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GM Tree in the Forest
(138272438)

Created by: msantalucia msantalucia
Started: 11/2021
Stocks
Last trade: 195 days ago
Trading style: Equity Trend-following Momentum

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 $100.00 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.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
7.1%
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.

(22.3%)
Max Drawdown
67
Num Trades
55.2%
Win Trades
1.5 : 1
Profit Factor
40.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                                      (0.1%)(3.7%)(3.8%)
2022+6.2%+4.4%(0.6%)+0.9%(6%)(4.5%)(2%)+2.6%+1.8%(0.9%)(2.2%)+1.9%+0.9%
2023(2.2%)+5.3%+3.9%(3.3%)(0.5%)(0.5%)(0.5%)(0.2%)(0.6%)(2.4%)+5.1%+6.7%+10.5%
2024(0.8%)+6.5%+6.5%(2.2%)                                                +10.1%

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 24 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/4/23 9:30 GM GENERAL MOTORS SHORT 400 31.35 10/12 9:30 30.69 1.02%
Trade id #146026122
Max drawdown($252)
Time10/11/23 0:00
Quant open400
Worst price31.98
Drawdown as % of equity-1.02%
 $256
Includes Typical Broker Commissions trade costs of $8.00
9/14/23 9:30 GM GENERAL MOTORS LONG 400 33.60 9/15 9:30 33.54 0.93%
Trade id #145820305
Max drawdown($226)
Time9/14/23 10:11
Quant open400
Worst price33.03
Drawdown as % of equity-0.93%
 ($32)
Includes Typical Broker Commissions trade costs of $8.00
9/12/23 9:30 GM GENERAL MOTORS LONG 400 32.76 9/13 9:30 33.94 n/a $464
Includes Typical Broker Commissions trade costs of $8.00
8/31/23 9:30 GM GENERAL MOTORS LONG 400 33.51 9/7 9:30 32.41 2%
Trade id #145699384
Max drawdown($488)
Time9/7/23 9:30
Quant open400
Worst price32.29
Drawdown as % of equity-2.00%
 ($448)
Includes Typical Broker Commissions trade costs of $8.00
8/29/23 9:30 GM GENERAL MOTORS LONG 400 33.22 8/30 9:30 33.46 0.23%
Trade id #145672007
Max drawdown($56)
Time8/29/23 10:12
Quant open400
Worst price33.08
Drawdown as % of equity-0.23%
 $88
Includes Typical Broker Commissions trade costs of $8.00
4/26/23 9:30 GM GENERAL MOTORS LONG 400 32.90 4/27 9:30 32.36 1.31%
Trade id #144427295
Max drawdown($328)
Time4/26/23 15:32
Quant open400
Worst price32.08
Drawdown as % of equity-1.31%
 ($224)
Includes Typical Broker Commissions trade costs of $8.00
3/29/23 9:30 GM GENERAL MOTORS LONG 400 34.89 4/18 9:30 35.45 1.86%
Trade id #144101649
Max drawdown($468)
Time4/13/23 0:00
Quant open400
Worst price33.72
Drawdown as % of equity-1.86%
 $216
Includes Typical Broker Commissions trade costs of $8.00
3/27/23 9:31 GM GENERAL MOTORS SHORT 400 34.32 3/28 9:30 34.46 0.35%
Trade id #144058965
Max drawdown($88)
Time3/27/23 14:47
Quant open400
Worst price34.54
Drawdown as % of equity-0.35%
 ($64)
Includes Typical Broker Commissions trade costs of $8.00
3/13/23 9:31 GM GENERAL MOTORS LONG 415 35.43 3/27 9:30 34.33 3.55%
Trade id #143874826
Max drawdown($890)
Time3/24/23 0:00
Quant open364
Worst price32.98
Drawdown as % of equity-3.55%
 ($465)
Includes Typical Broker Commissions trade costs of $8.30
2/22/23 9:31 GM GENERAL MOTORS SHORT 641 40.76 3/13 9:30 37.83 0.4%
Trade id #143661191
Max drawdown($98)
Time3/3/23 0:00
Quant open260
Worst price41.35
Drawdown as % of equity-0.40%
 $1,863
Includes Typical Broker Commissions trade costs of $12.82
2/21/23 9:30 GM GENERAL MOTORS LONG 337 42.43 2/22 9:30 41.23 1.88%
Trade id #143645809
Max drawdown($451)
Time2/21/23 15:58
Quant open337
Worst price41.09
Drawdown as % of equity-1.88%
 ($411)
Includes Typical Broker Commissions trade costs of $6.74
2/6/23 9:30 GM GENERAL MOTORS LONG 421 41.00 2/16 9:30 42.12 0.41%
Trade id #143468312
Max drawdown($98)
Time2/13/23 0:00
Quant open400
Worst price40.72
Drawdown as % of equity-0.41%
 $463
Includes Typical Broker Commissions trade costs of $8.42
1/18/23 9:30 GM GENERAL MOTORS LONG 420 36.99 2/3 9:30 40.16 3.42%
Trade id #143250801
Max drawdown($772)
Time1/19/23 0:00
Quant open400
Worst price35.13
Drawdown as % of equity-3.42%
 $1,321
Includes Typical Broker Commissions trade costs of $8.40
1/12/23 9:30 GM GENERAL MOTORS LONG 375 38.14 1/17 9:30 36.50 3.7%
Trade id #143191254
Max drawdown($875)
Time1/13/23 0:00
Quant open375
Worst price35.80
