Collective2 Collective2
Featured Strategy Income Trades +17.3% Cumul. Return since Feb 16, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Algebra Crypto
(143014686)

Created by: Traderkhved Traderkhved
Started: 12/2022
Stocks
Last trade: 501 days ago
Trading style: Equity Non-hedged Equity

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 $199.00 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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
-73.7%
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.

(76.6%)
Max Drawdown
35
Num Trades
80.0%
Win Trades
0.6 : 1
Profit Factor
20.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                             +4.9%+4.9%
2023+53.0%+3.0%+3.0%(16.2%)+15.5%(70%)(1.7%)  -    -    -    -    -  (53.7%)
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.

System developer has asked us to delay this information by 48 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/12/23 14:39 COIN COINBASE GLOBAL INC. CLASS A SHORT 900 50.61 7/3 10:55 70.94 85.58%
Trade id #144900560
Max drawdown($17,292)
Time6/27/23 0:00
Quant open875
Worst price70.37
Drawdown as % of equity-85.58%
 ($18,305)
Includes Typical Broker Commissions trade costs of $11.50
5/2/23 15:41 MSTR MICROSTRATEGY LONG 6 329.99 6/23 13:23 329.77 1.4%
Trade id #144506308
Max drawdown($383)
Time6/15/23 0:00
Quant open6
Worst price266.00
Drawdown as % of equity-1.40%
 ($1)
Includes Typical Broker Commissions trade costs of $0.12
1/23/23 9:37 MOGO MOGO INC. LONG 2,000 0.80 6/23 13:23 0.69 1.55%
Trade id #143300490
Max drawdown($564)
Time3/10/23 0:00
Quant open2,000
Worst price0.52
Drawdown as % of equity-1.55%
 ($224)
Includes Typical Broker Commissions trade costs of $5.00
1/9/23 12:00 SQ BLOCK INC LONG 55 69.79 6/21 11:31 65.42 2.31%
Trade id #143148935
Max drawdown($810)
Time5/15/23 0:00
Quant open55
Worst price55.05
Drawdown as % of equity-2.31%
 ($241)
Includes Typical Broker Commissions trade costs of $1.10
5/31/23 11:32 COIN COINBASE GLOBAL INC. CLASS A LONG 900 60.77 6/12 11:55 50.55 34.37%
Trade id #144790935
Max drawdown($12,910)
Time6/6/23 0:00
Quant open900
Worst price46.43
Drawdown as % of equity-34.37%
 ($9,210)
Includes Typical Broker Commissions trade costs of $8.00
5/26/23 9:32 COIN COINBASE GLOBAL INC. CLASS A LONG 600 57.34 5/31 9:32 60.25 1.13%
Trade id #144753883
Max drawdown($426)
Time5/26/23 9:48
Quant open600
Worst price56.63
Drawdown as % of equity-1.13%
 $1,741
Includes Typical Broker Commissions trade costs of $5.00
1/9/23 12:01 PYPL PAYPAL HOLDINGS CORP LONG 50 77.95 5/25 9:49 60.72 2.43%
Trade id #143148943
Max drawdown($877)
Time5/17/23 0:00
Quant open50
Worst price60.40
Drawdown as % of equity-2.43%
 ($863)
Includes Typical Broker Commissions trade costs of $1.00
1/23/23 9:36 SICP SILVERGATE CAPITAL CORP LONG 100 14.10 5/23 10:58 0.98 3.81%
Trade id #143300466
Max drawdown($1,408)
Time5/12/23 0:00
Quant open100
Worst price0.02
Drawdown as % of equity-3.81%
 ($1,314)
Includes Typical Broker Commissions trade costs of $2.00
1/9/23 12:01 SNAP SNAP INC LONG 385 9.47 5/23 10:55 9.82 1.94%
Trade id #143148940
Max drawdown($619)
Time5/4/23 0:00
Quant open385
Worst price7.86
Drawdown as % of equity-1.94%
 $127
Includes Typical Broker Commissions trade costs of $7.70
5/2/23 15:40 RIOT RIOT BLOCKCHAIN INC. COMMON STOCK LONG 250 11.95 5/23 10:55 12.06 1.18%
Trade id #144506297
Max drawdown($437)
Time5/8/23 0:00
Quant open250
Worst price10.20
Drawdown as % of equity-1.18%
 $23
Includes Typical Broker Commissions trade costs of $5.00
5/2/23 15:43 MARA MARATHON DIGITAL HOLDINGS INC LONG 190 9.63 5/23 10:55 10.01 0.57%
Trade id #144506346
Max drawdown($210)
Time5/12/23 0:00
Quant open190
Worst price8.52
Drawdown as % of equity-0.57%
