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

AlphaBets
(141183689)

Created by: BillionsMindset BillionsMindset
Started: 07/2022
Futures
Last trade: 251 days ago
Trading style: Futures Short Term Currencies

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 $500.00 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: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
Currencies
Category: Equity

Currencies

Focuses on currency futures.
177.0%
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.

(50.9%)
Max Drawdown
162
Num Trades
61.1%
Win Trades
2.6 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          +13.3%+24.9%+5.0%+42.2%+30.7%(4.4%)+163.9%
2023+37.5%(12.1%)+23.1%+11.3%+9.3%+5.0%  -    -    -    -    -    -  +90.1%
2024  -    -                                                              0.0

Model Account Details

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

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

Trading Record

This strategy has placed 232 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/3/23 10:14 @WN3 WHEAT LONG 1 624 3/4 6/19 10:22 685 2/4 3.11%
Trade id #144512546
Max drawdown($2,575)
Time5/31/23 0:00
Quant open1
Worst price573 1/4
Drawdown as % of equity-3.11%
$3,030
Includes Typical Broker Commissions trade costs of $8.00
5/4/23 10:19 @ESM3 E-MINI S&P 500 LONG 1 4075.50 5/4 13:06 4085.00 0.79%
Trade id #144525486
Max drawdown($662)
Time5/4/23 12:08
Quant open1
Worst price4062.25
Drawdown as % of equity-0.79%
$467
Includes Typical Broker Commissions trade costs of $8.00
5/4/23 10:19 @NQM3 E-MINI NASDAQ 100 STK IDX LONG 1 13036.20 5/4 11:09 13087.00 0.82%
Trade id #144525498
Max drawdown($689)
Time5/4/23 10:30
Quant open1
Worst price13001.80
Drawdown as % of equity-0.82%
$1,008
Includes Typical Broker Commissions trade costs of $8.00
5/3/23 18:14 @ESM3 E-MINI S&P 500 LONG 1 4086.25 5/3 22:01 4105.50 0.28%
Trade id #144519966
Max drawdown($225)
Time5/3/23 18:20
Quant open1
Worst price4081.75
Drawdown as % of equity-0.28%
$955
Includes Typical Broker Commissions trade costs of $8.00
5/3/23 8:30 QCLM3 CRUDE OIL LONG 4 68.34 5/3 21:12 68.74 17.44%
Trade id #144510751
Max drawdown($14,107)
Time5/3/23 18:04
Quant open3
Worst price63.64
Drawdown as % of equity-17.44%
$1,548
Includes Typical Broker Commissions trade costs of $32.00
5/1/23 10:43 @QIN3 MiNY Silver LONG 1 25.3625 5/2 10:31 25.3625 1.78%
Trade id #144486769
Max drawdown($1,343)
Time5/2/23 9:13
Quant open1
Worst price24.8250
Drawdown as % of equity-1.78%
($8)
Includes Typical Broker Commissions trade costs of $8.00
5/2/23 4:45 CHF/JPY CHF/JPY SHORT 25 153.175 5/2 10:29 152.799 0.25%