Drawdown as % of equity-3.70%
 ($623)
Includes Typical Broker Commissions trade costs of $7.50
1/9/23 9:30 GM GENERAL MOTORS LONG 400 36.53 1/11 9:30 37.35 1.17%
Trade id #143144231
Max drawdown($274)
Time1/9/23 9:42
Quant open400
Worst price35.84
Drawdown as % of equity-1.17%
 $320
Includes Typical Broker Commissions trade costs of $8.00
1/6/23 9:30 GM GENERAL MOTORS SHORT 400 34.69 1/9 9:30 36.53 3.23%
Trade id #143122004
Max drawdown($758)
Time1/9/23 9:30
Quant open400
Worst price36.59
Drawdown as % of equity-3.23%
 ($744)
Includes Typical Broker Commissions trade costs of $8.00
12/20/22 9:30 GM GENERAL MOTORS SHORT 441 34.76 1/4/23 9:30 34.42 1%
Trade id #142938102
Max drawdown($238)
Time12/21/22 0:00
Quant open308
Worst price36.03
Drawdown as % of equity-1.00%
 $141
Includes Typical Broker Commissions trade costs of $8.82
12/15/22 9:30 GM GENERAL MOTORS SHORT 240 37.79 12/16 9:30 37.03 0.01%
Trade id #142887399
Max drawdown($2)
Time12/15/22 11:03
Quant open240
Worst price37.80
Drawdown as % of equity-0.01%
 $177
Includes Typical Broker Commissions trade costs of $4.80
11/17/22 9:31 GM GENERAL MOTORS SHORT 400 38.03 11/18 9:30 39.50 2.75%
Trade id #142597424
Max drawdown($664)
Time11/18/22 9:30
Quant open400
Worst price39.69
Drawdown as % of equity-2.75%
 ($596)
Includes Typical Broker Commissions trade costs of $8.00
11/11/22 9:31 GM GENERAL MOTORS LONG 400 39.94 11/16 9:30 39.75 0.8%
Trade id #142532809
Max drawdown($197)
Time11/16/22 9:30
Quant open400
Worst price39.45
Drawdown as % of equity-0.80%
 ($86)
Includes Typical Broker Commissions trade costs of $8.00
11/9/22 9:30 GM GENERAL MOTORS LONG 400 38.55 11/10 9:30 39.15 0.86%
Trade id #142500167
Max drawdown($208)
Time11/9/22 14:51
Quant open400
Worst price38.03
Drawdown as % of equity-0.86%
 $232
Includes Typical Broker Commissions trade costs of $8.00
10/31/22 9:30 GM GENERAL MOTORS LONG 400 38.67 11/8 9:30 39.46 1.69%
Trade id #142377955
Max drawdown($406)
Time11/3/22 0:00
Quant open400
Worst price37.65
Drawdown as % of equity-1.69%
 $311
Includes Typical Broker Commissions trade costs of $8.00
10/17/22 9:30 GM GENERAL MOTORS LONG 400 33.70 10/24 9:30 34.91 1.09%
Trade id #142190226
Max drawdown($255)
Time10/17/22 11:10
Quant open400
Worst price33.06
Drawdown as % of equity-1.09%
 $476
Includes Typical Broker Commissions trade costs of $8.00
10/10/22 9:31 GM GENERAL MOTORS SHORT 400 32.38 10/11 9:30 32.01 0.4%
Trade id #142103271
Max drawdown($94)
Time10/10/22 15:24
Quant open400
Worst price32.62
Drawdown as % of equity-0.40%
 $140
Includes Typical Broker Commissions trade costs of $8.00
10/7/22 9:30 GM GENERAL MOTORS LONG 333 34.06 10/10 9:30 32.38 2.46%
Trade id #142080215
Max drawdown($591)
Time10/10/22 9:30
Quant open333
Worst price32.28
Drawdown as % of equity-2.46%
 ($566)
Includes Typical Broker Commissions trade costs of $6.66
10/3/22 9:31 GM GENERAL MOTORS SHORT 400 33.20 10/6 9:30 34.49 3.11%
Trade id #142010223
Max drawdown($764)
Time10/4/22 0:00
Quant open229
Worst price35.80
Drawdown as % of equity-3.11%
 ($524)
Includes Typical Broker Commissions trade costs of $8.00
9/26/22 9:32 GM GENERAL MOTORS LONG 370 35.11 10/3 9:30 32.54 4.34%
Trade id #141927521
Max drawdown($1,084)
Time9/30/22 0:00
Quant open354
Worst price32.05
Drawdown as % of equity-4.34%
 ($958)
Includes Typical Broker Commissions trade costs of $7.40
9/16/22 9:30 GM GENERAL MOTORS SHORT 327 40.01 9/23 9:30 37.08 1.67%
Trade id #141827979
Max drawdown($414)
Time9/19/22 0:00
Quant open300
Worst price41.44
Drawdown as % of equity-1.67%
 $951
Includes Typical Broker Commissions trade costs of $6.54
9/14/22 9:31 GM GENERAL MOTORS SHORT 267 40.74 9/15 9:30 40.57 1.07%
Trade id #141780205
Max drawdown($265)
Time9/15/22 0:00
Quant open267
Worst price41.73
Drawdown as % of equity-1.07%
 $40
Includes Typical Broker Commissions trade costs of $5.34
9/8/22 9:30 GM GENERAL MOTORS LONG 400 39.45 9/14 9:30 40.74 0.17%
Trade id #141703699
Max drawdown($42)
Time9/8/22 9:40
Quant open400
Worst price39.34
Drawdown as % of equity-0.17%
 $508
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    11/19/2021
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    884.06
  • Age
    30 months ago
  • What it trades
    Stocks
  • # Trades
    67
  • # Profitable
    37
