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These are hypothetical performance results that have certain inherent limitations. Learn more

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 01/14/2022
Most recent certification approved 1/14/22 9:31 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 1,065
# trading signals executed in manager's Israel Interactive Trading account 1,065
Percent signals followed since 01/14/2022 100%
This information was last updated 2/25/24 10:04 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 01/14/2022, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Alpha Algo Trade ETF
(138839383)

Created by: AlgoTrade AlgoTrade
Started: 01/2022
Stocks
Last trade: 2 days ago
Trading style: Equity Sector: Technology Short-term Reversal

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

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
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
20.8%
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.

(66.0%)
Max Drawdown
478
Num Trades
62.6%
Win Trades
1.2 : 1
Profit Factor
53.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022(8.3%)(0.7%)(0.7%)(0.7%)+33.1%+29.3%+20.6%(9.1%)(8.9%)+11.6%+26.3%(20%)+74.0%
2023+4.2%+7.6%+9.6%+1.3%+2.9%+3.8%(5.2%)(19.5%)(20%)(4.5%)(22.2%)+2.5%(38.2%)
2024+5.5%+32.2%                                                            +39.5%

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 1,065 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/21/24 14:53 LABU DIREXION DAILY S&P BIOTECH BULL LONG 11 125.45 2/22 11:04 130.30 0.1%
Trade id #147401855
Max drawdown($5)
Time2/21/24 15:11
Quant open11
Worst price124.92
Drawdown as % of equity-0.10%
$53
Includes Typical Broker Commissions trade costs of $0.22
2/20/24 15:53 MJ AMPLIFY ALTERNATIVE HARVEST ETF LONG 388 3.45 2/22 11:03 3.47 0.35%
Trade id #147384314
Max drawdown($22)
Time2/21/24 0:00
Quant open388
Worst price3.39
Drawdown as % of equity-0.35%
($1)
Includes Typical Broker Commissions trade costs of $7.76
2/20/24 15:46 NVDU DIREXION DAILY NVDA BULL 1.5X SHARES LONG 29 45.55 2/22 11:01 53.50 1.48%
Trade id #147384081
Max drawdown($93)
Time2/21/24 0:00
Quant open29
Worst price42.34
Drawdown as % of equity-1.48%
$229
Includes Typical Broker Commissions trade costs of $0.58
2/20/24 14:30 BKCH GLOBAL X BLOCKCHAIN ETF LONG 29 46.71 2/22 11:01 47.01 0.92%
Trade id #147382894
Max drawdown($57)
Time2/21/24 0:00
Quant open29
Worst price44.72
Drawdown as % of equity-0.92%
$8
Includes Typical Broker Commissions trade costs of $0.58
2/20/24 14:30 WGMI VALKYRIE BITCOIN MINERS ETF LONG 75 17.81 2/22 11:01 17.95 1.05%
Trade id #147382883
Max drawdown($66)
Time2/21/24 0:00
Quant open75
Worst price16.93
Drawdown as % of equity-1.05%
$9
Includes Typical Broker Commissions trade costs of $1.50
2/20/24 9:46 USD PROSHARES ULTRA SEMICONDUCTORS LONG 18 73.36 2/22 11:01 83.60 1.14%
Trade id #147377983
Max drawdown($71)
Time2/21/24 0:00
Quant open18
Worst price69.39
Drawdown as % of equity-1.14%
$184
Includes Typical Broker Commissions trade costs of $0.36
2/20/24 15:30 SOXL DIREXION DAILY SEMICONDCT BULL LONG 74 35.76 2/22 11:01 40.78 1.1%
Trade id #147383816