 $68
Includes Typical Broker Commissions trade costs of $3.80
5/17/23 12:59 COIN COINBASE GLOBAL INC. CLASS A LONG 455 60.42 5/23 10:55 61.66 5.82%
Trade id #144653037
Max drawdown($2,056)
Time5/22/23 0:00
Quant open455
Worst price55.90
Drawdown as % of equity-5.82%
 $555
Includes Typical Broker Commissions trade costs of $9.10
5/2/23 15:40 COIN COINBASE GLOBAL INC. CLASS A LONG 455 51.84 5/16 9:31 59.44 5.97%
Trade id #144506279
Max drawdown($1,906)
Time5/4/23 0:00
Quant open455
Worst price47.65
Drawdown as % of equity-5.97%
 $3,449
Includes Typical Broker Commissions trade costs of $9.10
1/23/23 9:38 MSTR MICROSTRATEGY LONG 6 239.99 5/1 10:49 313.00 0.85%
Trade id #143300569
Max drawdown($310)
Time3/10/23 0:00
Quant open6
Worst price188.30
Drawdown as % of equity-0.85%
 $438
Includes Typical Broker Commissions trade costs of $0.12
1/23/23 9:35 RIOT RIOT BLOCKCHAIN INC. COMMON STOCK LONG 250 6.12 5/1 10:49 11.01 0.66%
Trade id #143300446
Max drawdown($240)
Time3/10/23 0:00
Quant open250
Worst price5.16
Drawdown as % of equity-0.66%
 $1,218
Includes Typical Broker Commissions trade costs of $5.00
1/23/23 9:34 MARA MARATHON DIGITAL HOLDINGS INC LONG 190 8.02 5/1 10:49 9.36 1.51%
Trade id #143300410
Max drawdown($549)
Time3/10/23 0:00
Quant open190
Worst price5.13
Drawdown as % of equity-1.51%
 $251
Includes Typical Broker Commissions trade costs of $3.80
1/13/23 9:37 COIN COINBASE GLOBAL INC. CLASS A LONG 455 47.34 5/1 10:49 52.07 0.88%
Trade id #143209836
Max drawdown($295)
Time1/13/23 9:44
Quant open455
Worst price46.69
Drawdown as % of equity-0.88%
 $2,143
Includes Typical Broker Commissions trade costs of $9.10
1/12/23 13:05 @MBTF3 MICRO BITCOIN LONG 3 18885 1/17 0:07 21240 0.18%
Trade id #143197685
Max drawdown($57)
Time1/12/23 13:31
Quant open3
Worst price18695
Drawdown as % of equity-0.18%
 $683
Includes Typical Broker Commissions trade costs of $24.00
1/12/23 13:05 COIN COINBASE GLOBAL INC. CLASS A LONG 455 45.45 1/13 9:37 47.21 0.87%
Trade id #143197673
Max drawdown($275)
Time1/12/23 13:32
Quant open455
Worst price44.84
Drawdown as % of equity-0.87%
 $792
Includes Typical Broker Commissions trade costs of $9.10
1/12/23 2:48 @MBTF3 MICRO BITCOIN LONG 3 18190 1/12 13:05 18880 0.2%
Trade id #143187400
Max drawdown($64)
Time1/12/23 9:54
Quant open3
Worst price17975
Drawdown as % of equity-0.20%
 $183
Includes Typical Broker Commissions trade costs of $24.00
1/9/23 12:01 COIN COINBASE GLOBAL INC. CLASS A LONG 455 38.84 1/12 13:05 45.47 1.77%
Trade id #143148946
Max drawdown($500)
Time1/10/23 0:00
Quant open455
Worst price37.74
Drawdown as % of equity-1.77%
 $3,008
Includes Typical Broker Commissions trade costs of $9.10
1/11/23 0:13 @MBTF3 MICRO BITCOIN LONG 3 17450 1/12 2:48 18180 0.11%
Trade id #143171134
Max drawdown($33)
Time1/11/23 10:56
Quant open3
Worst price17340
Drawdown as % of equity-0.11%
 $195
Includes Typical Broker Commissions trade costs of $24.00
1/9/23 1:28 @MBTF3 MICRO BITCOIN LONG 2 17240 1/11 0:06 17425 0.08%
Trade id #143140722
Max drawdown($23)
Time1/9/23 18:10
Quant open2
Worst price17125
Drawdown as % of equity-0.08%
 $21
Includes Typical Broker Commissions trade costs of $16.00
1/4/23 11:22 COIN COINBASE GLOBAL INC. CLASS A LONG 455 37.48 1/9 12:01 38.80 10.44%
Trade id #143089256
Max drawdown($2,698)
Time1/6/23 0:00
Quant open455
Worst price31.55
Drawdown as % of equity-10.44%
 $592
Includes Typical Broker Commissions trade costs of $9.10
1/3/23 9:32 PYPL PAYPAL HOLDINGS CORP LONG 50 74.39 1/9 12:01 77.93 0.16%
Trade id #143071395
Max drawdown($41)
Time1/3/23 9:53
Quant open50
Worst price73.56
Drawdown as % of equity-0.16%
 $176
Includes Typical Broker Commissions trade costs of $1.00
1/3/23 9:32 SNAP SNAP INC LONG 385 9.20 1/9 12:00 9.47 0.77%
