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C2Star Strategy Furry Logic C2Star: in evaluation Hypothetical

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High Frequency Options
(141099032)

Created by: High-Frequency-Algo High-Frequency-Algo
Started: 07/2022
Forex
Last trade: Yesterday
Trading style: Options Volatility Long / Short Directional Bets

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 $595.00 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: Options
Volatility Long / Short
Category: Equity

Volatility Long / Short

This strategy constructs portfolios that make bets about whether market volatility will increase or decrease.
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
1464.1%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(71.0%)
Max Drawdown
195
Num Trades
42.6%
Win Trades
1.6 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          +1.1%+96.9%+98.7%+65.9%(19.8%)+43.2%+653.8%
2023+3.3%(1.6%)(36.3%)+45.1%+117.2%+1.7%                                    +107.5%

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 238 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
6/5/23 11:02 SPY2305F430 SPY Jun5'23 430 call LONG 1 0.30 6/5 11:02 0.29 n/a ($3)
Includes Typical Broker Commissions trade costs of $2.00
6/1/23 10:23 SPY2330F420 SPY Jun30'23 420 call LONG 10 5.22 6/5 10:03 8.85 0.02%
Trade id #144801684
Max drawdown($18)
Time6/1/23 10:27
Quant open5
Worst price5.09
Drawdown as % of equity-0.02%
 $3,609
Includes Typical Broker Commissions trade costs of $17.00
6/1/23 12:53 SPY2330F421 SPY Jun30'23 421 call LONG 2 6.48 6/2 10:18 8.44 0.08%
Trade id #144804663
Max drawdown($60)
Time6/1/23 15:40
Quant open2
Worst price6.18
Drawdown as % of equity-0.08%
 $389
Includes Typical Broker Commissions trade costs of $3.40
5/30/23 10:23 SPY2323F422 SPY Jun23'23 422 call LONG 4 5.57 6/2 10:15 7.34 1.3%
Trade id #144779513
Max drawdown($997)
Time6/1/23 0:00
Quant open4
Worst price3.08
Drawdown as % of equity-1.30%
 $700
Includes Typical Broker Commissions trade costs of $6.80
6/1/23 11:33 AMZN2323F124 AMZN Jun23'23 124 call LONG 21 2.79 6/1 11:46 2.82 n/a $39
Includes Typical Broker Commissions trade costs of $29.70
5/22/23 11:31 IWM2302F178 IWM Jun2'23 178 call LONG 45 2.20 5/30 9:53 2.49 7.78%
Trade id #144709984
Max drawdown($3,064)
Time5/25/23 0:00
Quant open20
Worst price0.67
Drawdown as % of equity-7.78%
 $1,212
Includes Typical Broker Commissions trade costs of $63.00
5/17/23 12:36 SPY2302F415 SPY Jun2'23 415 call LONG 90 4.15 5/30 9:52 6.98 30.66%
Trade id #144652565
Max drawdown($15,490)
Time5/24/23 0:00
Quant open90
Worst price2.43
Drawdown as % of equity-30.66%
 $25,334
Includes Typical Broker Commissions trade costs of $126.00
5/22/23 12:02 SPY2301F420 SPY Jun1'23 420 call LONG 20 3.58 5/30 9:52 3.36 11.54%
Trade id #144710938
Max drawdown($5,830)
Time5/24/23 0:00
Quant open20
Worst price0.67
Drawdown as % of equity-11.54%
 ($478)
Includes Typical Broker Commissions trade costs of $28.00
5/15/23 10:38 AMZN2309F110 AMZN Jun9'23 110 call LONG 70 3.65 5/17 10:00 7.05 4.22%
Trade id #144614417
Max drawdown($1,400)
Time5/15/23 10:46
Quant open70
Worst price3.45
Drawdown as % of equity-4.22%
 $23,702
Includes Typical Broker Commissions trade costs of $98.00
5/12/23 13:10 SPY2326E412 SPY May26'23 412 call LONG 60 3.63 5/12 14:24 3.42 4.02%
Trade id #144601030
Max drawdown($1,680)
Time5/12/23 14:16
Quant open60
Worst price3.35
Drawdown as % of equity-4.02%
 ($1,344)
Includes Typical Broker Commissions trade costs of $84.00
5/12/23 11:59 SPY2319E411 SPY May19'23 411 call LONG 40 3.38 5/12 13:03 2.51 8.57%
Trade id #144600287
Max drawdown($3,580)
Time5/12/23 13:02
Quant open40
Worst price2.49
Drawdown as % of equity-8.57%
 ($3,556)
