Collective2 Collective2
Featured Strategy Cryptoverse +51.8% Annual Return (Compounded) since Jun 13, 2022 Hypothetical

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This is an archived track record. This track record was archived on 7/22/24 14:22 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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C2Star Keshav Long
(148134533)

Created by: KeshavAgrawal_CA_CPA KeshavAgrawal_CA_CPA
Started: 05/2024
Stocks
Last trade: 157 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.

2.0%
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.

(19.2%)
Max Drawdown
159
Num Trades
67.3%
Win Trades
1.1 : 1
Profit Factor
25.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                            +6.7%+0.6%(4.9%)  -    -    -    -    -  +2.0%

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 168 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/17/24 12:26 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,000 54.71 7/22 14:21 52.22 15.98%
Trade id #148672628
Max drawdown($7,960)
Time7/19/24 0:00
Quant open1,000
Worst price46.75
Drawdown as % of equity-15.98%
 ($2,495)
Includes Typical Broker Commissions trade costs of $5.00
7/11/24 15:33 METU DIREXION DAILY META BULL 2X SHARES LONG 500 28.28 7/22 14:21 25.44 5.39%
Trade id #148626656
Max drawdown($2,885)
Time7/17/24 0:00
Quant open500
Worst price22.51
Drawdown as % of equity-5.39%
 ($1,430)
Includes Typical Broker Commissions trade costs of $10.00
7/17/24 10:34 GS GOLDMAN SACHS GROUP LONG 100 506.96 7/17 12:26 507.53 0.5%
Trade id #148670520
Max drawdown($259)
Time7/17/24 10:50
Quant open100
Worst price504.37
Drawdown as % of equity-0.50%
 $55
Includes Typical Broker Commissions trade costs of $2.00
7/17/24 10:35 TRV TRAVELERS COMPANIES LONG 200 220.97 7/17 12:25 221.25 0.2%
Trade id #148670527
Max drawdown($106)
Time7/17/24 10:42
Quant open200
Worst price220.44
Drawdown as % of equity-0.20%
 $52
Includes Typical Broker Commissions trade costs of $4.00
7/11/24 9:35 MSTR MICROSTRATEGY LONG 14 1386.50 7/16 9:59 1591.18 1.71%
Trade id #148620974
Max drawdown($872)
Time7/12/24 0:00
Quant open14
Worst price1324.19
Drawdown as % of equity-1.71%
 $2,866
Includes Typical Broker Commissions trade costs of $0.28
7/12/24 9:48 LCID LUCID GROUP INC LONG 2,000 3.87 7/12 13:06 4.14 0.08%
Trade id #148633470
Max drawdown($40)
Time7/12/24 9:53
Quant open2,000
Worst price3.85
Drawdown as % of equity-0.08%
 $535
Includes Typical Broker Commissions trade costs of $5.00
6/27/24 15:57 WBA WALGREEN BOOTS ALLIANCE INC. LONG 400 12.14 7/11 15:35 11.40 1.13%
Trade id #148522489
Max drawdown($580)
Time7/9/24 0:00
Quant open400
Worst price10.69
Drawdown as % of equity-1.13%
 ($304)
Includes Typical Broker Commissions trade costs of $8.00
7/11/24 11:55 TSLZ T-REX -2X TESLA DAILY TARGET ETF LONG 1,000 14.59 7/11 12:14 14.54 0.18%
Trade id #148624560
Max drawdown($90)
Time7/11/24 12:01
Quant open1,000
Worst price14.50
Drawdown as % of equity-0.18%
 ($55)
Includes Typical Broker Commissions trade costs of $5.00
7/11/24 11:26 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 1,000 19.41 7/11 11:57 19.76 0.15%
Trade id #148623432
Max drawdown($79)
Time7/11/24 11:29
Quant open1,000
Worst price19.33
Drawdown as % of equity-0.15%
 $345
Includes Typical Broker Commissions trade costs of $5.00
6/11/24 15:18 LUV SOUTHWEST AIRLINES LONG 50 28.28 7/11 11:56 26.69 0.18%
Trade id #148383795
Max drawdown($94)
Time7/11/24 9:39
Quant open50
Worst price26.40
Drawdown as % of equity-0.18%
 ($81)
Includes Typical Broker Commissions trade costs of $1.00
5/14/24 12:28 TOST TOAST INC LONG 30 27.19 7/11 11:56 23.93 0.33%
Trade id #148165013
Max drawdown($176)
Time6/13/24 0:00
Quant open30
Worst price21.32
Drawdown as % of equity-0.33%
 ($99)
Includes Typical Broker Commissions trade costs of $0.60
6/28/24 13:22 NKE NIKE LONG 50 75.92 7/11 11:56 73.14 0.42%
Trade id #148532957
Max drawdown($212)
Time7/10/24 0:00
Quant open50
