Collective2 Collective2
Featured Strategy SILVER ETF TRADER +12.2% Annual Return (Compounded) since May 2, 2023 Hypothetical

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SP500 stock catch spikes
(140535824)

Created by: FabianKlare FabianKlare
Started: 05/2022
Stocks
Last trade: 3 days ago
Trading style: Equity Short-term Reversal

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $49.00 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
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
3.4%
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.

(12.3%)
Max Drawdown
1617
Num Trades
57.6%
Win Trades
1.2 : 1
Profit Factor
58.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                            +3.7%+1.4%+1.2%(0.3%)(2.1%)+8.4%+4.9%(0.2%)+17.9%
2023+0.4%(0.3%)(3.8%)+0.6%+0.4%(0.1%)+1.4%(2.1%)(1.6%)(0.2%)+4.0%+2.1%+0.4%
2024(1.7%)+1.6%+1.2%(2.5%)+0.9%+0.1%+1.6%(6.5%)+1.3%(4.8%)+0.9%      (8%)

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 48 hours.

Trading Record

This strategy has placed 154 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 629 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/15/24 13:54 MNST MONSTER BEVERAGE LONG 25 53.01 11/18 15:59 53.27 0.06%
Trade id #150099477
Max drawdown($32)
Time11/18/24 9:33
Quant open25
Worst price51.72
Drawdown as % of equity-0.06%
 $7
Includes Typical Broker Commissions trade costs of $0.50
11/13/24 10:03 MRNA MODERNA INC. COMMON STOCK LONG 32 41.88 11/18 15:59 39.49 0.36%
Trade id #150075186
Max drawdown($194)
Time11/15/24 0:00
Quant open32
Worst price35.80
Drawdown as % of equity-0.36%
 ($77)
Includes Typical Broker Commissions trade costs of $0.64
11/15/24 12:05 DPZ DOMINO'S PIZZA LONG 3 438.65 11/18 10:19 447.10 0.05%
Trade id #150098437
Max drawdown($27)
Time11/15/24 15:58
Quant open3
Worst price429.48
Drawdown as % of equity-0.05%
 $25
Includes Typical Broker Commissions trade costs of $0.06
11/13/24 15:55 SMCI SUPER MICRO COMPUTER LONG 66 20.41 11/15 15:59 18.59 0.39%
Trade id #150080480
Max drawdown($208)
Time11/15/24 11:09
Quant open66
Worst price17.25
Drawdown as % of equity-0.39%
 ($121)
Includes Typical Broker Commissions trade costs of $1.32
11/14/24 11:25 GD GENERAL DYNAMICS LONG 4 300.43 11/15 15:59 287.81 0.11%
Trade id #150086949
Max drawdown($59)
Time11/15/24 10:03
Quant open4
Worst price285.68
Drawdown as % of equity-0.11%
 ($50)
Includes Typical Broker Commissions trade costs of $0.08
11/14/24 10:42 LDOS LEIDOS HOLDINGS INC LONG 7 185.90 11/15 15:59 160.29 0.38%
Trade id #150086366
Max drawdown($204)
Time11/15/24 12:59
Quant open7
Worst price156.75
Drawdown as % of equity-0.38%
 ($179)
Includes Typical Broker Commissions trade costs of $0.14
11/7/24 11:15 APA APA CORP LONG 59 22.90 11/15 9:41 23.01 0.19%
Trade id #150029159
Max drawdown($103)
Time11/8/24 0:00
Quant open59
Worst price21.15
Drawdown as % of equity-0.19%
 $5
Includes Typical Broker Commissions trade costs of $1.18
11/11/24 9:37 ENPH ENPHASE ENERGY LONG 21 63.76 11/15 9:31 64.96 0.18%
Trade id #150054072
Max drawdown($97)
Time11/13/24 0:00
Quant open21
Worst price59.12
Drawdown as % of equity-0.18%
 $25
Includes Typical Broker Commissions trade costs of $0.42
11/11/24 9:34 AES AES LONG 101 13.41 11/14 14:28 14.31 0.03%
Trade id #150054007
Max drawdown($14)
Time11/12/24 0:00
Quant open101
Worst price13.27
Drawdown as % of equity-0.03%
 $89
Includes Typical Broker Commissions trade costs of $2.02
11/12/24 12:25 MOS MOSAIC LONG 53 25.53 11/13 9:31 25.83 0.02%
Trade id #150067242
Max drawdown($12)
Time11/12/24 13:07
Quant open53
Worst price25.30
Drawdown as % of equity-0.02%
 $15
Includes Typical Broker Commissions trade costs of $1.06
11/12/24 14:59 AMGN AMGEN LONG 4 295.75 11/13 9:30 303.99 0.01%
Trade id #150068719
Max drawdown($7)
