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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: 9 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).
4.0%
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.

(11.6%)
Max Drawdown
201
Num Trades
32.3%
Win Trades
1.2 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022(0.1%)(3%)+1.9%+0.2%+1.4%(1.3%)+6.6%(1.1%)(2.3%)+1.9%            +4.0%

Model Account Details

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

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/26/22 9:31 NM NAVIOS MARITIME HOLDINGS LONG 3,500 2.06 9/27 13:25 1.91 0.2%
Trade id #141927331
Max drawdown($524)
Time9/27/22 13:25
Quant open3,500
Worst price1.91
Drawdown as % of equity-0.20%
($530)
Includes Typical Broker Commissions trade costs of $5.00
9/26/22 9:31 MUX MCEWEN MINING LONG 2,140 3.23 9/26 12:32 3.00 0.19%
Trade id #141927356
Max drawdown($492)
Time9/26/22 12:32
Quant open2,140
Worst price3.00
Drawdown as % of equity-0.19%
($497)
Includes Typical Broker Commissions trade costs of $5.00
9/6/22 9:40 ADAG ADAGENE INC. AMERICAN DEPOSITARY SHARES LONG 3,300 1.51 9/19 9:48 1.37 0.18%
Trade id #141668497
Max drawdown($462)
Time9/19/22 9:48
Quant open3,300
Worst price1.37
Drawdown as % of equity-0.18%
($467)
Includes Typical Broker Commissions trade costs of $5.00
9/7/22 10:52 LIQT LIQTECH INTERNATIONAL INC. LONG 9,970 0.53 9/19 9:30 0.48 0.18%
Trade id #141688369
Max drawdown($462)
Time9/19/22 9:30
Quant open9,970
Worst price0.48
Drawdown as % of equity-0.18%
($468)
Includes Typical Broker Commissions trade costs of $5.00
9/7/22 10:51 BFRI BIOFRONTERA INC. COMMON STOCK LONG 4,070 1.23 9/15 9:38 1.13 0.16%
Trade id #141688347
Max drawdown($407)
Time9/15/22 9:38
Quant open4,070
Worst price1.13
Drawdown as % of equity-0.16%
($412)
Includes Typical Broker Commissions trade costs of $5.00
9/7/22 10:49 GECC GREAT ELM CAPITAL. CORP. COMMON STOCK LONG 414 12.10 9/14 10:52 11.60 0.08%
Trade id #141688315
Max drawdown($207)
Time9/14/22 10:52
Quant open414
Worst price11.60
Drawdown as % of equity-0.08%
($215)
Includes Typical Broker Commissions trade costs of $8.28
9/7/22 10:51 VERB VERB TECHNOLOGY CO INC LONG 8,930 0.56 9/13 9:30 0.54 0.14%
Trade id #141688360
Max drawdown($352)
Time9/13/22 9:30
Quant open8,930
Worst price0.52
Drawdown as % of equity-0.14%
($200)
Includes Typical Broker Commissions trade costs of $5.00
9/6/22 9:31 VAPO VAPOTHERM INC LONG 2,550 1.95 9/9 10:36 1.95 0.04%
Trade id #141667950
Max drawdown($102)
Time9/6/22 9:41
Quant open2,550
Worst price1.91
Drawdown as % of equity-0.04%
($5)
Includes Typical Broker Commissions trade costs of $5.00
9/6/22 9:31 VSTA VASTA PLATFORM LIMITED CLASS A LONG 970 5.26 9/9 10:36 5.30 0.01%
Trade id #141667985
Max drawdown($38)
Time9/6/22 12:21
Quant open970
Worst price5.22
Drawdown as % of equity-0.01%
$34
Includes Typical Broker Commissions trade costs of $5.00
9/7/22 10:50 KFRC KFORCE LONG 90 57.90 9/9 10:36 59.45 0.03%
Trade id #141688333
Max drawdown($65)
Time9/8/22 0:00
Quant open90
Worst price57.18
Drawdown as % of equity-0.03%
$138
Includes Typical Broker Commissions trade costs of $1.80
9/6/22 9:31 PRTG PORTAGE BIOTECH INC. COMMON STOCK LONG 580 8.70 9/9 9:30 8.02 0.15%
Trade id #141668033
Max drawdown($394)
Time9/9/22 9:30
Quant open580
Worst price8.02
Drawdown as % of equity-0.15%
($399)
Includes Typical Broker Commissions trade costs of $5.00
9/6/22 9:31 OPFI OPPFI INC LONG 1,800 2.82 9/7 15:14 2.61 0.15%
Trade id #141667996
Max drawdown($378)
Time9/7/22 15:14
Quant open1,800
Worst price2.61
Drawdown as % of equity-0.15%
($383)
Includes Typical Broker Commissions trade costs of $5.00
9/6/22 9:31 MNPR MONOPAR THERAPEUTICS INC. COMMON STOCK LONG 2,788 1.75 9/6 15:55 1.65 0.11%
Trade id #141668031
Max drawdown($278)
Time9/6/22 15:55
Quant open2,788
Worst price1.65
Drawdown as % of equity-0.11%
($284)
Includes Typical Broker Commissions trade costs of $5.00
9/6/22 9:31 TCRX TSCAN THERAPEUTICS INC. LONG 1,530 3.33 9/6 13:05 3.06 0.18%
Trade id #141667973
Max drawdown($459)
Time9/6/22 13:05
Quant open1,530
Worst price3.03