Max drawdown($68)
Time2/21/24 0:00
Quant open37
Worst price34.58
Drawdown as % of equity-1.10%
$371
Includes Typical Broker Commissions trade costs of $1.48
2/21/24 12:48 NVDX OPPTY TRUST T-REX 2X LONG NVIDIA DAILY TARGET LONG 23 58.67 2/22 11:00 76.87 0.68%
Trade id #147400480
Max drawdown($40)
Time2/21/24 15:11
Quant open23
Worst price56.93
Drawdown as % of equity-0.68%
$418
Includes Typical Broker Commissions trade costs of $0.46
2/20/24 10:59 NAIL MARKET VECTORS HOMEBUILDR & SPS BULL 3X LONG 13 106.21 2/21 10:06 111.30 0.21%
Trade id #147379400
Max drawdown($13)
Time2/20/24 12:39
Quant open13
Worst price105.20
Drawdown as % of equity-0.21%
$66
Includes Typical Broker Commissions trade costs of $0.26
2/16/24 15:30 YANG DIREXION DAILY FTSE CHINA BEAR 3X LONG 100 13.41 2/20 10:05 13.72 0.09%
Trade id #147359218
Max drawdown($5)
Time2/20/24 9:33
Quant open100
Worst price13.36
Drawdown as % of equity-0.09%
$29
Includes Typical Broker Commissions trade costs of $2.00
2/13/24 11:20 MSOX ADVISORSHARES MSOS 2X DAILY ETF LONG 468 5.12 2/15 7:34 5.17 3.24%
Trade id #147325491
Max drawdown($187)
Time2/14/24 0:00
Quant open234
Worst price4.67
Drawdown as % of equity-3.24%
$15
Includes Typical Broker Commissions trade costs of $9.36
2/13/24 11:11 MSOS ADVISORSHARES PURE US CANNABIS ETF LONG 1,144 8.44 2/14 15:57 8.64 2.46%
Trade id #147325351
Max drawdown($140)
Time2/14/24 12:45
Quant open1,144
Worst price8.32
Drawdown as % of equity-2.46%
$218
Includes Typical Broker Commissions trade costs of $10.72
2/7/24 13:02 HIBS DIREXION DAILY S&P 500 HIGH BETA BEAR 3X SHARES LONG 253 27.33 2/13 9:45 27.89 8.66%
Trade id #147250496
Max drawdown($480)
Time2/12/24 0:00
Quant open253
Worst price25.43
Drawdown as % of equity-8.66%
$138
Includes Typical Broker Commissions trade costs of $5.06
2/12/24 9:31 TECL DIREXION DAILY TECHNOLOGY BULL LONG 15 81.14 2/12 12:40 81.97 0.15%
Trade id #147286975
Max drawdown($8)
Time2/12/24 9:49
Quant open15
Worst price80.58
Drawdown as % of equity-0.15%
$12
Includes Typical Broker Commissions trade costs of $0.30
2/9/24 15:53 TSLS DIREXION DAILY TSLA BEAR 1X SHARES LONG 51 23.80 2/12 8:46 23.91 0.05%
Trade id #147278412
Max drawdown($2)
Time2/9/24 16:00
Quant open51
Worst price23.74
Drawdown as % of equity-0.05%
$5
Includes Typical Broker Commissions trade costs of $1.02
2/2/24 14:35 HIBS DIREXION DAILY S&P 500 HIGH BETA BEAR 3X SHARES LONG 245 27.43 2/5 15:55 27.98 0.32%
Trade id #147207920
Max drawdown($18)
Time2/2/24 15:28
Quant open245
Worst price27.35
Drawdown as % of equity-0.32%
$132
Includes Typical Broker Commissions trade costs of $4.90
1/26/24 12:49 TARK AXS 2X INNOVATION ETF LONG 17 70.56 1/29 9:30 70.37 0.32%
Trade id #147136525
Max drawdown($18)
Time1/26/24 15:39
Quant open17
Worst price69.50
Drawdown as % of equity-0.32%
($3)
Includes Typical Broker Commissions trade costs of $0.34
1/22/24 10:47 MSOX ADVISORSHARES MSOS 2X DAILY ETF LONG 1,529 5.06 1/22 15:54 5.26 4.7%
Trade id #147085905
Max drawdown($243)
Time1/22/24 13:05
Quant open1,529
Worst price4.90
Drawdown as % of equity-4.70%
$296
Includes Typical Broker Commissions trade costs of $5.00
1/12/24 14:44 BLOK AMPLIFY TRANSFORMATIONAL DATA SHARING ETF LONG 82 26.90 1/19 15:03 26.58 1.63%
