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

Ochados Management 1
(139063666)

Created by: Ochados Ochados
Started: 01/2022
Stocks
Last trade: 11 days ago
Trading style: Equity Trend-following Momentum

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $150.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
-1.1%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(9.4%)
Max Drawdown
68
Num Trades
30.9%
Win Trades
1.0 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022(0.3%)(3.2%)+1.8%+0.1%+0.6%                                          (1.1%)

Model Account Details

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

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

System developer has asked us to delay this information by 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
5/4/22 11:49 ML MONEYLION INC LONG 2,000 2.01 5/5 9:31 1.90 0.37%
Trade id #140364622
Max drawdown($380)
Time5/5/22 0:00
Quant open2,000
Worst price1.82
Drawdown as % of equity-0.37%
($225)
Includes Typical Broker Commissions trade costs of $5.00
5/4/22 11:57 FIBK FIRST INTERSTATE BANC LONG 145 35.22 5/5 9:31 35.34 0.14%
Trade id #140364882
Max drawdown($139)
Time5/5/22 0:00
Quant open145
Worst price34.26
Drawdown as % of equity-0.14%
$14
Includes Typical Broker Commissions trade costs of $2.90
4/26/22 15:38 MRTN MARTEN TRANSPORT LONG 235 16.98 5/5 9:31 18.66 0.03%
Trade id #140272609
Max drawdown($29)
Time4/27/22 0:00
Quant open235
Worst price16.86
Drawdown as % of equity-0.03%
$390
Includes Typical Broker Commissions trade costs of $4.70
5/4/22 11:53 TCRR TCR2 THERAPEUTICS INC. COMMON STOCK LONG 2,145 2.33 5/5 9:31 2.45 0.01%
Trade id #140364683
Max drawdown($10)
Time5/4/22 11:56
Quant open2,145
Worst price2.33
Drawdown as % of equity-0.01%
$252
Includes Typical Broker Commissions trade costs of $5.00
5/4/22 11:58 TDF TEMPLETON DRAGON FUND COMMON LONG 406 12.45 5/5 9:31 12.40 0.12%
Trade id #140364894
Max drawdown($119)
Time5/5/22 0:00
Quant open406
Worst price12.15
Drawdown as % of equity-0.12%
($28)
Includes Typical Broker Commissions trade costs of $8.12
5/4/22 11:56 HMC HONDA MOTOR LONG 190 26.53 5/5 9:31 26.77 0.03%
Trade id #140364836
Max drawdown($28)
Time5/5/22 0:00
Quant open190
Worst price26.38
Drawdown as % of equity-0.03%
$42
Includes Typical Broker Commissions trade costs of $3.80
5/4/22 11:54 LGIH LGI HOMES INC. COMMON STOCK LONG 51 98.93 5/5 9:31 101.97 0.04%
Trade id #140364753
Max drawdown($42)
Time5/4/22 14:35
Quant open51
Worst price98.09
Drawdown as % of equity-0.04%
$154
Includes Typical Broker Commissions trade costs of $1.02
5/4/22 11:54 VIEW VIEW INC LONG 3,280 1.53 5/5 9:31 1.62 0.23%
Trade id #140364715
Max drawdown($229)
Time5/5/22 0:00
Quant open3,280
Worst price1.46
Drawdown as % of equity-0.23%
$290
Includes Typical Broker Commissions trade costs of $5.00