  • % Profitable
    55.20%
  • Avg trade duration
    8.7 days
  • Max peak-to-valley drawdown
    22.32%
  • drawdown period
    March 08, 2022 - Jan 20, 2023
  • Annual Return (Compounded)
    7.0%
  • Avg win
    $631.43
  • Avg loss
    $512.13
  • Model Account Values (Raw)
  • Cash
    $22,286
  • Margin Used
    $0
  • Buying Power
    $26,958
  • Ratios
  • W:L ratio
    1.53:1
  • Sharpe Ratio
    0.34
  • Sortino Ratio
    0.53
  • Calmar Ratio
    1.077
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    12.30%
  • Correlation to SP500
    0.09150
  • Return Percent SP500 (cumu) during strategy life
    7.93%
  • Return Statistics
  • Ann Return (w trading costs)
    7.0%
  • Slump
  • Current Slump as Pcnt Equity
    2.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • 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)
    0.070%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    12.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    51.00%
  • Chance of 20% account loss
    11.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    333
  • 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
    $512
  • Avg Win
    $631
  • Sum Trade PL (losers)
    $15,364.000
  • Age
  • Num Months filled monthly returns table
    30
  • Win / Loss
  • Sum Trade PL (winners)
    $23,363.000
  • # Winners
    37
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    99
  • Win / Loss
  • # Losers
    30
  • % Winners
    55.2%
  • Frequency
  • Avg Position Time (mins)
    12589.40
  • Avg Position Time (hrs)
    209.82
  • Avg Trade Length
    8.7 days
  • Last Trade Ago
    192
  • Leverage
  • Daily leverage (average)
    0.59
  • Daily leverage (max)
    1.07
  • Regression
  • Alpha
    0.02
  • Beta
    0.08
  • Treynor Index
    0.23
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.47
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    8.337
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.576
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.593
  • Hold-and-Hope Ratio
    -0.009
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02956
  • SD
    0.17127
  • Sharpe ratio (Glass type estimate)
    0.17258
  • Sharpe ratio (Hedges UMVUE)
    0.16566
  • df
    19.00000
  • t
    0.22280
  • p
    0.46752
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.34879
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68951
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.35343
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68476
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.27280
  • Upside Potential Ratio
    2.27043
  • Upside part of mean
    0.24601
  • Downside part of mean
    -0.21645
  • Upside SD
    0.12728
  • Downside SD
    0.10835
  • N nonnegative terms
    8.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    -0.04970
  • Mean of criterion
    0.02956
  • SD of predictor
    0.18205
  • SD of criterion
    0.17127
  • Covariance
    -0.01222
  • r
    -0.39192
  • b (slope, estimate of beta)
    -0.36873
  • a (intercept, estimate of alpha)
    0.01123
  • Mean Square Error
    0.02621
  • DF error
    18.00000
  • t(b)
    -1.80737
  • p(b)
    0.69596
  • t(a)
    0.08929
  • p(a)
    0.48948
  • Lowerbound of 95% confidence interval for beta
    -0.79734
  • Upperbound of 95% confidence interval for beta
    0.05989
  • Lowerbound of 95% confidence interval for alpha
    -0.25308
  • Upperbound of 95% confidence interval for alpha
    0.27555
  • Treynor index (mean / b)
    -0.08016
  • Jensen alpha (a)
    0.01123
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01569
  • SD
    0.17017
  • Sharpe ratio (Glass type estimate)
    0.09218
  • Sharpe ratio (Hedges UMVUE)
    0.08848
  • df
    19.00000
  • t
    0.11900
  • p
    0.48263
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42747
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60946
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.42996
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60692
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.14005
  • Upside Potential Ratio
    2.12276
  • Upside part of mean
    0.23776
  • Downside part of mean
    -0.22207
  • Upside SD
    0.12242
  • Downside SD