Includes Typical Broker Commissions trade costs of $56.00
5/11/23 11:52 SPY2326E412 SPY May26'23 412 call LONG 20 5.00 5/12 11:29 3.98 4.91%
Trade id #144590427
Max drawdown($2,050)
Time5/12/23 11:28
Quant open20
Worst price3.98
Drawdown as % of equity-4.91%
 ($2,078)
Includes Typical Broker Commissions trade costs of $28.00
5/10/23 12:52 SPY2326E413 SPY May26'23 413 call LONG 20 4.21 5/12 11:29 3.44 3.5%
Trade id #144580105
Max drawdown($1,460)
Time5/12/23 11:27
Quant open20
Worst price3.48
Drawdown as % of equity-3.50%
 ($1,568)
Includes Typical Broker Commissions trade costs of $28.00
5/10/23 14:59 AMZN2302F113 AMZN Jun2'23 113 call LONG 120 1.92 5/12 11:28 2.12 n/a $2,292
Includes Typical Broker Commissions trade costs of $168.00
5/5/23 12:25 AMZN2302F110 AMZN Jun2'23 110 call LONG 120 1.63 5/10 10:18 3.15 11.15%
Trade id #144541455
Max drawdown($2,500)
Time5/9/23 0:00
Quant open120
Worst price1.42
Drawdown as % of equity-11.15%
 $18,092
Includes Typical Broker Commissions trade costs of $168.00
4/18/23 17:17 NZD/JPY NZD/JPY LONG 10 83.312 5/4 10:33 83.925 6.79%
Trade id #144355644
Max drawdown($1,313)
Time4/26/23 0:00
Quant open10
Worst price81.551
Drawdown as % of equity-6.79%
 $458
4/27/23 15:49 AUD/JPY AUD/JPY LONG 50 88.805 5/4 10:32 89.202 6.86%
Trade id #144450228
Max drawdown($1,398)
Time4/28/23 0:00
Quant open50
Worst price88.430
Drawdown as % of equity-6.86%
 $1,483
4/27/23 15:53 USD/JPY USD/JPY LONG 30 133.956 5/4 10:32 133.852 6.45%
Trade id #144450264
Max drawdown($1,314)
Time4/27/23 23:24
Quant open30
Worst price133.368
Drawdown as % of equity-6.45%
 ($232)
4/5/23 14:08 NZD/USD NZD/USD LONG 50 0.63156 4/6 9:04 0.62499 14.64%
Trade id #144199562
Max drawdown($3,290)
Time4/6/23 9:04
Quant open50
Worst price0.62498
Drawdown as % of equity-14.64%
 ($3,285)
4/4/23 12:27: Rescaled downward to 10% of previous Model Account size
3/22/23 23:34 EUR/JPY EUR/JPY SHORT 20 142.292 4/4 12:25 144.131 22.85%
Trade id #144007295
Max drawdown($5,128)
Time3/31/23 0:00
Quant open20
Worst price145.671
Drawdown as % of equity-22.85%
 ($2,794)
3/22/23 14:21 @ESM3 E-MINI S&P 500 SHORT 0.300000000 4044.75 3/22 14:46 4070.00 0.14%
Trade id #143996479
Max drawdown($37)
Time3/22/23 14:46
Quant open0
Worst price4070.00
Drawdown as % of equity-0.14%
 ($381)
Includes Typical Broker Commissions trade costs of $2.40
3/22/23 14:14 @ESM3 E-MINI S&P 500 SHORT 0.300000000 4040.25 3/22 14:15 4044.25 0.02%
Trade id #143996344
Max drawdown($6)
Time3/22/23 14:15
Quant open0
Worst price4044.25
Drawdown as % of equity-0.02%
 ($62)
Includes Typical Broker Commissions trade costs of $2.40
3/21/23 0:07 AUD/USD AUD/USD SHORT 60 0.66870 3/21 14:36 0.66584 0.24%
Trade id #143973619
Max drawdown($60)
Time3/21/23 3:50
Quant open6
Worst price0.66972
Drawdown as % of equity-0.24%
 $1,719
3/17/23 11:01 AUD/USD AUD/USD SHORT 50 0.66967 3/20 9:59 0.67195 0.51%
Trade id #143946137
Max drawdown($132)
Time3/20/23 9:52
Quant open5
Worst price0.67231
Drawdown as % of equity-0.51%
 ($1,141)
3/19/23 18:42 GBP/NZD GBP/NZD SHORT 30 1.94248 3/20 1:32 1.94975 0.49%
Trade id #143958605
Max drawdown($134)
Time3/20/23 1:30
Quant open3
Worst price1.94963
Drawdown as % of equity-0.49%
 ($1,364)
3/14/23 10:48 AUD/JPY AUD/JPY SHORT 30 89.793 3/17 10:41 88.240 0.34%
Trade id #143895547
Max drawdown($91)
Time3/15/23 0:00
Quant open3
Worst price90.194
Drawdown as % of equity-0.34%
 $3,533
3/16/23 15:48 AUD/USD AUD/USD SHORT 30 0.66541 3/17 3:02 0.67214 0.81%
Trade id #143936550
Max drawdown($210)
Time3/17/23 3:02
Quant open3
Worst price0.67241
Drawdown as % of equity-0.81%
 ($2,019)
3/13/23 22:30 AUD/JPY AUD/JPY SHORT 30 88.824 3/14 9:33 89.980 0.94%
Trade id #143886567
Max drawdown($259)
Time3/14/23 9:33
Quant open3
Worst price89.986
Drawdown as % of equity-0.94%