Worst price71.67
Drawdown as % of equity-0.42%
 ($140)
Includes Typical Broker Commissions trade costs of $1.00
7/10/24 10:44 SCO PROSHARES ULTRASHORT BLOOMBERG LONG 500 15.56 7/11 11:56 15.40 0.26%
Trade id #148611267
Max drawdown($135)
Time7/10/24 11:57
Quant open500
Worst price15.29
Drawdown as % of equity-0.26%
 ($90)
Includes Typical Broker Commissions trade costs of $10.00
7/11/24 10:35 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 1,000 18.80 7/11 11:08 19.00 n/a $195
Includes Typical Broker Commissions trade costs of $5.00
7/10/24 11:34 TSLZ T-REX -2X TESLA DAILY TARGET ETF LONG 1,600 12.89 7/11 10:30 12.74 0.5%
Trade id #148611857
Max drawdown($256)
Time7/11/24 10:06
Quant open400
Worst price12.25
Drawdown as % of equity-0.50%
 ($267)
Includes Typical Broker Commissions trade costs of $24.00
7/11/24 9:35 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 100 63.70 7/11 10:22 63.33 0.07%
Trade id #148621011
Max drawdown($37)
Time7/11/24 10:21
Quant open100
Worst price63.33
Drawdown as % of equity-0.07%
 ($39)
Includes Typical Broker Commissions trade costs of $2.00
7/11/24 9:34 QQQ POWERSHARES QQQ LONG 100 502.78 7/11 10:12 500.59 0.49%
Trade id #148620954
Max drawdown($250)
Time7/11/24 10:12
Quant open100
Worst price500.28
Drawdown as % of equity-0.49%
 ($221)
Includes Typical Broker Commissions trade costs of $2.00
7/10/24 15:59 MSTR MICROSTRATEGY SHORT 82 1305.00 7/10 15:59 1308.00 0.48%
Trade id #148615665
Max drawdown($246)
Time7/10/24 15:59
Quant open82
Worst price1308.00
Drawdown as % of equity-0.48%
 ($248)
Includes Typical Broker Commissions trade costs of $1.64
7/8/24 13:50 MSTR MICROSTRATEGY LONG 15 1317.81 7/10 15:59 1305.00 0.63%
Trade id #148593006
Max drawdown($324)
Time7/10/24 15:14
Quant open15
Worst price1296.18
Drawdown as % of equity-0.63%
 ($192)
Includes Typical Broker Commissions trade costs of $0.30
7/10/24 15:52 SOXL DIREXION DAILY SEMICONDCT BULL LONG 100 68.96 7/10 15:58 68.70 0.08%
Trade id #148615456
Max drawdown($41)
Time7/10/24 15:57
Quant open100
Worst price68.54
Drawdown as % of equity-0.08%
 ($28)
Includes Typical Broker Commissions trade costs of $2.00
7/10/24 15:47 QQQ POWERSHARES QQQ LONG 100 502.95 7/10 15:58 503.38 n/a $41
Includes Typical Broker Commissions trade costs of $2.00
7/10/24 12:58 REGN REGENERON PHARMACEUTICALS LONG 10 1067.31 7/10 15:50 1068.01 n/a $7
Includes Typical Broker Commissions trade costs of $0.20
7/8/24 13:48 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 4 1753.37 7/10 15:44 1760.80 0.37%
Trade id #148592999
Max drawdown($191)
Time7/9/24 0:00
Quant open4
Worst price1705.56
Drawdown as % of equity-0.37%
 $30
Includes Typical Broker Commissions trade costs of $0.08
7/10/24 15:09 ASML ASML HOLDING LONG 6 1093.97 7/10 15:43 1095.98 0.01%
Trade id #148614964
Max drawdown($6)
Time7/10/24 15:18
Quant open6
Worst price1092.82
Drawdown as % of equity-0.01%
 $12
Includes Typical Broker Commissions trade costs of $0.12
7/10/24 14:58 AAPL APPLE LONG 100 232.13 7/10 15:43 232.26 0.1%
Trade id #148614879
Max drawdown($50)
Time7/10/24 15:24
Quant open100
Worst price231.63
Drawdown as % of equity-0.10%
 $11
Includes Typical Broker Commissions trade costs of $2.00
7/10/24 12:05 RIVN RIVIAN AUTOMOTIVE INC. CLASS A LONG 1,000 16.28 7/10 12:22 16.46 n/a $175
Includes Typical Broker Commissions trade costs of $5.00
7/10/24 12:06 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 100 394.27 7/10 12:21 394.66 0.05%
Trade id #148613118
Max drawdown($25)
Time7/10/24 12:09
Quant open100
Worst price394.02
Drawdown as % of equity-0.05%
 $37
Includes Typical Broker Commissions trade costs of $2.00
7/10/24 11:45 RIVN RIVIAN AUTOMOTIVE INC. CLASS A LONG 1,000 16.01 7/10 12:01 16.20 0.04%
Trade id #148612190
Max drawdown($20)
Time7/10/24 11:49
Quant open1,000
Worst price15.99
Drawdown as % of equity-0.04%
 $185
Includes Typical Broker Commissions trade costs of $5.00
7/10/24 11:06 QQQ POWERSHARES QQQ LONG 100 498.73 7/10 11:22 499.17 n/a $42
