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

Ochados Management 3
(139063674)

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).
-2.4%
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.

(7.3%)
Max Drawdown
66
Num Trades
36.4%
Win Trades
0.8 : 1
Profit Factor
20.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022(0.2%)(2.2%)(0.1%)(0.3%)+0.4%                                          (2.4%)

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 12:17 WNW MEIWU TECHNOLOGY CO LONG 6,756 0.75 5/5 11:13 0.70 0.34%
Trade id #140365259
Max drawdown($337)
Time5/5/22 11:13
Quant open6,756
Worst price0.70
Drawdown as % of equity-0.34%
($342)
Includes Typical Broker Commissions trade costs of $5.00
5/4/22 12:14 HMPT HOME POINT CAPITAL INC COMMON STOCK LONG 1,592 3.15 5/5 9:38 3.08 0.11%
Trade id #140365205
Max drawdown($111)
Time5/5/22 0:00
Quant open1,592
Worst price3.08
Drawdown as % of equity-0.11%
($116)
Includes Typical Broker Commissions trade costs of $5.00
4/26/22 15:44 ISTR INVESTAR HOLDING CORP LONG 210 19.48 5/5 9:38 19.95 0.03%
Trade id #140272850
Max drawdown($25)
Time4/27/22 0:00
Quant open210
Worst price19.36
Drawdown as % of equity-0.03%
$95
Includes Typical Broker Commissions trade costs of $4.20
4/26/22 15:46 WNC WABASH NATIONAL LONG 290 13.84 5/5 9:31 14.79 0.07%
Trade id #140272934
Max drawdown($69)
Time4/27/22 0:00
Quant open290
Worst price13.60
Drawdown as % of equity-0.07%
$270
Includes Typical Broker Commissions trade costs of $5.80
5/4/22 12:13 BCS BARCLAYS LONG 650 7.71 5/5 9:31 7.63 0.15%
Trade id #140365180
Max drawdown($146)
Time5/5/22 0:00
Quant open650
Worst price7.48
Drawdown as % of equity-0.15%
($57)
Includes Typical Broker Commissions trade costs of $5.00
5/4/22 12:12 GOTU GAOTU TECHEDU INC LONG 3,040 1.64 5/5 9:31 1.63 0.06%
Trade id #140365169
Max drawdown($60)
Time5/5/22 0:00
Quant open3,040
Worst price1.62
Drawdown as % of equity-0.06%
($35)
Includes Typical Broker Commissions trade costs of $5.00
5/4/22 12:10 USX US XPRESS ENTERPRISES INC LONG 1,393 3.60 5/5 9:31 3.55 0.38%
Trade id #140365137
Max drawdown($376)
Time5/5/22 0:00
Quant open1,393
Worst price3.33
Drawdown as % of equity-0.38%
($75)
Includes Typical Broker Commissions trade costs of $5.00
5/4/22 12:17 ETWO E2OPEN PARENT HOLDINGS INC LONG 576 8.72 5/5 9:31 8.90 0.05%
Trade id #140365266
Max drawdown($51)
Time5/4/22 14:35
Quant open576
Worst price8.63
Drawdown as % of equity-0.05%
$99
Includes Typical Broker Commissions trade costs of $5.00
5/4/22 12:15 KLTR KALTURA INC LONG 3,380 1.48 5/5 9:31 1.51 0.17%
Trade id #140365241
Max drawdown($169)
Time5/5/22 0:00
Quant open3,380
Worst price1.43
Drawdown as % of equity-0.17%
$96
Includes Typical Broker Commissions trade costs of $5.00
5/4/22 12:12 TOL TOLL BROTHERS LONG 105 47.55 5/5 9:31 49.34 0.04%
Trade id #140365173
Max drawdown($35)
Time5/5/22 0:00
Quant open105
Worst price47.21
Drawdown as % of equity-0.04%
$186
Includes Typical Broker Commissions trade costs of $2.10
5/4/22 12:16 RLGT RADIANT LOGISTICS LONG 833 6.06 5/5 9:31 6.21 0.03%
Trade id #140365246
Max drawdown($33)
Time5/5/22 0:00
Quant open833
Worst price6.02
Drawdown as % of equity-0.03%
$120
Includes Typical Broker Commissions trade costs of $5.00
5/4/22 12:09 ONEW ONEWATER MARINE INC. CLASS A COMMON STOCK LONG 148 34.17 5/5 9:31 37.33 0.15%
Trade id #140365123
Max drawdown($143)
Time5/4/22 14:38
Quant open148
Worst price33.20
Drawdown as % of equity-0.15%
$465
Includes Typical Broker Commissions trade costs of $2.96
5/4/22 12:15 LQDA LIQUIDIA CORP LONG 870 5.76 5/5 9:31 5.96 0.12%
Trade id #140365218
Max drawdown($121)
Time5/5/22 0:00
Quant open870
Worst price5.62
Drawdown as % of equity-0.12%
$169
Includes Typical Broker Commissions trade costs of $5.00
5/4/22 12:13 MBUU MALIBU BOATS INC. CLASS A COM LONG 96 52.58 5/5 9:31 53.14 0.13%
Trade id #140365184
Max drawdown($123)
Time5/4/22 14:35
Quant open96
Worst price51.30
Drawdown as % of equity-0.13%
$52
