Collective2 Collective2
Featured Strategy Cryptoverse +51.0% Annual Return (Compounded) since Jun 13, 2022 Hypothetical

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Quantum/AI Stocks 2025
(138839383)

Powered by BrokerTransmit.
Read important disclosures.

Created by: Arik Arik
Started: 01/2022
Stocks
Last trade: Yesterday
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).
7.9%
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.

(70.1%)
Max Drawdown
680
Num Trades
65.9%
Win Trades
1.1 : 1
Profit Factor
50.0%
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%+33.6%+16.0%(0.5%)(18.7%)(0.2%)+0.9%(0.5%)(0.5%)(15.8%)+2.8%+2.1%+16.7%

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 1,552 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/20/24 9:33 DUSL DIREXION DAILY INDUSTRIALS BULL 3X LONG 191 55.29 12/20 10:55 56.33 0.9%
Trade id #150374333
Max drawdown($55)
Time12/20/24 9:57
Quant open191
Worst price55.00
Drawdown as % of equity-0.90%
 $195
Includes Typical Broker Commissions trade costs of $3.82
12/19/24 9:30 QBTS D-WAVE QUANTUM INC LONG 74 8.64 12/20 9:34 5.86 3.65%
Trade id #150363221
Max drawdown($225)
Time12/20/24 9:33
Quant open74
Worst price5.60
Drawdown as % of equity-3.65%
 ($207)
Includes Typical Broker Commissions trade costs of $1.48
12/19/24 9:30 RGTI RIGETTI COMPUTING INC. COMMON STOCK LONG 66 9.84 12/20 9:34 7.12 3.23%
Trade id #150363097
Max drawdown($203)
Time12/19/24 15:13
Quant open66
Worst price6.75
Drawdown as % of equity-3.23%
 ($180)
Includes Typical Broker Commissions trade costs of $1.32
12/19/24 9:30 QUBT QUANTUM COMPUTING INC. COMMON STOCK LONG 30 20.45 12/20 9:34 14.11 3.27%
Trade id #150363084
Max drawdown($206)
Time12/19/24 15:17
Quant open30
Worst price13.57
Drawdown as % of equity-3.27%
 ($191)
Includes Typical Broker Commissions trade costs of $0.60
12/18/24 15:28 CRDO CREDO TECHNOLOGY GROUP HOLDING LTD LONG 5 67.02 12/19 9:05 67.21 0.17%
Trade id #150357441
Max drawdown($10)
Time12/18/24 15:41
Quant open5
Worst price64.87
Drawdown as % of equity-0.17%
 $1
Includes Typical Broker Commissions trade costs of $0.10
12/18/24 10:08 IONQ IONQ INC LONG 64 39.10 12/19 7:21 39.27 1.95%
Trade id #150352772
Max drawdown($126)
Time12/18/24 16:00
Quant open64
Worst price37.12
Drawdown as % of equity-1.95%
 $10
Includes Typical Broker Commissions trade costs of $1.28
12/18/24 15:18 RGTI RIGETTI COMPUTING INC. COMMON STOCK LONG 33 10.17 12/18 15:51 10.49 0.13%
Trade id #150357270
Max drawdown($8)
Time12/18/24 15:28
Quant open33
Worst price9.91
Drawdown as % of equity-0.13%
 $10
Includes Typical Broker Commissions trade costs of $0.66
12/18/24 11:41 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 2 233.00 12/18 13:12 233.06 0.07%
Trade id #150353804
Max drawdown($4)
Time12/18/24 12:06
Quant open2
Worst price230.86
Drawdown as % of equity-0.07%
 $0
Includes Typical Broker Commissions trade costs of $0.04
12/18/24 9:30 IONQ IONQ INC LONG 8 42.49 12/18 9:50 44.12 0.07%
Trade id #150351950
Max drawdown($4)
Time12/18/24 9:42
Quant open8
Worst price41.91
Drawdown as % of equity-0.07%
 $13
Includes Typical Broker Commissions trade costs of $0.16
12/18/24 9:30 RGTI RIGETTI COMPUTING INC. COMMON STOCK LONG 29 10.90 12/18 9:50 12.59 0.19%
Trade id #150351945
Max drawdown($12)
Time12/18/24 9:33
Quant open29
Worst price10.47
Drawdown as % of equity-0.19%
 $48
Includes Typical Broker Commissions trade costs of $0.58
12/18/24 9:32 QBTS D-WAVE QUANTUM INC LONG 40 8.29 12/18 9:49 10.46 n/a $86
Includes Typical Broker Commissions trade costs of $0.80
12/17/24 9:30 IONQ IONQ INC LONG 16 42.04 12/17 15:28 42.59 0.67%
Trade id #150342299
Max drawdown($43)
Time12/17/24 12:06
Quant open16