Includes Typical Broker Commissions trade costs of $2.00
7/10/24 10:43 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,000 7.36 7/10 11:02 7.37 0.04%
Trade id #148611259
Max drawdown($20)
Time7/10/24 10:46
Quant open2,000
Worst price7.35
Drawdown as % of equity-0.04%
 $15
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    5/9/2024
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    228.37
  • Age
    8 months ago
  • What it trades
    Stocks
  • # Trades
    159
  • # Profitable
    107
  • % Profitable
    67.30%
  • Avg trade duration
    4.0 days
  • Max peak-to-valley drawdown
    19.25%
  • drawdown period
    June 24, 2024 - July 22, 2024
  • Cumul. Return
    2.0%
  • Avg win
    $158.46
  • Avg loss
    $286.48
  • Model Account Values (Raw)
  • Cash
    $52,072
  • Margin Used
    $0
  • Buying Power
    $52,072
  • Ratios
  • W:L ratio
    1.14:1
  • Sharpe Ratio
    0.17
  • Sortino Ratio
    0.26
  • Calmar Ratio
    0.959
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -12.61%
  • Correlation to SP500
    0.15620
  • Return Percent SP500 (cumu) during strategy life
    15.84%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    3.1%
  • Slump
  • Current Slump as Pcnt Equity
    9.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.80%
  • 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)
    0.020%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    18.00%
  • 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)
    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
    $286
  • Avg Win
    $158
  • Sum Trade PL (losers)
    $14,897.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $16,955.000
  • # Winners
    107
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    16
  • Win / Loss
  • # Losers
    52
  • % Winners
    67.3%
  • Frequency
  • Avg Position Time (mins)
    5808.72
  • Avg Position Time (hrs)
    96.81
  • Avg Trade Length
    4.0 days
  • Last Trade Ago
    154
  • Leverage
  • Daily leverage (average)
    1.53
  • Daily leverage (max)
    3.95
  • Regression
  • Alpha
    -0.00
  • Beta
    0.25
  • Treynor Index
    0.04
  • 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)
    2.37
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    177.217
  • 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
    0.704
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.690
  • Hold-and-Hope Ratio
    0.006
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16706
  • SD
    0.27568
  • Sharpe ratio (Glass type estimate)
    0.60598
  • Sharpe ratio (Hedges UMVUE)
    0.34189
  • df
    2.00000
  • t
    0.30299
  • p
    0.39525
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.41969
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.49708
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.59233
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.27611
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.52519
  • Upside Potential Ratio
    3.69701
  • Upside part of mean
    0.40494
  • Downside part of mean
    -0.23788
  • Upside SD
    0.20247
  • Downside SD
    0.10953
  • N nonnegative terms
    1.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.08285
  • Mean of criterion
    0.16706
  • SD of predictor
    0.18610
  • SD of criterion
    0.27568
  • Covariance
    -0.00038
  • r
    -0.00734
  • b (slope, estimate of beta)
    -0.01088
  • a (intercept, estimate of alpha)
    0.16796
  • Mean Square Error
    0.15199
  • DF error
    1.00000
  • t(b)
    -0.00734
  • p(b)
    0.50234
  • t(a)
    0.21279
  • p(a)
    0.43326
  • Lowerbound of 95% confidence interval for beta
    -18.83200
  • Upperbound of 95% confidence interval for beta
    18.81020
  • Lowerbound of 95% confidence interval for alpha
    -9.86112
  • Upperbound of 95% confidence interval for alpha
    10.19700
  • Treynor index (mean / b)
    -15.35860
  • Jensen alpha (a)
    0.16796
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14135
