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High Frequency Algo
(140022552)

Created by: High-Frequency-Algo High-Frequency-Algo
Started: 04/2022
Options
Last trade: Yesterday
Trading style: Equity Momentum
Subscriptions not currently available.

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 $225.00 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
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).
1797.5%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(47.7%)
Max Drawdown
426
Num Trades
59.2%
Win Trades
1.9 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                     +496.0%+33.5%+77.6%(20.8%)(5.2%)+48.5%+8.8%(0.3%)+4.5%+1685.9%
2023+26.7%+1.1%(3.2%)(12.4%)+52.4%+9.0%                                    +80.4%

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.

Trading Record

This strategy has placed 1,390 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/2/23 10:35 SPY2330F425 SPY Jun30'23 425 call LONG 5 6.08 6/2 13:36 7.57 n/a $739
Includes Typical Broker Commissions trade costs of $8.50
5/30/23 10:12 SPY2316F422 SPY Jun16'23 422 call LONG 20 5.09 6/2 10:25 6.24 3.48%
Trade id #144779176
Max drawdown($5,092)
Time6/1/23 0:00
Quant open20
Worst price2.54
Drawdown as % of equity-3.48%
 $2,288
Includes Typical Broker Commissions trade costs of $28.00
5/30/23 10:14 SPY2313F420 SPY Jun13'23 420 call LONG 10 5.77 6/2 10:25 6.75 2.11%
Trade id #144779216
Max drawdown($3,080)
Time6/1/23 0:00
Quant open10
Worst price2.69
Drawdown as % of equity-2.11%
 $965
Includes Typical Broker Commissions trade costs of $14.00
5/30/23 10:15 SPY2316F421 SPY Jun16'23 421 call LONG 15 5.80 6/2 10:17 7.33 2.88%
Trade id #144779233
Max drawdown($4,207)
Time6/1/23 0:00
Quant open15
Worst price2.99
Drawdown as % of equity-2.88%
 $2,276
Includes Typical Broker Commissions trade costs of $21.00
6/1/23 10:54 SPY2316F419 SPY Jun16'23 419 call LONG 10 5.22 6/2 10:15 7.98 0.11%
Trade id #144802184
Max drawdown($165)
Time6/1/23 11:01
Quant open10
Worst price5.06
Drawdown as % of equity-0.11%
 $2,741
Includes Typical Broker Commissions trade costs of $14.00
6/1/23 11:43 AMZN2323F124 AMZN Jun23'23 124 call LONG 20 2.90 6/1 13:03 3.31 0.11%
Trade id #144802968
Max drawdown($158)
Time6/1/23 11:46
Quant open20
Worst price2.82
Drawdown as % of equity-0.11%
 $791
Includes Typical Broker Commissions trade costs of $28.00
5/30/23 10:11 SPY2316F420 SPY Jun16'23 420 call LONG 10 6.45 5/30 10:13 6.45 n/a ($12)
Includes Typical Broker Commissions trade costs of $14.00
5/23/23 11:27 SPY2309F417 SPY Jun9'23 417 call LONG 10 6.21 5/30 9:54 7.31 2.65%
Trade id #144720443
Max drawdown($3,260)
Time5/24/23 0:00
Quant open10
Worst price2.95
Drawdown as % of equity-2.65%
 $1,082
Includes Typical Broker Commissions trade costs of $14.00
5/23/23 11:26 SPY2306F417 SPY Jun6'23 417 call LONG 10 5.44 5/30 9:54 6.47 2.57%
Trade id #144720434
Max drawdown($3,160)
Time5/24/23 0:00
Quant open10
Worst price2.28
Drawdown as % of equity-2.57%
 $1,018
Includes Typical Broker Commissions trade costs of $14.00
5/10/23 9:55 SPY2302F413 SPY Jun2'23 413 call LONG 10 6.07 5/30 9:54 8.51 2.21%
Trade id #144575809
Max drawdown($2,715)
Time5/24/23 0:00
Quant open10
Worst price3.35
Drawdown as % of equity-2.21%
 $2,435
Includes Typical Broker Commissions trade costs of $14.00
5/24/23 11:41 SPY2305F415 SPY Jun5'23 415 call LONG 10 3.13 5/30 9:54 7.76 0.3%
Trade id #144732221
Max drawdown($350)
Time5/24/23 15:04
Quant open10
Worst price2.78
Drawdown as % of equity-0.30%
 $4,616
Includes Typical Broker Commissions trade costs of $14.00
5/30/23 9:53 IWM2305F178 IWM Jun5'23 178 call SHORT 40 1.39 5/30 9:53 1.40 0.02%
Trade id #144778720
Max drawdown($27)
Time5/30/23 9:53
Quant open40
Worst price1.40
Drawdown as % of equity-0.02%
 ($83)
Includes Typical Broker Commissions trade costs of $56.00
5/24/23 13:33 IWM2305F178 IWM Jun5'23 178 call LONG 40 1.59 5/30 9:53 1.47 2.69%
Trade id #144734203