 ($2,575)
3/13/23 3:19 EUR/USD EUR/USD SHORT 30 1.07192 3/13 10:49 1.07257 0.18%
Trade id #143867022
Max drawdown($53)
Time3/13/23 3:46
Quant open3
Worst price1.07371
Drawdown as % of equity-0.18%
 ($195)
3/10/23 12:01 EUR/USD EUR/USD SHORT 30 1.06599 3/12 22:32 1.07155 0.56%
Trade id #143847918
Max drawdown($168)
Time3/12/23 22:32
Quant open3
Worst price1.07159
Drawdown as % of equity-0.56%
 ($1,668)
Next

Statistics

  • Strategy began
    7/18/2022
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    322.07
  • Age
    11 months ago
  • What it trades
    Forex
  • # Trades
    195
  • # Profitable
    83
  • % Profitable
    42.60%
  • Avg trade duration
    2.3 days
  • Max peak-to-valley drawdown
    71.04%
  • drawdown period
    Jan 03, 2023 - April 26, 2023
  • Cumul. Return
    1464.0%
  • Avg win
    $2,337
  • Avg loss
    $1,053
  • Model Account Values (Raw)
  • Cash
    $71,837
  • Margin Used
    $0
  • Buying Power
    $71,837
  • Ratios
  • W:L ratio
    1.64:1
  • Sharpe Ratio
    2.05
  • Sortino Ratio
    4.12
  • Calmar Ratio
    34.802
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1452.48%
  • Correlation to SP500
    -0.06040
  • Return Percent SP500 (cumu) during strategy life
    11.56%
  • Return Statistics
  • Ann Return (w trading costs)
    2080.3%
  • Slump
  • Current Slump as Pcnt Equity
    24.30%
  • Instruments
  • Percent Trades Futures
    0.16%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.06%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    14.640%
  • Instruments
  • Percent Trades Options
    0.15%
  • Percent Trades Stocks
    0.00%
  • Percent Trades Forex
    0.68%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2227.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    79.50%
  • Chance of 20% account loss
    61.50%
  • Chance of 30% account loss
    59.50%
  • Chance of 40% account loss
    42.50%
  • Chance of 60% account loss (Monte Carlo)
    25.00%
  • Chance of 70% account loss (Monte Carlo)
    9.00%
  • Chance of 80% account loss (Monte Carlo)
    6.50%
  • Chance of 90% account loss (Monte Carlo)
    0.50%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    39.00%
  • Popularity
  • Popularity (Today)
    982
  • Popularity (Last 6 weeks)
    966
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    608
  • Popularity (7 days, Percentile 1000 scale)
    988
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,053
  • Avg Win
    $2,338
  • Sum Trade PL (losers)
    $117,991.000
  • Age
  • Num Months filled monthly returns table
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $194,052.000
  • # Winners
    83
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    600273
  • Win / Loss
  • # Losers
    112
  • % Winners
    42.6%
  • Frequency
  • Avg Position Time (mins)
    3309.95
  • Avg Position Time (hrs)
    55.17
  • Avg Trade Length
    2.3 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    16.33
  • Daily leverage (max)
    69.17
  • Regression
  • Alpha
    1.38
  • Beta
    -0.61
  • Treynor Index
    -2.25
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.17
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.042
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.172
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.375
  • Hold-and-Hope Ratio
    0.943
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    6.65749
  • SD
    3.56511
  • Sharpe ratio (Glass type estimate)
    1.86740
  • Sharpe ratio (Hedges UMVUE)
    1.70657
  • df
    9.00000
  • t
    1.70470
  • p
    0.06122
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48574
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.13260
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58063
