Collective2 Collective2
Featured Strategy Lazy Trading ES +44.1% Cumul. Return since Sep 25, 2024 Hypothetical

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Accurate Forex
(144836514)

Created by: Tradermx Tradermx
Started: 06/2023
Forex
Last trade: 346 days ago

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 $200.00 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.

14.0%
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.

(25.0%)
Max Drawdown
153
Num Trades
40.5%
Win Trades
1.1 : 1
Profit Factor
27.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                   +4.0%(1.2%)+18.4%+2.1%(2.7%)+9.4%(8.1%)+21.5%
2024  -    -    -    -    -    -    -  +0.1%  -  (0.1%)  -        (0.1%)

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/11/23 17:55 EUR/JPY EUR/JPY LONG 30 157.342 12/13 13:56 156.559 2.83%
Trade id #146665393
Max drawdown($1,794)
Time12/12/23 0:00
Quant open30
Worst price156.494
Drawdown as % of equity-2.83%
 ($1,624)
12/11/23 17:54 USD/JPY USD/JPY LONG 33 146.167 12/13 13:56 145.107 5.29%
Trade id #146665391
Max drawdown($3,358)
Time12/12/23 0:00
Quant open33
Worst price144.724
Drawdown as % of equity-5.29%
 ($2,419)
12/11/23 17:54 EUR/NZD EUR/NZD LONG 31 1.75913 12/13 13:56 1.76277 3.24%
Trade id #146665389
Max drawdown($2,053)
Time12/12/23 0:00
Quant open31
Worst price1.74850
Drawdown as % of equity-3.24%
 $693
12/11/23 17:54 GBP/NZD GBP/NZD LONG 26 2.05158 12/13 13:56 2.04460 3.07%
Trade id #146665387
Max drawdown($1,949)
Time12/12/23 0:00
Quant open26
Worst price2.03955
Drawdown as % of equity-3.07%
 ($1,115)
12/11/23 17:54 GBP/JPY GBP/JPY LONG 26 183.501 12/13 13:56 181.583 6.05%
Trade id #146665385
Max drawdown($3,698)
Time12/13/23 13:25
Quant open26
Worst price181.484
Drawdown as % of equity-6.05%
 ($3,448)
12/11/23 17:53 EUR/CAD EUR/CAD LONG 31 1.46153 12/11 17:53 1.46107 0.15%
Trade id #146665382
Max drawdown($105)
Time12/11/23 17:53
Quant open31
Worst price1.46107
Drawdown as % of equity-0.15%
 ($105)
12/4/23 17:37 CHF/JPY CHF/JPY SHORT 29 168.620 12/5 22:22 168.338 0.87%
Trade id #146610571
Max drawdown($574)
Time12/4/23 19:01
Quant open29
Worst price168.912
Drawdown as % of equity-0.87%
 $555
12/4/23 17:37 EUR/JPY EUR/JPY SHORT 30 159.420 12/5 22:22 158.990 0.93%
Trade id #146610569
Max drawdown($615)
Time12/4/23 19:01
Quant open30
Worst price159.722
Drawdown as % of equity-0.93%
 $876
12/4/23 17:36 USD/JPY USD/JPY SHORT 33 147.162 12/5 22:22 147.241 0.77%
Trade id #146610567
Max drawdown($526)
Time12/5/23 21:38
Quant open33
Worst price147.397
Drawdown as % of equity-0.77%
 ($177)
12/4/23 17:35 EUR/NZD EUR/NZD SHORT 30 1.75732 12/5 22:22 1.75029 2.33%
Trade id #146610565
Max drawdown($1,503)
Time12/4/23 22:43
Quant open30
Worst price1.76545
Drawdown as % of equity-2.33%
 $1,301
12/4/23 17:35 GBP/JPY GBP/JPY SHORT 26 185.878 12/5 22:21 185.716 0.83%
Trade id #146610563
Max drawdown($545)
Time12/4/23 19:01
Quant open26
Worst price186.187
Drawdown as % of equity-0.83%
 $286
11/27/23 15:47 EUR/NZD EUR/NZD SHORT 30 1.79600 11/29 9:38 1.78350 1.19%
Trade id #146547766
Max drawdown($739)
Time11/28/23 0:00
Quant open30
Worst price1.80001
Drawdown as % of equity-1.19%
 $2,311
11/27/23 15:46 AUD/JPY AUD/JPY LONG 50 98.210 11/29 9:38 97.717 3.13%
Trade id #146547758
Max drawdown($2,127)
Time11/29/23 2:49