  • SD
    0.26829
  • Sharpe ratio (Glass type estimate)
    0.52685
  • Sharpe ratio (Hedges UMVUE)
    0.29724
  • df
    2.00000
  • t
    0.26342
  • p
    0.40844
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.48096
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.41708
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.63349
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.22798
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25822
  • Upside Potential Ratio
    3.42597
  • Upside part of mean
    0.38487
  • Downside part of mean
    -0.24352
  • Upside SD
    0.19244
  • Downside SD
    0.11234
  • N nonnegative terms
    1.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.07083
  • Mean of criterion
    0.14135
  • SD of predictor
    0.18686
  • SD of criterion
    0.26829
  • Covariance
    -0.00085
  • r
    -0.01691
  • b (slope, estimate of beta)
    -0.02429
  • a (intercept, estimate of alpha)
    0.14307
  • Mean Square Error
    0.14392
  • DF error
    1.00000
  • t(b)
    -0.01692
  • p(b)
    0.50538
  • t(a)
    0.18689
  • p(a)
    0.44119
  • Lowerbound of 95% confidence interval for beta
    -18.26510
  • Upperbound of 95% confidence interval for beta
    18.21650
  • Lowerbound of 95% confidence interval for alpha
    -9.58375
  • Upperbound of 95% confidence interval for alpha
    9.86989
  • Treynor index (mean / b)
    -5.82020
  • Jensen alpha (a)
    0.14307
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10918
  • Expected Shortfall on VaR
    0.13720
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05361
  • Expected Shortfall on VaR
    0.08489
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.94778
  • Quartile 1
    0.97259
  • Median
    0.99740
  • Quartile 3
    1.05048
  • Maximum
    1.10356
  • Mean of quarter 1
    0.94778
  • Mean of quarter 2
    0.99740
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.10356
  • Inter Quartile Range
    0.07789
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • 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
    0.05468
  • Quartile 1
    0.05468
  • Median
    0.05468
  • Quartile 3
    0.05468
  • Maximum
    0.05468
  • 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)
    0.17289
  • Compounded annual return (geometric extrapolation)
    0.18442
  • Calmar ratio (compounded annual return / max draw down)
    3.37288
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    1.34423
  • 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
    0.12400
  • SD
    0.21489
  • Sharpe ratio (Glass type estimate)
    0.57704
  • Sharpe ratio (Hedges UMVUE)
    0.57194
  • df
    85.00000
  • t
    0.33060
  • p
    0.37088
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.84668
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.99746
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.85011
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.99399
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.82190
  • Upside Potential Ratio
    6.08279
  • Upside part of mean
    0.91772
  • Downside part of mean
    -0.79372
  • Upside SD
    0.15145
  • Downside SD
    0.15087
  • N nonnegative terms
    29.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    86.00000
  • Mean of predictor
    0.40057
  • Mean of criterion
    0.12400
  • SD of predictor
    0.16623
  • SD of criterion
    0.21489
  • Covariance
    0.00518
  • r
    0.14508
  • b (slope, estimate of beta)
    0.18754
  • a (intercept, estimate of alpha)
    0.04900
  • Mean Square Error
    0.04575
  • DF error
    84.00000
  • t(b)
    1.34385
  • p(b)
    0.09131
  • t(a)
    0.12949
  • p(a)
    0.44864
  • Lowerbound of 95% confidence interval for beta
    -0.08998
  • Upperbound of 95% confidence interval for beta
    0.46506
  • Lowerbound of 95% confidence interval for alpha
    -0.70177
  • Upperbound of 95% confidence interval for alpha
    0.79953