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.99377
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.27620
  • Upside Potential Ratio
    16.34820
  • Upside part of mean
    7.62374
  • Downside part of mean
    -0.96625
  • Upside SD
    3.86200
  • Downside SD
    0.46633
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.10220
  • Mean of criterion
    6.65749
  • SD of predictor
    0.21047
  • SD of criterion
    3.56511
  • Covariance
    -0.23267
  • r
    -0.31008
  • b (slope, estimate of beta)
    -5.25221
  • a (intercept, estimate of alpha)
    7.19425
  • Mean Square Error
    12.92390
  • DF error
    8.00000
  • t(b)
    -0.92249
  • p(b)
    0.80838
  • t(a)
    1.80721
  • p(a)
    0.05418
  • Lowerbound of 95% confidence interval for beta
    -18.38140
  • Upperbound of 95% confidence interval for beta
    7.87701
  • Lowerbound of 95% confidence interval for alpha
    -1.98566
  • Upperbound of 95% confidence interval for alpha
    16.37420
  • Treynor index (mean / b)
    -1.26756
  • Jensen alpha (a)
    7.19425
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.34278
  • SD
    1.98575
  • Sharpe ratio (Glass type estimate)
    1.68338
  • Sharpe ratio (Hedges UMVUE)
    1.53840
  • df
    9.00000
  • t
    1.53671
  • p
    0.07937
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63703
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.92230
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72320
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.80000
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.29317
  • Upside Potential Ratio
    8.35110
  • Upside part of mean
    4.43590
  • Downside part of mean
    -1.09312
  • Upside SD
    2.04888
  • Downside SD
    0.53118
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.08193
  • Mean of criterion
    3.34278
  • SD of predictor
    0.20896
  • SD of criterion
    1.98575
  • Covariance
    -0.12439
  • r
    -0.29977
  • b (slope, estimate of beta)
    -2.84874
  • a (intercept, estimate of alpha)
    3.57619
  • Mean Square Error
    4.03746
  • DF error
    8.00000
  • t(b)
    -0.88876
  • p(b)
    0.79997
  • t(a)
    1.61327
  • p(a)
    0.07268
  • Lowerbound of 95% confidence interval for beta
    -10.24020
  • Upperbound of 95% confidence interval for beta
    4.54269
  • Lowerbound of 95% confidence interval for alpha
    -1.53563
  • Upperbound of 95% confidence interval for alpha
    8.68800
  • Treynor index (mean / b)
    -1.17342
  • Jensen alpha (a)
    3.57619
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.48538
  • Expected Shortfall on VaR
    0.58659
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.16556
  • Expected Shortfall on VaR
    0.29318
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.73690
  • Quartile 1
    0.81308
  • Median
    1.13592
  • Quartile 3
    1.77906
  • Maximum
    3.82162
  • Mean of quarter 1
    0.76213
  • Mean of quarter 2
    0.99210
  • Mean of quarter 3
    1.39709
  • Mean of quarter 4
    2.83548
  • Inter Quartile Range
    0.96598
  • 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
    0.10000
  • Mean of outliers high
    3.82162
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.43253
  • VaR(95%) (moments method)
    0.25516
  • Expected Shortfall (moments method)
    0.26742
  • Extreme Value Index (regression method)
    1.31689
  • VaR(95%) (regression method)
    0.27305
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.08229
  • Quartile 1
    0.20114
  • Median
    0.31999
  • Quartile 3
    0.43885
  • Maximum
    0.55770
  • Mean of quarter 1
    0.08229
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.55770
  • Inter Quartile Range
    0.23770