Time11/12/24 15:08
Quant open4
Worst price293.80
Drawdown as % of equity-0.01%
 $33
Includes Typical Broker Commissions trade costs of $0.08
11/7/24 9:39 MRNA MODERNA INC. COMMON STOCK LONG 26 52.48 11/11 15:59 42.68 0.49%
Trade id #150027452
Max drawdown($265)
Time11/11/24 15:32
Quant open26
Worst price42.25
Drawdown as % of equity-0.49%
 ($256)
Includes Typical Broker Commissions trade costs of $0.52
11/8/24 12:05 AKAM AKAMAI TECHNOLOGIES LONG 15 90.57 11/11 9:30 91.46 0.04%
Trade id #150041760
Max drawdown($19)
Time11/8/24 15:58
Quant open15
Worst price89.27
Drawdown as % of equity-0.04%
 $13
Includes Typical Broker Commissions trade costs of $0.30
11/7/24 15:36 AES AES LONG 99 13.72 11/8 11:59 13.82 0.08%
Trade id #150032706
Max drawdown($42)
Time11/8/24 9:41
Quant open99
Worst price13.29
Drawdown as % of equity-0.08%
 $8
Includes Typical Broker Commissions trade costs of $1.98
11/6/24 9:47 REGN REGENERON PHARMACEUTICALS LONG 1 824.05 11/7 15:59 823.89 0.02%
Trade id #150008135
Max drawdown($10)
Time11/6/24 14:42
Quant open1
Worst price813.53
Drawdown as % of equity-0.02%
 $0
Includes Typical Broker Commissions trade costs of $0.02
11/6/24 9:51 TFX TELEFLEX LONG 6 203.51 11/7 15:59 198.35 0.08%
Trade id #150008317
Max drawdown($45)
Time11/7/24 13:34
Quant open6
Worst price195.98
Drawdown as % of equity-0.08%
 ($31)
Includes Typical Broker Commissions trade costs of $0.12
11/6/24 9:33 APTV APTIV PLC LONG 25 53.82 11/7 9:45 55.43 0.04%
Trade id #150007436
Max drawdown($22)
Time11/6/24 9:35
Quant open25
Worst price52.94
Drawdown as % of equity-0.04%
 $40
Includes Typical Broker Commissions trade costs of $0.50
11/6/24 9:51 FMC FMC LONG 22 61.34 11/7 9:30 60.98 0.07%
Trade id #150008299
Max drawdown($37)
Time11/6/24 10:39
Quant open22
Worst price59.64
Drawdown as % of equity-0.07%
 ($8)
Includes Typical Broker Commissions trade costs of $0.44
11/6/24 13:04 IRM IRON MOUNTAIN INC REIT LONG 12 112.66 11/7 9:30 113.00 0.01%
Trade id #150013032
Max drawdown($6)
Time11/6/24 13:20
Quant open12
Worst price112.11
Drawdown as % of equity-0.01%
 $4
Includes Typical Broker Commissions trade costs of $0.24
11/6/24 11:02 IFF INTERNATIONAL FLAVORS LONG 15 87.98 11/7 9:30 88.00 0.03%
Trade id #150009830
Max drawdown($17)
Time11/6/24 15:42
Quant open15
Worst price86.84
Drawdown as % of equity-0.03%
 $0
Includes Typical Broker Commissions trade costs of $0.30
11/6/24 9:48 FSLR FIRST SOLAR INC LONG 7 174.44 11/7 9:30 194.02 0.01%
Trade id #150008168
Max drawdown($4)
Time11/6/24 9:55
Quant open7
Worst price173.82
Drawdown as % of equity-0.01%
 $137
Includes Typical Broker Commissions trade costs of $0.14
11/6/24 9:52 CRL CHARLES RIVER LONG 6 212.97 11/7 9:30 214.05 0.05%
Trade id #150008350
Max drawdown($26)
Time11/6/24 11:03
Quant open6
Worst price208.55
Drawdown as % of equity-0.05%
 $6
Includes Typical Broker Commissions trade costs of $0.12
11/5/24 10:52 CE CELANESE LONG 14 92.38 11/6 9:30 92.91 0.05%
Trade id #149986811
Max drawdown($26)
Time11/5/24 15:56
Quant open14
Worst price90.51
Drawdown as % of equity-0.05%
 $7
Includes Typical Broker Commissions trade costs of $0.28
10/31/24 9:49 HII HUNTINGTON INGALLS LONG 7 191.10 11/6 9:30 205.10 0.09%
Trade id #149915571
Max drawdown($47)
Time10/31/24 15:40
Quant open7
Worst price184.29
Drawdown as % of equity-0.09%
 $98
Includes Typical Broker Commissions trade costs of $0.14
10/31/24 9:33 SPY SPDR S&P 500 LONG 144 574.52 11/4 10:12 571.29 1.61%
Trade id #149914943
Max drawdown($876)
Time10/31/24 15:59
Quant open144
Worst price568.44
Drawdown as % of equity-1.61%
 ($469)
Includes Typical Broker Commissions trade costs of $2.88
10/25/24 14:09 CNC CENTENE LONG 21 64.79 11/4 9:32 64.62 0.17%
Trade id #149840503
Max drawdown($92)
Time10/29/24 0:00
Quant open21
Worst price60.39
