Collective2 Collective2
Featured Strategy Cryptoverse +57.9% Annual Return (Compounded) since Jun 13, 2022 Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
Watchlist Watchlist
These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast Share System Watchlist Watchlist More...

Schulenberg Tech 6
(146494008)

Created by: CraigSchulenberg CraigSchulenberg
Started: 11/2023
Futures
Last trade: 4 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 $150.00 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.

-3.2%
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.

(15.8%)
Max Drawdown
465
Num Trades
41.5%
Win Trades
1.0 : 1
Profit Factor
42.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                                      (0.4%)(1.4%)(1.8%)
2024+1.1%(1.4%)+4.7%+1.2%+0.1%(0.9%)+3.1%+4.2%(0.6%)(7.3%)(3.8%)(1.3%)(1.6%)

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 96 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
12/5/24 23:00 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 1 21463.50 12/13 8:04 21831.50 1.56%
Trade id #150260824
Max drawdown($761)
Time12/13/24 8:01
Quant open1
Worst price21844.00
Drawdown as % of equity-1.56%
 ($737)
Includes Typical Broker Commissions trade costs of $0.94
12/11/24 9:30 ADBE ADOBE INC LONG 12 547.05 12/12 9:30 487.50 1.57%
Trade id #150298826
Max drawdown($778)
Time12/12/24 9:30
Quant open12
Worst price482.20
Drawdown as % of equity-1.57%
 ($715)
Includes Typical Broker Commissions trade costs of $0.24
12/9/24 9:30 CRM SALESFORCE INC LONG 18 361.70 12/11 9:30 353.49 0.51%
Trade id #150277730
Max drawdown($256)
Time12/10/24 0:00
Quant open18
Worst price347.43
Drawdown as % of equity-0.51%
 ($148)
Includes Typical Broker Commissions trade costs of $0.36
12/5/24 9:30 TSM TAIWAN SEMICONDUCTOR LONG 64 201.62 12/10 9:30 199.10 0.4%
Trade id #150250526
Max drawdown($198)
Time12/10/24 9:30
Quant open64
Worst price198.53
Drawdown as % of equity-0.40%
 ($163)
Includes Typical Broker Commissions trade costs of $1.28
12/3/24 9:30 META META PLATFORMS INC. CLASS A LONG 11 595.00 12/9 9:30 623.92 0.08%
Trade id #150230720
Max drawdown($41)
Time12/3/24 9:33
Quant open11
Worst price591.25
Drawdown as % of equity-0.08%
 $318
Includes Typical Broker Commissions trade costs of $0.22
11/29/24 9:30 AAPL APPLE LONG 27 234.81 12/9 9:30 241.83 0.04%
Trade id #150207642
Max drawdown($19)
Time11/29/24 9:33
Quant open27
Worst price234.08
Drawdown as % of equity-0.04%
 $189
Includes Typical Broker Commissions trade costs of $0.54
12/5/24 9:30 TSLA TESLA INC. LONG 18 359.87 12/9 9:30 397.61 n/a $679
Includes Typical Broker Commissions trade costs of $0.36
12/5/24 9:30 LRCX LAM RESEARCH LONG 84 77.88 12/6 9:30 75.14 0.54%
Trade id #150250508
Max drawdown($271)
Time12/5/24 15:32
Quant open84
Worst price74.65
Drawdown as % of equity-0.54%
 ($232)
Includes Typical Broker Commissions trade costs of $1.68
12/4/24 22:44 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 1 21516.25 12/5 23:00 21464.00 0.37%
Trade id #150248269
Max drawdown($184)
Time12/5/24 18:09
Quant open1
Worst price21424.00
Drawdown as % of equity-0.37%
 ($106)
Includes Typical Broker Commissions trade costs of $0.94
12/3/24 23:21 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 1 21343.25 12/4 22:44 21516.25 0.83%
Trade id #150238530
Max drawdown($413)
Time12/4/24 0:00
Quant open1
Worst price21550.00
Drawdown as % of equity-0.83%
 ($347)
Includes Typical Broker Commissions trade costs of $0.94
12/2/24 9:30 AMZN AMAZON.COM LONG 31 209.96 12/4 9:30 215.96 0.02%
Trade id #150220818
Max drawdown($9)
Time12/3/24 0:00
Quant open31
Worst price209.65
Drawdown as % of equity-0.02%
 $185
Includes Typical Broker Commissions trade costs of $0.62
12/3/24 9:30 TSLA TESLA INC. LONG 18 351.80 12/4 9:30 353.00 0.13%
Trade id #150230697
Max drawdown($64)
Time12/3/24 10:54
Quant open18
Worst price348.20
Drawdown as % of equity-0.13%
 $22
Includes Typical Broker Commissions trade costs of $0.36
12/3/24 9:30 ASML ASML HOLDING LONG 9 702.65 12/4 9:30 723.79 0%
Trade id #150230724
Max drawdown($2)
Time12/3/24 9:33
Quant open9
Worst price702.40
Drawdown as % of equity-0.00%
 $190
Includes Typical Broker Commissions trade costs of $0.18
12/3/24 9:30 LRCX LAM RESEARCH LONG 83 77.70 12/4 9:30 79.54 0.11%
Trade id #150230703
Max drawdown($54)
Time12/3/24 9:38
Quant open83
Worst price77.04
Drawdown as % of equity-0.11%