Max drawdown($3,098)
Time5/25/23 0:00
Quant open40
Worst price0.82
Drawdown as % of equity-2.69%
 ($551)
Includes Typical Broker Commissions trade costs of $56.00
5/24/23 15:22 AMZN2309F118 AMZN Jun9'23 118 call LONG 30 2.82 5/26 13:18 4.60 3.09%
Trade id #144735434
Max drawdown($3,559)
Time5/25/23 0:00
Quant open30
Worst price1.63
Drawdown as % of equity-3.09%
 $5,319
Includes Typical Broker Commissions trade costs of $42.00
5/24/23 11:30 SPY2331E415 SPY May31'23 415 call LONG 30 1.96 5/26 10:34 5.37 1.08%
Trade id #144732108
Max drawdown($1,246)
Time5/24/23 15:04
Quant open30
Worst price1.54
Drawdown as % of equity-1.08%
 $10,191
Includes Typical Broker Commissions trade costs of $42.00
5/11/23 11:43 SPY2326E412 SPY May26'23 412 call LONG 30 4.18 5/26 10:29 7.85 3.21%
Trade id #144589535
Max drawdown($3,944)
Time5/24/23 0:00
Quant open15
Worst price1.55
Drawdown as % of equity-3.21%
 $10,978
Includes Typical Broker Commissions trade costs of $42.00
5/26/23 9:32 QQQ2305F342 QQQ Jun5'23 342 call LONG 20 3.70 5/26 10:26 4.88 n/a $2,332
Includes Typical Broker Commissions trade costs of $28.00
5/24/23 11:28 SPY2324E411 SPY May24'23 411 call LONG 20 1.22 5/24 11:30 1.19 0.06%
Trade id #144732049
Max drawdown($66)
Time5/24/23 11:30
Quant open20
Worst price1.19
Drawdown as % of equity-0.06%
 ($94)
Includes Typical Broker Commissions trade costs of $28.00
4/27/23 15:07 SPY2319E414 SPY May19'23 414 call LONG 20 5.76 5/18 10:13 2.69 9.65%
Trade id #144449653
Max drawdown($10,120)
Time5/17/23 0:00
Quant open20
Worst price0.70
Drawdown as % of equity-9.65%
 ($6,167)
Includes Typical Broker Commissions trade costs of $28.00
5/10/23 9:58 SPY2319E412.5 SPY May19'23 412.5 call LONG 30 3.89 5/17 13:24 3.55 7.6%
Trade id #144575873
Max drawdown($7,973)
Time5/17/23 10:00
Quant open30
Worst price1.23
Drawdown as % of equity-7.60%
 ($1,045)
Includes Typical Broker Commissions trade costs of $42.00
5/10/23 14:54 AMZN2302F113 AMZN Jun2'23 113 call LONG 60 1.91 5/17 9:59 4.27 2.39%
Trade id #144581591
Max drawdown($2,430)
Time5/15/23 0:00
Quant open60
Worst price1.50
Drawdown as % of equity-2.39%
 $14,114
Includes Typical Broker Commissions trade costs of $84.00
4/20/23 10:16 RBLX2312E45 RBLX May12'23 45 call LONG 20 2.06 5/13 9:35 0.00 4.29%
Trade id #144373234
Max drawdown($4,096)
Time5/10/23 0:00
Quant open20
Worst price0.01
Drawdown as % of equity-4.29%
 ($4,130)
Includes Typical Broker Commissions trade costs of $14.00
5/10/23 14:52 AMZN2312E109 AMZN May12'23 109 call LONG 10 1.47 5/10 14:55 1.55 n/a $67
Includes Typical Broker Commissions trade costs of $14.00
5/5/23 15:28 AMZN2309F112 AMZN Jun9'23 112 call LONG 50 1.53 5/10 13:31 2.53 1.18%
Trade id #144543319
Max drawdown($1,120)
Time5/8/23 0:00
Quant open50
Worst price1.31
Drawdown as % of equity-1.18%
 $4,934
Includes Typical Broker Commissions trade costs of $70.00
5/5/23 12:22 AMZN2302F110 AMZN Jun2'23 110 call LONG 60 1.64 5/10 13:29 2.89 1.4%
Trade id #144541398
Max drawdown($1,297)
Time5/9/23 0:00
Quant open60
Worst price1.42
Drawdown as % of equity-1.40%
 $7,442
Includes Typical Broker Commissions trade costs of $84.00
5/5/23 12:27 AMZN2319E108 AMZN May19'23 108 call LONG 90 1.28 5/10 9:30 2.15 2.14%
Trade id #144541483
Max drawdown($2,028)
Time5/8/23 0:00
Quant open90
Worst price1.05
Drawdown as % of equity-2.14%
 $7,710
Includes Typical Broker Commissions trade costs of $126.00
4/28/23 11:43 AMZN2319E109 AMZN May19'23 109 call LONG 20 2.01 5/10 9:30 1.62 3.17%
Trade id #144464693
Max drawdown($2,929)
Time5/2/23 0:00
Quant open20
Worst price0.55
Drawdown as % of equity-3.17%
 ($816)
Includes Typical Broker Commissions trade costs of $28.00
5/3/23 11:53 AAPL2326E170 AAPL May26'23 170 call LONG 20 4.79 5/5 9:37 5.88 5.19%
Trade id #144514496
Max drawdown($4,338)
Time5/4/23 0:00
Quant open20
Worst price2.62
Drawdown as % of equity-5.19%
 $2,149
Includes Typical Broker Commissions trade costs of $28.00