Worst price39.32
Drawdown as % of equity-0.67%
 $9
Includes Typical Broker Commissions trade costs of $0.32
12/16/24 9:46 CIFR CIPHER MINING INC. COMMON STOCK LONG 76 6.47 12/16 15:28 7.21 n/a $53
Includes Typical Broker Commissions trade costs of $1.52
12/13/24 11:30 MARA MARATHON DIGITAL HOLDINGS INC LONG 22 22.83 12/16 6:15 23.59 0.13%
Trade id #150320415
Max drawdown($8)
Time12/13/24 15:26
Quant open22
Worst price22.45
Drawdown as % of equity-0.13%
 $17
Includes Typical Broker Commissions trade costs of $0.44
12/10/24 10:30 IONQ IONQ INC LONG 56 31.35 12/11 13:28 31.41 2.97%
Trade id #150289477
Max drawdown($185)
Time12/11/24 10:23
Quant open56
Worst price28.04
Drawdown as % of equity-2.97%
 $2
Includes Typical Broker Commissions trade costs of $1.12
12/9/24 14:31 MARA MARATHON DIGITAL HOLDINGS INC LONG 20 24.74 12/11 10:55 23.97 0.7%
Trade id #150282568
Max drawdown($43)
Time12/10/24 0:00
Quant open20
Worst price22.55
Drawdown as % of equity-0.70%
 ($15)
Includes Typical Broker Commissions trade costs of $0.40
12/9/24 11:12 MSTR MICROSTRATEGY LONG 1 381.02 12/11 10:54 394.83 0.4%
Trade id #150280072
Max drawdown($24)
Time12/10/24 0:00
Quant open1
Worst price356.05
Drawdown as % of equity-0.40%
 $14
Includes Typical Broker Commissions trade costs of $0.02
12/10/24 11:51 CAN CANAAN INC. ADR OVERVIEW LONG 192 2.56 12/11 10:54 2.65 0.29%
Trade id #150291299
Max drawdown($18)
Time12/10/24 15:22
Quant open192
Worst price2.46
Drawdown as % of equity-0.29%
 $15
Includes Typical Broker Commissions trade costs of $3.84
12/10/24 15:30 RIOT RIOT BLOCKCHAIN INC. COMMON STOCK LONG 44 11.15 12/11 10:54 11.89 0.09%
Trade id #150293240
Max drawdown($5)
Time12/10/24 15:52
Quant open44
Worst price11.02
Drawdown as % of equity-0.09%
 $32
Includes Typical Broker Commissions trade costs of $0.88
12/9/24 11:20 MSTX TIDAL TRUST II DEFIANCE DAILY TARGET 2X LONG MSTR LONG 5 94.32 12/11 10:54 99.12 1.02%
Trade id #150280204
Max drawdown($64)
Time12/10/24 0:00
Quant open5
Worst price81.48
Drawdown as % of equity-1.02%
 $24
Includes Typical Broker Commissions trade costs of $0.10
12/5/24 11:58 RGTI RIGETTI COMPUTING INC. COMMON STOCK LONG 175 2.98 12/6 10:46 4.11 0.07%
Trade id #150253312
Max drawdown($4)
Time12/5/24 12:01
Quant open175
Worst price2.96
Drawdown as % of equity-0.07%
 $194
Includes Typical Broker Commissions trade costs of $3.50
12/2/24 9:30 MARA MARATHON DIGITAL HOLDINGS INC LONG 144 25.52 12/4 14:52 25.57 2.22%
Trade id #150220758
Max drawdown($135)
Time12/4/24 11:50
Quant open144
Worst price24.58
Drawdown as % of equity-2.22%
 $4
Includes Typical Broker Commissions trade costs of $2.88
12/2/24 15:16 BITQ BITWISE CRYPTO INDUSTRY INNOVATORS ETF LONG 24 20.47 12/3 12:55 20.53 0.3%
Trade id #150226056
Max drawdown($18)
Time12/3/24 9:30
Quant open24
Worst price19.70
Drawdown as % of equity-0.30%
 $1
Includes Typical Broker Commissions trade costs of $0.48
11/13/24 9:51 RIVN RIVIAN AUTOMOTIVE INC. CLASS A LONG 386 12.40 11/25 11:03 11.80 19.75%
Trade id #150074993
Max drawdown($1,100)
Time11/15/24 0:00
Quant open386
Worst price9.55
Drawdown as % of equity-19.75%
 ($240)
Includes Typical Broker Commissions trade costs of $7.72
11/11/24 15:32 LSAK LESAKA TECHNOLOGIES INC. COMMON STOCK LONG 204 5.27 11/14 13:14 5.02 0.52%
Trade id #150058918
Max drawdown($33)
Time11/13/24 0:00
Quant open204
Worst price5.11
Drawdown as % of equity-0.52%
 ($55)
Includes Typical Broker Commissions trade costs of $4.08
11/13/24 5:38 QBTS D-WAVE QUANTUM INC LONG 1,212 1.55 11/13 9:42 1.62 n/a $82
Includes Typical Broker Commissions trade costs of $5.00
11/5/24 14:33 LCID LUCID GROUP INC LONG 2,880 2.26 11/11 10:54 2.36 11.44%
Trade id #149995875
Max drawdown($691)