Trade id #144497526
Max drawdown($188)
Time5/2/23 8:47
Quant open20
Worst price153.303
Drawdown as % of equity-0.25%
$687
5/2/23 8:07 USD/JPY USD/JPY SHORT 20 137.373 5/2 10:29 136.823 0.4%
Trade id #144498468
Max drawdown($304)
Time5/2/23 8:39
Quant open20
Worst price137.580
Drawdown as % of equity-0.40%
$804
5/2/23 5:32 EUR/JPY EUR/JPY SHORT 25 150.603 5/2 10:27 150.129 0.65%
Trade id #144497882
Max drawdown($492)
Time5/2/23 8:47
Quant open20
Worst price150.938
Drawdown as % of equity-0.65%
$866
4/26/23 12:09 QGCM3 Gold 100 oz LONG 3 1999.1 5/2 10:26 2001.8 6.41%
Trade id #144431677
Max drawdown($5,140)
Time4/27/23 0:00
Quant open3
Worst price1982.0
Drawdown as % of equity-6.41%
$786
Includes Typical Broker Commissions trade costs of $24.00
5/2/23 5:20 GBP/JPY GBP/JPY SHORT 20 171.371 5/2 10:26 170.322 0.45%
Trade id #144497790
Max drawdown($342)
Time5/2/23 8:38
Quant open20
Worst price171.604
Drawdown as % of equity-0.45%
$1,533
5/2/23 5:21 DXMM3 MINI-DAX INDEX LONG 5 15988.4 5/2 8:10 15974.0 0.78%
Trade id #144497807
Max drawdown($585)
Time5/2/23 6:06
Quant open5
Worst price15967.0
Drawdown as % of equity-0.78%
($435)
Includes Typical Broker Commissions trade costs of $40.00
4/25/23 7:34 EUR/NOK EUR/NOK SHORT 15 11.68025 5/2 8:06 11.76710 2.73%
Trade id #144413646
Max drawdown($2,115)
Time4/28/23 0:00
Quant open15
Worst price11.83250
Drawdown as % of equity-2.73%
($1,214)
5/2/23 4:44 USD/MXN USD/MXN LONG 25 17.96627 5/2 8:06 17.94150 0.72%
Trade id #144497519
Max drawdown($534)
Time5/2/23 5:24
Quant open25
Worst price17.92790
Drawdown as % of equity-0.72%
($345)
5/2/23 5:23 EUR/CHF EUR/CHF LONG 20 0.98560 5/2 5:40 0.98536 0.23%
Trade id #144497835
Max drawdown($169)
Time5/2/23 5:30
Quant open20
Worst price0.98484
Drawdown as % of equity-0.23%
($53)
4/28/23 11:08 @NQM3 E-MINI NASDAQ 100 STK IDX LONG 1 13211.50 4/28 12:05 13263.00 0.48%
Trade id #144464223
Max drawdown($365)
Time4/28/23 11:13
Quant open1
Worst price13193.20
Drawdown as % of equity-0.48%
$1,022
Includes Typical Broker Commissions trade costs of $8.00
4/28/23 0:00 USD/JPY USD/JPY SHORT 10 134.404 4/28 2:39 135.406 0.96%
Trade id #144452868
Max drawdown($735)
Time4/28/23 2:39
Quant open10
Worst price135.406
Drawdown as % of equity-0.96%
($740)
4/26/23 9:18 QGCM3 Gold 100 oz LONG 1 2010.8 4/26 12:09 1999.9 1.58%
Trade id #144426920
Max drawdown($1,240)
Time4/26/23 12:06
Quant open1
Worst price1998.4
Drawdown as % of equity-1.58%
($1,098)
Includes Typical Broker Commissions trade costs of $8.00
4/25/23 8:14 QGCM3 Gold 100 oz LONG 2 1988.6 4/25 8:31 1996.9 n/a $1,644