Trade id #143071388
Max drawdown($196)
Time1/3/23 12:47
Quant open385
Worst price8.69
Drawdown as % of equity-0.77%
 $96
Includes Typical Broker Commissions trade costs of $7.70
1/3/23 9:32 SQ BLOCK INC LONG 55 67.18 1/9 12:00 69.78 1%
Trade id #143071371
Max drawdown($257)
Time1/3/23 12:51
Quant open55
Worst price62.50
Drawdown as % of equity-1.00%
 $142
Includes Typical Broker Commissions trade costs of $1.10
1/3/23 3:52 @MBTF3 MICRO BITCOIN LONG 2 16685 1/9 1:28 17230 0.12%
Trade id #143068536
Max drawdown($32)
Time1/3/23 12:46
Quant open2
Worst price16525
Drawdown as % of equity-0.12%
 $93
Includes Typical Broker Commissions trade costs of $16.00
1/3/23 9:33 COIN COINBASE GLOBAL INC. CLASS A LONG 455 36.36 1/4 11:22 37.52 5.3%
Trade id #143071414
Max drawdown($1,360)
Time1/3/23 13:21
Quant open455
Worst price33.37
Drawdown as % of equity-5.30%
 $519
Includes Typical Broker Commissions trade costs of $9.10
12/29/22 10:04 COIN COINBASE GLOBAL INC. CLASS A LONG 455 34.54 1/3/23 9:33 36.25 1.6%
Trade id #143032187
Max drawdown($414)
Time12/30/22 0:00
Quant open455
Worst price33.63
Drawdown as % of equity-1.60%
 $769
Includes Typical Broker Commissions trade costs of $9.10
Next

Statistics

  • Strategy began
    12/28/2022
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    681.31
  • Age
    23 months ago
  • What it trades
    Stocks
  • # Trades
    35
  • # Profitable
    28
  • % Profitable
    80.00%
  • Avg trade duration
    38.0 days
  • Max peak-to-valley drawdown
    76.63%
  • drawdown period
    March 21, 2023 - June 29, 2023
  • Cumul. Return
    -51.4%
  • Avg win
    $684.79
  • Avg loss
    $4,304
  • Model Account Values (Raw)
  • Cash
    $14,041
  • Margin Used
    $0
  • Buying Power
    $14,041
  • Ratios
  • W:L ratio
    0.64:1
  • Sharpe Ratio
    -0.55
  • Sortino Ratio
    -0.68
  • Calmar Ratio
    -0.786
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -67.74%
  • Correlation to SP500
    0.12410
  • Return Percent SP500 (cumu) during strategy life
    55.18%
  • Return Statistics
  • Ann Return (w trading costs)
    -73.7%
  • Slump
  • Current Slump as Pcnt Equity
    314.90%
  • Instruments
  • Percent Trades Futures
    0.14%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.88%
  • 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)
    -0.514%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.86%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -26.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    20.00%
  • Chance of 70% account loss (Monte Carlo)
    4.00%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    67.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    694
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    281
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $4,304
  • Avg Win
    $685
  • Sum Trade PL (losers)
    $30,129.000
  • Age
  • Num Months filled monthly returns table
    24
  • Win / Loss
  • Sum Trade PL (winners)
    $19,174.000
  • # Winners
    28
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    7
  • % Winners
    80.0%
  • Frequency
  • Avg Position Time (mins)
    54668.60
  • Avg Position Time (hrs)
    911.14
  • Avg Trade Length
    38.0 days
  • Last Trade Ago
    494
  • Leverage
  • Daily leverage (average)
    1.16
  • Daily leverage (max)
    2.52
  • Regression
  • Alpha
    -0.11
  • Beta
    0.43
  • Treynor Index
    -0.19
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -9.90
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.19
  • Avg(MAE) / Avg(PL) - All trades
    -4.387
  • 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
    0.86
  • Avg(MAE) / Avg(PL) - Winning trades
    0.720