Quant open50
Worst price97.582
Drawdown as % of equity-3.13%
 ($1,673)
11/27/23 15:45 GBP/USD GBP/USD LONG 26 1.26304 11/29 9:38 1.26992 1%
Trade id #146547752
Max drawdown($621)
Time11/28/23 0:00
Quant open26
Worst price1.26065
Drawdown as % of equity-1.00%
 $1,789
11/27/23 15:39 EUR/AUD EUR/AUD SHORT 30 1.65805 11/29 9:38 1.65826 0.72%
Trade id #146547693
Max drawdown($474)
Time11/29/23 6:50
Quant open30
Worst price1.66044
Drawdown as % of equity-0.72%
 ($42)
11/27/23 15:39 USD/JPY USD/JPY SHORT 33 148.592 11/29 9:38 147.498 0.86%
Trade id #146547689
Max drawdown($536)
Time11/28/23 0:00
Quant open33
Worst price148.832
Drawdown as % of equity-0.86%
 $2,450
11/27/23 15:39 GBP/NZD GBP/NZD SHORT 26 2.07028 11/27 15:46 2.07041 0.02%
Trade id #146547683
Max drawdown($9)
Time11/27/23 15:45
Quant open26
Worst price2.07034
Drawdown as % of equity-0.02%
 ($21)
11/8/23 15:01 USD/JPY USD/JPY LONG 33 151.049 11/9 17:37 151.282 1%
Trade id #146378844
Max drawdown($613)
Time11/9/23 1:46
Quant open33
Worst price150.768
Drawdown as % of equity-1.00%
 $508
11/8/23 14:58 GBP/JPY GBP/JPY LONG 27 185.548 11/9 8:25 185.140 1.23%
Trade id #146378778
Max drawdown($754)
Time11/9/23 8:25
Quant open27
Worst price185.126
Drawdown as % of equity-1.23%
 ($729)
11/8/23 15:00 EUR/NZD EUR/NZD LONG 31 1.81160 11/8 22:25 1.80760 1.28%
Trade id #146378830
Max drawdown($783)
Time11/8/23 22:25
Quant open31
Worst price1.80734
Drawdown as % of equity-1.28%
 ($736)
11/8/23 14:59 GBP/NZD GBP/NZD LONG 27 2.07881 11/8 21:31 2.07470 1.07%
Trade id #146378792
Max drawdown($680)
Time11/8/23 21:31
Quant open27
Worst price2.07455
Drawdown as % of equity-1.07%
 ($658)
11/8/23 14:59 GBP/AUD GBP/AUD LONG 27 1.91948 11/8 20:34 1.91578 1.05%
Trade id #146378803
Max drawdown($672)
Time11/8/23 20:34
Quant open27
Worst price1.91559
Drawdown as % of equity-1.05%
 ($641)
11/7/23 15:12 NZD/JPY NZD/JPY LONG 55 89.288 11/8 14:58 89.250 1.1%
Trade id #146360219
Max drawdown($670)
Time11/7/23 17:02
Quant open55
Worst price89.104
Drawdown as % of equity-1.10%
 ($138)
11/7/23 15:11 EUR/CAD EUR/CAD LONG 31 1.47111 11/8 14:58 1.47690 0.62%
Trade id #146360209
Max drawdown($379)
Time11/8/23 0:00
Quant open31
Worst price1.46942
Drawdown as % of equity-0.62%
 $1,301
11/7/23 15:11 CHF/JPY CHF/JPY LONG 30 167.077 11/8 14:57 167.854 0.49%
Trade id #146360199
Max drawdown($298)
Time11/7/23 16:59
Quant open30
Worst price166.927
Drawdown as % of equity-0.49%
 $1,544
11/7/23 15:13 GBP/NZD GBP/NZD SHORT 27 2.07067 11/8 10:28 2.07450 1%
Trade id #146360245
Max drawdown($612)
Time11/8/23 10:28
Quant open27
Worst price2.07450
Drawdown as % of equity-1.00%
 ($612)
11/7/23 15:09 GBP/NZD GBP/NZD SHORT 27 2.07070 11/7 15:09 2.07070 n/a $0
11/6/23 20:58 EUR/CAD EUR/CAD LONG 31 1.46789 11/7 14:57 1.47158 0.28%
Trade id #146352511
Max drawdown($168)
Time11/7/23 9:52
Quant open31
Worst price1.46714
Drawdown as % of equity-0.28%
 $818
11/6/23 20:57 CHF/JPY CHF/JPY LONG 30 166.901 11/7 14:57 167.103 0.26%
Trade id #146352507
Max drawdown($155)
Time11/7/23 1:18
Quant open30
Worst price166.823
Drawdown as % of equity-0.26%
 $392
10/10/23 16:23 USD/JPY USD/JPY SHORT 33 148.663 10/11 16:08 149.171 2.36%
Trade id #146093500
Max drawdown($1,460)
Time10/11/23 0:00
Quant open33
Worst price149.323
Drawdown as % of equity-2.36%
 ($1,124)
Next