Time11/6/24 0:00
Quant open2,880
Worst price2.02
Drawdown as % of equity-11.44%
 $283
Includes Typical Broker Commissions trade costs of $5.00
10/24/24 9:56 LCID LUCID GROUP INC LONG 1,440 2.53 11/4 10:56 2.28 7.7%
Trade id #149817637
Max drawdown($475)
Time10/31/24 0:00
Quant open1,440
Worst price2.20
Drawdown as % of equity-7.70%
 ($365)
Includes Typical Broker Commissions trade costs of $5.00
10/11/24 9:43 VERI VERITONE INC. COMMON STOCK LONG 206 4.77 10/29 10:07 3.87 4.73%
Trade id #149637555
Max drawdown($309)
Time10/23/24 0:00
Quant open206
Worst price3.27
Drawdown as % of equity-4.73%
 ($189)
Includes Typical Broker Commissions trade costs of $4.12
10/8/24 9:31 ACCD ACCOLADE INC. LONG 1,408 3.47 10/24 14:15 3.27 7.04%
Trade id #149604005
Max drawdown($444)
Time10/24/24 11:38
Quant open1,408
Worst price3.15
Drawdown as % of equity-7.04%
 ($292)
Includes Typical Broker Commissions trade costs of $9.96
Next

Statistics

  • Strategy began
    1/6/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1080.06
  • Age
    36 months ago
  • What it trades
    Stocks
  • # Trades
    680
  • # Profitable
    448
  • % Profitable
    65.90%
  • Avg trade duration
    2.7 days
  • Max peak-to-valley drawdown
    70.11%
  • drawdown period
    June 16, 2023 - June 14, 2024
  • Annual Return (Compounded)
    7.9%
  • Avg win
    $76.29
  • Avg loss
    $131.34
  • Model Account Values (Raw)
  • Cash
    $9,350
  • Margin Used
    $0
  • Buying Power
    $9,350
  • Ratios
  • W:L ratio
    1.14:1
  • Sharpe Ratio
    0.3
  • Sortino Ratio
    0.45
  • Calmar Ratio
    0.485
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -0.81%
  • Correlation to SP500
    0.05510
  • Return Percent SP500 (cumu) during strategy life
    26.29%
  • Return Statistics
  • Ann Return (w trading costs)
    7.9%
  • Slump
  • Current Slump as Pcnt Equity
    116.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.51%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.079%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    23.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    86.50%
  • Chance of 20% account loss
    67.00%
  • Chance of 30% account loss
    51.00%
  • Chance of 40% account loss
    28.50%
  • Chance of 60% account loss (Monte Carlo)
    5.00%
  • Chance of 70% account loss (Monte Carlo)
    2.50%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    16.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    883
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $131
  • Avg Win
    $76
  • Sum Trade PL (losers)
    $30,471.000
  • Age
  • Num Months filled monthly returns table
    36
  • Win / Loss
  • Sum Trade PL (winners)
    $34,176.000
  • # Winners
    448
  • Num Months Winners
    18
  • Dividends
  • Dividends Received in Model Acct
    655
  • AUM
  • AUM (AutoTrader live capital)
    7435
  • Win / Loss
  • # Losers
    232
  • % Winners
    65.9%
  • Frequency
  • Avg Position Time (mins)
    3907.00
  • Avg Position Time (hrs)
    65.12
  • Avg Trade Length
    2.7 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.20
  • Daily leverage (max)
    6.85
  • Regression
  • Alpha
    0.05
  • Beta
    0.16
  • Treynor Index
    0.32
  • 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)
    2.43
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -39.394
  • 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
    1.118
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.027
  • Hold-and-Hope Ratio
    -0.025
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36439
  • SD
    0.59080
  • Sharpe ratio (Glass type estimate)
    0.61677
  • Sharpe ratio (Hedges UMVUE)
    0.60305
  • df