Includes Typical Broker Commissions trade costs of $1.92
5/4/22 12:11 INUV INUVO LONG 12,195 0.41 5/4 14:05 0.40 0.18%
Trade id #140365162
Max drawdown($174)
Time5/4/22 14:05
Quant open12,195
Worst price0.40
Drawdown as % of equity-0.18%
($179)
Includes Typical Broker Commissions trade costs of $5.00
4/26/22 15:46 FBHS FORTUNE BRANDS HOME LONG 60 72.47 5/2 9:34 70.19 0.14%
Trade id #140272912
Max drawdown($136)
Time5/2/22 9:34
Quant open60
Worst price70.19
Drawdown as % of equity-0.14%
($138)
Includes Typical Broker Commissions trade costs of $1.20
4/26/22 15:45 PHM PULTEGROUP LONG 95 42.88 4/27 10:27 41.60 0.12%
Trade id #140272901
Max drawdown($121)
Time4/27/22 10:27
Quant open95
Worst price41.60
Drawdown as % of equity-0.12%
($124)
Includes Typical Broker Commissions trade costs of $1.90
3/10/22 9:56 RAPT RAPT THERAPEUTICS INC. LONG 92 22.19 4/20 9:47 19.50 0.25%
Trade id #139732579
Max drawdown($247)
Time4/20/22 9:47
Quant open92
Worst price19.50
Drawdown as % of equity-0.25%
($249)
Includes Typical Broker Commissions trade costs of $1.84
2/22/22 9:32 KRP KIMBELL ROYALTY PARTNERS LONG 130 17.00 4/14 12:45 17.37 0.28%
Trade id #139486798
Max drawdown($269)
Time3/15/22 0:00
Quant open130
Worst price14.93
Drawdown as % of equity-0.28%
$45
Includes Typical Broker Commissions trade costs of $2.60
2/2/22 15:55 FIX COMFORT SYSTEMS LONG 23 87.06 4/14 12:45 88.34 0.16%
Trade id #139223034
Max drawdown($162)
Time2/24/22 0:00
Quant open23
Worst price80.00
Drawdown as % of equity-0.16%
$29
Includes Typical Broker Commissions trade costs of $0.46
3/10/22 9:57 ATNI ATN INTERNATIONAL INC. COMMON STOCK LONG 60 35.53 3/30 9:34 37.34 0.07%
Trade id #139732635
Max drawdown($67)
Time3/10/22 14:07
Quant open60
Worst price34.41
Drawdown as % of equity-0.07%
$108
Includes Typical Broker Commissions trade costs of $1.20
3/2/22 15:53 UAMY UNITED STATES ANTIMONY LONG 4,266 0.47 3/30 9:34 0.56 0.09%
Trade id #139619275
Max drawdown($85)
Time3/3/22 0:00
Quant open4,266
Worst price0.45
Drawdown as % of equity-0.09%
$387
Includes Typical Broker Commissions trade costs of $5.00
3/9/22 9:51 LOOP LOOP INDUSTRIES INC. COMMON STOCK LONG 265 7.65 3/30 9:34 9.24 0.02%
Trade id #139714123
Max drawdown($21)
Time3/9/22 10:01
Quant open265
Worst price7.57
Drawdown as % of equity-0.02%
$416
Includes Typical Broker Commissions trade costs of $5.30
3/10/22 9:56 RMR THE RMR GROUP INC. CLASS A COMMON STOCK LONG 66 30.44 3/14 15:35 29.55 0.06%
Trade id #139732603
Max drawdown($58)
Time3/14/22 15:35
Quant open66
Worst price29.55
Drawdown as % of equity-0.06%
($59)
Includes Typical Broker Commissions trade costs of $1.32
3/9/22 9:51 VUZI VUZIX CORP LONG 320 6.40 3/14 12:47 5.75 0.22%
Trade id #139714102
Max drawdown($214)
Time3/14/22 12:47
Quant open320
Worst price5.73
Drawdown as % of equity-0.22%
($214)
Includes Typical Broker Commissions trade costs of $6.40
3/10/22 9:57 NKTX NKARTA INC. COMMON STOCK LONG 200 10.15 3/14 12:15 9.55 0.13%
Trade id #139732652
Max drawdown($122)
Time3/14/22 12:15
Quant open200
Worst price9.54
Drawdown as % of equity-0.13%
($124)
Includes Typical Broker Commissions trade costs of $4.00
3/11/22 9:40 ETRN EQUITRANS MIDSTREAM CORP LONG 267 7.54 3/14 9:35 7.12 0.13%
Trade id #139749505
Max drawdown($122)
Time3/14/22 9:35
Quant open267
Worst price7.08
Drawdown as % of equity-0.13%
($117)
Includes Typical Broker Commissions trade costs of $5.34
3/11/22 9:39 EME EMCOR GROUP LONG 16 118.37 3/11 10:05 117.59 0.01%
Trade id #139749476
Max drawdown($12)
Time3/11/22 10:05
Quant open16
Worst price117.59
Drawdown as % of equity-0.01%
($12)
Includes Typical Broker Commissions trade costs of $0.32
3/2/22 15:53 TTCF TATTOOED CHEF INC LONG 157 12.93 3/4 11:15 12.15 0.13%
Trade id #139619243
Max drawdown($125)
Time3/4/22 11:15
Quant open157
Worst price12.13
Drawdown as % of equity-0.13%
($125)
Includes Typical Broker Commissions trade costs of $3.14
3/2/22 15:53 CLOV CLOVER HEALTH INVESTMENTS CORP. CLASS A COMMON ST LONG 750 2.69 3/3 12:30 2.40 0.22%