Drawdown as % of equity-0.18%
($418)
Includes Typical Broker Commissions trade costs of $5.00
9/6/22 9:31 VYGR VOYAGER THERAPEUTICS INC. COMMON STOCK LONG 780 6.61 9/6 12:47 6.31 0.09%
Trade id #141668035
Max drawdown($234)
Time9/6/22 12:47
Quant open780
Worst price6.31
Drawdown as % of equity-0.09%
($239)
Includes Typical Broker Commissions trade costs of $5.00
7/19/22 15:14 MANU MANCHESTER UNITED LONG 900 11.19 8/1 11:35 11.16 0.25%
Trade id #141109408
Max drawdown($652)
Time7/29/22 0:00
Quant open2,250
Worst price10.90
Drawdown as % of equity-0.25%
($32)
Includes Typical Broker Commissions trade costs of $5.00
7/19/22 15:15 GER GOLDMAN SACHS MLP ENERGY RENAI LONG 832.500000000 11.96 8/1 11:35 12.72 0.19%
Trade id #141109423
Max drawdown($479)
Time7/22/22 0:00
Quant open2,080
Worst price11.73
Drawdown as % of equity-0.19%
$628
Includes Typical Broker Commissions trade costs of $5.00
7/19/22 9:48 RYAAY RYANAIR HOLDINGS LONG 312.500000000 72.79 8/1 11:35 72.55 0.43%
Trade id #141103536
Max drawdown($1,089)
Time7/28/22 0:00
Quant open780
Worst price71.40
Drawdown as % of equity-0.43%
($82)
Includes Typical Broker Commissions trade costs of $6.26
7/19/22 10:26 KIM KIMCO REALTY LONG 500 20.70 8/1 11:35 21.75 0.01%
Trade id #141104638
Max drawdown($31)
Time7/19/22 10:57
Quant open1,250
Worst price20.68
Drawdown as % of equity-0.01%
$515
Includes Typical Broker Commissions trade costs of $10.00
7/19/22 9:49 ELAN ELANCO ANIMAL HEALTH INC LONG 1,125 20.39 8/1 11:35 20.20 0.28%
Trade id #141103565
Max drawdown($715)
Time7/29/22 0:00
Quant open2,812
Worst price20.14
Drawdown as % of equity-0.28%
($238)
Includes Typical Broker Commissions trade costs of $15.00
7/19/22 9:31 GLV CLOUGH GLOBAL DVDND & INCOME FUND LONG 2,750 8.28 8/1 11:35 8.29 0.25%
Trade id #141102946
Max drawdown($625)
Time7/21/22 0:00
Quant open3,125
Worst price8.00
Drawdown as % of equity-0.25%
$15
Includes Typical Broker Commissions trade costs of $10.00
7/19/22 9:48 NPK NATIONAL PRESTO LONG 332.500000000 68.32 8/1 11:35 70.12 n/a $593
Includes Typical Broker Commissions trade costs of $6.66
7/19/22 9:51 ROAD CONSTRUCTION PARTNERS INC. CLASS A LONG 1,015 22.13 8/1 11:35 23.27 0.09%
Trade id #141103594
Max drawdown($221)
Time7/19/22 10:39
Quant open1,138
Worst price21.64
Drawdown as % of equity-0.09%
$1,145
Includes Typical Broker Commissions trade costs of $9.55
7/19/22 9:31 UDMY UDEMY INC. COMMON STOCK LONG 892.500000000 11.41 8/1 11:34 12.18 0.04%
Trade id #141102935
Max drawdown($89)
Time7/19/22 9:46
Quant open2,230
Worst price11.37
Drawdown as % of equity-0.04%
$682
Includes Typical Broker Commissions trade costs of $5.00
7/19/22 10:25 BLDE BLADE AIR MOBILITY INC LONG 2,000 5.13 8/1 11:34 5.39 0.1%
Trade id #141104620
Max drawdown($250)
Time7/26/22 0:00
Quant open5,000
Worst price5.08
Drawdown as % of equity-0.10%
$515
Includes Typical Broker Commissions trade costs of $5.00
7/19/22 15:15 CMCO COLUMBUS MCKINNON LONG 337.500000000 30.11 8/1 11:34 32.58 0.12%
Trade id #141109417
Max drawdown($286)
Time7/19/22 15:50
Quant open845
Worst price29.77
Drawdown as % of equity-0.12%
$827
Includes Typical Broker Commissions trade costs of $6.76
7/19/22 14:55 ENIC ENEL CHILE SA LONG 8,425 1.19 8/1 11:34 1.40 0.41%
Trade id #141109144
Max drawdown($1,053)
Time7/21/22 0:00
Quant open21,062
Worst price1.14
Drawdown as % of equity-0.41%
$1,764
Includes Typical Broker Commissions trade costs of $5.00
7/19/22 9:50 TRIP TRIPADVISOR LONG 550 18.76 8/1 11:34 18.83 0.42%
Trade id #141103576
Max drawdown($1,072)
Time7/26/22 0:00
Quant open1,375
Worst price17.98
Drawdown as % of equity-0.42%
$34
Includes Typical Broker Commissions trade costs of $5.00
7/19/22 9:31 OFIX ORTHOFIX INTERNATIONAL LONG 412.500000000 24.61 8/1 11:34 25.92 0.28%
Trade id #141102910
Max drawdown($716)
Time7/21/22 0:00
Quant open1,030
Worst price23.91
Drawdown as % of equity-0.28%
$532
Includes Typical Broker Commissions trade costs of $8.24
7/19/22 9:31 HUMA HUMACYTE INC. COMMON STOCK LONG 6,517.500000000 3.47 8/1 11:34 3.34 1.7%
Trade id #141102961
Max drawdown($4,446)
Time8/1/22 10:02
Quant open16,295