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.137
  • Hold-and-Hope Ratio
    -0.228
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05180
  • SD
    1.40516
  • Sharpe ratio (Glass type estimate)
    -0.03686
  • Sharpe ratio (Hedges UMVUE)
    -0.03099
  • df
    5.00000
  • t
    -0.02607
  • p
    0.50989
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.80707
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.73673
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.80286
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74088
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.05508
  • Upside Potential Ratio
    1.59008
  • Upside part of mean
    1.49533
  • Downside part of mean
    -1.54713
  • Upside SD
    0.87249
  • Downside SD
    0.94041
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.28193
  • Mean of criterion
    -0.05180
  • SD of predictor
    0.11781
  • SD of criterion
    1.40516
  • Covariance
    0.03352
  • r
    0.20250
  • b (slope, estimate of beta)
    2.41531
  • a (intercept, estimate of alpha)
    -0.73276
  • Mean Square Error
    2.36689
  • DF error
    4.00000
  • t(b)
    0.41356
  • p(b)
    0.35020
  • t(a)
    -0.26855
  • p(a)
    0.59922
  • Lowerbound of 95% confidence interval for beta
    -13.80310
  • Upperbound of 95% confidence interval for beta
    18.63370
  • Lowerbound of 95% confidence interval for alpha
    -8.30992
  • Upperbound of 95% confidence interval for alpha
    6.84441
  • Treynor index (mean / b)
    -0.02145
  • Jensen alpha (a)
    -0.73276
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.15139
  • SD
    1.77524
  • Sharpe ratio (Glass type estimate)
    -0.64859
  • Sharpe ratio (Hedges UMVUE)
    -0.54530
  • df
    5.00000
  • t
    -0.45862
  • p
    0.66712
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.41706
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18142
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.33763
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24704
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.76447
  • Upside Potential Ratio
    0.80810
  • Upside part of mean
    1.21710
  • Downside part of mean
    -2.36850
  • Upside SD
    0.68431
  • Downside SD
    1.50613
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.27253
  • Mean of criterion
    -1.15139
  • SD of predictor
    0.11495
  • SD of criterion
    1.77524
  • Covariance
    -0.00300
  • r
    -0.01472
  • b (slope, estimate of beta)
    -0.22737
  • a (intercept, estimate of alpha)
    -1.08943
  • Mean Square Error
    3.93847
  • DF error
    4.00000
  • t(b)
    -0.02945
  • p(b)
    0.51104
  • t(a)
    -0.31057
  • p(a)
    0.61418
  • Lowerbound of 95% confidence interval for beta
    -21.66920
  • Upperbound of 95% confidence interval for beta
    21.21440
  • Lowerbound of 95% confidence interval for alpha
    -10.83070
  • Upperbound of 95% confidence interval for alpha
    8.65182
  • Treynor index (mean / b)
    5.06407
  • Jensen alpha (a)
    -1.08943
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.60894
  • Expected Shortfall on VaR
    0.67904
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.22519
  • Expected Shortfall on VaR
    0.47773
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.34816
  • Quartile 1
    0.91653
  • Median
    1.02728
  • Quartile 3
    1.07732
  • Maximum
    1.61173
  • Mean of quarter 1
    0.61555
  • Mean of quarter 2
    1.01734
  • Mean of quarter 3
    1.03722
  • Mean of quarter 4
    1.35121
  • Inter Quartile Range
    0.16079
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.16667
  • Mean of outliers low
    0.34816
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    1.61173