Trade id #146989560
Max drawdown($83)
Time1/19/24 12:10
Quant open82
Worst price25.88
Drawdown as % of equity-1.63%
($28)
Includes Typical Broker Commissions trade costs of $1.64
1/12/24 9:46 CONY YIELDMAX COIN OPTION INCOME STRATEGY ETF LONG 106 20.55 1/19 15:02 19.29 4.09%
Trade id #146985542
Max drawdown($209)
Time1/19/24 12:06
Quant open106
Worst price18.57
Drawdown as % of equity-4.09%
($135)
Includes Typical Broker Commissions trade costs of $2.12
1/12/24 14:43 BKCH GLOBAL X BLOCKCHAIN ETF LONG 62 34.61 1/19 15:00 31.90 5.51%
Trade id #146989542
Max drawdown($282)
Time1/19/24 12:11
Quant open62
Worst price30.05
Drawdown as % of equity-5.51%
($169)
Includes Typical Broker Commissions trade costs of $1.24
1/12/24 14:44 LABU DIREXION DAILY S&P BIOTECH BULL LONG 18 118.24 1/19 14:58 111.58 3.77%
Trade id #146989568
Max drawdown($204)
Time1/19/24 9:47
Quant open18
Worst price106.88
Drawdown as % of equity-3.77%
($120)
Includes Typical Broker Commissions trade costs of $0.36
1/12/24 11:32 OARK YIELDMAX ARKK OPTION INCOME STRATEGY ETF LONG 86 13.20 1/18 15:25 12.66 1.05%
Trade id #146986973
Max drawdown($56)
Time1/18/24 13:58
Quant open86
Worst price12.54
Drawdown as % of equity-1.05%
($48)
Includes Typical Broker Commissions trade costs of $1.72
1/12/24 14:44 TARK AXS 2X INNOVATION ETF LONG 15 75.10 1/18 15:25 69.34 2.11%
Trade id #146989557
Max drawdown($113)
Time1/18/24 14:00
Quant open15
Worst price67.56
Drawdown as % of equity-2.11%
($86)
Includes Typical Broker Commissions trade costs of $0.30
1/12/24 14:03 RETL DIREXION DAILY RETAIL BULL 3X LONG 143 7.89 1/18 15:24 7.58 1.38%
Trade id #146989213
Max drawdown($74)
Time1/18/24 13:08
Quant open143
Worst price7.37
Drawdown as % of equity-1.38%
($48)
Includes Typical Broker Commissions trade costs of $2.86
1/12/24 10:41 ARKF ARK FINTECH INNOVATION ETF LONG 44 25.82 1/18 15:24 25.08 0.91%
Trade id #146986449
Max drawdown($53)
Time1/17/24 0:00
Quant open44
Worst price24.62
Drawdown as % of equity-0.91%
($34)
Includes Typical Broker Commissions trade costs of $0.88
1/12/24 11:17 ARKW ARK NEXT GENERATION INTERNET ETF LONG 16 70.83 1/18 15:24 68.73 0.95%
Trade id #146986822
Max drawdown($55)
Time1/17/24 0:00
Quant open16
Worst price67.37
Drawdown as % of equity-0.95%
($34)
Includes Typical Broker Commissions trade costs of $0.32
1/9/24 13:02 MSOX ADVISORSHARES MSOS 2X DAILY ETF LONG 2,085 4.00 1/12 13:58 4.38 21.07%
Trade id #146954201
Max drawdown($947)
Time1/11/24 0:00
Quant open2,085
Worst price3.55
Drawdown as % of equity-21.07%
$768
Includes Typical Broker Commissions trade costs of $10.00
1/9/24 13:03 BITQ BITWISE CRYPTO INDUSTRY INNOVATORS ETF LONG 254 11.22 1/10 12:37 11.23 2.89%
Trade id #146954229
Max drawdown($151)
Time1/10/24 9:59
Quant open254
Worst price10.62
Drawdown as % of equity-2.89%
($2)
Includes Typical Broker Commissions trade costs of $5.08
12/29/23 15:50 DUSL DIREXION DAILY INDUSTRIALS BULL 3X LONG 82 41.98 1/8/24 14:59 40.73 4.01%
Trade id #146846956
Max drawdown($202)
Time1/8/24 10:01
Quant open82
Worst price39.51
Drawdown as % of equity-4.01%
($105)
Includes Typical Broker Commissions trade costs of $1.64