Drawdown as % of equity-0.17%
 ($4)
Includes Typical Broker Commissions trade costs of $0.42
11/1/24 12:56 AES AES LONG 90 14.88 11/4 9:30 14.93 0.03%
Trade id #149933639
Max drawdown($18)
Time11/1/24 15:59
Quant open90
Worst price14.68
Drawdown as % of equity-0.03%
 $3
Includes Typical Broker Commissions trade costs of $1.80
10/31/24 9:50 NVDA NVIDIA LONG 10 134.13 11/1 15:59 135.44 0.04%
Trade id #149915608
Max drawdown($20)
Time10/31/24 14:53
Quant open10
Worst price132.11
Drawdown as % of equity-0.04%
 $13
Includes Typical Broker Commissions trade costs of $0.20
10/31/24 10:26 APTV APTIV PLC LONG 23 57.66 11/1 9:30 57.65 0.13%
Trade id #149916535
Max drawdown($68)
Time10/31/24 15:19
Quant open23
Worst price54.70
Drawdown as % of equity-0.13%
 $0
Includes Typical Broker Commissions trade costs of $0.46
10/31/24 15:32 BALL BALL CORP LONG 23 59.91 11/1 9:30 59.57 0.03%
Trade id #149923674
Max drawdown($15)
Time10/31/24 15:59
Quant open23
Worst price59.23
Drawdown as % of equity-0.03%
 ($8)
Includes Typical Broker Commissions trade costs of $0.46
Next

Statistics

  • Strategy began
    5/19/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    916.71
  • Age
    31 months ago
  • What it trades
    Stocks
  • # Trades
    1617
  • # Profitable
    931
  • % Profitable
    57.60%
  • Avg trade duration
    6.0 days
  • Max peak-to-valley drawdown
    12.33%
  • drawdown period
    Feb 12, 2023 - Nov 15, 2024
  • Annual Return (Compounded)
    3.5%
  • Avg win
    $52.57
  • Avg loss
    $60.82
  • Model Account Values (Raw)
  • Cash
    $34,814
  • Margin Used
    $0
  • Buying Power
    $35,014
  • Ratios
  • W:L ratio
    1.21:1
  • Sharpe Ratio
    0.18
  • Sortino Ratio
    0.27
  • Calmar Ratio
    0.733
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -42.76%
  • Correlation to SP500
    0.46590
  • Return Percent SP500 (cumu) during strategy life
    51.69%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    3.5%
  • Slump
  • Current Slump as Pcnt Equity
    12.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.71%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.035%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    23.00%
  • Chance of 20% account loss
    2.00%
  • 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
    93.99%
  • 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
  • C2 Score
    298
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $61
  • Avg Win
    $53
  • Sum Trade PL (losers)
    $41,721.000
  • Age
  • Num Months filled monthly returns table
    31
  • Win / Loss
  • Sum Trade PL (winners)
    $48,942.000
  • # Winners
    931
  • Num Months Winners
    18
  • Dividends
  • Dividends Received in Model Acct
    677
  • Win / Loss
  • # Losers
    686
  • % Winners
    57.6%
  • Frequency
  • Avg Position Time (mins)
    8699.25
  • Avg Position Time (hrs)
    144.99
  • Avg Trade Length
    6.0 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.34
  • Daily leverage (max)
    1.67
  • Regression
  • Alpha
    -0.01
  • Beta
    0.24
  • Treynor Index
    0.02
  • 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)
    -0.48
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    29.923
  • 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
    0.668
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.568
  • Hold-and-Hope Ratio
    0.034
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04036
  • SD
    0.08639
  • Sharpe ratio (Glass type estimate)
    0.46720
  • Sharpe ratio (Hedges UMVUE)
    0.45456
  • df
    28.00000
  • t
    0.72630
  • p
    0.23684
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80355
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72975
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81183
