107
  • Sharpe ratio (Hedges UMVUE)
    1.19132
  • df
    19.00000
  • t
    1.60222
  • p
    0.28480
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34206
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79384
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37340
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.75604
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.11809
  • Upside Potential Ratio
    6.60196
  • Upside part of mean
    1.67820
  • Downside part of mean
    -0.37720
  • Upside SD
    1.05849
  • Downside SD
    0.25420
  • N nonnegative terms
    14.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    -0.06778
  • Mean of criterion
    1.30101
  • SD of predictor
    0.18737
  • SD of criterion
    1.04829
  • Covariance
    -0.08373
  • r
    -0.42629
  • b (slope, estimate of beta)
    -2.38503
  • a (intercept, estimate of alpha)
    1.13935
  • Mean Square Error
    0.94918
  • DF error
    18.00000
  • t(b)
    -1.99934
  • p(b)
    0.71314
  • t(a)
    1.50117
  • p(a)
    0.33322
  • Lowerbound of 95% confidence interval for beta
    -4.89124
  • Upperbound of 95% confidence interval for beta
    0.12118
  • Lowerbound of 95% confidence interval for alpha
    -0.45519
  • Upperbound of 95% confidence interval for alpha
    2.73390
  • Treynor index (mean / b)
    -0.54549
  • Jensen alpha (a)
    1.13935
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.32250
  • Expected Shortfall on VaR
    0.39938
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04601
  • Expected Shortfall on VaR
    0.10367
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.79786
  • Quartile 1
    0.98930
  • Median
    1.05240
  • Quartile 3
    1.15733
  • Maximum
    3.41963
  • Mean of quarter 1
    0.88849
  • Mean of quarter 2
    1.02218
  • Mean of quarter 3
    1.07978
  • Mean of quarter 4
    1.74128
  • Inter Quartile Range
    0.16803
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    2.46104
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.70906
  • VaR(95%) (moments method)
    0.06106
  • Expected Shortfall (moments method)
    0.06111
  • Extreme Value Index (regression method)
    -1.33556
  • VaR(95%) (regression method)
    0.19771
  • Expected Shortfall (regression method)
    0.21224
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01879
  • Quartile 1
    0.03883
  • Median
    0.05887
  • Quartile 3
    0.22195
  • Maximum
    0.38502
  • Mean of quarter 1
    0.01879
  • Mean of quarter 2
    0.05887
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.38502
  • Inter Quartile Range
    0.18311
  • 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)
    4.89605
  • Compounded annual return (geometric extrapolation)
    2.77694
  • Calmar ratio (compounded annual return / max draw down)
    7.21237
  • Compounded annual return / average of 25% largest draw downs
    7.21237
  • Compounded annual return / Expected Shortfall lognormal
    6.95303
  • 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
    1.49956
  • SD
    0.58625
  • Sharpe ratio (Glass type estimate)
    2.55786
  • Sharpe ratio (Hedges UMVUE)
    2.55357
  • df
    447.00000
  • t
    3.34476
  • p
    0.00045
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.04831
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.06465
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.04540
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.06174
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.38484
  • Upside Potential Ratio
    14.62840
  • Upside part of mean
    3.43566
  • Downside part of mean
    -1.93610
  • Upside SD
    0.54438
  • Downside SD
    0.23486
  • N nonnegative terms
    198.00000
  • N negative terms
    250.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    448.00000
  • Mean of predictor
    -0.03392
  • Mean of criterion
    1.49956
  • SD of predictor
    0.20819
  • SD of criterion
    0.58625
  • Covariance
    -0.00863
  • r
    -0.07071
  • b (slope, estimate of beta)
    -0.19913
  • a (intercept, estimate of alpha)
    1.49300
  • Mean Square Error
    0.34274
  • DF error
    446.00000
  • t(b)
    -1.49714
  • p(b)
    0.93247
  • t(a)
    3.33415
  • p(a)
    0.00046
  • Lowerbound of 95% confidence interval for beta
    -0.46052
  • Upperbound of 95% confidence interval for beta
    0.06227
  • Lowerbound of 95% confidence interval for alpha
    0.61288
  • Upperbound of 95% confidence interval for alpha
    2.37273
  • Treynor index (mean / b)
    -7.53067
  • Jensen alpha (a)
    1.49281
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.33703