    34.00000
  • t
    1.05334
  • p
    0.14981
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54453
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76925
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55351
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75960
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10350
  • Upside Potential Ratio
    2.74576
  • Upside part of mean
    0.90669
  • Downside part of mean
    -0.54230
  • Upside SD
    0.49102
  • Downside SD
    0.33021
  • N nonnegative terms
    15.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    35.00000
  • Mean of predictor
    0.06224
  • Mean of criterion
    0.36439
  • SD of predictor
    0.16356
  • SD of criterion
    0.59080
  • Covariance
    0.01942
  • r
    0.20097
  • b (slope, estimate of beta)
    0.72590
  • a (intercept, estimate of alpha)
    0.31921
  • Mean Square Error
    0.34510
  • DF error
    33.00000
  • t(b)
    1.17851
  • p(b)
    0.12351
  • t(a)
    0.92229
  • p(a)
    0.18154
  • Lowerbound of 95% confidence interval for beta
    -0.52726
  • Upperbound of 95% confidence interval for beta
    1.97906
  • Lowerbound of 95% confidence interval for alpha
    -0.38495
  • Upperbound of 95% confidence interval for alpha
    1.02337
  • Treynor index (mean / b)
    0.50198
  • Jensen alpha (a)
    0.31921
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19516
  • SD
    0.58673
  • Sharpe ratio (Glass type estimate)
    0.33262
  • Sharpe ratio (Hedges UMVUE)
    0.32522
  • df
    34.00000
  • t
    0.56806
  • p
    0.28686
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82011
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.48056
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82502
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47546
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.49334
  • Upside Potential Ratio
    2.03547
  • Upside part of mean
    0.80520
  • Downside part of mean
    -0.61005
  • Upside SD
    0.42556
  • Downside SD
    0.39559
  • N nonnegative terms
    15.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    35.00000
  • Mean of predictor
    0.04872
  • Mean of criterion
    0.19516
  • SD of predictor
    0.16626
  • SD of criterion
    0.58673
  • Covariance
    0.01878
  • r
    0.19254
  • b (slope, estimate of beta)
    0.67949
  • a (intercept, estimate of alpha)
    0.16205
  • Mean Square Error
    0.34153
  • DF error
    33.00000
  • t(b)
    1.12716
  • p(b)
    0.13390
  • t(a)
    0.47183
  • p(a)
    0.32008
  • Lowerbound of 95% confidence interval for beta
    -0.54698
  • Upperbound of 95% confidence interval for beta
    1.90595
  • Lowerbound of 95% confidence interval for alpha
    -0.53671
  • Upperbound of 95% confidence interval for alpha
    0.86081
  • Treynor index (mean / b)
    0.28721
  • Jensen alpha (a)
    0.16205
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.23074
  • Expected Shortfall on VaR
    0.28193
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.11286
  • Expected Shortfall on VaR
    0.22019
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    35.00000
  • Minimum
    0.58640
  • Quartile 1
    0.93474
  • Median
    1.00000
  • Quartile 3
    1.10634
  • Maximum
    1.44271
  • Mean of quarter 1
    0.84386
  • Mean of quarter 2
    0.98535
  • Mean of quarter 3
    1.05067
  • Mean of quarter 4
    1.25289
  • Inter Quartile Range
    0.17160
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02857
  • Mean of outliers low
    0.58640
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05714
  • Mean of outliers high
    1.41145
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07441
