Collective2 Collective2
Featured Strategy S2Prox0 Followed by live capital $153,000 Hypothetical

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This is an archived track record. This track record was archived on 2/19/22 13:59 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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Bravery US Equity
(138568114)

Created by: AaronTsoi AaronTsoi
Started: 12/2021
Stocks
Last trade: 795 days ago
Trading style: Equity Hedged Equity Pairs Trading / Relative Value

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 $200.00 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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
Pairs Trading / Relative Value
Category: Equity

Pairs Trading / Relative Value

Seeks to exploit differences in the price or rate of the same or similar securities. The relative value fund trades on gaps, rather than the price of a specific security alone
2.1%
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.

(3.8%)
Max Drawdown
80
Num Trades
58.8%
Win Trades
1.5 : 1
Profit Factor
10.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                                             +0.3%+0.3%
2022+0.6%+4.0%  -    -    -    -    -    -    -    -    -    -  +4.7%
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/18/22 12:12 MOH MOLINA HEALTHCARE SHORT 15 317.96 2/19 13:59 314.87 0.01%
Trade id #139454239
Max drawdown($7)
Time2/18/22 12:18
Quant open15
Worst price318.48
Drawdown as % of equity-0.01%
 $46
Includes Typical Broker Commissions trade costs of $0.30
2/18/22 12:11 UNH UNITEDHEALTH GROUP LONG 10 469.54 2/19 13:59 467.81 0.05%
Trade id #139454225
Max drawdown($27)
Time2/18/22 15:34
Quant open10
Worst price466.82
Drawdown as % of equity-0.05%
 ($17)
Includes Typical Broker Commissions trade costs of $0.20
2/18/22 12:01 TDS TELEPHONE AND DATA SYSTEMS LONG 269 18.54 2/19 13:59 18.52 0.13%
Trade id #139453995
Max drawdown($67)
Time2/18/22 12:21
Quant open269
Worst price18.29
Drawdown as % of equity-0.13%
 ($10)
Includes Typical Broker Commissions trade costs of $5.38
2/18/22 11:59 KT KT CORPORATION SHORT 372 13.43 2/19 13:59 13.49 0.07%
Trade id #139453941
Max drawdown($35)
Time2/18/22 15:02
Quant open372
Worst price13.53
Drawdown as % of equity-0.07%
 ($29)
Includes Typical Broker Commissions trade costs of $7.44
2/18/22 9:42 LBTYA LIBERTY GLOBAL PLC CLASS A ORD LONG 182 27.49 2/19 13:59 26.55 0.35%
Trade id #139449106
Max drawdown($185)
Time2/18/22 15:34
Quant open182
Worst price26.47
Drawdown as % of equity-0.35%
 ($175)
Includes Typical Broker Commissions trade costs of $3.64
2/18/22 9:41 WWE WORLD WRESTLING SHORT 83 59.80 2/19 13:59 58.55 0.12%
Trade id #139449069
Max drawdown($64)
Time2/18/22 9:55
Quant open83
Worst price60.58
Drawdown as % of equity-0.12%
 $102
Includes Typical Broker Commissions trade costs of $1.66
2/16/22 11:42 ALE ALLETE LONG 83 59.78 2/19 13:59 61.30 0.23%
Trade id #139417727
Max drawdown($117)
Time2/17/22 0:00
Quant open83
Worst price58.37
Drawdown as % of equity-0.23%
 $124
Includes Typical Broker Commissions trade costs of $1.66
2/16/22 11:41 NWE NORTHWESTERN SHORT 86 57.93 2/19 13:59 59.36 0.4%
Trade id #139417720
Max drawdown($207)
Time2/18/22 0:00
Quant open86
Worst price60.34
Drawdown as % of equity-0.40%
 ($125)
Includes Typical Broker Commissions trade costs of $1.72
2/14/22 13:41 WEC WEC ENERGY GROUP LONG 55 89.65 2/19 13:59 90.00 0.14%
Trade id #139384996
Max drawdown($72)
Time2/17/22 0:00
Quant open55
Worst price88.33
Drawdown as % of equity-0.14%
 $18
Includes Typical Broker Commissions trade costs of $1.10
2/14/22 13:40 AEE AMEREN SHORT 58 84.97 2/19 13:59 84.67 0.12%
Trade id #139384991
Max drawdown($62)
Time2/15/22 0:00
Quant open58
Worst price86.05
Drawdown as % of equity-0.12%
 $16
Includes Typical Broker Commissions trade costs of $1.16
2/14/22 12:03 NSA NATIONAL STORAGE AFFILIATES TRUST SHORT 82 61.04 2/19 13:59 57.72 0.13%
Trade id #139383241
Max drawdown($68)
Time2/15/22 0:00
Quant open82
Worst price61.88
Drawdown as % of equity-0.13%
 $270
Includes Typical Broker Commissions trade costs of $1.64