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.66472
  • Quartile 1
    0.66472
  • Median
    0.66472
  • Quartile 3
    0.66472
  • Maximum
    0.66472
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.85957
  • Compounded annual return (geometric extrapolation)
    -0.67486
  • Calmar ratio (compounded annual return / max draw down)
    -1.01525
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.99384
  • 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
    -0.76867
  • SD
    0.79985
  • Sharpe ratio (Glass type estimate)
    -0.96102
  • Sharpe ratio (Hedges UMVUE)
    -0.95575
  • df
    137.00000
  • t
    -0.69746
  • p
    0.53785
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.66229
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74369
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.65871
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74721
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.21600
  • Upside Potential Ratio
    6.94541
  • Upside part of mean
    4.39037
  • Downside part of mean
    -5.15904
  • Upside SD
    0.48763
  • Downside SD
    0.63213
  • N nonnegative terms
    65.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    138.00000
  • Mean of predictor
    0.26886
  • Mean of criterion
    -0.76867
  • SD of predictor
    0.14274
  • SD of criterion
    0.79985
  • Covariance
    0.02346
  • r
    0.20546
  • b (slope, estimate of beta)
    1.15127
  • a (intercept, estimate of alpha)
    -0.85400
  • Mean Square Error
    0.61725
  • DF error
    136.00000
  • t(b)
    2.44831
  • p(b)
    0.39727
  • t(a)
    -0.98927
  • p(a)
    0.54226
  • Lowerbound of 95% confidence interval for beta
    0.22136
  • Upperbound of 95% confidence interval for beta
    2.08119
  • Lowerbound of 95% confidence interval for alpha
    -3.23352
  • Upperbound of 95% confidence interval for alpha
    1.07713
  • Treynor index (mean / b)
    -0.66767
  • Jensen alpha (a)
    -1.07820
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.09877
  • SD
    0.82081
  • Sharpe ratio (Glass type estimate)
    -1.33865
  • Sharpe ratio (Hedges UMVUE)
    -1.33131
  • df
    137.00000
  • t
    -0.97153
  • p
    0.55260
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.04148
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.36900
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.03649
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37388
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.63584
  • Upside Potential Ratio
    6.36644
  • Upside part of mean
    4.27625
  • Downside part of mean
    -5.37502
  • Upside SD
    0.47147
  • Downside SD
    0.67169
  • N nonnegative terms
    65.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    138.00000
  • Mean of predictor
    0.25860
  • Mean of criterion
    -1.09877
  • SD of predictor
    0.14254
  • SD of criterion
    0.82081
  • Covariance
    0.02310
  • r
    0.19748
  • b (slope, estimate of beta)
    1.13721
  • a (intercept, estimate of alpha)
    -1.39286
  • Mean Square Error
    0.65221
  • DF error
    136.00000
  • t(b)
    2.34926
  • p(b)
    0.40126
  • t(a)
    -1.24386
  • p(a)
    0.55303
  • Lowerbound of 95% confidence interval for beta
    0.17993
  • Upperbound of 95% confidence interval for beta
    2.09449
  • Lowerbound of 95% confidence interval for alpha
    -3.60731
  • Upperbound of 95% confidence interval for alpha
    0.82159
  • Treynor index (mean / b)
    -0.96620
  • Jensen alpha (a)
    -1.39286
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08388
  • Expected Shortfall on VaR
    0.10293
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04710
  • Expected Shortfall on VaR
    0.08995