4/26/22 15:36 PATK PATRICK INDUSTRIES LONG 66 59.98 5/5 9:31 69.38 0.07%
Trade id #140272581
Max drawdown($71)
Time4/27/22 0:00
Quant open66
Worst price58.90
Drawdown as % of equity-0.07%
$619
Includes Typical Broker Commissions trade costs of $1.32
5/4/22 11:53 EVLO EVELO BIOSCIENCES INC. COMMON STOCK LONG 1,880 2.68 5/5 9:31 2.68 0.27%
Trade id #140364699
Max drawdown($263)
Time5/4/22 14:34
Quant open1,880
Worst price2.54
Drawdown as % of equity-0.27%
($5)
Includes Typical Broker Commissions trade costs of $5.00
5/4/22 11:50 FEMY FEMASYS INC. COMMON STOCK LONG 2,247 1.84 5/5 9:31 1.98 0.47%
Trade id #140364631
Max drawdown($471)
Time5/5/22 0:00
Quant open2,247
Worst price1.63
Drawdown as % of equity-0.47%
$310
Includes Typical Broker Commissions trade costs of $5.00
5/4/22 11:57 OCN OCWEN FINANCIAL LONG 241 20.79 5/5 9:31 22.54 0.01%
Trade id #140364868
Max drawdown($12)
Time5/4/22 12:09
Quant open241
Worst price20.74
Drawdown as % of equity-0.01%
$417
Includes Typical Broker Commissions trade costs of $4.82
5/4/22 11:51 VMEO VIMEO INC LONG 385 10.40 5/5 9:30 9.33 0.47%
Trade id #140364656
Max drawdown($481)
Time5/5/22 0:00
Quant open385
Worst price9.15
Drawdown as % of equity-0.47%
($420)
Includes Typical Broker Commissions trade costs of $7.70
5/4/22 11:56 KWR QUAKER HOUGHTON LONG 30 167.51 5/4 14:23 163.12 0.13%
Trade id #140364815
Max drawdown($131)
Time5/4/22 14:23
Quant open30
Worst price163.12
Drawdown as % of equity-0.13%
($133)
Includes Typical Broker Commissions trade costs of $0.60
4/26/22 15:36 BON BON NATURAL LIFE LIMITED ORDINARY SHARES LONG 1,033 3.93 5/4 12:07 5.20 0.09%
Trade id #140272562
Max drawdown($82)
Time4/27/22 0:00
Quant open1,033
Worst price3.85
Drawdown as % of equity-0.09%
$1,307
Includes Typical Broker Commissions trade costs of $5.00
4/26/22 15:37 GNSS GENASYS INC LONG 1,270 3.17 4/27 13:05 3.04 0.17%
Trade id #140272600
Max drawdown($165)
Time4/27/22 13:05
Quant open1,270
Worst price3.04
Drawdown as % of equity-0.17%
($170)
Includes Typical Broker Commissions trade costs of $5.00
4/26/22 15:37 SOPH SOPHIA GENETICS SA ORDINARY SHARES LONG 512 7.86 4/27 11:44 7.37 0.28%
Trade id #140272590
Max drawdown($271)
Time4/27/22 11:44
Quant open512
Worst price7.33
Drawdown as % of equity-0.28%
($256)
Includes Typical Broker Commissions trade costs of $5.00
2/9/22 12:10 CDNA CAREDX INC LONG 85 44.66 4/26 15:32 30.25 1.5%
Trade id #139322664
Max drawdown($1,426)
Time3/14/22 0:00
Quant open85
Worst price27.87
Drawdown as % of equity-1.50%
($1,226)
Includes Typical Broker Commissions trade costs of $1.70
3/9/22 9:49 STRR STAR EQUITY HOLDINGS INC. COMMON STOCK LONG 1,600 1.29 4/13 10:13 1.05 0.41%
Trade id #139714008
Max drawdown($400)
Time4/13/22 10:13
Quant open1,600
Worst price1.04
Drawdown as % of equity-0.41%
($389)
Includes Typical Broker Commissions trade costs of $5.00