  • Treynor index (mean / b)
    0.66120
  • Jensen alpha (a)
    0.04888
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10100
  • SD
    0.21595
  • Sharpe ratio (Glass type estimate)
    0.46770
  • Sharpe ratio (Hedges UMVUE)
    0.46357
  • df
    85.00000
  • t
    0.26796
  • p
    0.39469
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.95528
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.88811
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.95811
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.88525
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.65199
  • Upside Potential Ratio
    5.85111
  • Upside part of mean
    0.90643
  • Downside part of mean
    -0.80542
  • Upside SD
    0.14877
  • Downside SD
    0.15492
  • N nonnegative terms
    29.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    86.00000
  • Mean of predictor
    0.38662
  • Mean of criterion
    0.10100
  • SD of predictor
    0.16583
  • SD of criterion
    0.21595
  • Covariance
    0.00527
  • r
    0.14712
  • b (slope, estimate of beta)
    0.19158
  • a (intercept, estimate of alpha)
    0.02693
  • Mean Square Error
    0.04617
  • DF error
    84.00000
  • t(b)
    1.36320
  • p(b)
    0.08823
  • t(a)
    0.07107
  • p(a)
    0.47175
  • Lowerbound of 95% confidence interval for beta
    -0.08789
  • Upperbound of 95% confidence interval for beta
    0.47106
  • Lowerbound of 95% confidence interval for alpha
    -0.72667
  • Upperbound of 95% confidence interval for alpha
    0.78053
  • Treynor index (mean / b)
    0.52720
  • Jensen alpha (a)
    0.02693
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02133
  • Expected Shortfall on VaR
    0.02676
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00816
  • Expected Shortfall on VaR
    0.01763
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    86.00000
  • Minimum
    0.93103
  • Quartile 1
    0.99836
  • Median
    1.00000
  • Quartile 3
    1.00315
  • Maximum
    1.04767
  • Mean of quarter 1
    0.98848
  • Mean of quarter 2
    0.99995
  • Mean of quarter 3
    1.00045
  • Mean of quarter 4
    1.01341
  • Inter Quartile Range
    0.00479
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.10465
  • Mean of outliers low
    0.97861
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.10465
  • Mean of outliers high
    1.02492
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56573
  • VaR(95%) (moments method)
    0.00889
  • Expected Shortfall (moments method)
    0.02419
  • Extreme Value Index (regression method)
    0.59366
  • VaR(95%) (regression method)
    0.00937
  • Expected Shortfall (regression method)
    0.02695
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00666
  • Quartile 1
    0.01065
  • Median
    0.01999
  • Quartile 3
    0.05687
  • Maximum
    0.14352
  • Mean of quarter 1
    0.00666
  • Mean of quarter 2
    0.01199
  • Mean of quarter 3
    0.02799
  • Mean of quarter 4
    0.14352
  • Inter Quartile Range
    0.04622
  • 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
    0.25000
  • Mean of outliers high
    0.14352
  • 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)
    0.13168
  • Compounded annual return (geometric extrapolation)
    0.13759
  • Calmar ratio (compounded annual return / max draw down)
    0.95869
  • Compounded annual return / average of 25% largest draw downs
    0.95869
  • Compounded annual return / Expected Shortfall lognormal
    5.14196
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.02100
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -467504000
  • Max Equity Drawdown (num days)
    28

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2024-05-09
Suggested Minimum Capital
$15,000
# Trades
159
# Profitable
107
% Profitable
67.3%
Net Dividends
$16
Correlation S&P500
0.156
Sharpe Ratio
0.17
Sortino Ratio
0.26
Beta
0.25
Alpha
-0.00
Leverage
1.53 Average
3.95 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.