5/3/23 11:39 AAPL2302F170 AAPL Jun2'23 170 call LONG 20 5.19 5/5 9:37 6.38 5.24%
Trade id #144513669
Max drawdown($4,382)
Time5/4/23 0:00
Quant open20
Worst price3.00
Drawdown as % of equity-5.24%
 $2,342
Includes Typical Broker Commissions trade costs of $28.00
4/28/23 11:11 AAPL2312E170 AAPL May12'23 170 call LONG 20 3.27 5/3 11:30 3.52 0.84%
Trade id #144464252
Max drawdown($776)
Time5/2/23 0:00
Quant open20
Worst price2.88
Drawdown as % of equity-0.84%
 $468
Includes Typical Broker Commissions trade costs of $28.00
Next

Statistics

  • Strategy began
    4/4/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    427.41
  • Age
    14 months ago
  • What it trades
    Options
  • # Trades
    426
  • # Profitable
    252
  • % Profitable
    59.20%
  • Avg trade duration
    4.2 days
  • Max peak-to-valley drawdown
    47.71%
  • drawdown period
    Feb 16, 2023 - April 27, 2023
  • Annual Return (Compounded)
    1797.5%
  • Avg win
    $1,319
  • Avg loss
    $986.93
  • Model Account Values (Raw)
  • Cash
    $139,085
  • Margin Used
    $0
  • Buying Power
    $139,085
  • Ratios
  • W:L ratio
    1.94:1
  • Sharpe Ratio
    2.59
  • Sortino Ratio
    7.56
  • Calmar Ratio
    50.384
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    3128.57%
  • Correlation to SP500
    -0.23090
  • Return Percent SP500 (cumu) during strategy life
    -6.74%
  • Return Statistics
  • Ann Return (w trading costs)
    1797.5%
  • Slump
  • Current Slump as Pcnt Equity
    3.00%
  • Instruments
  • Percent Trades Futures
    0.01%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    17.975%
  • Instruments
  • Percent Trades Options
    0.98%
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    0.01%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1892.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    60.00%
  • Chance of 20% account loss
    34.00%
  • Chance of 30% account loss
    15.00%
  • Chance of 40% account loss
    11.50%
  • Chance of 60% account loss (Monte Carlo)
    2.00%
  • Chance of 70% account loss (Monte Carlo)
    1.00%
  • 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
    6.00%
  • Popularity
  • Popularity (Today)
    974
  • Popularity (Last 6 weeks)
    988
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    1
  • Popularity (7 days, Percentile 1000 scale)
    974
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $987
  • Avg Win
    $1,320
  • Sum Trade PL (losers)
    $171,726.000
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $332,631.000
  • # Winners
    252
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    1672780
  • Win / Loss
  • # Losers
    174
  • % Winners
    59.1%
  • Frequency
  • Avg Position Time (mins)
    6053.02
  • Avg Position Time (hrs)
    100.88
  • Avg Trade Length
    4.2 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    6.21
  • Daily leverage (max)
    75.55
  • Regression
  • Alpha
    0.97
  • Beta
    -1.20
  • Treynor Index
    -0.82
  • 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)
    0.04
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.120
  • 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
    0.10
  • Avg(MAE) / Avg(PL) - Winning trades
    0.214
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.545
  • Hold-and-Hope Ratio
    0.884
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    5.96255
  • SD
    4.13316
  • Sharpe ratio (Glass type estimate)
    1.44261
  • Sharpe ratio (Hedges UMVUE)
    1.35020
  • df
    12.00000
  • t
    1.50152
  • p
    0.30115
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55230
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.38316
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60882
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30922
  • Statistics related to Sortino ratio
  • Sortino ratio
    22.91840
  • Upside Potential Ratio
    24.94020
  • Upside part of mean
    6.48853