3/11/22 9:37 EFX EQUIFAX LONG 9 227.16 4/7 10:05 221.00 0.06%
Trade id #139749394
Max drawdown($57)
Time4/7/22 10:05
Quant open9
Worst price220.80
Drawdown as % of equity-0.06%
($55)
Includes Typical Broker Commissions trade costs of $0.18
3/10/22 9:49 VYNE VYNE THERAPEUTICS INC. COMMON STOCK LONG 3,600 0.57 3/30 9:33 0.68 0.11%
Trade id #139732265
Max drawdown($109)
Time3/14/22 0:00
Quant open3,600
Worst price0.54
Drawdown as % of equity-0.11%
$397
Includes Typical Broker Commissions trade costs of $5.00
3/10/22 9:48 AVEO AVEO PHARMACEUTICALS LONG 540 3.84 3/30 9:32 5.83 0.04%
Trade id #139732239
Max drawdown($37)
Time3/10/22 9:54
Quant open540
Worst price3.77
Drawdown as % of equity-0.04%
$1,070
Includes Typical Broker Commissions trade costs of $5.00
3/9/22 9:50 SPPI SPECTRUM PHARMACEUTICALS LONG 3,000 0.78 3/30 9:31 1.30 0.29%
Trade id #139714060
Max drawdown($270)
Time3/15/22 0:00
Quant open3,000
Worst price0.69
Drawdown as % of equity-0.29%
$1,554
Includes Typical Broker Commissions trade costs of $5.00
3/2/22 15:46 GASS STEALTHGAS LONG 888 2.26 3/30 9:31 2.50 0.15%
Trade id #139619114
Max drawdown($142)
Time3/16/22 0:00
Quant open888
Worst price2.10
Drawdown as % of equity-0.15%
$208
Includes Typical Broker Commissions trade costs of $5.00
2/24/22 10:45 DGNU DRAGONEER GROWTH OPPORTUNITIES CORP. III CLASS A O LONG 210 9.73 3/30 9:30 9.74 0%
Trade id #139530130
Max drawdown($4)
Time2/28/22 0:00
Quant open210
Worst price9.71
Drawdown as % of equity-0.00%
($2)
Includes Typical Broker Commissions trade costs of $4.20
2/2/22 15:48 WYY WIDEPOINT LONG 510 3.97 3/30 9:30 3.82 0.08%
Trade id #139222794
Max drawdown($76)
Time2/24/22 0:00
Quant open510
Worst price3.82
Drawdown as % of equity-0.08%
($82)
Includes Typical Broker Commissions trade costs of $5.00
3/9/22 9:49 CTT CATCHMARK TIMBER TRUST INC LONG 267 8.28 3/28 12:25 7.92 0.1%
Trade id #139714029
Max drawdown($96)
Time3/28/22 12:25
Quant open267
Worst price7.92
Drawdown as % of equity-0.10%
($101)
Includes Typical Broker Commissions trade costs of $5.34
3/11/22 9:36 CNET ZW DATA ACTION TECHNOLOGIES INC LONG 3,100 0.71 3/14 10:01 0.61 0.39%
Trade id #139749368
Max drawdown($371)
Time3/14/22 10:01
Quant open3,100
Worst price0.59
Drawdown as % of equity-0.39%
($314)
Includes Typical Broker Commissions trade costs of $5.00
3/10/22 9:51 VSEC VSE LONG 44 45.81 3/10 9:53 44.91 0.04%
Trade id #139732396
Max drawdown($39)
Time3/10/22 9:53
Quant open44
Worst price44.91
Drawdown as % of equity-0.04%
($40)
Includes Typical Broker Commissions trade costs of $0.88
3/2/22 15:46 PCSA PROCESSA PHARMACEUTICALS INC. COMMON STOCK LONG 476 4.27 3/4 9:49 3.65 0.31%
Trade id #139619110
Max drawdown($295)
Time3/4/22 9:49
Quant open476
Worst price3.65
Drawdown as % of equity-0.31%
($305)
Includes Typical Broker Commissions trade costs of $9.52