2/14/22 12:03 DRE DUKE REALTY LONG 91 54.92 2/19 13:59 52.92 0.39%
Trade id #139383225
Max drawdown($200)
Time2/18/22 0:00
Quant open91
Worst price52.72
Drawdown as % of equity-0.39%
 ($184)
Includes Typical Broker Commissions trade costs of $1.82
2/4/22 10:50 HUBS HUBSPOT INC LONG 10 468.13 2/19 13:59 497.59 0.09%
Trade id #139254108
Max drawdown($45)
Time2/4/22 11:15
Quant open10
Worst price463.60
Drawdown as % of equity-0.09%
 $295
Includes Typical Broker Commissions trade costs of $0.20
2/4/22 10:50 BILL BILL HOLDINGS INC SHORT 22 219.80 2/19 13:59 224.23 1.8%
Trade id #139254100
Max drawdown($932)
Time2/10/22 0:00
Quant open22
Worst price262.17
Drawdown as % of equity-1.80%
 ($97)
Includes Typical Broker Commissions trade costs of $0.44
1/14/22 15:53 THG HANOVER INSURANCE GROUP SHORT 36 138.82 2/19 13:59 139.79 0.41%
Trade id #138963179
Max drawdown($209)
Time2/9/22 0:00
Quant open36
Worst price144.64
Drawdown as % of equity-0.41%
 ($36)
Includes Typical Broker Commissions trade costs of $0.72
1/14/22 15:53 SIGI SELECTIVE INSURANCE LONG 63 79.07 2/19 13:59 78.59 0.44%
Trade id #138963160
Max drawdown($229)
Time2/14/22 0:00
Quant open63
Worst price75.43
Drawdown as % of equity-0.44%
 ($31)
Includes Typical Broker Commissions trade costs of $1.26
1/14/22 10:27 TTEK TETRA TECH SHORT 33 149.33 2/19 13:59 149.05 0.91%
Trade id #138955926
Max drawdown($471)
Time2/17/22 0:00
Quant open33
Worst price163.61
Drawdown as % of equity-0.91%
 $8
Includes Typical Broker Commissions trade costs of $0.66
1/14/22 10:26 AMRC AMERESCO LONG 84 58.93 2/19 13:59 53.59 2.77%
Trade id #138955906
Max drawdown($1,377)
Time1/28/22 0:00
Quant open84
Worst price42.53
Drawdown as % of equity-2.77%
 ($451)
Includes Typical Broker Commissions trade costs of $1.68
1/10/22 9:46 IQV IQVIA HOLDINGS INC LONG 19 252.53 2/19 13:59 228.27 1.05%
Trade id #138886006
Max drawdown($545)
Time2/16/22 0:00
Quant open19
Worst price223.80
Drawdown as % of equity-1.05%
 ($461)
Includes Typical Broker Commissions trade costs of $0.38
1/10/22 9:45 CVS CVS HEALTH CORP SHORT 48 103.96 2/19 13:59 102.13 0.69%
Trade id #138885967
Max drawdown($349)
Time2/8/22 0:00
Quant open48
Worst price111.25
Drawdown as % of equity-0.69%
 $87
Includes Typical Broker Commissions trade costs of $0.96
2/4/22 10:03 FANG DIAMONDBACK ENERGY INC LONG 37 135.11 2/18 11:44 130.69 0.96%
Trade id #139252859
Max drawdown($482)
Time2/8/22 0:00
Quant open37
Worst price122.08
Drawdown as % of equity-0.96%
 ($165)
Includes Typical Broker Commissions trade costs of $0.74
2/4/22 10:04 OXY OCCIDENTAL PETROLEUM SHORT 118 42.10 2/18 11:44 39.63 0.24%
Trade id #139252873
Max drawdown($124)
Time2/11/22 0:00
Quant open118
Worst price43.16
Drawdown as % of equity-0.24%
 $289
Includes Typical Broker Commissions trade costs of $2.36
2/1/22 13:43 TDY TELEDYNE TECHNOLOGIES SHORT 11 418.30 2/18 9:35 422.73 0.32%
Trade id #139198723
Max drawdown($165)
Time2/10/22 0:00
Quant open11
Worst price433.36
Drawdown as % of equity-0.32%
 ($49)
Includes Typical Broker Commissions trade costs of $0.22
2/1/22 13:43 CGNX COGNEX LONG 75 66.45 2/18 9:34 67.79 0.7%
Trade id #139198765
Max drawdown($364)
Time2/17/22 0:00
Quant open75
Worst price61.59
Drawdown as % of equity-0.70%
 $100
Includes Typical Broker Commissions trade costs of $1.50
1/24/22 12:21 GTES GATES INDUSTRIAL CORP PLC LONG 329 15.21 2/16 10:23 15.56 0.35%
Trade id #139076020
Max drawdown($174)
Time1/28/22 0:00
Quant open329
Worst price14.68
Drawdown as % of equity-0.35%
 $108
Includes Typical Broker Commissions trade costs of $6.58
1/24/22 12:20 FLS FLOWSERVE SHORT 158 31.58 2/16 10:23 32.73 0.98%
Trade id #139076000
Max drawdown($507)
Time2/10/22 0:00
Quant open158
Worst price34.79
Drawdown as % of equity-0.98%
 ($185)
Includes Typical Broker Commissions trade costs of $3.16
1/18/22 10:05 SANM SANMINA SHORT 126 39.41 2/15 10:15 39.21 0.35%
Trade id #138988824
Max drawdown($177)
Time2/1/22 0:00
Quant open126
Worst price40.82
Drawdown as % of equity-0.35%
 $22
Includes Typical Broker Commissions trade costs of $2.52
1/18/22 10:00 PLXS PLEXUS LONG 86 85.05 2/15 10:15 82.40 1.44%
Trade id #138988675