Statistics

  • Strategy began
    6/5/2023
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    535.46
  • Age
    18 months ago
  • What it trades
    Forex
  • # Trades
    153
  • # Profitable
    62
  • % Profitable
    40.50%
  • Avg trade duration
    1.2 days
  • Max peak-to-valley drawdown
    24.98%
  • drawdown period
    June 22, 2023 - July 06, 2023
  • Annual Return (Compounded)
    14.0%
  • Avg win
    $1,665
  • Avg loss
    $999.76
  • Model Account Values (Raw)
  • Cash
    $62,281
  • Margin Used
    $0
  • Buying Power
    $62,281
  • Ratios
  • W:L ratio
    1.13:1
  • Sharpe Ratio
    0.45
  • Sortino Ratio
    0.76
  • Calmar Ratio
    1.728
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -17.89%
  • Correlation to SP500
    0.01640
  • Return Percent SP500 (cumu) during strategy life
    39.67%
  • Return Statistics
  • Ann Return (w trading costs)
    14.0%
  • Slump
  • Current Slump as Pcnt Equity
    16.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.64%
  • 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)
    0.140%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    65.00%
  • Chance of 20% account loss
    34.50%
  • Chance of 30% account loss
    11.00%
  • Chance of 40% account loss
    1.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,000
  • Avg Win
    $1,665
  • Sum Trade PL (losers)
    $90,978.000
  • Age
  • Num Months filled monthly returns table
    18
  • Win / Loss
  • Sum Trade PL (winners)
    $103,258.000
  • # Winners
    62
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    91
  • % Winners
    40.5%
  • Frequency
  • Avg Position Time (mins)
    1691.98
  • Avg Position Time (hrs)
    28.20
  • Avg Trade Length
    1.2 days
  • Last Trade Ago
    344
  • Leverage
  • Daily leverage (average)
    19.52
  • Daily leverage (max)
    33.72
  • Regression
  • Alpha
    0.04
  • Beta
    0.05
  • Treynor Index
    0.94
  • 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)
    -0.60
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    12.505
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.330
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.305
  • Hold-and-Hope Ratio
    0.080
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33212
  • SD
    0.22291
  • Sharpe ratio (Glass type estimate)
    1.48989
  • Sharpe ratio (Hedges UMVUE)
    1.32332
  • df
    7.00000
  • t
    1.21649
  • p
    0.13161
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.07671
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.96234
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.17521
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.82186
  • Statistics related to Sortino ratio
  • Sortino ratio
    32.12630
  • Upside Potential Ratio
    34.25100
  • Upside part of mean
    0.35408
  • Downside part of mean
    -0.02196
  • Upside SD
    0.22927
  • Downside SD
    0.01034
  • N nonnegative terms
    4.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.23619
  • Mean of criterion
    0.33212
  • SD of predictor
    0.10342
  • SD of criterion
    0.22291
  • Covariance
    -0.00698
  • r
    -0.30287
  • b (slope, estimate of beta)
    -0.65283
  • a (intercept, estimate of alpha)
    0.48631
  • Mean Square Error
    0.05265
  • DF error
    6.00000
  • t(b)
    -0.77844
  • p(b)
    0.76706
  • t(a)
    1.41440
  • p(a)
    0.10349
  • Lowerbound of 95% confidence interval for beta
    -2.70492
  • Upperbound of 95% confidence interval for beta
    1.39926
  • Lowerbound of 95% confidence interval for alpha
    -0.35502
  • Upperbound of 95% confidence interval for alpha
    1.32764
  • Treynor index (mean / b)
    -0.50874
  • Jensen alpha (a)
    0.48631
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30784
  • SD
    0.20460
  • Sharpe ratio (Glass type estimate)
    1.50460
  • Sharpe ratio (Hedges UMVUE)
    1.33639
  • df
    7.00000
  • t
    1.22850
  • p
    0.12948
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.06466
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.97906
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.16406