Statistics

  • Strategy began
    1/23/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    109.8
  • Age
    112 days ago
  • What it trades
    Stocks
  • # Trades
    68
  • # Profitable
    21
  • % Profitable
    30.90%
  • Avg trade duration
    10.3 days
  • Max peak-to-valley drawdown
    9.44%
  • drawdown period
    March 25, 2022 - April 27, 2022
  • Cumul. Return
    -1.1%
  • Avg win
    $368.76
  • Avg loss
    $167.87
  • Model Account Values (Raw)
  • Cash
    $99,906
  • Margin Used
    $0
  • Buying Power
    $99,906
  • Ratios
  • W:L ratio
    0.99:1
  • Sharpe Ratio
    -0.55
  • Sortino Ratio
    -0.77
  • Calmar Ratio
    -0.022
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    7.39%
  • Correlation to SP500
    0.25600
  • Return Percent SP500 (cumu) during strategy life
    -8.51%
  • Return Statistics
  • Ann Return (w trading costs)
    -3.5%
  • Slump
  • Current Slump as Pcnt Equity
    8.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.45%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.011%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    15.00%
  • 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)
    0
  • Popularity (Last 6 weeks)
    280
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    734
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $168
  • Avg Win
    $369
  • Sum Trade PL (losers)
    $7,890.000
  • Age
  • Num Months filled monthly returns table
    5
  • Win / Loss
  • Sum Trade PL (winners)
    $7,744.000
  • # Winners
    21
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    51
  • Win / Loss
  • # Losers
    47
  • % Winners
    30.9%
  • Frequency
  • Avg Position Time (mins)
    14900.20
  • Avg Position Time (hrs)
    248.34
  • Avg Trade Length
    10.3 days
  • Last Trade Ago
    8
  • Leverage
  • Daily leverage (average)
    0.17
  • Daily leverage (max)
    0.81
  • Regression
  • Alpha
    -0.01
  • Beta
    0.07
  • Treynor Index
    -0.17
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.66
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -77.790
  • 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
    0.287
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.158
  • Hold-and-Hope Ratio
    -0.013
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09281
  • SD
    0.10122
  • Sharpe ratio (Glass type estimate)
    -0.91692
  • Sharpe ratio (Hedges UMVUE)
    -0.51731
  • df
    2.00000
  • t
    -0.45846
  • p
    0.65419
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.82557
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.18928
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.46989
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.43526
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.29010
  • Upside Potential Ratio
    1.35420
  • Upside part of mean
    0.09742
  • Downside part of mean
    -0.19024
  • Upside SD
    0.04871
  • Downside SD
    0.07194
  • N nonnegative terms
    1.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    -0.21867
  • Mean of criterion
    -0.09281
  • SD of predictor
    0.28142
  • SD of criterion
    0.10122
  • Covariance
    0.02841
  • r
    0.99748
  • b (slope, estimate of beta)
    0.35879
  • a (intercept, estimate of alpha)
    -0.01436
  • Mean Square Error
    0.00010
  • DF error
    1.00000
  • t(b)
    14.06140
  • p(b)
    0.02260
  • t(a)
    -0.68161
  • p(a)
    0.69044
  • Lowerbound of 95% confidence interval for beta
    0.03458
  • Upperbound of 95% confidence interval for beta
    0.68300
  • Lowerbound of 95% confidence interval for alpha
    -0.28198
  • Upperbound of 95% confidence interval for alpha
    0.25327
  • Treynor index (mean / b)
    -0.25869
  • Jensen alpha (a)
    -0.01436
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09639
  • SD
    0.10130
  • Sharpe ratio (Glass type estimate)
    -0.95153
  • Sharpe ratio (Hedges UMVUE)
    -0.53685
  • df
    2.00000
  • t
    -0.47577
  • p
    0.65943
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.86349
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.16457
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.49192
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.41823
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.32283
  • Upside Potential Ratio
    1.31801
  • Upside part of mean
    0.09604
  • Downside part of mean
    -0.19242
  • Upside SD
    0.04802
  • Downside SD
    0.07286
  • N nonnegative terms
    1.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    -0.24688
  • Mean of criterion
    -0.09639
  • SD of predictor
    0.28154
  • SD of criterion
    0.10130
  • Covariance
    0.02847
  • r
    0.99810
  • b (slope, estimate of beta)
    0.35911
  • a (intercept, estimate of alpha)
    -0.00773
  • Mean Square Error
    0.00008
  • DF error
    1.00000
  • t(b)
    16.18410
  • p(b)
    0.01964
  • t(a)
    -0.41798
  • p(a)
    0.62602
  • Lowerbound of 95% confidence interval for beta
    0.07717
  • Upperbound of 95% confidence interval for beta
    0.64105
  • Lowerbound of 95% confidence interval for alpha
    -0.24279
  • Upperbound of 95% confidence interval for alpha
    0.22732
  • Treynor index (mean / b)
    -0.26841
  • Jensen alpha (a)
    -0.00773
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05459
  • Expected Shortfall on VaR
    0.06601
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03848
  • Expected Shortfall on VaR
    0.04797
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.96952
  • Quartile 1
    0.97855
  • Median
    0.98758
  • Quartile 3
    1.00713
  • Maximum
    1.02668
  • Mean of quarter 1
    0.96952
  • Mean of quarter 2
    0.98758
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.02668
  • Inter Quartile Range
    0.02858
  • 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
    2.00000
  • Minimum
    0.01242
  • Quartile 1
    0.01694
  • Median
    0.02145
  • Quartile 3
    0.02597
  • Maximum
    0.03048
  • Mean of quarter 1