  • VaR(95%) (moments method)
    0.15585
  • Expected Shortfall (moments method)
    0.21708
  • Extreme Value Index (regression method)
    0.45498
  • VaR(95%) (regression method)
    0.14926
  • Expected Shortfall (regression method)
    0.26963
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.07440
  • Quartile 1
    0.12783
  • Median
    0.17491
  • Quartile 3
    0.26579
  • Maximum
    0.45059
  • Mean of quarter 1
    0.07440
  • Mean of quarter 2
    0.14563
  • Mean of quarter 3
    0.20419
  • Mean of quarter 4
    0.45059
  • Inter Quartile Range
    0.13796
  • 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)
    0.31430
  • Compounded annual return (geometric extrapolation)
    0.24990
  • Calmar ratio (compounded annual return / max draw down)
    0.55461
  • Compounded annual return / average of 25% largest draw downs
    0.55461
  • Compounded annual return / Expected Shortfall lognormal
    0.88640
  • 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
    0.26014
  • SD
    0.39034
  • Sharpe ratio (Glass type estimate)
    0.66644
  • Sharpe ratio (Hedges UMVUE)
    0.66578
  • df
    765.00000
  • t
    1.13952
  • p
    0.12742
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48052
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81298
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48096
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81253
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.98682
  • Upside Potential Ratio
    7.39988
  • Upside part of mean
    1.95069
  • Downside part of mean
    -1.69055
  • Upside SD
    0.28798
  • Downside SD
    0.26361
  • N nonnegative terms
    319.00000
  • N negative terms
    447.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    766.00000
  • Mean of predictor
    0.06746
  • Mean of criterion
    0.26014
  • SD of predictor
    0.17615
  • SD of criterion
    0.39034
  • Covariance
    0.00277
  • r
    0.04030
  • b (slope, estimate of beta)
    0.08931
  • a (intercept, estimate of alpha)
    0.25400
  • Mean Square Error
    0.15232
  • DF error
    764.00000
  • t(b)
    1.11489
  • p(b)
    0.13262
  • t(a)
    1.11300
  • p(a)
    0.13303
  • Lowerbound of 95% confidence interval for beta
    -0.06794
  • Upperbound of 95% confidence interval for beta
    0.24656
  • Lowerbound of 95% confidence interval for alpha
    -0.19409
  • Upperbound of 95% confidence interval for alpha
    0.70231
  • Treynor index (mean / b)
    2.91279
  • Jensen alpha (a)
    0.25411
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18422
  • SD
    0.38946
  • Sharpe ratio (Glass type estimate)
    0.47302
  • Sharpe ratio (Hedges UMVUE)
    0.47256
  • df
    765.00000
  • t
    0.80881
  • p
    0.20944
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67361
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.61941
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67395
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61906
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.67635
  • Upside Potential Ratio
    7.01550
  • Upside part of mean
    1.91089
  • Downside part of mean
    -1.72666
  • Upside SD
    0.27825
  • Downside SD
    0.27238
  • N nonnegative terms
    319.00000
  • N negative terms
    447.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    766.00000
  • Mean of predictor
    0.05194
  • Mean of criterion
    0.18422
  • SD of predictor
    0.17628
  • SD of criterion
    0.38946
  • Covariance
    0.00271
  • r
    0.03952
  • b (slope, estimate of beta)
    0.08732
  • a (intercept, estimate of alpha)
    0.17969
  • Mean Square Error
    0.15164
  • DF error