  • 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)
    18.71010
  • Compounded annual return (geometric extrapolation)
    28.09850
  • Calmar ratio (compounded annual return / max draw down)
    50.38300
  • Compounded annual return / average of 25% largest draw downs
    50.38300
  • Compounded annual return / Expected Shortfall lognormal
    47.90110
  • 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
    4.98222
  • SD
    2.01610
  • Sharpe ratio (Glass type estimate)
    2.47121
  • Sharpe ratio (Hedges UMVUE)
    2.46311
  • df
    229.00000
  • t
    2.31539
  • p
    0.01074
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36451
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.57267
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35911
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.56711
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.19192
  • Upside Potential Ratio
    12.56650
  • Upside part of mean
    12.05890
  • Downside part of mean
    -7.07670
  • Upside SD
    1.79468
  • Downside SD
    0.95961
  • N nonnegative terms
    113.00000
  • N negative terms
    117.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    230.00000
  • Mean of predictor
    0.11695
  • Mean of criterion
    4.98222
  • SD of predictor
    0.20169
  • SD of criterion
    2.01610
  • Covariance
    -0.02795
  • r
    -0.06874
  • b (slope, estimate of beta)
    -0.68714
  • a (intercept, estimate of alpha)
    5.06300
  • Mean Square Error
    4.06321
  • DF error
    228.00000
  • t(b)
    -1.04041
  • p(b)
    0.85037
  • t(a)
    2.35164
  • p(a)
    0.00977
  • Lowerbound of 95% confidence interval for beta
    -1.98852
  • Upperbound of 95% confidence interval for beta
    0.61423
  • Lowerbound of 95% confidence interval for alpha
    0.82068
  • Upperbound of 95% confidence interval for alpha
    9.30449
  • Treynor index (mean / b)
    -7.25063
  • Jensen alpha (a)
    5.06259
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.14592
  • SD
    1.86622
  • Sharpe ratio (Glass type estimate)
    1.68572
  • Sharpe ratio (Hedges UMVUE)
    1.68019
  • df
    229.00000
  • t
    1.57942
  • p
    0.05781
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41363
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.78149
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41733
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.77771
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.89930
  • Upside Potential Ratio
    9.91935
  • Upside part of mean
    10.76310
  • Downside part of mean
    -7.61719
  • Upside SD
    1.52580
  • Downside SD
    1.08506
  • N nonnegative terms
    113.00000
  • N negative terms
    117.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    230.00000
  • Mean of predictor
    0.09673
  • Mean of criterion
    3.14592
  • SD of predictor
    0.20126
  • SD of criterion
    1.86622
  • Covariance
    -0.02512
  • r
    -0.06688
  • b (slope, estimate of beta)
    -0.62016
  • a (intercept, estimate of alpha)
    3.20591
  • Mean Square Error
    3.48241
  • DF error
    228.00000
  • t(b)
    -1.01214
  • p(b)
    0.84373
  • t(a)
    1.60891
  • p(a)
    0.05451
  • Lowerbound of 95% confidence interval for beta
    -1.82749
  • Upperbound of 95% confidence interval for beta
    0.58717
  • Lowerbound of 95% confidence interval for alpha
    -0.72034
  • Upperbound of 95% confidence interval for alpha
    7.13217
  • Treynor index (mean / b)
    -5.07273
  • Jensen alpha (a)
    3.20591
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16275
  • Expected Shortfall on VaR
    0.20142
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06253
  • Expected Shortfall on VaR
    0.12611