Max drawdown($718)
Time1/28/22 0:00
Quant open59
Worst price72.88
Drawdown as % of equity-1.44%
 ($230)
Includes Typical Broker Commissions trade costs of $1.72
2/9/22 10:27 LANC LANCASTER COLONY LONG 31 158.88 2/14 9:51 157.98 0.2%
Trade id #139320089
Max drawdown($104)
Time2/10/22 0:00
Quant open31
Worst price155.52
Drawdown as % of equity-0.20%
 ($29)
Includes Typical Broker Commissions trade costs of $0.62
2/9/22 10:26 NOMD NOMAD FOODS LIMITED SHORT 188 26.59 2/14 9:51 25.86 0.07%
Trade id #139320074
Max drawdown($37)
Time2/10/22 0:00
Quant open188
Worst price26.79
Drawdown as % of equity-0.07%
 $133
Includes Typical Broker Commissions trade costs of $3.76
Next

Statistics

  • Strategy began
    12/14/2021
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    859.29
  • Age
    29 months ago
  • What it trades
    Stocks
  • # Trades
    80
  • # Profitable
    47
  • % Profitable
    58.80%
  • Avg trade duration
    13.8 days
  • Max peak-to-valley drawdown
    3.75%
  • drawdown period
    Jan 12, 2022 - Jan 28, 2022
  • Annual Return (Compounded)
    2.1%
  • Avg win
    $229.09
  • Avg loss
    $221.52
  • Model Account Values (Raw)
  • Cash
    $53,435
  • Margin Used
    $0
  • Buying Power
    $53,435
  • Ratios
  • W:L ratio
    1.47:1
  • Sharpe Ratio
    0.12
  • Sortino Ratio
    0.22
  • Calmar Ratio
    1.357
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -2.09%
  • Correlation to SP500
    0.09170
  • Return Percent SP500 (cumu) during strategy life
    9.42%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    2.1%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.92%
  • 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)
    0.021%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • 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
    12.27%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • 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
    $222
  • Avg Win
    $229
  • Sum Trade PL (losers)
    $7,310.000
  • Age
  • Num Months filled monthly returns table
    29
  • Win / Loss
  • Sum Trade PL (winners)
    $10,767.000
  • # Winners
    47
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    -24
  • Win / Loss
  • # Losers
    33
  • % Winners
    58.8%
  • Frequency
  • Avg Position Time (mins)
    19895.90
  • Avg Position Time (hrs)
    331.60
  • Avg Trade Length
    13.8 days
  • Last Trade Ago
    792
  • Leverage
  • Daily leverage (average)
    1.64
  • Daily leverage (max)
    2.73
  • Regression
  • Alpha
    0.00
  • Beta
    0.01
  • Treynor Index
    0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.47
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    6.520
  • 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
    0.682
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.938
  • Hold-and-Hope Ratio
    0.153
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01148
  • SD
    0.02928
  • Sharpe ratio (Glass type estimate)
    0.39198
  • Sharpe ratio (Hedges UMVUE)
    0.37627
  • df
    19.00000
  • t
    0.50604
  • p
    0.42675
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.13632
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91013
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14662
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89915
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.54374
  • Upside Potential Ratio
    4.73748
  • Upside part of mean
    0.03523
  • Downside part of mean
    -0.02375
  • Upside SD
    0.02776
  • Downside SD
    0.00744
  • N nonnegative terms
    3.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.04223
  • Mean of criterion
    0.01148
  • SD of predictor
    0.24011
  • SD of criterion
    0.02928
  • Covariance
    -0.00091
  • r
    -0.12890
  • b (slope, estimate of beta)
    -0.01572
  • a (intercept, estimate of alpha)
    0.01214
  • Mean Square Error
    0.00089
  • DF error
    18.00000
  • t(b)
    -0.55149
  • p(b)
    0.56445
  • t(a)
    0.52471
  • p(a)
    0.43863
  • Lowerbound of 95% confidence interval for beta
    -0.07561