    764.00000
  • t(b)
    1.09328
  • p(b)
    0.13731
  • t(a)
    0.78886
  • p(a)
    0.21522
  • Lowerbound of 95% confidence interval for beta
    -0.06947
  • Upperbound of 95% confidence interval for beta
    0.24411
  • Lowerbound of 95% confidence interval for alpha
    -0.26746
  • Upperbound of 95% confidence interval for alpha
    0.62684
  • Treynor index (mean / b)
    2.10977
  • Jensen alpha (a)
    0.17969
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03813
  • Expected Shortfall on VaR
    0.04771
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01616
  • Expected Shortfall on VaR
    0.03369
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    766.00000
  • Minimum
    0.86899
  • Quartile 1
    0.99463
  • Median
    1.00000
  • Quartile 3
    1.00803
  • Maximum
    1.15306
  • Mean of quarter 1
    0.97546
  • Mean of quarter 2
    0.99904
  • Mean of quarter 3
    1.00258
  • Mean of quarter 4
    1.02732
  • Inter Quartile Range
    0.01340
  • Number outliers low
    66.00000
  • Percentage of outliers low
    0.08616
  • Mean of outliers low
    0.95267
  • Number of outliers high
    62.00000
  • Percentage of outliers high
    0.08094
  • Mean of outliers high
    1.05125
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44662
  • VaR(95%) (moments method)
    0.02081
  • Expected Shortfall (moments method)
    0.04513
  • Extreme Value Index (regression method)
    0.20340
  • VaR(95%) (regression method)
    0.02266
  • Expected Shortfall (regression method)
    0.03845
  • 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)
    0.29391
  • Compounded annual return (geometric extrapolation)
    0.23631
  • Calmar ratio (compounded annual return / max draw down)
    0.48492
  • Compounded annual return / average of 25% largest draw downs
    0.99369
  • Compounded annual return / Expected Shortfall lognormal
    4.95280
  • 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
    0.39014
  • SD
    0.24688
  • Sharpe ratio (Glass type estimate)
    1.58032
  • Sharpe ratio (Hedges UMVUE)
    1.57118
  • df
    130.00000
  • t
    1.11745
  • p
    0.45123
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20104
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.35575
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20719
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.34956
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.98899
  • Upside Potential Ratio
    8.69306
  • Upside part of mean
    1.13467
  • Downside part of mean
    -0.74453
  • Upside SD
    0.20982
  • Downside SD
    0.13053
  • N nonnegative terms
    40.00000
  • N negative terms
    91.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13793
  • Mean of criterion
    0.39014
  • SD of predictor
    0.14337
  • SD of criterion
    0.24688
  • Covariance
    0.00046
  • r
    0.01306
  • b (slope, estimate of beta)
    0.02249
  • a (intercept, estimate of alpha)
    0.38704
  • Mean Square Error
    0.06141
  • DF error
    129.00000
  • t(b)
    0.14836
  • p(b)
    0.49168
  • t(a)
    1.10243
  • p(a)
    0.43859
  • Lowerbound of 95% confidence interval for beta
    -0.27745
  • Upperbound of 95% confidence interval for beta
    0.32243
  • Lowerbound of 95% confidence interval for alpha
    -0.30758
  • Upperbound of 95% confidence interval for alpha
    1.08166
  • Treynor index (mean / b)
    17.34630
  • Jensen alpha (a)
    0.38704
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36019
  • SD
    0.24327
  • Sharpe ratio (Glass type estimate)
    1.48062
  • Sharpe ratio (Hedges UMVUE)
    1.47206
  • df
    130.00000
  • t
    1.04696
  • p
    0.45428