Worst price3.20
Drawdown as % of equity-1.70%
($874)
Includes Typical Broker Commissions trade costs of $7.50

Statistics

  • Strategy began
    1/23/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    255.33
  • Age
    9 months ago
  • What it trades
    Stocks
  • # Trades
    201
  • # Profitable
    65
  • % Profitable
    32.30%
  • Avg trade duration
    7.4 days
  • Max peak-to-valley drawdown
    11.62%
  • drawdown period
    March 25, 2022 - June 21, 2022
  • Cumul. Return
    4.0%
  • Avg win
    $1,037
  • Avg loss
    $406.88
  • Model Account Values (Raw)
  • Cash
    $148,622
  • Margin Used
    $0
  • Buying Power
    $153,157
  • Ratios
  • W:L ratio
    1.23:1
  • Sharpe Ratio
    0.38
  • Sortino Ratio
    0.67
  • Calmar Ratio
    1.617
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    17.93%
  • Correlation to SP500
    0.21070
  • Return Percent SP500 (cumu) during strategy life
    -13.98%
  • Return Statistics
  • Ann Return (w trading costs)
    5.6%
  • Slump
  • Current Slump as Pcnt Equity
    3.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.38%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.040%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    32.50%
  • Chance of 20% account loss
    3.00%
  • 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)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $407
  • Avg Win
    $1,037
  • Sum Trade PL (losers)
    $55,335.000
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $67,417.000
  • # Winners
    65
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    440
  • Win / Loss
  • # Losers
    136
  • % Winners
    32.3%
  • Frequency
  • Avg Position Time (mins)
    10723.30
  • Avg Position Time (hrs)
    178.72
  • Avg Trade Length
    7.4 days
  • Last Trade Ago
    10
  • Leverage
  • Daily leverage (average)
    0.24
  • Daily leverage (max)
    1.37
  • Regression
  • Alpha
    0.02
  • Beta
    0.08
  • Treynor Index
    0.14
  • 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)
    -2.11
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    25.267
  • 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
    0.509
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.841
  • Hold-and-Hope Ratio
    0.055
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05688
  • SD
    0.07304
  • Sharpe ratio (Glass type estimate)
    0.77883
  • Sharpe ratio (Hedges UMVUE)
    0.67651
  • df
    6.00000
  • t
    0.59484
  • p
    0.28684
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.85398
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.35022
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.91807
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.27109
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.20776
  • Upside Potential Ratio
    2.93887
  • Upside part of mean
    0.13842
  • Downside part of mean
    -0.08153
  • Upside SD
    0.05122
  • Downside SD
    0.04710
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    -0.17665
  • Mean of criterion
    0.05688
  • SD of predictor
    0.18655
  • SD of criterion
    0.07304
  • Covariance
    0.01107
  • r
    0.81270
  • b (slope, estimate of beta)
    0.31820
  • a (intercept, estimate of alpha)
    0.11309
  • Mean Square Error
    0.00217
  • DF error
    5.00000
  • t(b)
    3.11875
  • p(b)
    0.01314
  • t(a)
    1.77692
  • p(a)
    0.06787
  • Lowerbound of 95% confidence interval for beta
    0.05592
  • Upperbound of 95% confidence interval for beta
    0.58048
  • Lowerbound of 95% confidence interval for alpha
    -0.05052
  • Upperbound of 95% confidence interval for alpha
    0.27671
  • Treynor index (mean / b)
    0.17877
  • Jensen alpha (a)
    0.11309
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05434
  • SD
    0.07316
  • Sharpe ratio (Glass type estimate)
    0.74274
  • Sharpe ratio (Hedges UMVUE)
    0.64516
  • df
    6.00000
  • t
    0.56727
  • p
    0.29555
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.88543
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.31226