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.83683
  • Statistics related to Sortino ratio
  • Sortino ratio
    29.75810
  • Upside Potential Ratio
    31.88150
  • Upside part of mean
    0.32981
  • Downside part of mean
    -0.02197
  • Upside SD
    0.21076
  • Downside SD
    0.01034
  • N nonnegative terms
    4.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.22884
  • Mean of criterion
    0.30784
  • SD of predictor
    0.10197
  • SD of criterion
    0.20460
  • Covariance
    -0.00627
  • r
    -0.30070
  • b (slope, estimate of beta)
    -0.60332
  • a (intercept, estimate of alpha)
    0.44590
  • Mean Square Error
    0.04442
  • DF error
    6.00000
  • t(b)
    -0.77229
  • p(b)
    0.76537
  • t(a)
    1.42011
  • p(a)
    0.10269
  • Lowerbound of 95% confidence interval for beta
    -2.51489
  • Upperbound of 95% confidence interval for beta
    1.30825
  • Lowerbound of 95% confidence interval for alpha
    -0.32242
  • Upperbound of 95% confidence interval for alpha
    1.21422
  • Treynor index (mean / b)
    -0.51024
  • Jensen alpha (a)
    0.44590
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06900
  • Expected Shortfall on VaR
    0.09148
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00428
  • Expected Shortfall on VaR
    0.00717
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.99513
  • Quartile 1
    0.99948
  • Median
    1.00247
  • Quartile 3
    1.02264
  • Maximum
    1.18543
  • Mean of quarter 1
    0.99727
  • Mean of quarter 2
    1.00006
  • Mean of quarter 3
    1.01089
  • Mean of quarter 4
    1.11180
  • Inter Quartile Range
    0.02316
  • 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
    0.12500
  • Mean of outliers high
    1.18543
  • 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
    0.00595
  • Quartile 1
    0.00595
  • Median
    0.00595
  • Quartile 3
    0.00595
  • Maximum
    0.00595
  • 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)
    0.37629
  • Compounded annual return (geometric extrapolation)
    0.39898
  • Calmar ratio (compounded annual return / max draw down)
    67.03630
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    4.36146
  • 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
    0.36810
  • SD
    0.41867
  • Sharpe ratio (Glass type estimate)
    0.87921
  • Sharpe ratio (Hedges UMVUE)
    0.87570
  • df
    188.00000
  • t
    0.74675
  • p
    0.47281
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43122
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.18739
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.43363
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.18504
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.46750
  • Upside Potential Ratio
    7.35878
  • Upside part of mean
    1.84583
  • Downside part of mean
    -1.47774
  • Upside SD
    0.33459
  • Downside SD
    0.25083
  • N nonnegative terms
    47.00000
  • N negative terms
    142.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    189.00000
  • Mean of predictor
    0.44072
  • Mean of criterion
    0.36810
  • SD of predictor
    0.14078
  • SD of criterion
    0.41867
  • Covariance
    0.00042
  • r
    0.00720
  • b (slope, estimate of beta)
    0.02142
  • a (intercept, estimate of alpha)
    0.35900
  • Mean Square Error
    0.17621
  • DF error
    187.00000
  • t(b)
    0.09848
  • p(b)
    0.49541
  • t(a)
    0.71241
  • p(a)
    0.46689
  • Lowerbound of 95% confidence interval for beta
    -0.40758
  • Upperbound of 95% confidence interval for beta
    0.45042
  • Lowerbound of 95% confidence interval for alpha
    -0.63450
  • Upperbound of 95% confidence interval for alpha
    1.35182
  • Treynor index (mean / b)
    17.18730
  • Jensen alpha (a)
    0.35866
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28206
  • SD
    0.41406
  • Sharpe ratio (Glass type estimate)
    0.68120
  • Sharpe ratio (Hedges UMVUE)
    0.67848
  • df
    188.00000
  • t
    0.57857
  • p
    0.47892
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.62830
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.98903