    0.11200
  • N nonnegative terms
    8.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    -0.06565
  • Mean of criterion
    0.01569
  • SD of predictor
    0.18380
  • SD of criterion
    0.17017
  • Covariance
    -0.01223
  • r
    -0.39103
  • b (slope, estimate of beta)
    -0.36203
  • a (intercept, estimate of alpha)
    -0.00808
  • Mean Square Error
    0.02589
  • DF error
    18.00000
  • t(b)
    -1.80253
  • p(b)
    0.69552
  • t(a)
    -0.06447
  • p(a)
    0.50760
  • Lowerbound of 95% confidence interval for beta
    -0.78400
  • Upperbound of 95% confidence interval for beta
    0.05993
  • Lowerbound of 95% confidence interval for alpha
    -0.27141
  • Upperbound of 95% confidence interval for alpha
    0.25525
  • Treynor index (mean / b)
    -0.04333
  • Jensen alpha (a)
    -0.00808
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07642
  • Expected Shortfall on VaR
    0.09503
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04660
  • Expected Shortfall on VaR
    0.08025
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.90777
  • Quartile 1
    0.96954
  • Median
    0.99796
  • Quartile 3
    1.03480
  • Maximum
    1.09261
  • Mean of quarter 1
    0.94570
  • Mean of quarter 2
    0.98774
  • Mean of quarter 3
    1.01593
  • Mean of quarter 4
    1.06980
  • Inter Quartile Range
    0.06526
  • 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)
    -0.21015
  • VaR(95%) (moments method)
    0.05910
  • Expected Shortfall (moments method)
    0.07160
  • Extreme Value Index (regression method)
    0.14677
  • VaR(95%) (regression method)
    0.05633
  • Expected Shortfall (regression method)
    0.07446
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03476
  • Quartile 1
    0.04001
  • Median
    0.04527
  • Quartile 3
    0.09139
  • Maximum
    0.13750
  • Mean of quarter 1
    0.03476
  • Mean of quarter 2
    0.04527
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13750
  • Inter Quartile Range
    0.05137
  • 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)
    0.04522
  • Compounded annual return (geometric extrapolation)
    0.04456
  • Calmar ratio (compounded annual return / max draw down)
    0.32404
  • Compounded annual return / average of 25% largest draw downs
    0.32404
  • Compounded annual return / Expected Shortfall lognormal
    0.46886
  • 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
    0.16018
  • SD
    0.17503
  • Sharpe ratio (Glass type estimate)
    0.91514
  • Sharpe ratio (Hedges UMVUE)
    0.91360
  • df
    448.00000
  • t
    1.19800
  • p
    0.11578
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58374
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.41303
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58478
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41198
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.49977
  • Upside Potential Ratio
    9.15354
  • Upside part of mean
    0.97759
  • Downside part of mean
    -0.81742
  • Upside SD
    0.13878
  • Downside SD
    0.10680
  • N nonnegative terms
    182.00000
  • N negative terms
    267.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    449.00000
  • Mean of predictor
    0.04937
  • Mean of criterion
    0.16018
  • SD of predictor
    0.21924
  • SD of criterion
    0.17503
  • Covariance
    0.00385
  • r
    0.10039
  • b (slope, estimate of beta)
    0.08014
  • a (intercept, estimate of alpha)
    0.15600
  • Mean Square Error
    0.03039
  • DF error
    447.00000
  • t(b)
    2.13324
  • p(b)
    0.01672
  • t(a)
    1.17292
  • p(a)
    0.12073
  • Lowerbound of 95% confidence interval for beta
    0.00631
  • Upperbound of 95% confidence interval for beta
    0.15398
  • Lowerbound of 95% confidence interval for alpha
    -0.10553
  • Upperbound of 95% confidence interval for alpha
    0.41797
  • Treynor index (mean / b)
    1.99860
  • Jensen alpha (a)
    0.15622
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14496
  • SD
    0.17397
  • Sharpe ratio (Glass type estimate)
    0.83326
  • Sharpe ratio (Hedges UMVUE)
    0.83186
  • df
    448.00000
  • t
    1.09081
  • p
    0.13797
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66535