  • Downside part of mean
    -0.52598
  • Upside SD
    4.32018
  • Downside SD
    0.26016
  • N nonnegative terms
    7.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    -0.09401
  • Mean of criterion
    5.96255
  • SD of predictor
    0.22230
  • SD of criterion
    4.13316
  • Covariance
    -0.47785
  • r
    -0.52008
  • b (slope, estimate of beta)
    -9.66981
  • a (intercept, estimate of alpha)
    5.05353
  • Mean Square Error
    13.59520
  • DF error
    11.00000
  • t(b)
    -2.01954
  • p(b)
    0.96576
  • t(a)
    1.41516
  • p(a)
    0.09235
  • Lowerbound of 95% confidence interval for beta
    -20.20840
  • Upperbound of 95% confidence interval for beta
    0.86879
  • Lowerbound of 95% confidence interval for alpha
    -2.80620
  • Upperbound of 95% confidence interval for alpha
    12.91330
  • Treynor index (mean / b)
    -0.61662
  • Jensen alpha (a)
    5.05353
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.97108
  • SD
    1.73241
  • Sharpe ratio (Glass type estimate)
    1.71500
  • Sharpe ratio (Hedges UMVUE)
    1.60514
  • df
    12.00000
  • t
    1.78503
  • p
    0.27097
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31785
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.68539
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38442
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.59470
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.57550
  • Upside Potential Ratio
    12.57660
  • Upside part of mean
    3.53326
  • Downside part of mean
    -0.56219
  • Upside SD
    1.85123
  • Downside SD
    0.28094
  • N nonnegative terms
    7.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    -0.11750
  • Mean of criterion
    2.97108
  • SD of predictor
    0.22561
  • SD of criterion
    1.73241
  • Covariance
    -0.23013
  • r
    -0.58880
  • b (slope, estimate of beta)
    -4.52125
  • a (intercept, estimate of alpha)
    2.43984
  • Mean Square Error
    2.13900
  • DF error
    11.00000
  • t(b)
    -2.41604
  • p(b)
    0.98288
  • t(a)
    1.71548
  • p(a)
    0.05713
  • Lowerbound of 95% confidence interval for beta
    -8.64007
  • Upperbound of 95% confidence interval for beta
    -0.40243
  • Lowerbound of 95% confidence interval for alpha
    -0.69052
  • Upperbound of 95% confidence interval for alpha
    5.57020
  • Treynor index (mean / b)
    -0.65714
  • Jensen alpha (a)
    2.43984
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.43730
  • Expected Shortfall on VaR
    0.53613
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09780
  • Expected Shortfall on VaR
    0.17281
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.83470
  • Quartile 1
    0.92208
  • Median
    1.05892
  • Quartile 3
    1.52815
  • Maximum
    5.33106
  • Mean of quarter 1
    0.87542
  • Mean of quarter 2
    1.00047
  • Mean of quarter 3
    1.44726
  • Mean of quarter 4
    2.88162
  • Inter Quartile Range
    0.60607
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    5.33106
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.79797
  • VaR(95%) (moments method)
    0.14589
  • Expected Shortfall (moments method)
    0.15852
  • Extreme Value Index (regression method)
    -4.95693
  • VaR(95%) (regression method)
    0.19309
  • Expected Shortfall (regression method)
    0.19311
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.11584
  • Quartile 1
    0.14727
  • Median
    0.17871
  • Quartile 3
    0.20960
  • Maximum
    0.24050
  • Mean of quarter 1
    0.11584
  • Mean of quarter 2
    0.17871
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.24050
  • Inter Quartile Range
    0.06233
  • 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)
    22.85710
  • Compounded annual return (geometric extrapolation)
    19.06510
  • Calmar ratio (compounded annual return / max draw down)
    79.27360
  • Compounded annual return / average of 25% largest draw downs