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    138.00000
  • Minimum
    0.81589
  • Quartile 1
    0.96903
  • Median
    1.00000
  • Quartile 3
    1.02813
  • Maximum
    1.11802
  • Mean of quarter 1
    0.93466
  • Mean of quarter 2
    0.98757
  • Mean of quarter 3
    1.01336
  • Mean of quarter 4
    1.05329
  • Inter Quartile Range
    0.05910
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.02899
  • Mean of outliers low
    0.84263
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00725
  • Mean of outliers high
    1.11802
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29460
  • VaR(95%) (moments method)
    0.07067
  • Expected Shortfall (moments method)
    0.11482
  • Extreme Value Index (regression method)
    0.22162
  • VaR(95%) (regression method)
    0.06715
  • Expected Shortfall (regression method)
    0.10129
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00919
  • Quartile 1
    0.02788
  • Median
    0.04767
  • Quartile 3
    0.17130
  • Maximum
    0.71725
  • Mean of quarter 1
    0.01030
  • Mean of quarter 2
    0.04601
  • Mean of quarter 3
    0.04979
  • Mean of quarter 4
    0.50503
  • Inter Quartile Range
    0.14342
  • 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
    0.14286
  • Mean of outliers high
    0.71725
  • 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)
    -0.81846
  • Compounded annual return (geometric extrapolation)
    -0.65729
  • Calmar ratio (compounded annual return / max draw down)
    -0.91640
  • Compounded annual return / average of 25% largest draw downs
    -1.30149
  • Compounded annual return / Expected Shortfall lognormal
    -6.38600
  • 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
    -0.93375
  • SD
    0.81357
  • Sharpe ratio (Glass type estimate)
    -1.14772
  • Sharpe ratio (Hedges UMVUE)
    -1.14109
  • df
    130.00000
  • t
    -0.81156
  • p
    0.53550
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.92087
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62977
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.91636
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63418
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.44484
  • Upside Potential Ratio
    6.79027
  • Upside part of mean
    4.38833
  • Downside part of mean
    -5.32208
  • Upside SD
    0.49245
  • Downside SD
    0.64627
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22541
  • Mean of criterion
    -0.93375
  • SD of predictor
    0.13958
  • SD of criterion
    0.81357
  • Covariance
    0.02448
  • r
    0.21555
  • b (slope, estimate of beta)
    1.25632
  • a (intercept, estimate of alpha)
    -1.21693
  • Mean Square Error
    0.63603
  • DF error
    129.00000
  • t(b)
    2.50709
  • p(b)
    0.36385
  • t(a)
    -1.07361
  • p(a)
    0.55982
  • Lowerbound of 95% confidence interval for beta
    0.26487
  • Upperbound of 95% confidence interval for beta
    2.24777
  • Lowerbound of 95% confidence interval for alpha
    -3.45959
  • Upperbound of 95% confidence interval for alpha
    1.02572
  • Treynor index (mean / b)
    -0.74325
  • Jensen alpha (a)
    -1.21693
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.27591
  • SD
    0.83514
  • Sharpe ratio (Glass type estimate)
    -1.52778
  • Sharpe ratio (Hedges UMVUE)
    -1.51895
  • df
    130.00000
  • t
    -1.08031
  • p
    0.54716
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.30290
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.25314
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.29690
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.25900
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.85740
  • Upside Potential Ratio
    6.21899