  • Upperbound of 95% confidence interval for beta
    0.04417
  • Lowerbound of 95% confidence interval for alpha
    -0.03648
  • Upperbound of 95% confidence interval for alpha
    0.06076
  • Treynor index (mean / b)
    -0.73016
  • Jensen alpha (a)
    0.01214
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01105
  • SD
    0.02891
  • Sharpe ratio (Glass type estimate)
    0.38217
  • Sharpe ratio (Hedges UMVUE)
    0.36685
  • df
    19.00000
  • t
    0.49338
  • p
    0.42855
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.14575
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90020
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.15581
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88950
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.48742
  • Upside Potential Ratio
    4.68116
  • Upside part of mean
    0.03477
  • Downside part of mean
    -0.02372
  • Upside SD
    0.02737
  • Downside SD
    0.00743
  • N nonnegative terms
    3.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.01550
  • Mean of criterion
    0.01105
  • SD of predictor
    0.23542
  • SD of criterion
    0.02891
  • Covariance
    -0.00083
  • r
    -0.12144
  • b (slope, estimate of beta)
    -0.01491
  • a (intercept, estimate of alpha)
    0.01128
  • Mean Square Error
    0.00087
  • DF error
    18.00000
  • t(b)
    -0.51909
  • p(b)
    0.56072
  • t(a)
    0.49383
  • p(a)
    0.44219
  • Lowerbound of 95% confidence interval for beta
    -0.07527
  • Upperbound of 95% confidence interval for beta
    0.04544
  • Lowerbound of 95% confidence interval for alpha
    -0.03670
  • Upperbound of 95% confidence interval for alpha
    0.05926
  • Treynor index (mean / b)
    -0.74082
  • Jensen alpha (a)
    0.01128
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01272
  • Expected Shortfall on VaR
    0.01616
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00282
  • Expected Shortfall on VaR
    0.00283
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03110
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01314
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15000
  • Mean of outliers high
    1.02190
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04025
  • Compounded annual return (geometric extrapolation)
    0.03972
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    2.45877
  • 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
    0.01072
  • SD
    0.02849
  • Sharpe ratio (Glass type estimate)
    0.37639
  • Sharpe ratio (Hedges UMVUE)
    0.37575
  • df
    444.00000
  • t
    0.49053
  • p
    0.31200
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.12789
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.88028
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12835
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87985
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.79841
  • Upside Potential Ratio
    5.39338
  • Upside part of mean
    0.07243
  • Downside part of mean
    -0.06171
  • Upside SD
    0.02509
  • Downside SD
    0.01343
  • N nonnegative terms
    29.00000
  • N negative terms
    416.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    445.00000
  • Mean of predictor
    0.05706
  • Mean of criterion
    0.01072
  • SD of predictor
    0.21536
  • SD of criterion
    0.02849
  • Covariance
    0.00054
  • r
    0.08726
  • b (slope, estimate of beta)
    0.01154
  • a (intercept, estimate of alpha)
    0.01000
  • Mean Square Error
    0.00081
  • DF error
    443.00000
  • t(b)
    1.84372
  • p(b)
    0.03295
  • t(a)
    0.46158
  • p(a)
    0.32231
  • Lowerbound of 95% confidence interval for beta
    -0.00076
  • Upperbound of 95% confidence interval for beta
    0.02385
  • Lowerbound of 95% confidence interval for alpha
    -0.03279
  • Upperbound of 95% confidence interval for alpha
    0.05291
  • Treynor index (mean / b)
    0.92888
  • Jensen alpha (a)
    0.01006
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01032
  • SD
    0.02837
  • Sharpe ratio (Glass type estimate)
    0.36370
  • Sharpe ratio (Hedges UMVUE)
    0.36309