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.94686
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.23719
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.13909
  • Upside Potential Ratio
    2.86794
  • Upside part of mean
    0.13681
  • Downside part of mean
    -0.08247
  • Upside SD
    0.05058
  • Downside SD
    0.04770
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    -0.19259
  • Mean of criterion
    0.05434
  • SD of predictor
    0.18663
  • SD of criterion
    0.07316
  • Covariance
    0.01119
  • r
    0.81969
  • b (slope, estimate of beta)
    0.32133
  • a (intercept, estimate of alpha)
    0.11622
  • Mean Square Error
    0.00211
  • DF error
    5.00000
  • t(b)
    3.19985
  • p(b)
    0.01200
  • t(a)
    1.84074
  • p(a)
    0.06251
  • Lowerbound of 95% confidence interval for beta
    0.06318
  • Upperbound of 95% confidence interval for beta
    0.57948
  • Lowerbound of 95% confidence interval for alpha
    -0.04609
  • Upperbound of 95% confidence interval for alpha
    0.27854
  • Treynor index (mean / b)
    0.16910
  • Jensen alpha (a)
    0.11622
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02976
  • Expected Shortfall on VaR
    0.03825
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01070
  • Expected Shortfall on VaR
    0.02286
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.96952
  • Quartile 1
    0.99855
  • Median
    1.01327
  • Quartile 3
    1.02145
  • Maximum
    1.02669
  • Mean of quarter 1
    0.97855
  • Mean of quarter 2
    1.01140
  • Mean of quarter 3
    1.01732
  • Mean of quarter 4
    1.02614
  • Inter Quartile Range
    0.02291
  • 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
    0.01243
  • Quartile 1
    0.01694
  • Median
    0.02145
  • Quartile 3
    0.02597
  • Maximum
    0.03048
  • Mean of quarter 1
    0.01243
  • 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)
    0.08425
  • Compounded annual return (geometric extrapolation)
    0.08572
  • Calmar ratio (compounded annual return / max draw down)
    2.81240
  • Compounded annual return / average of 25% largest draw downs
    2.81240
  • Compounded annual return / Expected Shortfall lognormal
    2.24090
  • 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
    0.05106
  • SD
    0.08934
  • Sharpe ratio (Glass type estimate)
    0.57152
  • Sharpe ratio (Hedges UMVUE)
    0.56903
  • df
    172.00000
  • t
    0.46442
  • p
    0.48230
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.84204
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.98345
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.84371
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98177
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95790
  • Upside Potential Ratio
    8.59699
  • Upside part of mean
    0.45827
  • Downside part of mean
    -0.40721
  • Upside SD
    0.07145
  • Downside SD
    0.05331
  • N nonnegative terms
    58.00000
  • N negative terms
    115.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    173.00000
  • Mean of predictor
    -0.22791
  • Mean of criterion
    0.05106
  • SD of predictor
    0.25351
  • SD of criterion
    0.08934
  • Covariance
    0.00434
  • r
    0.19156
  • b (slope, estimate of beta)
    0.06751
  • a (intercept, estimate of alpha)
    0.06600
  • Mean Square Error
    0.00773
  • DF error
    171.00000
  • t(b)
    2.55226
  • p(b)
    0.37880
  • t(a)
    0.61302
  • p(a)
    0.47020
  • Lowerbound of 95% confidence interval for beta
    0.01530
  • Upperbound of 95% confidence interval for beta
    0.11972
  • Lowerbound of 95% confidence interval for alpha
    -0.14752
  • Upperbound of 95% confidence interval for alpha
    0.28041
  • Treynor index (mean / b)
    0.75636
  • Jensen alpha (a)
    0.06645
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04710
  • SD
    0.08905
  • Sharpe ratio (Glass type estimate)
    0.52894
  • Sharpe ratio (Hedges UMVUE)
    0.52663
  • df
    172.00000
  • t
    0.42981
  • p
    0.48362
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.88443