    79.27360
  • Compounded annual return / Expected Shortfall lognormal
    35.56040
  • 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
    3.68915
  • SD
    1.21105
  • Sharpe ratio (Glass type estimate)
    3.04624
  • Sharpe ratio (Hedges UMVUE)
    3.03851
  • df
    296.00000
  • t
    3.24333
  • p
    0.00066
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.18662
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.90085
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.18145
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.89557
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.90359
  • Upside Potential Ratio
    17.79210
  • Upside part of mean
    6.62768
  • Downside part of mean
    -2.93853
  • Upside SD
    1.17256
  • Downside SD
    0.37251
  • N nonnegative terms
    139.00000
  • N negative terms
    158.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    297.00000
  • Mean of predictor
    -0.06453
  • Mean of criterion
    3.68915
  • SD of predictor
    0.22357
  • SD of criterion
    1.21105
  • Covariance
    -0.06165
  • r
    -0.22769
  • b (slope, estimate of beta)
    -1.23341
  • a (intercept, estimate of alpha)
    3.61000
  • Mean Square Error
    1.39532
  • DF error
    295.00000
  • t(b)
    -4.01628
  • p(b)
    0.99996
  • t(a)
    3.25293
  • p(a)
    0.00064
  • Lowerbound of 95% confidence interval for beta
    -1.83781
  • Upperbound of 95% confidence interval for beta
    -0.62902
  • Lowerbound of 95% confidence interval for alpha
    1.42576
  • Upperbound of 95% confidence interval for alpha
    5.79336
  • Treynor index (mean / b)
    -2.99101
  • Jensen alpha (a)
    3.60956
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.06623
  • SD
    1.05206
  • Sharpe ratio (Glass type estimate)
    2.91450
  • Sharpe ratio (Hedges UMVUE)
    2.90711
  • df
    296.00000
  • t
    3.10307
  • p
    0.00105
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.05632
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.76786
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.05142
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.76281
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.94406
  • Upside Potential Ratio
    15.74490
  • Upside part of mean
    6.07718
  • Downside part of mean
    -3.01095
  • Upside SD
    0.99499
  • Downside SD
    0.38598
  • N nonnegative terms
    139.00000
  • N negative terms
    158.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    297.00000
  • Mean of predictor
    -0.08946
  • Mean of criterion
    3.06623
  • SD of predictor
    0.22371
  • SD of criterion
    1.05206
  • Covariance
    -0.05528
  • r
    -0.23489
  • b (slope, estimate of beta)
    -1.10464
  • a (intercept, estimate of alpha)
    2.96741
  • Mean Square Error
    1.04930
  • DF error
    295.00000
  • t(b)
    -4.15058
  • p(b)
    0.99998
  • t(a)
    3.08334
  • p(a)
    0.00112
  • Lowerbound of 95% confidence interval for beta
    -1.62842
  • Upperbound of 95% confidence interval for beta
    -0.58087
  • Lowerbound of 95% confidence interval for alpha
    1.07337
  • Upperbound of 95% confidence interval for alpha
    4.86145
  • Treynor index (mean / b)
    -2.77576
  • Jensen alpha (a)
    2.96741
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09081
  • Expected Shortfall on VaR
    0.11492
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02685
  • Expected Shortfall on VaR
    0.05217
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    297.00000
  • Minimum
    0.87930
  • Quartile 1
    0.98466
  • Median
    1.00000
  • Quartile 3
    1.01794
  • Maximum
    1.76764
  • Mean of quarter 1
    0.96189
  • Mean of quarter 2
    0.99384
  • Mean of quarter 3
    1.00674
  • Mean of quarter 4
    1.09499
  • Inter Quartile Range
    0.03327
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.03704
  • Mean of outliers low
    0.91358