  • df
    444.00000
  • t
    0.47400
  • p
    0.31787
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.14057
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.86761
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14100
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.86718
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.76613
  • Upside Potential Ratio
    5.35415
  • Upside part of mean
    0.07211
  • Downside part of mean
    -0.06179
  • Upside SD
    0.02494
  • Downside SD
    0.01347
  • N nonnegative terms
    29.00000
  • N negative terms
    416.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    445.00000
  • Mean of predictor
    0.03392
  • Mean of criterion
    0.01032
  • SD of predictor
    0.21530
  • SD of criterion
    0.02837
  • Covariance
    0.00054
  • r
    0.08790
  • b (slope, estimate of beta)
    0.01158
  • a (intercept, estimate of alpha)
    0.00993
  • Mean Square Error
    0.00080
  • DF error
    443.00000
  • t(b)
    1.85736
  • p(b)
    0.03196
  • t(a)
    0.45718
  • p(a)
    0.32388
  • Lowerbound of 95% confidence interval for beta
    -0.00067
  • Upperbound of 95% confidence interval for beta
    0.02384
  • Lowerbound of 95% confidence interval for alpha
    -0.03274
  • Upperbound of 95% confidence interval for alpha
    0.05259
  • Treynor index (mean / b)
    0.89080
  • Jensen alpha (a)
    0.00993
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00284
  • Expected Shortfall on VaR
    0.00357
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00079
  • Expected Shortfall on VaR
    0.00168
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    445.00000
  • Minimum
    0.99057
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01894
  • Mean of quarter 1
    0.99946
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00114
  • Inter Quartile Range
    0.00000
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.04494
  • Mean of outliers low
    0.99697
  • Number of outliers high
    32.00000
  • Percentage of outliers high
    0.07191
  • Mean of outliers high
    1.00395
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.72017
  • VaR(95%) (moments method)
    -0.00673
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.04609
  • VaR(95%) (regression method)
    0.00056
  • Expected Shortfall (regression method)
    0.00157
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00013
  • Quartile 1
    0.00147
  • Median
    0.00437
  • Quartile 3
    0.00573
  • Maximum
    0.02872
  • Mean of quarter 1
    0.00042
  • Mean of quarter 2
    0.00331
  • Mean of quarter 3
    0.00526
  • Mean of quarter 4
    0.01746
  • Inter Quartile Range
    0.00426
  • 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
    0.14286
  • Mean of outliers high
    0.02872
  • 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)
    0.03949
  • Compounded annual return (geometric extrapolation)
    0.03896
  • Calmar ratio (compounded annual return / max draw down)
    1.35681
  • Compounded annual return / average of 25% largest draw downs
    2.23207
  • Compounded annual return / Expected Shortfall lognormal
    10.91680
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.49527
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.17056
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.48041
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.16989
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6763390000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00300
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -66404200000000000052603014610944.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • 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?
    -461926000
  • Max Equity Drawdown (num days)
    16
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2021-12-14
Suggested Minimum Capital
$15,000
# Trades
80
# Profitable
47
% Profitable
58.8%
Net Dividends
($23)
Correlation S&P500
0.092
Sharpe Ratio
0.12
Sortino Ratio
0.22
Beta
0.01
Alpha
0.00
Leverage
1.64 Average
2.73 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.