 $151
Includes Typical Broker Commissions trade costs of $1.66
12/2/24 22:34 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 1 21232.50 12/3 22:50 21337.75 0.4%
Trade id #150228458
Max drawdown($195)
Time12/3/24 0:00
Quant open1
Worst price21134.80
Drawdown as % of equity-0.40%
 $210
Includes Typical Broker Commissions trade costs of $0.94
11/25/24 9:30 IBM INTERNATIONAL BUSINESS MACHINES LONG 30 223.35 12/3 9:30 227.24 0.04%
Trade id #150165870
Max drawdown($19)
Time11/25/24 9:52
Quant open30
Worst price222.70
Drawdown as % of equity-0.04%
 $116
Includes Typical Broker Commissions trade costs of $0.60
11/26/24 23:23 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 1 20977.50 12/2 22:33 21232.75 1.15%
Trade id #150191271
Max drawdown($564)
Time12/2/24 12:24
Quant open1
Worst price21259.50
Drawdown as % of equity-1.15%
 ($512)
Includes Typical Broker Commissions trade costs of $0.94
11/20/24 9:30 NET CLOUDFLARE INC LONG 69 96.56 12/2 9:31 106.03 0.47%
Trade id #150130823
Max drawdown($234)
Time11/20/24 10:20
Quant open69
Worst price93.16
Drawdown as % of equity-0.47%
 $652
Includes Typical Broker Commissions trade costs of $1.38
11/25/24 9:30 CRM SALESFORCE INC LONG 19 345.00 12/2 9:30 332.00 0.69%
Trade id #150165848
Max drawdown($337)
Time11/29/24 0:00
Quant open19
Worst price327.25
Drawdown as % of equity-0.69%
 ($247)
Includes Typical Broker Commissions trade costs of $0.38
11/29/24 9:30 CSCO CISCO SYSTEMS LONG 110 59.07 12/2 9:30 59.25 0.05%
Trade id #150207610
Max drawdown($23)
Time11/29/24 13:00
Quant open110
Worst price58.86
Drawdown as % of equity-0.05%
 $18
Includes Typical Broker Commissions trade costs of $2.20
11/29/24 9:30 ADBE ADOBE INC LONG 12 517.65 12/2 9:30 512.85 0.14%
Trade id #150207638
Max drawdown($70)
Time12/2/24 9:30
Quant open12
Worst price511.80
Drawdown as % of equity-0.14%
 ($58)
Includes Typical Broker Commissions trade costs of $0.24
11/25/24 9:30 TSLA TESLA INC. LONG 19 360.14 11/27 9:30 341.80 0.96%
Trade id #150165859
Max drawdown($475)
Time11/25/24 16:00
Quant open19
Worst price335.10
Drawdown as % of equity-0.96%
 ($348)
Includes Typical Broker Commissions trade costs of $0.38
11/21/24 9:30 ALB ALBEMARLE LONG 60 107.01 11/27 9:30 107.70 0.29%
Trade id #150140957
Max drawdown($147)
Time11/22/24 0:00
Quant open60
Worst price104.55
Drawdown as % of equity-0.29%
 $40
Includes Typical Broker Commissions trade costs of $1.20
11/20/24 9:30 VRT VERTIV HOLDINGS LLC LONG 47 140.60 11/27 9:30 130.04 1.26%
Trade id #150130826
Max drawdown($620)
Time11/27/24 9:30
Quant open47
Worst price127.41
Drawdown as % of equity-1.26%
 ($497)
Includes Typical Broker Commissions trade costs of $0.94
11/25/24 22:50 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 1 20904.25 11/26 23:23 20977.75 0.6%
Trade id #150175266
Max drawdown($298)
Time11/26/24 0:00
Quant open1
Worst price20755.20
Drawdown as % of equity-0.60%
 $146
Includes Typical Broker Commissions trade costs of $0.94
11/24/24 20:24 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 1 20958.25 11/25 22:50 20903.75 0.49%
Trade id #150163224
Max drawdown($246)
Time11/25/24 9:43
Quant open1
Worst price21081.20
Drawdown as % of equity-0.49%
 $108
Includes Typical Broker Commissions trade costs of $0.94
11/24/24 20:09 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 1 20960.75 11/24 20:24 20958.50 0.02%
Trade id #150163167
Max drawdown($10)
Time11/24/24 20:23
Quant open1
Worst price20955.50
Drawdown as % of equity-0.02%
 ($6)
Includes Typical Broker Commissions trade costs of $0.94
11/19/24 22:48 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 1 20784.50 11/24 20:09 20960.75 0.71%
Trade id #150128712
Max drawdown($357)
Time11/24/24 20:01
Quant open1
Worst price20963.20
Drawdown as % of equity-0.71%
 ($354)
Includes Typical Broker Commissions trade costs of $0.94
11/19/24 14:18 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 1 20763.75 11/19 19:01 20786.50 0.11%
Trade id #150125777
Max drawdown($55)
Time11/19/24 16:11
Quant open1
Worst price20791.50
Drawdown as % of equity-0.11%
 ($47)
Includes Typical Broker Commissions trade costs of $0.94
11/19/24 10:59 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 1 20639.00 11/19 13:43 20756.00 0.48%
Trade id #150122941
Max drawdown($238)
Time11/19/24 13:43
Quant open1
Worst price20758.20
Drawdown as % of equity-0.48%
 ($235)
Includes Typical Broker Commissions trade costs of $0.94