Includes Typical Broker Commissions trade costs of $16.00
4/24/23 12:36 @NQM3 E-MINI NASDAQ 100 STK IDX LONG 2 13009.00 4/24 13:54 13040.00 0.59%
Trade id #144406685
Max drawdown($450)
Time4/24/23 12:48
Quant open2
Worst price12997.80
Drawdown as % of equity-0.59%
$1,224
Includes Typical Broker Commissions trade costs of $16.00
4/24/23 11:35 QGCM3 Gold 100 oz LONG 2 1993.8 4/24 12:40 1996.6 0.38%
Trade id #144405207
Max drawdown($290)
Time4/24/23 11:41
Quant open2
Worst price1992.3
Drawdown as % of equity-0.38%
$554
Includes Typical Broker Commissions trade costs of $16.00
4/24/23 11:18 DXMM3 MINI-DAX INDEX SHORT 2 15998.0 4/24 12:36 15998.0 0.04%
Trade id #144405015
Max drawdown($33)
Time4/24/23 11:21
Quant open2
Worst price16001.0
Drawdown as % of equity-0.04%
($16)
Includes Typical Broker Commissions trade costs of $16.00
4/21/23 12:49 IWM2319Q175 IWM May19'23 175 put LONG 5 2.93 4/24 12:13 2.92 0.41%
Trade id #144388960
Max drawdown($305)
Time4/24/23 10:30
Quant open5
Worst price2.32
Drawdown as % of equity-0.41%
($12)
Includes Typical Broker Commissions trade costs of $7.00
4/21/23 12:17 QQQ2319Q297 QQQ May19'23 297 put LONG 10 1.95 4/24 12:12 2.08 0.36%
Trade id #144388551
Max drawdown($270)
Time4/24/23 9:40
Quant open10
Worst price1.68
Drawdown as % of equity-0.36%
$116
Includes Typical Broker Commissions trade costs of $14.00
4/19/23 8:37 USD/JPY USD/JPY SHORT 10 134.514 4/24 12:12 134.375 0.45%
Trade id #144359036
Max drawdown($340)
Time4/19/23 21:25
Quant open10
Worst price134.971
Drawdown as % of equity-0.45%
$103
4/19/23 8:37 USD/MXN USD/MXN LONG 10 18.11700 4/24 12:12 18.00882 1.01%
Trade id #144359031
Max drawdown($797)
Time4/21/23 0:00
Quant open10
Worst price17.97350
Drawdown as % of equity-1.01%
($601)
4/21/23 14:44 QGCM3 Gold 100 oz LONG 4 1991.6 4/24 10:53 1993.7 1.95%
Trade id #144390275
Max drawdown($1,435)
Time4/24/23 9:51
Quant open2
Worst price1984.4
Drawdown as % of equity-1.95%
$798
Includes Typical Broker Commissions trade costs of $32.00
4/14/23 14:44 QGCM3 Gold 100 oz LONG 19 1994.1 4/21 14:40 1994.7 11.52%
Trade id #144309584
Max drawdown($9,150)
Time4/19/23 0:00
Quant open3
Worst price1980.9
Drawdown as % of equity-11.52%
$898
Includes Typical Broker Commissions trade costs of $152.00
4/21/23 7:09 GBP/AUD GBP/AUD LONG 20 1.85182 4/21 12:27 1.85746 0.3%
Trade id #144383180
Max drawdown($230)
Time4/21/23 8:29
Quant open20
Worst price1.85010
Drawdown as % of equity-0.30%
$754
4/21/23 7:12 GBP/USD GBP/USD LONG 40 1.23871 4/21 10:32 1.24075 1.04%
Trade id #144383188
Max drawdown($800)
Time4/21/23 10:08
Quant open40
Worst price1.23671
Drawdown as % of equity-1.04%
$816