  • SD
    0.55383
  • Sharpe ratio (Glass type estimate)
    2.41413
  • Sharpe ratio (Hedges UMVUE)
    2.41008
  • df
    447.00000
  • t
    3.15681
  • p
    0.00085
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.90567
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.92000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90292
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.91723
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.56860
  • Upside Potential Ratio
    13.74970
  • Upside part of mean
    3.30132
  • Downside part of mean
    -1.96430
  • Upside SD
    0.50519
  • Downside SD
    0.24010
  • N nonnegative terms
    198.00000
  • N negative terms
    250.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    448.00000
  • Mean of predictor
    -0.05556
  • Mean of criterion
    1.33703
  • SD of predictor
    0.20833
  • SD of criterion
    0.55383
  • Covariance
    -0.00726
  • r
    -0.06291
  • b (slope, estimate of beta)
    -0.16724
  • a (intercept, estimate of alpha)
    1.32773
  • Mean Square Error
    0.30620
  • DF error
    446.00000
  • t(b)
    -1.33120
  • p(b)
    0.90810
  • t(a)
    3.13715
  • p(a)
    0.00091
  • Lowerbound of 95% confidence interval for beta
    -0.41415
  • Upperbound of 95% confidence interval for beta
    0.07966
  • Lowerbound of 95% confidence interval for alpha
    0.49596
  • Upperbound of 95% confidence interval for alpha
    2.15951
  • Treynor index (mean / b)
    -7.99450
  • Jensen alpha (a)
    1.32773
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04989
  • Expected Shortfall on VaR
    0.06330
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01827
  • Expected Shortfall on VaR
    0.03445
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    448.00000
  • Minimum
    0.91739
  • Quartile 1
    0.98958
  • Median
    1.00000
  • Quartile 3
    1.01164
  • Maximum
    1.35031
  • Mean of quarter 1
    0.97598
  • Mean of quarter 2
    0.99470
  • Mean of quarter 3
    1.00430
  • Mean of quarter 4
    1.04834
  • Inter Quartile Range
    0.02206
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.02902
  • Mean of outliers low
    0.94190
  • Number of outliers high
    43.00000
  • Percentage of outliers high
    0.09598
  • Mean of outliers high
    1.08766
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26113
  • VaR(95%) (moments method)
    0.02483
  • Expected Shortfall (moments method)
    0.03973
  • Extreme Value Index (regression method)
    0.10710
  • VaR(95%) (regression method)
    0.02396
  • Expected Shortfall (regression method)
    0.03422
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    28.00000
  • Minimum
    0.00192
  • Quartile 1
    0.01316
  • Median
    0.02669
  • Quartile 3
    0.07288
  • Maximum
    0.41525
  • Mean of quarter 1
    0.00617
  • Mean of quarter 2
    0.01653
  • Mean of quarter 3
    0.05074
  • Mean of quarter 4
    0.15261
  • Inter Quartile Range
    0.05972
  • 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
    0.03571
  • Mean of outliers high
    0.41525
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.54532
  • VaR(95%) (moments method)
    0.17768
  • Expected Shortfall (moments method)
    0.37471
  • Extreme Value Index (regression method)
    1.26199
  • VaR(95%) (regression method)
    0.16046
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    5.44961
  • Compounded annual return (geometric extrapolation)
    2.91546
  • Calmar ratio (compounded annual return / max draw down)
    7.02094
  • Compounded annual return / average of 25% largest draw downs
    19.10350
  • Compounded annual return / Expected Shortfall lognormal
    46.05650
  • 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
    0.53477
  • SD
    0.27253
  • Sharpe ratio (Glass type estimate)
    1.96226
  • Sharpe ratio (Hedges UMVUE)
    1.95092
  • df
    130.00000
  • t
    1.38753
  • p
    0.43960
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82342
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.74056
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83101
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.73285
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.48422
  • Upside Potential Ratio
    13.87450
  • Upside part of mean
    1.65462
  • Downside part of mean
    -1.11985
  • Upside SD
    0.24612
  • Downside SD
    0.11926
  • N nonnegative terms
    48.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11709
  • Mean of criterion
    0.53477
  • SD of predictor
    0.15539
  • SD of criterion