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    230.00000
  • Minimum
    0.64186
  • Quartile 1
    0.96575
  • Median
    1.00002
  • Quartile 3
    1.04062
  • Maximum
    1.65227
  • Mean of quarter 1
    0.90699
  • Mean of quarter 2
    0.98587
  • Mean of quarter 3
    1.01490
  • Mean of quarter 4
    1.16809
  • Inter Quartile Range
    0.07487
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.04348
  • Mean of outliers low
    0.77718
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.08696
  • Mean of outliers high
    1.33450
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.39704
  • VaR(95%) (moments method)
    0.09621
  • Expected Shortfall (moments method)
    0.18268
  • Extreme Value Index (regression method)
    0.24232
  • VaR(95%) (regression method)
    0.08880
  • Expected Shortfall (regression method)
    0.14252
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.01447
  • Quartile 1
    0.06080
  • Median
    0.23043
  • Quartile 3
    0.28610
  • Maximum
    0.65798
  • Mean of quarter 1
    0.03494
  • Mean of quarter 2
    0.15632
  • Mean of quarter 3
    0.27232
  • Mean of quarter 4
    0.46053
  • Inter Quartile Range
    0.22531
  • 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
    0.07143
  • Mean of outliers high
    0.65798
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.26865
  • VaR(95%) (moments method)
    0.51303
  • Expected Shortfall (moments method)
    0.51902
  • Extreme Value Index (regression method)
    -0.65236
  • VaR(95%) (regression method)
    0.66475
  • Expected Shortfall (regression method)
    0.74001
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    17.33650
  • Compounded annual return (geometric extrapolation)
    22.89890
  • Calmar ratio (compounded annual return / max draw down)
    34.80170
  • Compounded annual return / average of 25% largest draw downs
    49.72280
  • Compounded annual return / Expected Shortfall lognormal
    113.68900
  • 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
    4.07256
  • SD
    2.10856
  • Sharpe ratio (Glass type estimate)
    1.93144
  • Sharpe ratio (Hedges UMVUE)
    1.92028
  • df
    130.00000
  • t
    1.36574
  • p
    0.44053
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85392
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.70954
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86134
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.70190
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.03203
  • Upside Potential Ratio
    11.67780
  • Upside part of mean
    11.79520
  • Downside part of mean
    -7.72262
  • Upside SD
    1.85881
  • Downside SD
    1.01005
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08131
  • Mean of criterion
    4.07256
  • SD of predictor
    0.15757
  • SD of criterion
    2.10856
  • Covariance
    0.03435
  • r
    0.10340
  • b (slope, estimate of beta)
    1.38370
  • a (intercept, estimate of alpha)
    3.96005
  • Mean Square Error
    4.43257
  • DF error
    129.00000
  • t(b)
    1.18074
  • p(b)
    0.43429
  • t(a)
    1.32934
  • p(a)
    0.42616
  • Lowerbound of 95% confidence interval for beta
    -0.93493
  • Upperbound of 95% confidence interval for beta
    3.70233
  • Lowerbound of 95% confidence interval for alpha
    -1.93390
  • Upperbound of 95% confidence interval for alpha
    9.85401
  • Treynor index (mean / b)
    2.94323
  • Jensen alpha (a)
    3.96005
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.08941
  • SD
    1.94768
  • Sharpe ratio (Glass type estimate)
    1.07277
  • Sharpe ratio (Hedges UMVUE)
    1.06657
  • df
    130.00000
  • t
    0.75856
  • p
    0.46681
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.70416
