Collective2 Collective2
Featured Strategy Quant AI pro +16.8% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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SDF Fund
(148622141)

Created by: IlyaLysenok IlyaLysenok
Started: 07/2024
Stocks
Last trade: 45 days ago
Trading style: Equity Trend-following

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 $125.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
161.3%
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.

(20.5%)
Max Drawdown
8
Num Trades
62.5%
Win Trades
5.0 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                                          +19.2%+132.5%+5.9%(3.3%)(9.4%)+1.6%+161.3%

Model Account Details

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

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

Trading Record

This strategy has placed 9 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/14/24 11:41 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 120 24.28 9/6 11:46 31.56 1.14%
Trade id #148915447
Max drawdown($320)
Time8/30/24 0:00
Quant open120
Worst price21.60
Drawdown as % of equity-1.14%
 $872
Includes Typical Broker Commissions trade costs of $2.40
8/5/24 12:39: Rescaled downward to 20% of previous Model Account size
8/5/24 9:56 UNG UNITED STATES NATURAL GAS LONG 180 12.89 8/5 12:37 12.95 0.3%
Trade id #148830114
Max drawdown($56)
Time8/5/24 11:10
Quant open180
Worst price12.57
Drawdown as % of equity-0.30%
 $7
Includes Typical Broker Commissions trade costs of $3.60
7/11/24 10:15 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 60 52.11 8/5 10:14 60.64 2.4%
Trade id #148622176
Max drawdown($256)
Time7/24/24 0:00
Quant open60
Worst price47.83
Drawdown as % of equity-2.40%
 $511
Includes Typical Broker Commissions trade costs of $1.20
7/11/24 10:14 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 480 21.26 8/5 9:44 60.09 3.38%
Trade id #148622163
Max drawdown($340)
Time7/12/24 0:00
Quant open480
Worst price20.55
Drawdown as % of equity-3.38%
 $18,628
Includes Typical Broker Commissions trade costs of $9.60
Next