Statistics

  • Strategy began
    1/6/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    780.21
  • Age
    26 months ago
  • What it trades
    Stocks
  • # Trades
    478
  • # Profitable
    299
  • % Profitable
    62.60%
  • Avg trade duration
    2.5 days
  • Max peak-to-valley drawdown
    66.04%
  • drawdown period
    June 16, 2023 - Jan 10, 2024
  • Annual Return (Compounded)
    20.8%
  • Avg win
    $96.41
  • Avg loss
    $134.75
  • Model Account Values (Raw)
  • Cash
    $7,676
  • Margin Used
    $0
  • Buying Power
    $7,619
  • Ratios
  • W:L ratio
    1.20:1
  • Sharpe Ratio
    0.49
  • Sortino Ratio
    0.78
  • Calmar Ratio
    0.782
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    41.64%
  • Correlation to SP500
    0.04420
  • Return Percent SP500 (cumu) during strategy life
    8.36%
  • Return Statistics
  • Ann Return (w trading costs)
    20.8%
  • Slump
  • Current Slump as Pcnt Equity
    82.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.33%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.208%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    37.4%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    781
  • Popularity (Last 6 weeks)
    941
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    365
  • Popularity (7 days, Percentile 1000 scale)
    835
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $135
  • Avg Win
    $96
  • Sum Trade PL (losers)
    $24,121.000
  • Age
  • Num Months filled monthly returns table
    26
  • Win / Loss
  • Sum Trade PL (winners)
    $28,827.000
  • # Winners
    299
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    165
  • AUM
  • AUM (AutoTrader live capital)
    93855
  • Win / Loss
  • # Losers
    179
  • % Winners
    62.5%
  • Frequency
  • Avg Position Time (mins)
    3630.75
  • Avg Position Time (hrs)
    60.51
  • Avg Trade Length
    2.5 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    2.38
  • Daily leverage (max)
    6.85
  • Regression
  • Alpha
    0.08
  • Beta
    0.11
  • Treynor Index
    0.69
  • 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)
    2.40
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -134.417
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.986
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.996
  • Hold-and-Hope Ratio
    -0.007
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33043
  • SD
    0.51900
  • Sharpe ratio (Glass type estimate)
    0.63667
  • Sharpe ratio (Hedges UMVUE)
    0.61653
  • df
    24.00000
  • t
    0.91895
  • p
    0.18363
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73947
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99988
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75253
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98558
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.31830
  • Upside Potential Ratio
    3.19151
  • Upside part of mean
    0.79995
  • Downside part of mean
    -0.46952
  • Upside SD
    0.45262
  • Downside SD
    0.25065
  • N nonnegative terms
    11.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.01937
  • Mean of criterion
    0.33043
  • SD of predictor
    0.18655
  • SD of criterion
    0.51900
  • Covariance
    0.02018
  • r
    0.20845
  • b (slope, estimate of beta)
    0.57992
  • a (intercept, estimate of alpha)
    0.31920
  • Mean Square Error
    0.26886
  • DF error
    23.00000
  • t(b)
    1.02213
  • p(b)
    0.15868
  • t(a)
    0.88812
  • p(a)
    0.19184
  • Lowerbound of 95% confidence interval for beta
    -0.59376
  • Upperbound of 95% confidence interval for beta
    1.75359
  • Lowerbound of 95% confidence interval for alpha
    -0.42430
  • Upperbound of 95% confidence interval for alpha
    1.06269
  • Treynor index (mean / b)
    0.56979
  • Jensen alpha (a)
    0.31920
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21065
  • SD
    0.48208
  • Sharpe ratio (Glass type estimate)
    0.43696
  • Sharpe ratio (Hedges UMVUE)
    0.42314
  • df
    24.00000
  • t
    0.63070
  • p
    0.26710
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93097
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79596
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94003
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78631
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.77578
  • Upside Potential Ratio
    2.62935
  • Upside part of mean
    0.71397
  • Downside part of mean
    -0.50332
  • Upside SD
    0.39125
  • Downside SD
    0.27154
  • N nonnegative terms
    11.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.00226
  • Mean of criterion
    0.21065
  • SD of predictor
    0.18988
  • SD of criterion
    0.48208
  • Covariance
    0.02162
  • r
    0.23614
  • b (slope, estimate of beta)
    0.59953
  • a (intercept, estimate of alpha)
    0.20930
  • Mean Square Error
    0.22899
  • DF error
    23.00000
  • t(b)
    1.16545
  • p(b)
    0.12789
  • t(a)
    0.63131
  • p(a)
    0.26703
  • Lowerbound of 95% confidence interval for beta
    -0.46463
  • Upperbound of 95% confidence interval for beta
    1.66370
  • Lowerbound of 95% confidence interval for alpha
    -0.47653
  • Upperbound of 95% confidence interval for alpha
    0.89513
  • Treynor index (mean / b)
    0.35136
  • Jensen alpha (a)
    0.20930
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19051
  • Expected Shortfall on VaR
    0.23525
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09721
  • Expected Shortfall on VaR
    0.17669
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.79581
  • Quartile 1
    0.92560
  • Median
    1.00000
  • Quartile 3
    1.08806
  • Maximum