Trade id #139619263
Max drawdown($217)
Time3/3/22 12:30
Quant open750
Worst price2.40
Drawdown as % of equity-0.22%
($223)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    1/23/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    109.74
  • Age
    112 days ago
  • What it trades
    Stocks
  • # Trades
    66
  • # Profitable
    24
  • % Profitable
    36.40%
  • Avg trade duration
    11.1 days
  • Max peak-to-valley drawdown
    7.32%
  • drawdown period
    Feb 10, 2022 - April 08, 2022
  • Cumul. Return
    -2.4%
  • Avg win
    $183.29
  • Avg loss
    $138.36
  • Model Account Values (Raw)
  • Cash
    $98,586
  • Margin Used
    $0
  • Buying Power
    $98,586
  • Ratios
  • W:L ratio
    0.76:1
  • Sharpe Ratio
    -1.31
  • Sortino Ratio
    -1.7
  • Calmar Ratio
    -1.259
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    6.09%
  • Correlation to SP500
    0.24310
  • Return Percent SP500 (cumu) during strategy life
    -8.51%
  • Return Statistics
  • Ann Return (w trading costs)
    -7.6%
  • Slump
  • Current Slump as Pcnt Equity
    3.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.84%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.024%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -4.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    280
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    733
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $138
  • Avg Win
    $183
  • Sum Trade PL (losers)
    $5,811.000
  • Age
  • Num Months filled monthly returns table
    5
  • Win / Loss
  • Sum Trade PL (winners)
    $4,399.000
  • # Winners
    24
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    3
  • Win / Loss
  • # Losers
    42
  • % Winners
    36.4%
  • Frequency
  • Avg Position Time (mins)
    15952.90
  • Avg Position Time (hrs)
    265.88
  • Avg Trade Length
    11.1 days
  • Last Trade Ago
    8
  • Leverage
  • Daily leverage (average)
    0.18
  • Daily leverage (max)
    0.80
  • Regression
  • Alpha
    -0.02
  • Beta
    0.06
  • Treynor Index
    -0.45
  • 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)
    -0.41
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -6.272
  • 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
    0.482
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.159
  • Hold-and-Hope Ratio
    -0.159
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08932
  • SD
    0.01344
  • Sharpe ratio (Glass type estimate)
    -6.64857
  • Sharpe ratio (Hedges UMVUE)
    -3.75105
  • df
    2.00000
  • t
    -3.32428
  • p
    0.96010
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -13.71970
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.57815
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -9.12493
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62282
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.18764
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.08932
  • Upside SD
    0.00000
  • Downside SD
    0.02802
  • N nonnegative terms
    0.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    -0.11980
  • Mean of criterion
    -0.08932
  • SD of predictor
    0.24967
  • SD of criterion
    0.01344
  • Covariance
    -0.00322
  • r
    -0.95995
  • b (slope, estimate of beta)
    -0.05166
  • a (intercept, estimate of alpha)
    -0.09551
  • Mean Square Error
    0.00003
  • DF error
    1.00000
  • t(b)
    -3.42613
  • p(b)
    0.90960
  • t(a)
    -8.84444
  • p(a)
    0.96416
  • Lowerbound of 95% confidence interval for beta
    -0.24323
  • Upperbound of 95% confidence interval for beta
    0.13992
  • Lowerbound of 95% confidence interval for alpha
    -0.23273
  • Upperbound of 95% confidence interval for alpha
    0.04170
  • Treynor index (mean / b)
    1.72922
  • Jensen alpha (a)
    -0.09551
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08951
  • SD
    0.01351
  • Sharpe ratio (Glass type estimate)
    -6.62526
  • Sharpe ratio (Hedges UMVUE)