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.84559
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.70827
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.84140
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.84140
  • Upside Potential Ratio
    9.17057
  • Upside part of mean
    10.40570
  • Downside part of mean
    -8.31630
  • Upside SD
    1.57913
  • Downside SD
    1.13468
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06897
  • Mean of criterion
    2.08941
  • SD of predictor
    0.15752
  • SD of criterion
    1.94768
  • Covariance
    0.03018
  • r
    0.09839
  • b (slope, estimate of beta)
    1.21655
  • a (intercept, estimate of alpha)
    2.00550
  • Mean Square Error
    3.78586
  • DF error
    129.00000
  • t(b)
    1.12292
  • p(b)
    0.43747
  • t(a)
    0.72856
  • p(a)
    0.45927
  • VAR (95 Confidence Intrvl)
    0.16300
  • Lowerbound of 95% confidence interval for beta
    -0.92695
  • Upperbound of 95% confidence interval for beta
    3.36005
  • Lowerbound of 95% confidence interval for alpha
    -3.44077
  • Upperbound of 95% confidence interval for alpha
    7.45176
  • Treynor index (mean / b)
    1.71749
  • Jensen alpha (a)
    2.00550
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17300
  • Expected Shortfall on VaR
    0.21278
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06997
  • Expected Shortfall on VaR
    0.13819
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.64186
  • Quartile 1
    0.96625
  • Median
    1.00002
  • Quartile 3
    1.02020
  • Maximum
    1.58531
  • Mean of quarter 1
    0.89743
  • Mean of quarter 2
    0.98578
  • Mean of quarter 3
    1.00848
  • Mean of quarter 4
    1.17069
  • Inter Quartile Range
    0.05396
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.81353
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.27472
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07956
  • VaR(95%) (moments method)
    0.08917
  • Expected Shortfall (moments method)
    0.12908
  • Extreme Value Index (regression method)
    0.05883
  • VaR(95%) (regression method)
    0.10698
  • Expected Shortfall (regression method)
    0.15717
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.02430
  • Quartile 1
    0.05964
  • Median
    0.22128
  • Quartile 3
    0.45601
  • Maximum
    0.65798
  • Mean of quarter 1
    0.02602
  • Mean of quarter 2
    0.15533
  • Mean of quarter 3
    0.28723
  • Mean of quarter 4
    0.58513
  • Inter Quartile Range
    0.39637
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -304718000
  • Max Equity Drawdown (num days)
    113
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.76500
  • Compounded annual return (geometric extrapolation)
    7.30880
  • Calmar ratio (compounded annual return / max draw down)
    11.10790
  • Compounded annual return / average of 25% largest draw downs
    12.49090
  • Compounded annual return / Expected Shortfall lognormal
    34.34890

Strategy Description

This strategy uses order flow from Sierra charts DOM/Footprint and TOS by think or swim software to determine trade executions. Majority of trades from this account are algorithmic earnings trades with a focus on short term swing trades lasting 1-2 weeks. Members will be notified of order flow profit targets/trade sequences via broadcast messages so they can follow along. Only 10% of total account will be dedicated for trades on earnings reports.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-07-18
Suggested Minimum Capital
$80,000
Rank at C2 
#317
# Trades
195
# Profitable
83
% Profitable
42.6%
Correlation S&P500
-0.060
Sharpe Ratio
2.05
Sortino Ratio
4.12
Beta
-0.61
Alpha
1.38
Leverage
16.33 Average
69.17 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.