    1.44271
  • Mean of quarter 1
    0.87241
  • Mean of quarter 2
    0.99094
  • Mean of quarter 3
    1.05012
  • Mean of quarter 4
    1.23223
  • Inter Quartile Range
    0.16246
  • 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
    0.08000
  • Mean of outliers high
    1.39173
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.56277
  • VaR(95%) (moments method)
    0.13845
  • Expected Shortfall (moments method)
    0.14214
  • Extreme Value Index (regression method)
    -0.86179
  • VaR(95%) (regression method)
    0.13635
  • Expected Shortfall (regression method)
    0.14513
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.07440
  • Quartile 1
    0.12783
  • Median
    0.17491
  • Quartile 3
    0.25952
  • Maximum
    0.42552
  • Mean of quarter 1
    0.07440
  • Mean of quarter 2
    0.14563
  • Mean of quarter 3
    0.20419
  • Mean of quarter 4
    0.42552
  • Inter Quartile Range
    0.13170
  • 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)
    0.30902
  • Compounded annual return (geometric extrapolation)
    0.26942
  • Calmar ratio (compounded annual return / max draw down)
    0.63316
  • Compounded annual return / average of 25% largest draw downs
    0.63316
  • Compounded annual return / Expected Shortfall lognormal
    1.14527
  • 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
    0.37356
  • SD
    0.39871
  • Sharpe ratio (Glass type estimate)
    0.93693
  • Sharpe ratio (Hedges UMVUE)
    0.93566
  • df
    552.00000
  • t
    1.36119
  • p
    0.08700
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41368
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.28674
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41455
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.28586
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.46460
  • Upside Potential Ratio
    8.22657
  • Upside part of mean
    2.09827
  • Downside part of mean
    -1.72471
  • Upside SD
    0.30685
  • Downside SD
    0.25506
  • N nonnegative terms
    238.00000
  • N negative terms
    315.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    553.00000
  • Mean of predictor
    0.02838
  • Mean of criterion
    0.37356
  • SD of predictor
    0.19106
  • SD of criterion
    0.39871
  • Covariance
    0.00222
  • r
    0.02908
  • b (slope, estimate of beta)
    0.06068
  • a (intercept, estimate of alpha)
    0.37200
  • Mean Square Error
    0.15912
  • DF error
    551.00000
  • t(b)
    0.68285
  • p(b)
    0.24749
  • t(a)
    1.35420
  • p(a)
    0.08811
  • Lowerbound of 95% confidence interval for beta
    -0.11387
  • Upperbound of 95% confidence interval for beta
    0.23524
  • Lowerbound of 95% confidence interval for alpha
    -0.16751
  • Upperbound of 95% confidence interval for alpha
    0.91119
  • Treynor index (mean / b)
    6.15611
  • Jensen alpha (a)
    0.37184
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29494
  • SD
    0.39530
  • Sharpe ratio (Glass type estimate)
    0.74611
  • Sharpe ratio (Hedges UMVUE)
    0.74509
  • df
    552.00000
  • t
    1.08396
  • p
    0.13943
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60397
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09561
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60470
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09488
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.12419
  • Upside Potential Ratio
    7.82612
  • Upside part of mean
    2.05323
  • Downside part of mean
    -1.75829
  • Upside SD
    0.29577
  • Downside SD
    0.26236
  • N nonnegative terms
    238.00000
  • N negative terms
    315.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    553.00000
  • Mean of predictor
    0.01015
  • Mean of criterion
    0.29494
  • SD of predictor
    0.19116
  • SD of criterion
    0.39530
  • Covariance
    0.00211
  • r
    0.02797
  • b (slope, estimate of beta)
    0.05784
  • a (intercept, estimate of alpha)
    0.29435
  • Mean Square Error
    0.15642
  • DF error
    551.00000
  • t(b)
    0.65677
  • p(b)
    0.25580
  • t(a)
    1.08124
  • p(a)
    0.14003
  • Lowerbound of 95% confidence interval for beta
    -0.11514
  • Upperbound of 95% confidence interval for beta
    0.23081
  • Lowerbound of 95% confidence interval for alpha
    -0.24039
  • Upperbound of 95% confidence interval for alpha
    0.82909
  • Treynor index (mean / b)
    5.09961
  • Jensen alpha (a)
    0.29435
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03829
  • Expected Shortfall on VaR
    0.04802
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01628
  • Expected Shortfall on VaR
    0.03346
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    553.00000
  • Minimum
    0.89497
  • Quartile 1
    0.99437
  • Median
    1.00000
  • Quartile 3
    1.00862
  • Maximum
    1.15306
  • Mean of quarter 1
    0.97526
  • Mean of quarter 2
    0.99879
  • Mean of quarter 3
    1.00311
  • Mean of quarter 4
    1.02916
  • Inter Quartile Range
    0.01425
  • Number outliers low
    46.00000
  • Percentage of outliers low
    0.08318
  • Mean of outliers low
    0.95342
  • Number of outliers high
    44.00000
  • Percentage of outliers high
    0.07957
  • Mean of outliers high
    1.05419
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20041
  • VaR(95%) (moments method)
    0.01880
  • Expected Shortfall (moments method)
    0.03079
  • Extreme Value Index (regression method)
    0.08833
  • VaR(95%) (regression method)
    0.02290
  • Expected Shortfall (regression method)
    0.03550
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00126
  • Quartile 1
    0.00414
  • Median
    0.03337
  • Quartile 3