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63018
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98714
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.08288
  • Upside Potential Ratio
    6.88264
  • Upside part of mean
    1.79270
  • Downside part of mean
    -1.51065
  • Upside SD
    0.32093
  • Downside SD
    0.26047
  • N nonnegative terms
    47.00000
  • N negative terms
    142.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    189.00000
  • Mean of predictor
    0.43049
  • Mean of criterion
    0.28206
  • SD of predictor
    0.14049
  • SD of criterion
    0.41406
  • Covariance
    0.00044
  • r
    0.00762
  • b (slope, estimate of beta)
    0.02245
  • a (intercept, estimate of alpha)
    0.27239
  • Mean Square Error
    0.17235
  • DF error
    187.00000
  • t(b)
    0.10417
  • p(b)
    0.49515
  • t(a)
    0.54750
  • p(a)
    0.47454
  • Lowerbound of 95% confidence interval for beta
    -0.40271
  • Upperbound of 95% confidence interval for beta
    0.44761
  • Lowerbound of 95% confidence interval for alpha
    -0.70908
  • Upperbound of 95% confidence interval for alpha
    1.25386
  • Treynor index (mean / b)
    12.56380
  • Jensen alpha (a)
    0.27239
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04017
  • Expected Shortfall on VaR
    0.05033
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01651
  • Expected Shortfall on VaR
    0.03429
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    189.00000
  • Minimum
    0.87101
  • Quartile 1
    0.99964
  • Median
    1.00000
  • Quartile 3
    1.00010
  • Maximum
    1.15113
  • Mean of quarter 1
    0.97813
  • Mean of quarter 2
    0.99995
  • Mean of quarter 3
    1.00003
  • Mean of quarter 4
    1.02844
  • Inter Quartile Range
    0.00046
  • Number outliers low
    44.00000
  • Percentage of outliers low
    0.23280
  • Mean of outliers low
    0.97619
  • Number of outliers high
    43.00000
  • Percentage of outliers high
    0.22751
  • Mean of outliers high
    1.03106
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.86401
  • VaR(95%) (moments method)
    0.00344
  • Expected Shortfall (moments method)
    0.00345
  • Extreme Value Index (regression method)
    -0.13886
  • VaR(95%) (regression method)
    0.02037
  • Expected Shortfall (regression method)
    0.03033
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.05258
  • Quartile 1
    0.11468
  • Median
    0.16203
  • Quartile 3
    0.20925
  • Maximum
    0.21032
  • Mean of quarter 1
    0.08363
  • Mean of quarter 2
    0.16203
  • Mean of quarter 3
    0.20925
  • Mean of quarter 4
    0.21032
  • Inter Quartile Range
    0.09456
  • 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)
    0.34735
  • Compounded annual return (geometric extrapolation)
    0.36337
  • Calmar ratio (compounded annual return / max draw down)
    1.72775
  • Compounded annual return / average of 25% largest draw downs
    1.72775
  • Compounded annual return / Expected Shortfall lognormal
    7.21943
  • 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
    -0.08245
  • SD
    0.16932
  • Sharpe ratio (Glass type estimate)
    -0.48697
  • Sharpe ratio (Hedges UMVUE)
    -0.48416
  • df
    130.00000
  • t
    -0.34434
  • p
    0.51509
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.25857
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.28631
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.25659
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.28827
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.70550
  • Upside Potential Ratio
    4.46337
  • Upside part of mean
    0.52164
  • Downside part of mean
    -0.60410
  • Upside SD
    0.12172
  • Downside SD
    0.11687
  • N nonnegative terms
    19.00000
  • N negative terms
    112.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.59844
  • Mean of criterion
    -0.08245
  • SD of predictor
    0.15365
  • SD of criterion
    0.16932
  • Covariance
    -0.00173
  • r
    -0.06636
  • b (slope, estimate of beta)
    -0.07312
  • a (intercept, estimate of alpha)
    -0.03869
  • Mean Square Error
    0.02876