    -3.73790
  • df
    2.00000
  • t
    -3.31263
  • p
    0.95985
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -13.67790
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.58560
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -9.10296
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62716
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.18592
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.08951
  • Upside SD
    0.00000
  • Downside SD
    0.02810
  • N nonnegative terms
    0.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    -0.14071
  • Mean of criterion
    -0.08951
  • SD of predictor
    0.24698
  • SD of criterion
    0.01351
  • Covariance
    -0.00321
  • r
    -0.96198
  • b (slope, estimate of beta)
    -0.05262
  • a (intercept, estimate of alpha)
    -0.09691
  • Mean Square Error
    0.00003
  • DF error
    1.00000
  • t(b)
    -3.52224
  • p(b)
    0.91195
  • t(a)
    -9.10313
  • p(a)
    0.96517
  • Lowerbound of 95% confidence interval for beta
    -0.24245
  • Upperbound of 95% confidence interval for beta
    0.13721
  • Lowerbound of 95% confidence interval for alpha
    -0.23219
  • Upperbound of 95% confidence interval for alpha
    0.03836
  • Treynor index (mean / b)
    1.70100
  • Jensen alpha (a)
    -0.09691
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01378
  • Expected Shortfall on VaR
    0.01538
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01072
  • Expected Shortfall on VaR
    0.01073
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.99073
  • Quartile 1
    0.99312
  • Median
    0.99551
  • Quartile 3
    0.99696
  • Maximum
    0.99841
  • Mean of quarter 1
    0.99073
  • Mean of quarter 2
    0.99551
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99841
  • Inter Quartile Range
    0.00384
  • 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
    1.00000
  • Minimum
    0.01528
  • Quartile 1
    0.01528
  • Median
    0.01528
  • Quartile 3
    0.01528
  • Maximum
    0.01528
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.06113
  • Compounded annual return (geometric extrapolation)
    -0.05974
  • Calmar ratio (compounded annual return / max draw down)
    -3.90923
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -3.88366
  • 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
    -0.07231
  • SD
    0.04990
  • Sharpe ratio (Glass type estimate)
    -1.44910
  • Sharpe ratio (Hedges UMVUE)
    -1.43475
  • df
    76.00000
  • t
    -0.78558
  • p
    0.78272
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.06708
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17824
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.05731
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.18781
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.87354
  • Upside Potential Ratio
    6.11751
  • Upside part of mean
    0.23611
  • Downside part of mean
    -0.30842
  • Upside SD
    0.03143
  • Downside SD
    0.03860
  • N nonnegative terms
    32.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    -0.30675
  • Mean of criterion
    -0.07231
  • SD of predictor
    0.25854
  • SD of criterion
    0.04990
  • Covariance
    0.00330
  • r
    0.25564
  • b (slope, estimate of beta)
    0.04934
  • a (intercept, estimate of alpha)
    -0.05700
  • Mean Square Error
    0.00236
  • DF error
    75.00000
  • t(b)
    2.28995
  • p(b)
    0.01242
  • t(a)
    -0.63653
  • p(a)
    0.73682
  • Lowerbound of 95% confidence interval for beta
    0.00642
  • Upperbound of 95% confidence interval for beta
    0.09226
  • Lowerbound of 95% confidence interval for alpha
    -0.23611
  • Upperbound of 95% confidence interval for alpha
    0.12176
  • Treynor index (mean / b)
    -1.46558
  • Jensen alpha (a)
    -0.05718
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07354
  • SD
    0.04994
  • Sharpe ratio (Glass type estimate)
    -1.47276
  • Sharpe ratio (Hedges UMVUE)
    -1.45818