Statistics

  • Strategy began
    7/26/2022
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    574.77
  • Age
    19 months ago
  • What it trades
    Futures, Forex
  • # Trades
    162
  • # Profitable
    99
  • % Profitable
    61.10%
  • Avg trade duration
    3.0 days
  • Max peak-to-valley drawdown
    50.87%
  • drawdown period
    Dec 12, 2022 - Dec 22, 2022
  • Annual Return (Compounded)
    177.0%
  • Avg win
    $1,264
  • Avg loss
    $778.41
  • Model Account Values (Raw)
  • Cash
    $93,621
  • Margin Used
    $0
  • Buying Power
    $93,621
  • Ratios
  • W:L ratio
    2.55:1
  • Sharpe Ratio
    1.63
  • Sortino Ratio
    3.34
  • Calmar Ratio
    12.458
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    374.72%
  • Correlation to SP500
    0.19450
  • Return Percent SP500 (cumu) during strategy life
    29.78%
  • Return Statistics
  • Ann Return (w trading costs)
    177.0%
  • Slump
  • Current Slump as Pcnt Equity
    0.10%
  • Instruments
  • Percent Trades Futures
    0.69%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.43%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.770%
  • Instruments
  • Percent Trades Options
    0.07%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.24%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    187.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    75.00%
  • Chance of 20% account loss
    49.00%
  • Chance of 30% account loss
    38.00%
  • Chance of 40% account loss
    20.50%
  • Chance of 60% account loss (Monte Carlo)
    2.00%
  • 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
    0.24%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    3.50%
  • Popularity
  • Popularity (Today)
    421
  • Popularity (Last 6 weeks)
    683
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    360
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $778
  • Avg Win
    $1,264
  • Sum Trade PL (losers)
    $49,040.000
  • Age
  • Num Months filled monthly returns table
    20
  • Win / Loss
  • Sum Trade PL (winners)
    $125,165.000
  • # Winners
    99
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    63
  • % Winners
    61.1%
  • Frequency
  • Avg Position Time (mins)
    4380.28
  • Avg Position Time (hrs)
    73.00
  • Avg Trade Length
    3.0 days
  • Last Trade Ago
    246
  • Leverage
  • Daily leverage (average)
    11.17
  • Daily leverage (max)
    84.13
  • Regression
  • Alpha
    0.30
  • Beta
    0.71
  • Treynor Index
    0.47
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.29
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    2.773
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.948
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.612
  • Hold-and-Hope Ratio
    0.358
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.97980
  • SD
    0.69357
  • Sharpe ratio (Glass type estimate)
    2.85449
  • Sharpe ratio (Hedges UMVUE)
    2.65456
  • df
    11.00000
  • t
    2.85449
  • p
    0.00784
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.52066
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.09442
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40247
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.90664
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.88370
  • Upside Potential Ratio
    14.19470
  • Upside part of mean
    2.18126
  • Downside part of mean
    -0.20146
  • Upside SD
    0.86254
  • Downside SD
    0.15367
  • N nonnegative terms
    9.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.19208
  • Mean of criterion
    1.97980
  • SD of predictor
    0.20485
  • SD of criterion
    0.69357
  • Covariance
    0.06197
  • r
    0.43616
  • b (slope, estimate of beta)
    1.47672
  • a (intercept, estimate of alpha)
    1.69615
  • Mean Square Error
    0.42849
  • DF error
    10.00000
  • t(b)
    1.53272
  • p(b)
    0.07817
  • t(a)
    2.49342
  • p(a)
    0.01590
  • Lowerbound of 95% confidence interval for beta
    -0.67002
  • Upperbound of 95% confidence interval for beta
    3.62346
  • Lowerbound of 95% confidence interval for alpha
    0.18046
  • Upperbound of 95% confidence interval for alpha
    3.21183
  • Treynor index (mean / b)
    1.34067
  • Jensen alpha (a)
    1.69615
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.66451
  • SD
    0.60053
  • Sharpe ratio (Glass type estimate)
    2.77175
  • Sharpe ratio (Hedges UMVUE)