Next

Statistics

  • Strategy began
    11/20/2023
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    393.17
  • Age
    13 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    465
  • # Profitable
    193
  • % Profitable
    41.50%
  • Avg trade duration
    1.5 days
  • Max peak-to-valley drawdown
    15.83%
  • drawdown period
    Sept 20, 2024 - Dec 16, 2024
  • Annual Return (Compounded)
    -3.2%
  • Avg win
    $208.90
  • Avg loss
    $142.84
  • Model Account Values (Raw)
  • Cash
    $41,573
  • Margin Used
    $2,572
  • Buying Power
    $39,147
  • Ratios
  • W:L ratio
    1.04:1
  • Sharpe Ratio
    -0.4
  • Sortino Ratio
    -0.59
  • Calmar Ratio
    0.219
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -36.50%
  • Correlation to SP500
    0.20470
  • Return Percent SP500 (cumu) during strategy life
    33.06%
  • Return Statistics
  • Ann Return (w trading costs)
    -3.2%
  • Slump
  • Current Slump as Pcnt Equity
    18.00%
  • Instruments
  • Percent Trades Futures
    0.77%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.23%
  • 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)
    -0.032%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.23%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    17.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    448
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    241
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $143
  • Avg Win
    $209
  • Sum Trade PL (losers)
    $38,805.000
  • Age
  • Num Months filled monthly returns table
    14
  • Win / Loss
  • Sum Trade PL (winners)
    $40,318.000
  • # Winners
    193
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    272
  • % Winners
    41.5%
  • Frequency
  • Avg Position Time (mins)
    2180.40
  • Avg Position Time (hrs)
    36.34
  • Avg Trade Length
    1.5 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.29
  • Daily leverage (max)
    2.99
  • Regression
  • Alpha
    -0.02
  • Beta
    0.16
  • Treynor Index
    -0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.43
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -93.815
  • 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
    0.460
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.353
  • Hold-and-Hope Ratio
    -0.009
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01744
  • SD
    0.11418
  • Sharpe ratio (Glass type estimate)
    0.15277
  • Sharpe ratio (Hedges UMVUE)
    0.14207
  • df
    11.00000
  • t
    0.15277
  • p
    0.44067
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.81162
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11039
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.81879
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10293
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.23638
  • Upside Potential Ratio
    2.24484
  • Upside part of mean
    0.16565
  • Downside part of mean
    -0.14821
  • Upside SD
    0.08081
  • Downside SD
    0.07379
  • N nonnegative terms
    5.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.26395
  • Mean of criterion
    0.01744
  • SD of predictor
    0.08718
  • SD of criterion
    0.11418
  • Covariance
    -0.00360
  • r
    -0.36157
  • b (slope, estimate of beta)
    -0.47352
  • a (intercept, estimate of alpha)
    0.14243
  • Mean Square Error
    0.01247
  • DF error
    10.00000
  • t(b)
    -1.22636
  • p(b)
    0.87592
  • t(a)
    0.94219
  • p(a)
    0.18415
  • Lowerbound of 95% confidence interval for beta
    -1.33385
  • Upperbound of 95% confidence interval for beta
    0.38680
  • Lowerbound of 95% confidence interval for alpha
    -0.19440
  • Upperbound of 95% confidence interval for alpha
    0.47925
  • Treynor index (mean / b)
    -0.03684
  • Jensen alpha (a)
    0.14243
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01145
  • SD
    0.11395
  • Sharpe ratio (Glass type estimate)
    0.10044
  • Sharpe ratio (Hedges UMVUE)
    0.09340
  • df
    11.00000
  • t
    0.10044
  • p
    0.46090
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.86216
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05859
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.86695
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05375
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.15190
  • Upside Potential Ratio
    2.15137