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72095
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.90509
  • Upside Potential Ratio
    2.80068
  • Upside part of mean
    0.12490
  • Downside part of mean
    -0.08453
  • Upside SD
    0.07317
  • Downside SD
    0.04459
  • N nonnegative terms
    16.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.14849
  • Mean of criterion
    0.04036
  • SD of predictor
    0.14708
  • SD of criterion
    0.08639
  • Covariance
    0.00460
  • r
    0.36178
  • b (slope, estimate of beta)
    0.21250
  • a (intercept, estimate of alpha)
    0.00881
  • Mean Square Error
    0.00673
  • DF error
    27.00000
  • t(b)
    2.01648
  • p(b)
    0.02690
  • t(a)
    0.16007
  • p(a)
    0.43701
  • Lowerbound of 95% confidence interval for beta
    -0.00373
  • Upperbound of 95% confidence interval for beta
    0.42872
  • Lowerbound of 95% confidence interval for alpha
    -0.10411
  • Upperbound of 95% confidence interval for alpha
    0.12172
  • Treynor index (mean / b)
    0.18994
  • Jensen alpha (a)
    0.00881
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03669
  • SD
    0.08505
  • Sharpe ratio (Glass type estimate)
    0.43137
  • Sharpe ratio (Hedges UMVUE)
    0.41969
  • df
    28.00000
  • t
    0.67059
  • p
    0.25399
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83821
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.69340
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84587
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68526
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.81168
  • Upside Potential Ratio
    2.69998
  • Upside part of mean
    0.12203
  • Downside part of mean
    -0.08535
  • Upside SD
    0.07108
  • Downside SD
    0.04520
  • N nonnegative terms
    16.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.13694
  • Mean of criterion
    0.03669
  • SD of predictor
    0.14663
  • SD of criterion
    0.08505
  • Covariance
    0.00436
  • r
    0.34933
  • b (slope, estimate of beta)
    0.20261
  • a (intercept, estimate of alpha)
    0.00894
  • Mean Square Error
    0.00659
  • DF error
    27.00000
  • t(b)
    1.93723
  • p(b)
    0.03162
  • t(a)
    0.16518
  • p(a)
    0.43501
  • Lowerbound of 95% confidence interval for beta
    -0.01199
  • Upperbound of 95% confidence interval for beta
    0.41720
  • Lowerbound of 95% confidence interval for alpha
    -0.10212
  • Upperbound of 95% confidence interval for alpha
    0.12001
  • Treynor index (mean / b)
    0.18107
  • Jensen alpha (a)
    0.00894
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03664
  • Expected Shortfall on VaR
    0.04643
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01534
  • Expected Shortfall on VaR
    0.02854
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    29.00000
  • Minimum
    0.95613
  • Quartile 1
    0.98988
  • Median
    1.00408
  • Quartile 3
    1.01190
  • Maximum
    1.07324
  • Mean of quarter 1
    0.98051
  • Mean of quarter 2
    0.99855
  • Mean of quarter 3
    1.00770
  • Mean of quarter 4
    1.03960
  • Inter Quartile Range
    0.02202
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03448
  • Mean of outliers low
    0.95613
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.10345
  • Mean of outliers high
    1.06025
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.32911
  • VaR(95%) (moments method)
    0.02070
  • Expected Shortfall (moments method)
    0.02457
  • Extreme Value Index (regression method)
    0.51252
  • VaR(95%) (regression method)
    0.02170
  • Expected Shortfall (regression method)
    0.04285
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00077
  • Quartile 1
    0.00184
  • Median
    0.00636