    2.57761
  • df
    11.00000
  • t
    2.77175
  • p
    0.00909
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45593
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.99498
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34119
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.81404
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.12380
  • Upside Potential Ratio
    11.42470
  • Upside part of mean
    1.87840
  • Downside part of mean
    -0.21389
  • Upside SD
    0.73105
  • Downside SD
    0.16442
  • N nonnegative terms
    9.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.17050
  • Mean of criterion
    1.66451
  • SD of predictor
    0.20987
  • SD of criterion
    0.60053
  • Covariance
    0.05333
  • r
    0.42313
  • b (slope, estimate of beta)
    1.21078
  • a (intercept, estimate of alpha)
    1.45807
  • Mean Square Error
    0.32567
  • DF error
    10.00000
  • t(b)
    1.47679
  • p(b)
    0.08526
  • t(a)
    2.48161
  • p(a)
    0.01623
  • Lowerbound of 95% confidence interval for beta
    -0.61601
  • Upperbound of 95% confidence interval for beta
    3.03756
  • Lowerbound of 95% confidence interval for alpha
    0.14893
  • Upperbound of 95% confidence interval for alpha
    2.76721
  • Treynor index (mean / b)
    1.37475
  • Jensen alpha (a)
    1.45807
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13622
  • Expected Shortfall on VaR
    0.19496
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02246
  • Expected Shortfall on VaR
    0.05527
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.85928
  • Quartile 1
    1.03010
  • Median
    1.11111
  • Quartile 3
    1.35110
  • Maximum
    1.44820
  • Mean of quarter 1
    0.93518
  • Mean of quarter 2
    1.06273
  • Mean of quarter 3
    1.25482
  • Mean of quarter 4
    1.41652
  • Inter Quartile Range
    0.32100
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.30578
  • VaR(95%) (regression method)
    0.14866
  • Expected Shortfall (regression method)
    0.20704
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.05375
  • Quartile 1
    0.07549
  • Median
    0.09724
  • Quartile 3
    0.11898
  • Maximum
    0.14072
  • Mean of quarter 1
    0.05375
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14072
  • Inter Quartile Range
    0.04349
  • 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)
    4.43262
  • Compounded annual return (geometric extrapolation)
    4.43262
  • Calmar ratio (compounded annual return / max draw down)
    31.49930
  • Compounded annual return / average of 25% largest draw downs
    31.49930
  • Compounded annual return / Expected Shortfall lognormal
    22.73570
  • 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
    1.82891
  • SD
    0.71774
  • Sharpe ratio (Glass type estimate)
    2.54813
  • Sharpe ratio (Hedges UMVUE)
    2.54115
  • df
    274.00000
  • t
    2.61058
  • p
    0.00477
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.62094
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.47081
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61628
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.46602
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.31894
  • Upside Potential Ratio
    11.02670
  • Upside part of mean
    3.79152
  • Downside part of mean
    -1.96261
  • Upside SD
    0.63861
  • Downside SD
    0.34385
  • N nonnegative terms
    116.00000
  • N negative terms
    159.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    275.00000
  • Mean of predictor
    0.22126
  • Mean of criterion
    1.82891
  • SD of predictor
    0.21156
  • SD of criterion
    0.71774
  • Covariance
    0.03043
  • r
    0.20038
  • b (slope, estimate of beta)
    0.67979
  • a (intercept, estimate of alpha)
    1.67800
  • Mean Square Error
    0.49628
  • DF error
    273.00000
  • t(b)
    3.37929
  • p(b)
    0.00042
  • t(a)
    2.43592
  • p(a)
    0.00775
  • Lowerbound of 95% confidence interval for beta
    0.28376
  • Upperbound of 95% confidence interval for beta
    1.07582
  • Lowerbound of 95% confidence interval for alpha
    0.32195
  • Upperbound of 95% confidence interval for alpha
    3.03505
  • Treynor index (mean / b)
    2.69040
  • Jensen alpha (a)
    1.67850
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.58451
  • SD
    0.68164
  • Sharpe ratio (Glass type estimate)
    2.32454