  • Upside part of mean
    0.16210
  • Downside part of mean
    -0.15066
  • Upside SD
    0.07897
  • Downside SD
    0.07535
  • N nonnegative terms
    5.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.25713
  • Mean of criterion
    0.01145
  • SD of predictor
    0.08594
  • SD of criterion
    0.11395
  • Covariance
    -0.00347
  • r
    -0.35456
  • b (slope, estimate of beta)
    -0.47012
  • a (intercept, estimate of alpha)
    0.13233
  • Mean Square Error
    0.01249
  • DF error
    10.00000
  • t(b)
    -1.19913
  • p(b)
    0.87094
  • t(a)
    0.87924
  • p(a)
    0.19995
  • Lowerbound of 95% confidence interval for beta
    -1.34367
  • Upperbound of 95% confidence interval for beta
    0.40342
  • Lowerbound of 95% confidence interval for alpha
    -0.20301
  • Upperbound of 95% confidence interval for alpha
    0.46766
  • Treynor index (mean / b)
    -0.02435
  • Jensen alpha (a)
    0.13233
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05177
  • Expected Shortfall on VaR
    0.06464
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03142
  • Expected Shortfall on VaR
    0.05407
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.94700
  • Quartile 1
    0.98575
  • Median
    0.99784
  • Quartile 3
    1.03436
  • Maximum
    1.05370
  • Mean of quarter 1
    0.96361
  • Mean of quarter 2
    0.99255
  • Mean of quarter 3
    1.01400
  • Mean of quarter 4
    1.04497
  • Inter Quartile Range
    0.04861
  • 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)
    -13.07110
  • VaR(95%) (moments method)
    0.03589
  • Expected Shortfall (moments method)
    0.03589
  • Extreme Value Index (regression method)
    -1.38651
  • VaR(95%) (regression method)
    0.06210
  • Expected Shortfall (regression method)
    0.06558
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01292
  • Quartile 1
    0.01751
  • Median
    0.02211
  • Quartile 3
    0.05569
  • Maximum
    0.08927
  • Mean of quarter 1
    0.01292
  • Mean of quarter 2
    0.02211
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08927
  • Inter Quartile Range
    0.03817
  • 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)
    0.04014
  • Compounded annual return (geometric extrapolation)
    0.04014
  • Calmar ratio (compounded annual return / max draw down)
    0.44963
  • Compounded annual return / average of 25% largest draw downs
    0.44963
  • Compounded annual return / Expected Shortfall lognormal
    0.62091
  • 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
    0.00556
  • SD
    0.09394
  • Sharpe ratio (Glass type estimate)
    0.05913
  • Sharpe ratio (Hedges UMVUE)
    0.05897
  • df
    272.00000
  • t
    0.06036
  • p
    0.47596
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.86094
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97921
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.86111
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97905
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.08838
  • Upside Potential Ratio
    7.88173
  • Upside part of mean
    0.49542
  • Downside part of mean
    -0.48987
  • Upside SD
    0.06958
  • Downside SD
    0.06286
  • N nonnegative terms
    112.00000
  • N negative terms
    161.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    273.00000
  • Mean of predictor
    0.25379
  • Mean of criterion
    0.00556
  • SD of predictor
    0.12228
  • SD of criterion
    0.09394
  • Covariance
    0.00243
  • r
    0.21168
  • b (slope, estimate of beta)
    0.16262
  • a (intercept, estimate of alpha)
    -0.03600
  • Mean Square Error
    0.00846
  • DF error
    271.00000
  • t(b)
    3.56545
  • p(b)
    0.00021
  • t(a)
    -0.39313
  • p(a)
    0.65273
  • Lowerbound of 95% confidence interval for beta
    0.07282
  • Upperbound of 95% confidence interval for beta
    0.25241
  • Lowerbound of 95% confidence interval for alpha
    -0.21458
  • Upperbound of 95% confidence interval for alpha
    0.14314
  • Treynor index (mean / b)
    0.03416
  • Jensen alpha (a)
    -0.03572
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00117
  • SD
    0.09378
  • Sharpe ratio (Glass type estimate)
    0.01246
  • Sharpe ratio (Hedges UMVUE)
    0.01243
  • df
    272.00000
  • t
    0.01272
  • p
    0.49493
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.90761
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.93253