  • Number of outliers high
    29.00000
  • Percentage of outliers high
    0.09764
  • Mean of outliers high
    1.18233
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27116
  • VaR(95%) (moments method)
    0.03877
  • Expected Shortfall (moments method)
    0.06346
  • Extreme Value Index (regression method)
    -0.00436
  • VaR(95%) (regression method)
    0.03592
  • Expected Shortfall (regression method)
    0.04856
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00516
  • Quartile 1
    0.02457
  • Median
    0.06088
  • Quartile 3
    0.11323
  • Maximum
    0.41815
  • Mean of quarter 1
    0.01217
  • Mean of quarter 2
    0.03971
  • Mean of quarter 3
    0.08182
  • Mean of quarter 4
    0.22297
  • Inter Quartile Range
    0.08867
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.08696
  • Mean of outliers high
    0.36269
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.16492
  • VaR(95%) (moments method)
    0.24377
  • Expected Shortfall (moments method)
    0.35265
  • Extreme Value Index (regression method)
    0.69742
  • VaR(95%) (regression method)
    0.27799
  • Expected Shortfall (regression method)
    0.80038
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    28.55000
  • Compounded annual return (geometric extrapolation)
    21.06820
  • Calmar ratio (compounded annual return / max draw down)
    50.38380
  • Compounded annual return / average of 25% largest draw downs
    94.48850
  • Compounded annual return / Expected Shortfall lognormal
    183.32900
  • 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
    1.66458
  • SD
    0.86038
  • Sharpe ratio (Glass type estimate)
    1.93470
  • Sharpe ratio (Hedges UMVUE)
    1.92352
  • df
    130.00000
  • t
    1.36804
  • p
    0.44044
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85070
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.71283
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85813
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.70517
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.91607
  • Upside Potential Ratio
    12.04970
  • Upside part of mean
    5.12190
  • Downside part of mean
    -3.45732
  • Upside SD
    0.75133
  • Downside SD
    0.42506
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07718
  • Mean of criterion
    1.66458
  • SD of predictor
    0.15759
  • SD of criterion
    0.86038
  • Covariance
    0.02518
  • r
    0.18570
  • b (slope, estimate of beta)
    1.01385
  • a (intercept, estimate of alpha)
    1.58633
  • Mean Square Error
    0.72027
  • DF error
    129.00000
  • t(b)
    2.14651
  • p(b)
    0.38246
  • t(a)
    1.32109
  • p(a)
    0.42661
  • Lowerbound of 95% confidence interval for beta
    0.07934
  • Upperbound of 95% confidence interval for beta
    1.94836
  • Lowerbound of 95% confidence interval for alpha
    -0.78944
  • Upperbound of 95% confidence interval for alpha
    3.96210
  • Treynor index (mean / b)
    1.64184
  • Jensen alpha (a)
    1.58633
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.31548
  • SD
    0.82188
  • Sharpe ratio (Glass type estimate)
    1.60059
  • Sharpe ratio (Hedges UMVUE)
    1.59133
  • df
    130.00000
  • t
    1.13179
  • p
    0.45061
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18107
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.37619
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18721
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.36988
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.98428
  • Upside Potential Ratio
    11.04170
  • Upside part of mean
    4.86725
  • Downside part of mean
    -3.55176
  • Upside SD
    0.69471
  • Downside SD
    0.44080
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06485
  • Mean of criterion
    1.31548
  • SD of predictor
    0.15754
  • SD of criterion
    0.82188
  • Covariance
    0.02382
  • r
    0.18397