  • DF error
    129.00000
  • t(b)
    -0.75534
  • p(b)
    0.54221
  • t(a)
    -0.15682
  • p(a)
    0.50879
  • Lowerbound of 95% confidence interval for beta
    -0.26466
  • Upperbound of 95% confidence interval for beta
    0.11841
  • Lowerbound of 95% confidence interval for alpha
    -0.52689
  • Upperbound of 95% confidence interval for alpha
    0.44950
  • Treynor index (mean / b)
    1.12761
  • Jensen alpha (a)
    -0.03869
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09666
  • SD
    0.16911
  • Sharpe ratio (Glass type estimate)
    -0.57159
  • Sharpe ratio (Hedges UMVUE)
    -0.56828
  • df
    130.00000
  • t
    -0.40417
  • p
    0.51771
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.34318
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.20218
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.34095
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20438
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.81437
  • Upside Potential Ratio
    4.33347
  • Upside part of mean
    0.51434
  • Downside part of mean
    -0.61100
  • Upside SD
    0.11969
  • Downside SD
    0.11869
  • N nonnegative terms
    19.00000
  • N negative terms
    112.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.58603
  • Mean of criterion
    -0.09666
  • SD of predictor
    0.15329
  • SD of criterion
    0.16911
  • Covariance
    -0.00171
  • r
    -0.06579
  • b (slope, estimate of beta)
    -0.07258
  • a (intercept, estimate of alpha)
    -0.05412
  • Mean Square Error
    0.02869
  • DF error
    129.00000
  • t(b)
    -0.74890
  • p(b)
    0.54185
  • t(a)
    -0.21984
  • p(a)
    0.51232
  • VAR (95 Confidence Intrvl)
    0.04000
  • Lowerbound of 95% confidence interval for beta
    -0.26433
  • Upperbound of 95% confidence interval for beta
    0.11917
  • Lowerbound of 95% confidence interval for alpha
    -0.54123
  • Upperbound of 95% confidence interval for alpha
    0.43298
  • Treynor index (mean / b)
    1.33176
  • Jensen alpha (a)
    -0.05412
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01740
  • Expected Shortfall on VaR
    0.02167
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00730
  • Expected Shortfall on VaR
    0.01541
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95415
  • Quartile 1
    0.99993
  • Median
    1.00000
  • Quartile 3
    1.00004
  • Maximum
    1.04754
  • Mean of quarter 1
    0.99120
  • Mean of quarter 2
    0.99997
  • Mean of quarter 3
    1.00001
  • Mean of quarter 4
    1.00799
  • Inter Quartile Range
    0.00011
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.16794
  • Mean of outliers low
    0.98686
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.01460
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.57798
  • VaR(95%) (moments method)
    0.00309
  • Expected Shortfall (moments method)
    0.00313
  • Extreme Value Index (regression method)
    -0.23219
  • VaR(95%) (regression method)
    0.01080
  • Expected Shortfall (regression method)
    0.01730
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01058
  • Quartile 1
    0.05703
  • Median
    0.10348
  • Quartile 3
    0.10908
  • Maximum
    0.11468
  • Mean of quarter 1
    0.01058
  • Mean of quarter 2
    0.10348
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.11468
  • Inter Quartile Range
    0.05205
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -359889000
  • Max Equity Drawdown (num days)
    14
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.06758
  • Compounded annual return (geometric extrapolation)
    -0.06644
  • Calmar ratio (compounded annual return / max draw down)
    -0.57934
  • Compounded annual return / average of 25% largest draw downs
    -0.57934
  • Compounded annual return / Expected Shortfall lognormal
    -3.06563

Strategy Description

Summary Statistics

Strategy began
2023-06-05
Suggested Minimum Capital
$60,000
# Trades
153
# Profitable
62
% Profitable
40.5%
Correlation S&P500
0.016
Sharpe Ratio
0.45
Sortino Ratio
0.76
Beta
0.05
Alpha
0.04
Leverage
19.52 Average
33.72 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.