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.90764
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93250
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.01850
  • Upside Potential Ratio
    7.80144
  • Upside part of mean
    0.49297
  • Downside part of mean
    -0.49180
  • Upside SD
    0.06906
  • Downside SD
    0.06319
  • N nonnegative terms
    112.00000
  • N negative terms
    161.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    273.00000
  • Mean of predictor
    0.24619
  • Mean of criterion
    0.00117
  • SD of predictor
    0.12231
  • SD of criterion
    0.09378
  • Covariance
    0.00242
  • r
    0.21140
  • b (slope, estimate of beta)
    0.16209
  • a (intercept, estimate of alpha)
    -0.03874
  • Mean Square Error
    0.00843
  • DF error
    271.00000
  • t(b)
    3.56059
  • p(b)
    0.00022
  • t(a)
    -0.42729
  • p(a)
    0.66524
  • Lowerbound of 95% confidence interval for beta
    0.07246
  • Upperbound of 95% confidence interval for beta
    0.25171
  • Lowerbound of 95% confidence interval for alpha
    -0.21721
  • Upperbound of 95% confidence interval for alpha
    0.13974
  • Treynor index (mean / b)
    0.00721
  • Jensen alpha (a)
    -0.03874
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00948
  • Expected Shortfall on VaR
    0.01187
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00476
  • Expected Shortfall on VaR
    0.00919
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    273.00000
  • Minimum
    0.98291
  • Quartile 1
    0.99813
  • Median
    1.00000
  • Quartile 3
    1.00209
  • Maximum
    1.02537
  • Mean of quarter 1
    0.99342
  • Mean of quarter 2
    0.99942
  • Mean of quarter 3
    1.00073
  • Mean of quarter 4
    1.00704
  • Inter Quartile Range
    0.00396
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.07692
  • Mean of outliers low
    0.98874
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.06227
  • Mean of outliers high
    1.01396
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.36972
  • VaR(95%) (moments method)
    0.00533
  • Expected Shortfall (moments method)
    0.00649
  • Extreme Value Index (regression method)
    -0.50459
  • VaR(95%) (regression method)
    0.00665
  • Expected Shortfall (regression method)
    0.00792
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00037
  • Quartile 1
    0.00256
  • Median
    0.00856
  • Quartile 3
    0.02460
  • Maximum
    0.13456
  • Mean of quarter 1
    0.00126
  • Mean of quarter 2
    0.00653
  • Mean of quarter 3
    0.01802
  • Mean of quarter 4
    0.06123
  • Inter Quartile Range
    0.02204
  • 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
    0.06667
  • Mean of outliers high
    0.13456
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.25990
  • VaR(95%) (moments method)
    0.06290
  • Expected Shortfall (moments method)
    0.10619
  • Extreme Value Index (regression method)
    1.18289
  • VaR(95%) (regression method)
    0.10356
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.02952
  • Compounded annual return (geometric extrapolation)
    0.02950
  • Calmar ratio (compounded annual return / max draw down)
    0.21925
  • Compounded annual return / average of 25% largest draw downs
    0.48182
  • Compounded annual return / Expected Shortfall lognormal
    2.48484
  • 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
    -0.10128
  • SD
    0.11518
  • Sharpe ratio (Glass type estimate)
    -0.87937
  • Sharpe ratio (Hedges UMVUE)
    -0.87429
  • df
    130.00000
  • t
    -0.62181
  • p
    0.52723
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.65155
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89607
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.64813
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89956
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.30058
  • Upside Potential Ratio
    7.89524
  • Upside part of mean
    0.61485
  • Downside part of mean
    -0.71613
  • Upside SD
    0.08449
  • Downside SD
    0.07788
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20100
  • Mean of criterion
    -0.10128
  • SD of predictor
    0.13506
  • SD of criterion
    0.11518
  • Covariance
    0.00326
  • r
    0.20976
  • b (slope, estimate of beta)
    0.17888
  • a (intercept, estimate of alpha)
    -0.13724