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.94085
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.88600
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.93926
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.87809
  • Upside Potential Ratio
    8.49537
  • Upside part of mean
    0.45570
  • Downside part of mean
    -0.40860
  • Upside SD
    0.07082
  • Downside SD
    0.05364
  • N nonnegative terms
    58.00000
  • N negative terms
    115.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    173.00000
  • Mean of predictor
    -0.26009
  • Mean of criterion
    0.04710
  • SD of predictor
    0.25439
  • SD of criterion
    0.08905
  • Covariance
    0.00432
  • r
    0.19056
  • b (slope, estimate of beta)
    0.06670
  • a (intercept, estimate of alpha)
    0.06445
  • Mean Square Error
    0.00769
  • DF error
    171.00000
  • t(b)
    2.53835
  • p(b)
    0.37943
  • t(a)
    0.59616
  • p(a)
    0.47102
  • Lowerbound of 95% confidence interval for beta
    0.01483
  • Upperbound of 95% confidence interval for beta
    0.11858
  • Lowerbound of 95% confidence interval for alpha
    -0.14895
  • Upperbound of 95% confidence interval for alpha
    0.27785
  • Treynor index (mean / b)
    0.70612
  • Jensen alpha (a)
    0.06445
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00883
  • Expected Shortfall on VaR
    0.01110
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00425
  • Expected Shortfall on VaR
    0.00816
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    173.00000
  • Minimum
    0.97975
  • Quartile 1
    0.99823
  • Median
    0.99991
  • Quartile 3
    1.00195
  • Maximum
    1.03077
  • Mean of quarter 1
    0.99512
  • Mean of quarter 2
    0.99903
  • Mean of quarter 3
    1.00025
  • Mean of quarter 4
    1.00694
  • Inter Quartile Range
    0.00372
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.03468
  • Mean of outliers low
    0.98672
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.07514
  • Mean of outliers high
    1.01341
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.39176
  • VaR(95%) (moments method)
    0.00500
  • Expected Shortfall (moments method)
    0.00945
  • Extreme Value Index (regression method)
    0.35887
  • VaR(95%) (regression method)
    0.00430
  • Expected Shortfall (regression method)
    0.00751
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00425
  • Quartile 1
    0.01276
  • Median
    0.02484
  • Quartile 3
    0.03071
  • Maximum
    0.04818
  • Mean of quarter 1
    0.00654
  • Mean of quarter 2
    0.02459
  • Mean of quarter 3
    0.02508
  • Mean of quarter 4
    0.04038
  • Inter Quartile Range
    0.01794
  • 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)
    0.07690
  • Compounded annual return (geometric extrapolation)
    0.07789
  • Calmar ratio (compounded annual return / max draw down)
    1.61675
  • Compounded annual return / average of 25% largest draw downs
    1.92901
  • Compounded annual return / Expected Shortfall lognormal
    7.01487
  • 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
    0.07353
  • SD
    0.09305
  • Sharpe ratio (Glass type estimate)
    0.79021
  • Sharpe ratio (Hedges UMVUE)
    0.78564
  • df
    130.00000
  • t
    0.55876
  • p
    0.47553
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.98471
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.56223
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.98781
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.55909
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.37880
  • Upside Potential Ratio
    8.57848
  • Upside part of mean
    0.45748
  • Downside part of mean
    -0.38395
  • Upside SD
    0.07596
  • Downside SD
    0.05333
  • 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
    -0.32166
  • Mean of criterion
    0.07353
  • SD of predictor
    0.25903
  • SD of criterion
    0.09305
  • Covariance
    0.00414
  • r
    0.17186
  • b (slope, estimate of beta)
    0.06174
  • a (intercept, estimate of alpha)
    0.09339
  • Mean Square Error