Statistics

  • Strategy began
    7/11/2024
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    162.72
  • Age
    163 days ago
  • What it trades
    Stocks
  • # Trades
    8
  • # Profitable
    5
  • % Profitable
    62.50%
  • Avg trade duration
    73.0 days
  • Max peak-to-valley drawdown
    20.52%
  • drawdown period
    Sept 06, 2024 - Dec 16, 2024
  • Cumul. Return
    161.3%
  • Avg win
    $4,141
  • Avg loss
    $1,398
  • Model Account Values (Raw)
  • Cash
    $14,517
  • Margin Used
    ($9,400)
  • Buying Power
    $20,395
  • Ratios
  • W:L ratio
    4.97:1
  • Sharpe Ratio
    2.15
  • Sortino Ratio
    11.57
  • Calmar Ratio
    47.299
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    155.11%
  • Correlation to SP500
    -0.46930
  • Return Percent SP500 (cumu) during strategy life
    6.20%
  • Return Statistics
  • Ann Return (w trading costs)
    730.1%
  • Slump
  • Current Slump as Pcnt Equity
    17.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.65%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.613%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    789.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    15.50%
  • Chance of 20% account loss
    1.50%
  • 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)
    350
  • Popularity (Last 6 weeks)
    831
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    678
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,399
  • Avg Win
    $4,142
  • Sum Trade PL (losers)
    $4,196.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $20,709.000
  • # Winners
    5
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    142
  • Win / Loss
  • # Losers
    3
  • % Winners
    62.5%
  • Frequency
  • Avg Position Time (mins)
    105052.00
  • Avg Position Time (hrs)
    1750.87
  • Avg Trade Length
    73.0 days
  • Last Trade Ago
    45
  • Leverage
  • Daily leverage (average)
    1.97
  • Daily leverage (max)
    3.03
  • Regression
  • Alpha
    0.84
  • Beta
    -3.26
  • Treynor Index
    -0.22
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.08
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    0.468
  • 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
    0.08
  • Avg(MAE) / Avg(PL) - Winning trades
    0.061
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.412
  • Hold-and-Hope Ratio
    2.196
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    4.15390
  • SD
    2.94490
  • Sharpe ratio (Glass type estimate)
    1.41054
  • Sharpe ratio (Hedges UMVUE)
    1.12545
  • df
    4.00000
  • t
    0.91050
  • p
    0.20703
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.84546
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.51364
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.00947
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.26037
  • Statistics related to Sortino ratio
  • Sortino ratio
    22.47420
  • Upside Potential Ratio
    24.85170
  • Upside part of mean
    4.59334
  • Downside part of mean
    -0.43944
  • Upside SD
    2.88820
  • Downside SD
    0.18483
  • N nonnegative terms
    2.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.18581
  • Mean of criterion
    4.15390
  • SD of predictor
    0.12522
  • SD of criterion
    2.94490
  • Covariance
    -0.34525
  • r
    -0.93624
  • b (slope, estimate of beta)
    -22.01820
  • a (intercept, estimate of alpha)
    8.24503
  • Mean Square Error
    1.42752
  • DF error
    3.00000
  • t(b)
    -4.61527
  • p(b)
    0.99043
  • t(a)
    4.01752
  • p(a)
    0.01384
  • Lowerbound of 95% confidence interval for beta
    -37.20080
  • Upperbound of 95% confidence interval for beta
    -6.83560
  • Lowerbound of 95% confidence interval for alpha
    1.71379
  • Upperbound of 95% confidence interval for alpha
    14.77630
  • Treynor index (mean / b)
    -0.18866
  • Jensen alpha (a)
    8.24503
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.18226
  • SD
    1.69381
  • Sharpe ratio (Glass type estimate)
    1.28837
  • Sharpe ratio (Hedges UMVUE)
    1.02797
  • df
    4.00000
  • t
    0.83164
  • p
    0.22619
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.93885
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.37366
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.09083
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.14677
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.28720
  • Upside Potential Ratio
    13.64840
  • Upside part of mean
    2.63878
  • Downside part of mean
    -0.45652
  • Upside SD
    1.62932
  • Downside SD
    0.19334
  • N nonnegative terms
    2.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.17775
  • Mean of criterion
    2.18226
  • SD of predictor
    0.12532
  • SD of criterion
    1.69381
  • Covariance
    -0.19827
  • r
    -0.93404
  • b (slope, estimate of beta)
    -12.62450
  • a (intercept, estimate of alpha)
    4.42630
  • Mean Square Error
    0.48797
  • DF error
    3.00000
  • t(b)
    -4.52968
  • p(b)
    0.98993
  • t(a)
    3.71899
  • p(a)
    0.01692
  • Lowerbound of 95% confidence interval for beta
    -21.49410
  • Upperbound of 95% confidence interval for beta
    -3.75482
  • Lowerbound of 95% confidence interval for alpha
    0.63858
  • Upperbound of 95% confidence interval for alpha
    8.21401
  • Treynor index (mean / b)
    -0.17286
  • Jensen alpha (a)
    4.42630
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.46335
  • Expected Shortfall on VaR
    0.55585
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09214
  • Expected Shortfall on VaR
    0.13409
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.89779
  • Quartile 1
    0.95257
  • Median
    0.97353
  • Quartile 3
    1.05257
  • Maximum
    2.86598
  • Mean of quarter 1
    0.92518
  • Mean of quarter 2
    0.97353
  • Mean of quarter 3
    1.05257
  • Mean of quarter 4
    2.86598
  • Inter Quartile Range
    0.10000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    2.86598
  • 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
    0.16743
  • Quartile 1
    0.16743
  • Median
    0.16743
  • Quartile 3
    0.16743
  • Maximum
    0.16743
  • 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)
    3.62774
  • Compounded annual return (geometric extrapolation)
    8.11726
  • Calmar ratio (compounded annual return / max draw down)
    48.48080
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    14.60350
  • 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
    3.01320
  • SD
    1.52413
  • Sharpe ratio (Glass type estimate)
    1.97699
  • Sharpe ratio (Hedges UMVUE)
    1.96407
  • df
    115.00000
  • t
    1.31548
  • p
    0.42268
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.98388
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.92939
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99242
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.92056
  • Statistics related to Sortino ratio
  • Sortino ratio
    17.16210
  • Upside Potential Ratio
    25.73360
  • Upside part of mean
    4.51812
  • Downside part of mean
    -1.50492
  • Upside SD
    1.51881
  • Downside SD
    0.17557
  • N nonnegative terms
    52.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    116.00000
  • Mean of predictor
    0.11892
  • Mean of criterion
    3.01320
  • SD of predictor
    0.14802
  • SD of criterion
    1.52413
  • Covariance
    -0.09965
  • r
    -0.44169
  • b (slope, estimate of beta)
    -4.54789
  • a (intercept, estimate of alpha)
    3.55400
  • Mean Square Error
    1.88620
  • DF error
    114.00000
  • t(b)
    -5.25643
  • p(b)
    0.72084
  • t(a)
    1.71975
  • p(a)
    0.42049
  • Lowerbound of 95% confidence interval for beta
    -6.26185
  • Upperbound of 95% confidence interval for beta
    -2.83393
  • Lowerbound of 95% confidence interval for alpha
    -0.53988
  • Upperbound of 95% confidence interval for alpha
    7.64792
  • Treynor index (mean / b)
    -0.66255
  • Jensen alpha (a)
    3.55402
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.25253
  • SD
    1.10709
  • Sharpe ratio (Glass type estimate)
    2.03464
  • Sharpe ratio (Hedges UMVUE)
    2.02134
  • df
    115.00000
  • t
    1.35383
  • p
    0.42047
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92696
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.98755
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93579
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.97847
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.61480
  • Upside Potential Ratio
    21.13020
  • Upside part of mean
    3.77306
  • Downside part of mean
    -1.52053
  • Upside SD
    1.09662
  • Downside SD
    0.17856
  • N nonnegative terms
    52.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    116.00000
  • Mean of predictor
    0.10798
  • Mean of criterion
    2.25253
  • SD of predictor
    0.14840
  • SD of criterion
    1.10709
  • Covariance
    -0.07894
  • r
    -0.48046
  • b (slope, estimate of beta)
    -3.58435
  • a (intercept, estimate of alpha)
    2.63958
  • Mean Square Error
    0.95099
  • DF error
    114.00000
  • t(b)
    -5.84927
  • p(b)
    0.74023
  • t(a)
    1.79922
  • p(a)
    0.41691
  • Lowerbound of 95% confidence interval for beta
    -4.79827
  • Upperbound of 95% confidence interval for beta
    -2.37043
  • Lowerbound of 95% confidence interval for alpha
    -0.26668
  • Upperbound of 95% confidence interval for alpha
    5.54584
  • Treynor index (mean / b)
    -0.62843
  • Jensen alpha (a)
    2.63958
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09869
  • Expected Shortfall on VaR
    0.12380
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01413
  • Expected Shortfall on VaR
    0.02609
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    116.00000
  • Minimum
    0.94885
  • Quartile 1
    0.99167
  • Median
    0.99841
  • Quartile 3
    1.00739
  • Maximum
    1.96657
  • Mean of quarter 1
    0.98266
  • Mean of quarter 2
    0.99477
  • Mean of quarter 3
    1.00212
  • Mean of quarter 4
    1.06688
  • Inter Quartile Range
    0.01572
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02586
  • Mean of outliers low
    0.95104
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.08621
  • Mean of outliers high
    1.16485
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40335
  • VaR(95%) (moments method)
    0.01939
  • Expected Shortfall (moments method)
    0.03506
  • Extreme Value Index (regression method)
    0.16272
  • VaR(95%) (regression method)
    0.01606
  • Expected Shortfall (regression method)
    0.02248
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00965
  • Quartile 1
    0.02853
  • Median
    0.05071
  • Quartile 3
    0.06397
  • Maximum
    0.18565
  • Mean of quarter 1
    0.01674
  • Mean of quarter 2
    0.04263
  • Mean of quarter 3
    0.05879
  • Mean of quarter 4
    0.12567
  • Inter Quartile Range
    0.03544
  • 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
    0.16667
  • Mean of outliers high
    0.18565
  • 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)
    3.94054
  • Compounded annual return (geometric extrapolation)
    8.78095
  • Calmar ratio (compounded annual return / max draw down)
    47.29920
  • Compounded annual return / average of 25% largest draw downs
    69.87220
  • Compounded annual return / Expected Shortfall lognormal
    70.92620
  • 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)
    0.09900
  • 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
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -365759000
  • Max Equity Drawdown (num days)
    101