  • Sharpe ratio (Hedges UMVUE)
    2.31817
  • df
    274.00000
  • t
    2.38151
  • p
    0.00896
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39950
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.24541
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39527
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.24106
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.36514
  • Upside Potential Ratio
    9.94632
  • Upside part of mean
    3.61043
  • Downside part of mean
    -2.02592
  • Upside SD
    0.58376
  • Downside SD
    0.36299
  • N nonnegative terms
    116.00000
  • N negative terms
    159.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    275.00000
  • Mean of predictor
    0.19900
  • Mean of criterion
    1.58451
  • SD of predictor
    0.21055
  • SD of criterion
    0.68164
  • Covariance
    0.02983
  • r
    0.20785
  • b (slope, estimate of beta)
    0.67290
  • a (intercept, estimate of alpha)
    1.45060
  • Mean Square Error
    0.44620
  • DF error
    273.00000
  • t(b)
    3.51089
  • p(b)
    0.00026
  • t(a)
    2.22105
  • p(a)
    0.01358
  • Lowerbound of 95% confidence interval for beta
    0.29558
  • Upperbound of 95% confidence interval for beta
    1.05021
  • Lowerbound of 95% confidence interval for alpha
    0.16482
  • Upperbound of 95% confidence interval for alpha
    2.73638
  • Treynor index (mean / b)
    2.35476
  • Jensen alpha (a)
    1.45060
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06126
  • Expected Shortfall on VaR
    0.07753
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01853
  • Expected Shortfall on VaR
    0.03993
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    275.00000
  • Minimum
    0.84033
  • Quartile 1
    0.99498
  • Median
    1.00000
  • Quartile 3
    1.01143
  • Maximum
    1.33957
  • Mean of quarter 1
    0.97123
  • Mean of quarter 2
    0.99916
  • Mean of quarter 3
    1.00350
  • Mean of quarter 4
    1.05440
  • Inter Quartile Range
    0.01645
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.08364
  • Mean of outliers low
    0.93916
  • Number of outliers high
    33.00000
  • Percentage of outliers high
    0.12000
  • Mean of outliers high
    1.08751
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.64621
  • VaR(95%) (moments method)
    0.02413
  • Expected Shortfall (moments method)
    0.07816
  • Extreme Value Index (regression method)
    0.20756
  • VaR(95%) (regression method)
    0.02510
  • Expected Shortfall (regression method)
    0.04356
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00135
  • Quartile 1
    0.00712
  • Median
    0.02389
  • Quartile 3
    0.08676
  • Maximum
    0.32229
  • Mean of quarter 1
    0.00396
  • Mean of quarter 2
    0.01590
  • Mean of quarter 3
    0.06158
  • Mean of quarter 4
    0.22193
  • Inter Quartile Range
    0.07965
  • 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
    0.11765
  • Mean of outliers high
    0.28466
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.18210
  • VaR(95%) (moments method)
    0.19501
  • Expected Shortfall (moments method)
    0.19763
  • Extreme Value Index (regression method)
    -0.65142
  • VaR(95%) (regression method)
    0.31176
  • Expected Shortfall (regression method)
    0.35493
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    4.22308
  • Compounded annual return (geometric extrapolation)
    4.01491
  • Calmar ratio (compounded annual return / max draw down)
    12.45760
  • Compounded annual return / average of 25% largest draw downs
    18.09090
  • Compounded annual return / Expected Shortfall lognormal
    51.78790
  • 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
    0.79228
  • SD
    0.37472
  • Sharpe ratio (Glass type estimate)
    2.11434
  • Sharpe ratio (Hedges UMVUE)
    2.10212
  • df
    130.00000
  • t
    1.49507
  • p
    0.43499
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67335
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.89404
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68144
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.88568
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.11589
  • Upside Potential Ratio
    9.97659
  • Upside part of mean
    1.92043
  • Downside part of mean
    -1.12815
  • Upside SD
    0.32355
  • Downside SD
    0.19249
  • N nonnegative terms
    44.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35977