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33101
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66631
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33004
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.34435
  • Upside Potential Ratio
    8.97792
  • Upside part of mean
    0.96806
  • Downside part of mean
    -0.82311
  • Upside SD
    0.13656
  • Downside SD
    0.10783
  • N nonnegative terms
    182.00000
  • N negative terms
    267.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    449.00000
  • Mean of predictor
    0.02538
  • Mean of criterion
    0.14496
  • SD of predictor
    0.21927
  • SD of criterion
    0.17397
  • Covariance
    0.00376
  • r
    0.09865
  • b (slope, estimate of beta)
    0.07826
  • a (intercept, estimate of alpha)
    0.14297
  • Mean Square Error
    0.03004
  • DF error
    447.00000
  • t(b)
    2.09587
  • p(b)
    0.01833
  • t(a)
    1.07990
  • p(a)
    0.14038
  • Lowerbound of 95% confidence interval for beta
    0.00488
  • Upperbound of 95% confidence interval for beta
    0.15165
  • Lowerbound of 95% confidence interval for alpha
    -0.11722
  • Upperbound of 95% confidence interval for alpha
    0.40316
  • Treynor index (mean / b)
    1.85215
  • Jensen alpha (a)
    0.14297
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01698
  • Expected Shortfall on VaR
    0.02138
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00798
  • Expected Shortfall on VaR
    0.01552
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    449.00000
  • Minimum
    0.96110
  • Quartile 1
    0.99632
  • Median
    1.00000
  • Quartile 3
    1.00499
  • Maximum
    1.07000
  • Mean of quarter 1
    0.98893
  • Mean of quarter 2
    0.99891
  • Mean of quarter 3
    1.00137
  • Mean of quarter 4
    1.01376
  • Inter Quartile Range
    0.00866
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.04677
  • Mean of outliers low
    0.97736
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.05791
  • Mean of outliers high
    1.02765
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09220
  • VaR(95%) (moments method)
    0.00968
  • Expected Shortfall (moments method)
    0.01410
  • Extreme Value Index (regression method)
    -0.08824
  • VaR(95%) (regression method)
    0.01092
  • Expected Shortfall (regression method)
    0.01476
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00209
  • Quartile 1
    0.01502
  • Median
    0.02303
  • Quartile 3
    0.05134
  • Maximum
    0.17522
  • Mean of quarter 1
    0.00632
  • Mean of quarter 2
    0.01829
  • Mean of quarter 3
    0.03587
  • Mean of quarter 4
    0.10124
  • Inter Quartile Range
    0.03632
  • 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
    0.08333
  • Mean of outliers high
    0.17522
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.49244
  • VaR(95%) (moments method)
    0.11735
  • Expected Shortfall (moments method)
    0.23307
  • Extreme Value Index (regression method)
    6.87741
  • VaR(95%) (regression method)
    0.37559
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20120
  • Compounded annual return (geometric extrapolation)
    0.18871
  • Calmar ratio (compounded annual return / max draw down)
    1.07694
  • Compounded annual return / average of 25% largest draw downs
    1.86402
  • Compounded annual return / Expected Shortfall lognormal
    8.82780
  • 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
    0.42666
  • SD
    0.18897
  • Sharpe ratio (Glass type estimate)
    2.25780
  • Sharpe ratio (Hedges UMVUE)
    2.24475
  • df
    130.00000
  • t
    1.59650
  • p
    0.43067
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53181
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.03891
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54046
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.02995
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.97700
  • Upside Potential Ratio
    10.80010
  • Upside part of mean
    0.92584
  • Downside part of mean
    -0.49918
  • Upside SD
    0.16966
  • Downside SD
    0.08573
  • N nonnegative terms
    43.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.42678
  • Mean of criterion
    0.42666
  • SD of predictor
    0.18501
  • SD of criterion