    0.01242
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03048
  • Inter Quartile Range
    0.00903
  • 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)
    -0.06790
  • Compounded annual return (geometric extrapolation)
    -0.06619
  • Calmar ratio (compounded annual return / max draw down)
    -2.17163
  • Compounded annual return / average of 25% largest draw downs
    -2.17163
  • Compounded annual return / Expected Shortfall lognormal
    -1.00268
  • 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
    -0.02599
  • SD
    0.07771
  • Sharpe ratio (Glass type estimate)
    -0.33445
  • Sharpe ratio (Hedges UMVUE)
    -0.33122
  • df
    78.00000
  • t
    -0.18365
  • p
    0.57262
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.90315
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23625
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.90092
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.23847
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.46903
  • Upside Potential Ratio
    7.38954
  • Upside part of mean
    0.40947
  • Downside part of mean
    -0.43546
  • Upside SD
    0.05380
  • Downside SD
    0.05541
  • N nonnegative terms
    29.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    79.00000
  • Mean of predictor
    -0.30052
  • Mean of criterion
    -0.02599
  • SD of predictor
    0.24944
  • SD of criterion
    0.07771
  • Covariance
    0.00437
  • r
    0.22558
  • b (slope, estimate of beta)
    0.07028
  • a (intercept, estimate of alpha)
    -0.00500
  • Mean Square Error
    0.00581
  • DF error
    77.00000
  • t(b)
    2.03184
  • p(b)
    0.02281
  • t(a)
    -0.03500
  • p(a)
    0.51392
  • Lowerbound of 95% confidence interval for beta
    0.00140
  • Upperbound of 95% confidence interval for beta
    0.13915
  • Lowerbound of 95% confidence interval for alpha
    -0.28195
  • Upperbound of 95% confidence interval for alpha
    0.27221
  • Treynor index (mean / b)
    -0.36983
  • Jensen alpha (a)
    -0.00487
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02897
  • SD
    0.07778
  • Sharpe ratio (Glass type estimate)
    -0.37250
  • Sharpe ratio (Hedges UMVUE)
    -0.36891
  • df
    78.00000
  • t
    -0.20455
  • p
    0.58077
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.94120
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.19840
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.93869
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.20088
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.51953
  • Upside Potential Ratio
    7.31593
  • Upside part of mean
    0.40799
  • Downside part of mean
    -0.43696
  • Upside SD
    0.05354
  • Downside SD
    0.05577
  • N nonnegative terms
    29.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    79.00000
  • Mean of predictor
    -0.33151
  • Mean of criterion
    -0.02897
  • SD of predictor
    0.25012
  • SD of criterion
    0.07778
  • Covariance
    0.00433
  • r
    0.22265
  • b (slope, estimate of beta)
    0.06924
  • a (intercept, estimate of alpha)
    -0.00602
  • Mean Square Error
    0.00582
  • DF error
    77.00000
  • t(b)
    2.00404
  • p(b)
    0.02429
  • t(a)
    -0.04317
  • p(a)
    0.51716
  • Lowerbound of 95% confidence interval for beta
    0.00044
  • Upperbound of 95% confidence interval for beta
    0.13803
  • Lowerbound of 95% confidence interval for alpha
    -0.28371
  • Upperbound of 95% confidence interval for alpha
    0.27167
  • Treynor index (mean / b)
    -0.41846
  • Jensen alpha (a)
    -0.00602
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00798
  • Expected Shortfall on VaR
    0.00997
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00442
  • Expected Shortfall on VaR
    0.00842
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    79.00000
  • Minimum
    0.98059
  • Quartile 1
    0.99822
  • Median
    0.99928
  • Quartile 3
    1.00240
  • Maximum
    1.01476
  • Mean of quarter 1
    0.99502
  • Mean of quarter 2
    0.99875
  • Mean of quarter 3
    1.00050
  • Mean of quarter 4
    1.00578
  • Inter Quartile Range
    0.00418
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02532
  • Mean of outliers low
    0.98324
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.02532
  • Mean of outliers high
    1.01397
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.42907
  • VaR(95%) (moments method)
    0.00511
  • Expected Shortfall (moments method)
    0.01020
  • Extreme Value Index (regression method)
    0.62110
  • VaR(95%) (regression method)
    0.00453
  • Expected Shortfall (regression method)
    0.01163
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00425
  • Quartile 1
    0.01842
  • Median
    0.03258
  • Quartile 3
    0.04038
  • Maximum
    0.04818
  • Mean of quarter 1
    0.00425
  • Mean of quarter 2
    0.03258
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04818
  • Inter Quartile Range
    0.02196
  • 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)
    -0.00107
  • Compounded annual return (geometric extrapolation)
    -0.00107
  • Calmar ratio (compounded annual return / max draw down)
    -0.02212
  • Compounded annual return / average of 25% largest draw downs
    -0.02212
  • Compounded annual return / Expected Shortfall lognormal
    -0.10686
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.00800
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -335114000
  • Max Equity Drawdown (num days)
    33

Strategy Description

Trading with https://ochados.com/

Other strategies:

Ochados Management 2 https://collective2.com/details/139063671
Ochados Management 3 https://collective2.com/details/139063674

Summary Statistics

Strategy began
2022-01-23
Suggested Minimum Capital
$15,000
Rank at C2 
#199
# Trades
68
# Profitable
21
% Profitable
30.9%
Net Dividends
Correlation S&P500
0.256
Sharpe Ratio
-0.55
Sortino Ratio
-0.77
Beta
0.07
Alpha
-0.01
Leverage
0.17 Average
0.81 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.