  • Quartile 3
    0.03405
  • Maximum
    0.05984
  • Mean of quarter 1
    0.00118
  • Mean of quarter 2
    0.00259
  • Mean of quarter 3
    0.01012
  • Mean of quarter 4
    0.05093
  • Inter Quartile Range
    0.03220
  • 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)
    0.06991
  • Compounded annual return (geometric extrapolation)
    0.06673
  • Calmar ratio (compounded annual return / max draw down)
    1.11502
  • Compounded annual return / average of 25% largest draw downs
    1.31009
  • Compounded annual return / Expected Shortfall lognormal
    1.43711
  • 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
    0.03428
  • SD
    0.08172
  • Sharpe ratio (Glass type estimate)
    0.41946
  • Sharpe ratio (Hedges UMVUE)
    0.41897
  • df
    652.00000
  • t
    0.66220
  • p
    0.25404
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82239
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66101
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82272
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66067
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.61958
  • Upside Potential Ratio
    6.38663
  • Upside part of mean
    0.35334
  • Downside part of mean
    -0.31906
  • Upside SD
    0.06010
  • Downside SD
    0.05533
  • N nonnegative terms
    320.00000
  • N negative terms
    333.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    653.00000
  • Mean of predictor
    0.15275
  • Mean of criterion
    0.03428
  • SD of predictor
    0.16405
  • SD of criterion
    0.08172
  • Covariance
    0.00629
  • r
    0.46911
  • b (slope, estimate of beta)
    0.23369
  • a (intercept, estimate of alpha)
    -0.00100
  • Mean Square Error
    0.00522
  • DF error
    651.00000
  • t(b)
    13.55320
  • p(b)
    -0.00000
  • t(a)
    -0.03093
  • p(a)
    0.51233
  • Lowerbound of 95% confidence interval for beta
    0.19983
  • Upperbound of 95% confidence interval for beta
    0.26754
  • Lowerbound of 95% confidence interval for alpha
    -0.09140
  • Upperbound of 95% confidence interval for alpha
    0.08857
  • Treynor index (mean / b)
    0.14669
  • Jensen alpha (a)
    -0.00142
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03094
  • SD
    0.08164
  • Sharpe ratio (Glass type estimate)
    0.37901
  • Sharpe ratio (Hedges UMVUE)
    0.37858
  • df
    652.00000
  • t
    0.59836
  • p
    0.27490
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86279
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62053
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86308
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62023
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.55361
  • Upside Potential Ratio
    6.28911
  • Upside part of mean
    0.35152
  • Downside part of mean
    -0.32058
  • Upside SD
    0.05945
  • Downside SD
    0.05589
  • N nonnegative terms
    320.00000
  • N negative terms
    333.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    653.00000
  • Mean of predictor
    0.13927
  • Mean of criterion
    0.03094
  • SD of predictor
    0.16397
  • SD of criterion
    0.08164
  • Covariance
    0.00627
  • r
    0.46845
  • b (slope, estimate of beta)
    0.23325
  • a (intercept, estimate of alpha)
    -0.00154
  • Mean Square Error
    0.00521
  • DF error
    651.00000
  • t(b)
    13.52840
  • p(b)
    -0.00000
  • t(a)
    -0.03366
  • p(a)
    0.51342
  • Lowerbound of 95% confidence interval for beta
    0.19939
  • Upperbound of 95% confidence interval for beta
    0.26710
  • Lowerbound of 95% confidence interval for alpha
    -0.09145
  • Upperbound of 95% confidence interval for alpha
    0.08837
  • Treynor index (mean / b)
    0.13266
  • Jensen alpha (a)
    -0.00154
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00814