  • Upside part of mean
    4.27203
  • Downside part of mean
    -5.54794
  • Upside SD
    0.47589
  • Downside SD
    0.68693
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.21564
  • Mean of criterion
    -1.27591
  • SD of predictor
    0.13945
  • SD of criterion
    0.83514
  • Covariance
    0.02410
  • r
    0.20691
  • b (slope, estimate of beta)
    1.23908
  • a (intercept, estimate of alpha)
    -1.54310
  • Mean Square Error
    0.67277
  • DF error
    129.00000
  • t(b)
    2.40196
  • p(b)
    0.36923
  • t(a)
    -1.32421
  • p(a)
    0.57356
  • VAR (95 Confidence Intrvl)
    0.07400
  • Lowerbound of 95% confidence interval for beta
    0.21843
  • Upperbound of 95% confidence interval for beta
    2.25972
  • Lowerbound of 95% confidence interval for alpha
    -3.84867
  • Upperbound of 95% confidence interval for alpha
    0.76247
  • Treynor index (mean / b)
    -1.02973
  • Jensen alpha (a)
    -1.54310
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08583
  • Expected Shortfall on VaR
    0.10516
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04892
  • Expected Shortfall on VaR
    0.09283
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.81589
  • Quartile 1
    0.96847
  • Median
    1.00000
  • Quartile 3
    1.02812
  • Maximum
    1.11802
  • Mean of quarter 1
    0.93279
  • Mean of quarter 2
    0.98679
  • Mean of quarter 3
    1.01295
  • Mean of quarter 4
    1.05413
  • Inter Quartile Range
    0.05965
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.84263
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.11802
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28253
  • VaR(95%) (moments method)
    0.07226
  • Expected Shortfall (moments method)
    0.11613
  • Extreme Value Index (regression method)
    0.21133
  • VaR(95%) (regression method)
    0.06909
  • Expected Shortfall (regression method)
    0.10355
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00919
  • Quartile 1
    0.04767
  • Median
    0.04979
  • Quartile 3
    0.29281
  • Maximum
    0.71725
  • Mean of quarter 1
    0.02843
  • Mean of quarter 2
    0.04979
  • Mean of quarter 3
    0.29281
  • Mean of quarter 4
    0.71725
  • Inter Quartile Range
    0.24514
  • 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
    0.20000
  • Mean of outliers high
    0.71725
  • 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?
    -325657000
  • Max Equity Drawdown (num days)
    100
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.92841
  • Compounded annual return (geometric extrapolation)
    -0.71292
  • Calmar ratio (compounded annual return / max draw down)
    -0.99397
  • Compounded annual return / average of 25% largest draw downs
    -0.99397
  • Compounded annual return / Expected Shortfall lognormal
    -6.77923

Strategy Description

*I have been working with crypto since 2016 and using my experience, I want to introduce you an actively managed strategy based on the Micro Bitcoin Futures, shares and other assets dealing with crypto;
*Classical technical analysis and a proven author's trading system;
*Min leverage;
*High volatility but mathematically optimal combination of risk and reward;
*The best tactic is to join on drawdowns;
*Working timeframes - day, week;
*CONTINUOUSLY FOLLOWING THE STRATEGY MULTIPLIES THE CHANCES OF SUCCESS!
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-12-28
Suggested Minimum Capital
$25,000
# Trades
35
# Profitable
28
% Profitable
80.0%
Correlation S&P500
0.124
Sharpe Ratio
-0.55
Sortino Ratio
-0.68
Beta
0.43
Alpha
-0.11
Leverage
1.16 Average
2.52 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

#PERSONNAME#
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.