    0.10969
  • Maximum
    0.48731
  • Mean of quarter 1
    0.00244
  • Mean of quarter 2
    0.01879
  • Mean of quarter 3
    0.06236
  • Mean of quarter 4
    0.23781
  • Inter Quartile Range
    0.10555
  • 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
    0.04762
  • Mean of outliers high
    0.48731
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.24968
  • VaR(95%) (moments method)
    0.24490
  • Expected Shortfall (moments method)
    0.38433
  • Extreme Value Index (regression method)
    0.83954
  • VaR(95%) (regression method)
    0.30786
  • Expected Shortfall (regression method)
    1.67338
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.46273
  • Compounded annual return (geometric extrapolation)
    0.38105
  • Calmar ratio (compounded annual return / max draw down)
    0.78194
  • Compounded annual return / average of 25% largest draw downs
    1.60233
  • Compounded annual return / Expected Shortfall lognormal
    7.93568
  • 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
    -0.17103
  • SD
    0.46777
  • Sharpe ratio (Glass type estimate)
    -0.36562
  • Sharpe ratio (Hedges UMVUE)
    -0.36351
  • df
    130.00000
  • t
    -0.25853
  • p
    0.51133
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.13718
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40715
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.13567
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40865
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.57469
  • Upside Potential Ratio
    7.53175
  • Upside part of mean
    2.24143
  • Downside part of mean
    -2.41245
  • Upside SD
    0.35873
  • Downside SD
    0.29760
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.27627
  • Mean of criterion
    -0.17103
  • SD of predictor
    0.12270
  • SD of criterion
    0.46777
  • Covariance
    -0.00056
  • r
    -0.00974
  • b (slope, estimate of beta)
    -0.03713
  • a (intercept, estimate of alpha)
    -0.16077
  • Mean Square Error
    0.22048
  • DF error
    129.00000
  • t(b)
    -0.11064
  • p(b)
    0.50620
  • t(a)
    -0.23977
  • p(a)
    0.51344
  • Lowerbound of 95% confidence interval for beta
    -0.70117
  • Upperbound of 95% confidence interval for beta
    0.62691
  • Lowerbound of 95% confidence interval for alpha
    -1.48736
  • Upperbound of 95% confidence interval for alpha
    1.16582
  • Treynor index (mean / b)
    4.60576
  • Jensen alpha (a)
    -0.16077
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.27711
  • SD
    0.45968
  • Sharpe ratio (Glass type estimate)
    -0.60283
  • Sharpe ratio (Hedges UMVUE)
    -0.59935
  • df
    130.00000
  • t
    -0.42627
  • p
    0.51868
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.37452
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17103
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.37211
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17342
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.90725
  • Upside Potential Ratio
    7.14042
  • Upside part of mean
    2.18093
  • Downside part of mean
    -2.45803
  • Upside SD
    0.34160
  • Downside SD
    0.30543
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26864
  • Mean of criterion
    -0.27711
  • SD of predictor
    0.12262
  • SD of criterion
    0.45968
  • Covariance
    -0.00100
  • r
    -0.01772
  • b (slope, estimate of beta)
    -0.06643
  • a (intercept, estimate of alpha)
    -0.25926
  • Mean Square Error
    0.21287
  • DF error
    129.00000
  • t(b)
    -0.20129
  • p(b)
    0.51128
  • t(a)
    -0.39372
  • p(a)
    0.52205
  • VAR (95 Confidence Intrvl)
    0.03800
  • Lowerbound of 95% confidence interval for beta
    -0.71934
  • Upperbound of 95% confidence interval for beta
    0.58649
  • Lowerbound of 95% confidence interval for alpha
    -1.56209
  • Upperbound of 95% confidence interval for alpha
    1.04357
  • Treynor index (mean / b)
    4.17167
  • Jensen alpha (a)
    -0.25926
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04665
  • Expected Shortfall on VaR
    0.05784
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02272
  • Expected Shortfall on VaR
    0.04325
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91938
  • Quartile 1
    0.98703
  • Median
    0.99994
  • Quartile 3
    1.00874
  • Maximum
    1.15306
  • Mean of quarter 1
    0.96881
  • Mean of quarter 2
    0.99488
  • Mean of quarter 3
    1.00355
  • Mean of quarter 4
    1.03071
  • Inter Quartile Range
    0.02171
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.94033
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.10395
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29016
  • VaR(95%) (moments method)
    0.03297
  • Expected Shortfall (moments method)
    0.05436
  • Extreme Value Index (regression method)
    0.21738
  • VaR(95%) (regression method)
    0.03113
  • Expected Shortfall (regression method)
    0.04756
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04841
  • Quartile 1
    0.13413
  • Median
    0.21984
  • Quartile 3
    0.30555
  • Maximum
    0.39126
  • Mean of quarter 1
    0.04841
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.39126
  • Inter Quartile Range
    0.17142
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -388449000
  • Max Equity Drawdown (num days)
    208
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.23430
  • Compounded annual return (geometric extrapolation)
    -0.22057
  • Calmar ratio (compounded annual return / max draw down)
    -0.56375
  • Compounded annual return / average of 25% largest draw downs
    -0.56375
  • Compounded annual return / Expected Shortfall lognormal
    -3.81350