    0.00847
  • DF error
    129.00000
  • t(b)
    1.98147
  • p(b)
    0.39113
  • t(a)
    0.71549
  • p(a)
    0.46000
  • Lowerbound of 95% confidence interval for beta
    0.00009
  • Upperbound of 95% confidence interval for beta
    0.12338
  • Lowerbound of 95% confidence interval for alpha
    -0.16486
  • Upperbound of 95% confidence interval for alpha
    0.35163
  • Treynor index (mean / b)
    1.19101
  • Jensen alpha (a)
    0.09339
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06924
  • SD
    0.09268
  • Sharpe ratio (Glass type estimate)
    0.74706
  • Sharpe ratio (Hedges UMVUE)
    0.74275
  • df
    130.00000
  • t
    0.52825
  • p
    0.47686
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.02756
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.51903
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.03053
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.51602
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.28951
  • Upside Potential Ratio
    8.46610
  • Upside part of mean
    0.45459
  • Downside part of mean
    -0.38535
  • Upside SD
    0.07523
  • Downside SD
    0.05370
  • 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
    -0.35534
  • Mean of criterion
    0.06924
  • SD of predictor
    0.26018
  • SD of criterion
    0.09268
  • Covariance
    0.00412
  • r
    0.17080
  • b (slope, estimate of beta)
    0.06084
  • a (intercept, estimate of alpha)
    0.09086
  • Mean Square Error
    0.00840
  • DF error
    129.00000
  • t(b)
    1.96885
  • p(b)
    0.39180
  • t(a)
    0.69832
  • p(a)
    0.46096
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    -0.00030
  • Upperbound of 95% confidence interval for beta
    0.12198
  • Lowerbound of 95% confidence interval for alpha
    -0.16657
  • Upperbound of 95% confidence interval for alpha
    0.34829
  • Treynor index (mean / b)
    1.13801
  • Jensen alpha (a)
    0.09086
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00911
  • Expected Shortfall on VaR
    0.01148
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00411
  • Expected Shortfall on VaR
    0.00806
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97975
  • Quartile 1
    0.99840
  • Median
    0.99999
  • Quartile 3
    1.00075
  • Maximum
    1.03077
  • Mean of quarter 1
    0.99528
  • Mean of quarter 2
    0.99920
  • Mean of quarter 3
    1.00006
  • Mean of quarter 4
    1.00700
  • Inter Quartile Range
    0.00236
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.98971
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.14504
  • Mean of outliers high
    1.01021
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48039
  • VaR(95%) (moments method)
    0.00486
  • Expected Shortfall (moments method)
    0.01049
  • Extreme Value Index (regression method)
    0.44237
  • VaR(95%) (regression method)
    0.00403
  • Expected Shortfall (regression method)
    0.00778
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00177
  • Quartile 1
    0.00882
  • Median
    0.02459
  • Quartile 3
    0.02508
  • Maximum
    0.03258
  • Mean of quarter 1
    0.00529
  • Mean of quarter 2
    0.02459
  • Mean of quarter 3
    0.02508
  • Mean of quarter 4
    0.03258
  • Inter Quartile Range
    0.01627
  • 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?
    -344806000
  • Max Equity Drawdown (num days)
    88
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09955
  • Compounded annual return (geometric extrapolation)
    0.10202
  • Calmar ratio (compounded annual return / max draw down)
    3.13136
  • Compounded annual return / average of 25% largest draw downs
    3.13136
  • Compounded annual return / Expected Shortfall lognormal
    8.88843

Strategy Description

https://ochados.com

Summary Statistics

Strategy began
2022-01-23
Suggested Minimum Capital
$35,000
# Trades
201
# Profitable
65
% Profitable
32.3%
Net Dividends
Correlation S&P500
0.211
Sharpe Ratio
0.38
Sortino Ratio
0.67
Beta
0.08
Alpha
0.02
Leverage
0.24 Average
1.37 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.