    0.18897
  • Covariance
    0.01239
  • r
    0.35428
  • b (slope, estimate of beta)
    0.36185
  • a (intercept, estimate of alpha)
    0.27222
  • Mean Square Error
    0.03147
  • DF error
    129.00000
  • t(b)
    4.30293
  • p(b)
    0.27927
  • t(a)
    1.07416
  • p(a)
    0.44015
  • Lowerbound of 95% confidence interval for beta
    0.19547
  • Upperbound of 95% confidence interval for beta
    0.52824
  • Lowerbound of 95% confidence interval for alpha
    -0.22920
  • Upperbound of 95% confidence interval for alpha
    0.77364
  • Treynor index (mean / b)
    1.17909
  • Jensen alpha (a)
    0.27222
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40893
  • SD
    0.18602
  • Sharpe ratio (Glass type estimate)
    2.19835
  • Sharpe ratio (Hedges UMVUE)
    2.18565
  • df
    130.00000
  • t
    1.55447
  • p
    0.43246
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59043
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.97889
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59886
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.97015
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.71255
  • Upside Potential Ratio
    10.50750
  • Upside part of mean
    0.91180
  • Downside part of mean
    -0.50286
  • Upside SD
    0.16567
  • Downside SD
    0.08678
  • N nonnegative terms
    43.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.40948
  • Mean of criterion
    0.40893
  • SD of predictor
    0.18452
  • SD of criterion
    0.18602
  • Covariance
    0.01198
  • r
    0.34891
  • b (slope, estimate of beta)
    0.35174
  • a (intercept, estimate of alpha)
    0.26490
  • Mean Square Error
    0.03063
  • DF error
    129.00000
  • t(b)
    4.22861
  • p(b)
    0.28247
  • t(a)
    1.06036
  • p(a)
    0.44091
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    0.18716
  • Upperbound of 95% confidence interval for beta
    0.51631
  • Lowerbound of 95% confidence interval for alpha
    -0.22938
  • Upperbound of 95% confidence interval for alpha
    0.75919
  • Treynor index (mean / b)
    1.16261
  • Jensen alpha (a)
    0.26490
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01719
  • Expected Shortfall on VaR
    0.02189
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00520
  • Expected Shortfall on VaR
    0.01095
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96110
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00201
  • Maximum
    1.07000
  • Mean of quarter 1
    0.99272
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00031
  • Mean of quarter 4
    1.01387
  • Inter Quartile Range
    0.00201
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.16794
  • Mean of outliers low
    0.98996
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.18321
  • Mean of outliers high
    1.01778
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.60206
  • VaR(95%) (moments method)
    0.00344
  • Expected Shortfall (moments method)
    0.00409
  • Extreme Value Index (regression method)
    0.18348
  • VaR(95%) (regression method)
    0.00627
  • Expected Shortfall (regression method)
    0.01119
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00209
  • Quartile 1
    0.00342
  • Median
    0.01770
  • Quartile 3
    0.02600
  • Maximum
    0.05879
  • Mean of quarter 1
    0.00219
  • Mean of quarter 2
    0.00993
  • Mean of quarter 3
    0.02239
  • Mean of quarter 4
    0.04323
  • Inter Quartile Range
    0.02258
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -413049000
  • Max Equity Drawdown (num days)
    318
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.48822
  • Compounded annual return (geometric extrapolation)
    0.54781
  • Calmar ratio (compounded annual return / max draw down)
    9.31825
  • Compounded annual return / average of 25% largest draw downs
    12.67300
  • Compounded annual return / Expected Shortfall lognormal
    25.02320

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2021-11-19
Suggested Minimum Capital
$5,000
# Trades
67
# Profitable
37
% Profitable
55.2%
Net Dividends
$99
Correlation S&P500
0.091
Sharpe Ratio
0.34
Sortino Ratio
0.53
Beta
0.08
Alpha
0.02
Leverage
0.59 Average
1.07 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.