Strategy Description

Algorithm Trade System (last update15.2.2024):
The system trades ETF(LONG+SHORT ETF long trade only).
I'm pleased to announce that a new Algo is up and running from 15.2.24
this is full Auto Trading System.
more powerful and accurate then before.

good luck

need margin account to follow all trades.
the system was backtest and working well in the past.
past results may not represent the future.

Monthly fee will be annual returnX2(current year).
updating every month.

:מערכת מסחר אלגוריתם (עדכון אחרון 15.2.24)
המערכת סוחרת בתעודות סל-קניה בלבד של תעודות לונג ושורט.
אני מעדכן שאלגו חדש יעלה וירוץ החל מ-15.2.24
זאת מערכת מסחר עצמאית לחלוטין, יותר עוצמתית ומדוייקת.

בהצלחה

יש צורך בחשבון מרגין ע"מ לעקוב אחרי כל העסקאות.
המערכת נבדקה לאחור ועבדה מצוין בעבר.
תוצאות העבר עשויות שלא לשקף את התוצאות בעתיד.

דמי מנוי יהיו פי2 תשואה שנתית - לפי שנת 2024
מתעדכן כל תחילת חודש

Summary Statistics

Strategy began
2022-01-06
Suggested Minimum Capital
$15,000
# Trades
478
# Profitable
299
% Profitable
62.6%
Net Dividends
Correlation S&P500
0.044
Sharpe Ratio
0.49
Sortino Ratio
0.78
Beta
0.11
Alpha
0.08
Leverage
2.38 Average
6.85 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.