  • Mean of criterion
    0.79228
  • SD of predictor
    0.19386
  • SD of criterion
    0.37472
  • Covariance
    -0.00372
  • r
    -0.05126
  • b (slope, estimate of beta)
    -0.09909
  • a (intercept, estimate of alpha)
    0.82793
  • Mean Square Error
    0.14113
  • DF error
    129.00000
  • t(b)
    -0.58301
  • p(b)
    0.53262
  • t(a)
    1.54814
  • p(a)
    0.41428
  • Lowerbound of 95% confidence interval for beta
    -0.43536
  • Upperbound of 95% confidence interval for beta
    0.23718
  • Lowerbound of 95% confidence interval for alpha
    -0.23016
  • Upperbound of 95% confidence interval for alpha
    1.88602
  • Treynor index (mean / b)
    -7.99577
  • Jensen alpha (a)
    0.82793
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72332
  • SD
    0.36733
  • Sharpe ratio (Glass type estimate)
    1.96912
  • Sharpe ratio (Hedges UMVUE)
    1.95773
  • df
    130.00000
  • t
    1.39238
  • p
    0.43939
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81664
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.74749
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82427
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.73974
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.66769
  • Upside Potential Ratio
    9.48448
  • Upside part of mean
    1.87048
  • Downside part of mean
    -1.14716
  • Upside SD
    0.31146
  • Downside SD
    0.19722
  • N nonnegative terms
    44.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34107
  • Mean of criterion
    0.72332
  • SD of predictor
    0.19218
  • SD of criterion
    0.36733
  • Covariance
    -0.00344
  • r
    -0.04878
  • b (slope, estimate of beta)
    -0.09323
  • a (intercept, estimate of alpha)
    0.75512
  • Mean Square Error
    0.13566
  • DF error
    129.00000
  • t(b)
    -0.55465
  • p(b)
    0.53104
  • t(a)
    1.44101
  • p(a)
    0.42008
  • VAR (95 Confidence Intrvl)
    0.06100
  • Lowerbound of 95% confidence interval for beta
    -0.42580
  • Upperbound of 95% confidence interval for beta
    0.23934
  • Lowerbound of 95% confidence interval for alpha
    -0.28167
  • Upperbound of 95% confidence interval for alpha
    1.79191
  • Treynor index (mean / b)
    -7.75846
  • Jensen alpha (a)
    0.75512
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03398
  • Expected Shortfall on VaR
    0.04306
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01166
  • Expected Shortfall on VaR
    0.02457
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93400
  • Quartile 1
    0.99784
  • Median
    1.00000
  • Quartile 3
    1.00403
  • Maximum
    1.11764
  • Mean of quarter 1
    0.98331
  • Mean of quarter 2
    0.99987
  • Mean of quarter 3
    1.00059
  • Mean of quarter 4
    1.02867
  • Inter Quartile Range
    0.00619
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.12214
  • Mean of outliers low
    0.97158
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.16031
  • Mean of outliers high
    1.04077
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54864
  • VaR(95%) (moments method)
    0.01184
  • Expected Shortfall (moments method)
    0.03158
  • Extreme Value Index (regression method)
    0.30280
  • VaR(95%) (regression method)
    0.01710
  • Expected Shortfall (regression method)
    0.03366
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00240
  • Quartile 1
    0.01195
  • Median
    0.04468
  • Quartile 3
    0.08912
  • Maximum
    0.13280
  • Mean of quarter 1
    0.00287
  • Mean of quarter 2
    0.03781
  • Mean of quarter 3
    0.05156
  • Mean of quarter 4
    0.11722
  • Inter Quartile Range
    0.07717
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -468031000
  • Max Equity Drawdown (num days)
    10
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.91177
  • Compounded annual return (geometric extrapolation)
    1.11961
  • Calmar ratio (compounded annual return / max draw down)
    8.43079
  • Compounded annual return / average of 25% largest draw downs
    9.55147
  • Compounded annual return / Expected Shortfall lognormal
    26.00090

Strategy Description

Summary Statistics

Strategy began
2022-07-26
Suggested Minimum Capital
$80,000
# Trades
162
# Profitable
99
% Profitable
61.1%
Correlation S&P500
0.195
Sharpe Ratio
1.63
Sortino Ratio
3.34
Beta
0.71
Alpha
0.30
Leverage
11.17 Average
84.13 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.