  • b (slope, estimate of beta)
    0.95976
  • a (intercept, estimate of alpha)
    1.25324
  • Mean Square Error
    0.65768
  • DF error
    129.00000
  • t(b)
    2.12580
  • p(b)
    0.38354
  • t(a)
    1.09238
  • p(a)
    0.43915
  • VAR (95 Confidence Intrvl)
    0.09100
  • Lowerbound of 95% confidence interval for beta
    0.06649
  • Upperbound of 95% confidence interval for beta
    1.85303
  • Lowerbound of 95% confidence interval for alpha
    -1.01664
  • Upperbound of 95% confidence interval for alpha
    3.52313
  • Treynor index (mean / b)
    1.37063
  • Jensen alpha (a)
    1.25324
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07550
  • Expected Shortfall on VaR
    0.09474
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03119
  • Expected Shortfall on VaR
    0.05983
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89091
  • Quartile 1
    0.98173
  • Median
    1.00000
  • Quartile 3
    1.01934
  • Maximum
    1.25465
  • Mean of quarter 1
    0.95548
  • Mean of quarter 2
    0.99236
  • Mean of quarter 3
    1.00843
  • Mean of quarter 4
    1.06963
  • Inter Quartile Range
    0.03761
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.91175
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.16219
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35207
  • VaR(95%) (moments method)
    0.04780
  • Expected Shortfall (moments method)
    0.08472
  • Extreme Value Index (regression method)
    0.12429
  • VaR(95%) (regression method)
    0.04157
  • Expected Shortfall (regression method)
    0.05946
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00305
  • Quartile 1
    0.01244
  • Median
    0.02715
  • Quartile 3
    0.11769
  • Maximum
    0.41815
  • Mean of quarter 1
    0.00461
  • Mean of quarter 2
    0.02361
  • Mean of quarter 3
    0.05069
  • Mean of quarter 4
    0.25850
  • Inter Quartile Range
    0.10525
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    0.41815
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.12973
  • VaR(95%) (moments method)
    0.29013
  • Expected Shortfall (moments method)
    0.40935
  • Extreme Value Index (regression method)
    2.25967
  • VaR(95%) (regression method)
    0.47785
  • 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?
    -305530000
  • Max Equity Drawdown (num days)
    70
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.91510
  • Compounded annual return (geometric extrapolation)
    2.83201
  • Calmar ratio (compounded annual return / max draw down)
    6.77265
  • Compounded annual return / average of 25% largest draw downs
    10.95540
  • Compounded annual return / Expected Shortfall lognormal
    29.89090

Strategy Description

I recently rescaled the account to $100k from $1.1M to allow traders with smaller accounts to follow me. The way I was able to reach such a large profit target is by using real time order flows from level 2 and depth of market/ volume profile to determine buy and sell trading decisions. I utilize order flows from a wide variety of markets that include futures, forex, options flows and real volume from level 2 to determine price targets. Some trades can last a few minutes, based on faster moving orders, while others may last up to 2-3 weeks. Typically, I utilize up to 15% of my total account and rarely make trades exceeding this amount = $15k-20k; I do this to protect risk. The goal is to keep myself underexposed to the market and make quality trading decisions versus using higher risk and over exposure.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-04-04
Suggested Minimum Capital
$35,000
# Trades
426
# Profitable
252
% Profitable
59.2%
Correlation S&P500
-0.231
Sharpe Ratio
2.59
Sortino Ratio
7.56
Beta
-1.20
Alpha
0.97
Leverage
6.21 Average
75.55 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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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.