  • df
    76.00000
  • t
    -0.79841
  • p
    0.78644
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.09088
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15492
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.08098
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16461
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.89892
  • Upside Potential Ratio
    6.08313
  • Upside part of mean
    0.23559
  • Downside part of mean
    -0.30914
  • Upside SD
    0.03134
  • Downside SD
    0.03873
  • N nonnegative terms
    32.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    -0.34012
  • Mean of criterion
    -0.07354
  • SD of predictor
    0.25977
  • SD of criterion
    0.04994
  • Covariance
    0.00328
  • r
    0.25297
  • b (slope, estimate of beta)
    0.04863
  • a (intercept, estimate of alpha)
    -0.05700
  • Mean Square Error
    0.00237
  • DF error
    75.00000
  • t(b)
    2.26447
  • p(b)
    0.01322
  • t(a)
    -0.63334
  • p(a)
    0.73578
  • Lowerbound of 95% confidence interval for beta
    0.00585
  • Upperbound of 95% confidence interval for beta
    0.09141
  • Lowerbound of 95% confidence interval for alpha
    -0.23630
  • Upperbound of 95% confidence interval for alpha
    0.12230
  • Treynor index (mean / b)
    -1.51231
  • Jensen alpha (a)
    -0.05700
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00534
  • Expected Shortfall on VaR
    0.00662
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00299
  • Expected Shortfall on VaR
    0.00569
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    77.00000
  • Minimum
    0.98858
  • Quartile 1
    0.99844
  • Median
    0.99999
  • Quartile 3
    1.00140
  • Maximum
    1.01017
  • Mean of quarter 1
    0.99613
  • Mean of quarter 2
    0.99955
  • Mean of quarter 3
    1.00044
  • Mean of quarter 4
    1.00340
  • Inter Quartile Range
    0.00295
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.03896
  • Mean of outliers low
    0.99138
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.02597
  • Mean of outliers high
    1.00800
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01827
  • VaR(95%) (moments method)
    0.00358
  • Expected Shortfall (moments method)
    0.00490
  • Extreme Value Index (regression method)
    0.50901
  • VaR(95%) (regression method)
    0.00318
  • Expected Shortfall (regression method)
    0.00616
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00325
  • Quartile 1
    0.00354
  • Median
    0.00382
  • Quartile 3
    0.01963
  • Maximum
    0.03545
  • Mean of quarter 1
    0.00325
  • Mean of quarter 2
    0.00382
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03545
  • Inter Quartile Range
    0.01610
  • 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)
    -0.04533
  • Compounded annual return (geometric extrapolation)
    -0.04461
  • Calmar ratio (compounded annual return / max draw down)
    -1.25857
  • Compounded annual return / average of 25% largest draw downs
    -1.25857
  • Compounded annual return / Expected Shortfall lognormal
    -6.73720
  • 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)
    0.00500
  • 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
    0.75%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -344175000
  • Max Equity Drawdown (num days)
    57

Strategy Description

Trading with https://ochados.com/

Other strategies:

Ochados Management 1 https://collective2.com/details/139063666
Ochados Management 2 https://collective2.com/details/139063671

Summary Statistics

Strategy began
2022-01-23
Suggested Minimum Capital
$15,000
Rank at C2 
#200
# Trades
66
# Profitable
24
% Profitable
36.4%
Net Dividends
Correlation S&P500
0.243
Sharpe Ratio
-1.31
Sortino Ratio
-1.70
Beta
0.06
Alpha
-0.02
Leverage
0.18 Average
0.80 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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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.