    0.27253
  • Covariance
    -0.00032
  • r
    -0.00761
  • b (slope, estimate of beta)
    -0.01334
  • a (intercept, estimate of alpha)
    0.53633
  • Mean Square Error
    0.07484
  • DF error
    129.00000
  • t(b)
    -0.08639
  • p(b)
    0.50484
  • t(a)
    1.38475
  • p(a)
    0.42314
  • Lowerbound of 95% confidence interval for beta
    -0.31884
  • Upperbound of 95% confidence interval for beta
    0.29216
  • Lowerbound of 95% confidence interval for alpha
    -0.22998
  • Upperbound of 95% confidence interval for alpha
    1.30264
  • Treynor index (mean / b)
    -40.08780
  • Jensen alpha (a)
    0.53633
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49827
  • SD
    0.26753
  • Sharpe ratio (Glass type estimate)
    1.86245
  • Sharpe ratio (Hedges UMVUE)
    1.85169
  • df
    130.00000
  • t
    1.31695
  • p
    0.44263
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92210
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.63998
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92924
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.63262
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.14477
  • Upside Potential Ratio
    13.51890
  • Upside part of mean
    1.62518
  • Downside part of mean
    -1.12691
  • Upside SD
    0.23984
  • Downside SD
    0.12022
  • N nonnegative terms
    48.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10509
  • Mean of criterion
    0.49827
  • SD of predictor
    0.15532
  • SD of criterion
    0.26753
  • Covariance
    -0.00031
  • r
    -0.00741
  • b (slope, estimate of beta)
    -0.01276
  • a (intercept, estimate of alpha)
    0.49961
  • Mean Square Error
    0.07212
  • DF error
    129.00000
  • t(b)
    -0.08416
  • p(b)
    0.50472
  • t(a)
    1.31429
  • p(a)
    0.42698
  • VAR (95 Confidence Intrvl)
    0.05000
  • Lowerbound of 95% confidence interval for beta
    -0.31282
  • Upperbound of 95% confidence interval for beta
    0.28729
  • Lowerbound of 95% confidence interval for alpha
    -0.25250
  • Upperbound of 95% confidence interval for alpha
    1.25172
  • Treynor index (mean / b)
    -39.03930
  • Jensen alpha (a)
    0.49961
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02497
  • Expected Shortfall on VaR
    0.03166
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01137
  • Expected Shortfall on VaR
    0.01936
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97017
  • Quartile 1
    0.99343
  • Median
    0.99968
  • Quartile 3
    1.00532
  • Maximum
    1.08782
  • Mean of quarter 1
    0.98680
  • Mean of quarter 2
    0.99650
  • Mean of quarter 3
    1.00117
  • Mean of quarter 4
    1.02409
  • Inter Quartile Range
    0.01188
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.97017
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.03989
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.76358
  • VaR(95%) (moments method)
    0.01373
  • Expected Shortfall (moments method)
    0.01499
  • Extreme Value Index (regression method)
    -0.21283
  • VaR(95%) (regression method)
    0.01177
  • Expected Shortfall (regression method)
    0.01387
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00886
  • Quartile 1
    0.01476
  • Median
    0.02744
  • Quartile 3
    0.07456
  • Maximum
    0.14672
  • Mean of quarter 1
    0.01175
  • Mean of quarter 2
    0.02116
  • Mean of quarter 3
    0.05054
  • Mean of quarter 4
    0.12265
  • Inter Quartile Range
    0.05980
  • 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?
    -339545000
  • Max Equity Drawdown (num days)
    143
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.60188
  • Compounded annual return (geometric extrapolation)
    0.69244
  • Calmar ratio (compounded annual return / max draw down)
    4.71946
  • Compounded annual return / average of 25% largest draw downs
    5.64567
  • Compounded annual return / Expected Shortfall lognormal
    21.87100

Strategy Description

Update: 6/4/2023
-Rescaled system down.
-I trade this system with my real money account so position sizing will be large in reference to this rescaled account size
-Please contact me before signing up so you can figure out the position size % for your account size

Summary Statistics

Strategy began
2021-09-15
Suggested Minimum Capital
$70,000
Rank at C2 
#125
# Trades
1056
# Profitable
390
% Profitable
36.9%
Correlation S&P500
-0.074
Sharpe Ratio
1.82
Sortino Ratio
4.41
Beta
-0.24
Alpha
0.41
Leverage
8.06 Average
42.43 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

#PERSONNAME#
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.