  • Expected Shortfall on VaR
    0.01023
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00277
  • Expected Shortfall on VaR
    0.00606
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    653.00000
  • Minimum
    0.96130
  • Quartile 1
    0.99906
  • Median
    1.00009
  • Quartile 3
    1.00147
  • Maximum
    1.04086
  • Mean of quarter 1
    0.99567
  • Mean of quarter 2
    0.99970
  • Mean of quarter 3
    1.00068
  • Mean of quarter 4
    1.00493
  • Inter Quartile Range
    0.00241
  • Number outliers low
    41.00000
  • Percentage of outliers low
    0.06279
  • Mean of outliers low
    0.98965
  • Number of outliers high
    41.00000
  • Percentage of outliers high
    0.06279
  • Mean of outliers high
    1.01160
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.46508
  • VaR(95%) (moments method)
    0.00366
  • Expected Shortfall (moments method)
    0.00812
  • Extreme Value Index (regression method)
    0.46462
  • VaR(95%) (regression method)
    0.00348
  • Expected Shortfall (regression method)
    0.00761
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    30.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00074
  • Median
    0.00336
  • Quartile 3
    0.01415
  • Maximum
    0.08264
  • Mean of quarter 1
    0.00027
  • Mean of quarter 2
    0.00185
  • Mean of quarter 3
    0.00852
  • Mean of quarter 4
    0.03673
  • Inter Quartile Range
    0.01341
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.06157
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.14722
  • VaR(95%) (moments method)
    0.03508
  • Expected Shortfall (moments method)
    0.04524
  • Extreme Value Index (regression method)
    0.14048
  • VaR(95%) (regression method)
    0.04207
  • Expected Shortfall (regression method)
    0.06360
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06339
  • Compounded annual return (geometric extrapolation)
    0.06062
  • Calmar ratio (compounded annual return / max draw down)
    0.73349
  • Compounded annual return / average of 25% largest draw downs
    1.65048
  • Compounded annual return / Expected Shortfall lognormal
    5.92452
  • 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
    -0.15643
  • SD
    0.07667
  • Sharpe ratio (Glass type estimate)
    -2.04027
  • Sharpe ratio (Hedges UMVUE)
    -2.02848
  • df
    130.00000
  • t
    -1.44269
  • p
    0.56277
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.81928
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.74636
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.81123
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.75427
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.29027
  • Upside Potential Ratio
    3.92232
  • Upside part of mean
    0.26790
  • Downside part of mean
    -0.42433
  • Upside SD
    0.03552
  • Downside SD
    0.06830
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19895
  • Mean of criterion
    -0.15643
  • SD of predictor
    0.13551
  • SD of criterion
    0.07667
  • Covariance
    0.00635
  • r
    0.61138
  • b (slope, estimate of beta)
    0.34592
  • a (intercept, estimate of alpha)
    -0.22525
  • Mean Square Error
    0.00371
  • DF error
    129.00000
  • t(b)
    8.77507
  • p(b)
    0.13661
  • t(a)
    -2.60430
  • p(a)
    0.64109
  • Lowerbound of 95% confidence interval for beta
    0.26792
  • Upperbound of 95% confidence interval for beta
    0.42391
  • Lowerbound of 95% confidence interval for alpha
    -0.39638
  • Upperbound of 95% confidence interval for alpha
    -0.05412
  • Treynor index (mean / b)
    -0.45222
  • Jensen alpha (a)
    -0.22525
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.15941
  • SD
    0.07725
  • Sharpe ratio (Glass type estimate)