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.29980
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.25549
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.30551
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.24964
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.71726
  • Upside Potential Ratio
    8.39892
  • Upside part of mean
    1.11334
  • Downside part of mean
    -0.75315
  • Upside SD
    0.20409
  • Downside SD
    0.13256
  • N nonnegative terms
    40.00000
  • N negative terms
    91.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12765
  • Mean of criterion
    0.36019
  • SD of predictor
    0.14365
  • SD of criterion
    0.24327
  • Covariance
    0.00055
  • r
    0.01581
  • b (slope, estimate of beta)
    0.02678
  • a (intercept, estimate of alpha)
    0.35678
  • Mean Square Error
    0.05962
  • DF error
    129.00000
  • t(b)
    0.17961
  • p(b)
    0.48993
  • t(a)
    1.03159
  • p(a)
    0.44249
  • VAR (95 Confidence Intrvl)
    0.03800
  • Lowerbound of 95% confidence interval for beta
    -0.26820
  • Upperbound of 95% confidence interval for beta
    0.32176
  • Lowerbound of 95% confidence interval for alpha
    -0.32750
  • Upperbound of 95% confidence interval for alpha
    1.04105
  • Treynor index (mean / b)
    13.45080
  • Jensen alpha (a)
    0.35678
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02308
  • Expected Shortfall on VaR
    0.02918
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00791
  • Expected Shortfall on VaR
    0.01670
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95721
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00240
  • Maximum
    1.07876
  • Mean of quarter 1
    0.98901
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00031
  • Mean of quarter 4
    1.01702
  • Inter Quartile Range
    0.00240
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.17557
  • Mean of outliers low
    0.98456
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.14504
  • Mean of outliers high
    1.02635
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.51808
  • VaR(95%) (moments method)
    0.00160
  • Expected Shortfall (moments method)
    0.00163
  • Extreme Value Index (regression method)
    -0.10078
  • VaR(95%) (regression method)
    0.01258
  • Expected Shortfall (regression method)
    0.01976
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00641
  • Quartile 1
    0.01830
  • Median
    0.03018
  • Quartile 3
    0.09985
  • Maximum
    0.16951
  • Mean of quarter 1
    0.00641
  • Mean of quarter 2
    0.03018
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.16951
  • Inter Quartile Range
    0.08155
  • 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?
    -353338000
  • Max Equity Drawdown (num days)
    364
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.42832
  • Compounded annual return (geometric extrapolation)
    0.47418
  • Calmar ratio (compounded annual return / max draw down)
    2.79730
  • Compounded annual return / average of 25% largest draw downs
    2.79730
  • Compounded annual return / Expected Shortfall lognormal
    16.25190

Strategy Description

Algorithm Trade System:
Algo monitor the market all session to open Long Trade.

the system was backtest and working well in the past.
past results may not represent the future.

need margin account to follow all trades
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-01-06
Suggested Minimum Capital
$35,000
# Trades
680
# Profitable
448
% Profitable
65.9%
Net Dividends
$654
Correlation S&P500
0.055
Sharpe Ratio
0.30
Sortino Ratio
0.45
Beta
0.16
Alpha
0.05
Leverage
2.20 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.