  • Mean Square Error
    0.01278
  • DF error
    129.00000
  • t(b)
    2.43664
  • p(b)
    0.36745
  • t(a)
    -0.85477
  • p(a)
    0.54773
  • Lowerbound of 95% confidence interval for beta
    0.03363
  • Upperbound of 95% confidence interval for beta
    0.32414
  • Lowerbound of 95% confidence interval for alpha
    -0.45491
  • Upperbound of 95% confidence interval for alpha
    0.18043
  • Treynor index (mean / b)
    -0.56620
  • Jensen alpha (a)
    -0.13724
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10786
  • SD
    0.11494
  • Sharpe ratio (Glass type estimate)
    -0.93839
  • Sharpe ratio (Hedges UMVUE)
    -0.93296
  • df
    130.00000
  • t
    -0.66354
  • p
    0.52905
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.71085
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83746
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.70709
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.84116
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.37763
  • Upside Potential Ratio
    7.80726
  • Upside part of mean
    0.61125
  • Downside part of mean
    -0.71911
  • Upside SD
    0.08382
  • Downside SD
    0.07829
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19184
  • Mean of criterion
    -0.10786
  • SD of predictor
    0.13524
  • SD of criterion
    0.11494
  • Covariance
    0.00325
  • r
    0.20902
  • b (slope, estimate of beta)
    0.17765
  • a (intercept, estimate of alpha)
    -0.14194
  • Mean Square Error
    0.01273
  • DF error
    129.00000
  • t(b)
    2.42770
  • p(b)
    0.36791
  • t(a)
    -0.88607
  • p(a)
    0.54946
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    0.03287
  • Upperbound of 95% confidence interval for beta
    0.32244
  • Lowerbound of 95% confidence interval for alpha
    -0.45888
  • Upperbound of 95% confidence interval for alpha
    0.17500
  • Treynor index (mean / b)
    -0.60712
  • Jensen alpha (a)
    -0.14194
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01202
  • Expected Shortfall on VaR
    0.01494
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00703
  • Expected Shortfall on VaR
    0.01226
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98309
  • Quartile 1
    0.99544
  • Median
    0.99971
  • Quartile 3
    1.00282
  • Maximum
    1.02537
  • Mean of quarter 1
    0.99152
  • Mean of quarter 2
    0.99790
  • Mean of quarter 3
    1.00072
  • Mean of quarter 4
    1.00877
  • Inter Quartile Range
    0.00738
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.98349
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.01928
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01652
  • VaR(95%) (moments method)
    0.00872
  • Expected Shortfall (moments method)
    0.01132
  • Extreme Value Index (regression method)
    -0.46372
  • VaR(95%) (regression method)
    0.00805
  • Expected Shortfall (regression method)
    0.00901
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00279
  • Quartile 1
    0.00887
  • Median
    0.01136
  • Quartile 3
    0.03340
  • Maximum
    0.13456
  • Mean of quarter 1
    0.00552
  • Mean of quarter 2
    0.01043
  • Mean of quarter 3
    0.01518
  • Mean of quarter 4
    0.09309
  • Inter Quartile Range
    0.02454
  • 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
    0.13456
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -380259000
  • Max Equity Drawdown (num days)
    87
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.07837
  • Compounded annual return (geometric extrapolation)
    -0.07684
  • Calmar ratio (compounded annual return / max draw down)
    -0.57104
  • Compounded annual return / average of 25% largest draw downs
    -0.82539
  • Compounded annual return / Expected Shortfall lognormal
    -5.14220

Strategy Description

This strategy will trade up to 6 'tech' stocks, with a reduced number when the Market is weak, and it will occasionally use an additional MNQ futures contract in order to hedge during weak periods so as to reduce drawdown to a minimum.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-11-20
Suggested Minimum Capital
$50,000
# Trades
465
# Profitable
193
% Profitable
41.5%
Correlation S&P500
0.205
Sharpe Ratio
-0.40
Sortino Ratio
-0.59
Beta
0.16
Alpha
-0.02
Leverage
1.29 Average
2.99 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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.