    -2.06361
  • Sharpe ratio (Hedges UMVUE)
    -2.05168
  • df
    130.00000
  • t
    -1.45919
  • p
    0.56347
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.84286
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.72340
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.83468
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73132
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.30891
  • Upside Potential Ratio
    3.87089
  • Upside part of mean
    0.26725
  • Downside part of mean
    -0.42665
  • Upside SD
    0.03538
  • Downside SD
    0.06904
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18973
  • Mean of criterion
    -0.15941
  • SD of predictor
    0.13569
  • SD of criterion
    0.07725
  • Covariance
    0.00643
  • r
    0.61315
  • b (slope, estimate of beta)
    0.34906
  • a (intercept, estimate of alpha)
    -0.22564
  • Mean Square Error
    0.00375
  • DF error
    129.00000
  • t(b)
    8.81571
  • p(b)
    0.13572
  • t(a)
    -2.59479
  • p(a)
    0.64061
  • VAR (95 Confidence Intrvl)
    0.00800
  • Lowerbound of 95% confidence interval for beta
    0.27072
  • Upperbound of 95% confidence interval for beta
    0.42740
  • Lowerbound of 95% confidence interval for alpha
    -0.39768
  • Upperbound of 95% confidence interval for alpha
    -0.05359
  • Treynor index (mean / b)
    -0.45667
  • Jensen alpha (a)
    -0.22564
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00842
  • Expected Shortfall on VaR
    0.01040
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00389
  • Expected Shortfall on VaR
    0.00826
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96920
  • Quartile 1
    0.99805
  • Median
    0.99998
  • Quartile 3
    1.00121
  • Maximum
    1.01373
  • Mean of quarter 1
    0.99452
  • Mean of quarter 2
    0.99928
  • Mean of quarter 3
    1.00061
  • Mean of quarter 4
    1.00367
  • Inter Quartile Range
    0.00316
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.98232
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.00983
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.67512
  • VaR(95%) (moments method)
    0.00603
  • Expected Shortfall (moments method)
    0.01880
  • Extreme Value Index (regression method)
    0.78888
  • VaR(95%) (regression method)
    0.00499
  • Expected Shortfall (regression method)
    0.02056
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00058
  • Quartile 1
    0.00719
  • Median
    0.00950
  • Quartile 3
    0.01186
  • Maximum
    0.08264
  • Mean of quarter 1
    0.00388
  • Mean of quarter 2
    0.00722
  • Mean of quarter 3
    0.01178
  • Mean of quarter 4
    0.04726
  • Inter Quartile Range
    0.00467
  • 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
    0.16667
  • Mean of outliers high
    0.08264
  • 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?
    -352110000
  • Max Equity Drawdown (num days)
    642
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.12727
  • Compounded annual return (geometric extrapolation)
    -0.12322
  • Calmar ratio (compounded annual return / max draw down)
    -1.49102
  • Compounded annual return / average of 25% largest draw downs
    -2.60724
  • Compounded annual return / Expected Shortfall lognormal
    -11.85230

Strategy Description

The same trades as my TOS strategy, but the leverage ist < 2.
For more information see my TOS strategy:
https://collective2.com/details/140513127
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-05-19
Suggested Minimum Capital
$35,000
# Trades
1617
# Profitable
931
% Profitable
57.6%
Net Dividends
$676
Correlation S&P500
0.466
Sharpe Ratio
0.18
Sortino Ratio
0.27
Beta
0.24
Alpha
-0.01
Leverage
0.34 Average
1.67 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.