Strategy Description

SDF Fund Group A is a strategy based on a real investment fund that earns on market anomalies. SDF Fund consists of 4 groups of strategies.



The first group of strategies consists of 3 strategies and its basic principle is to identify the low cost of market risk hedging instruments with abnormal values and parallel opening of positions with market risk. This group of strategies is an alternative way to buy market volatility at the time of their "cheap" cost.


The second group of strategies identifies abnormal values of instruments tied directly to volatility indicators, such as derivatives on the VIX index. 3 strategies are prescribed, including entry points and an action plan depending on possible scenarios. This group of strategies does not have a hedge.


The third group of strategies is aimed at identifying anomalies in the raw materials market due to the deviation of current values from the "real" values that are necessary for the functioning of the world economy. These investments are of a medium-term nature, since it is unknown exactly how long it will take to transition to "normal" value.

The final group of strategies identifies abnormal corrections in all directions and forms a position based on the "ladder" principle at the right time. In this group of strategies, there are more than 4 strategies for the following instruments: the stock market, the bond market and the real estate market.

The SDF Fund strategy is based on the strategy of a real fund, only here signals with high risk and without the use of option instruments are published. In the near future we will finish the website and describe the news in detail.



sdf-solutions.com
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2024-07-11
Suggested Minimum Capital
$15,000
# Trades
8
# Profitable
5
% Profitable
62.5%
Net Dividends
$141
Correlation S&P500
-0.469
Sharpe Ratio
2.15
Sortino Ratio
11.57
Beta
-3.26
Alpha
0.84
Leverage
1.97 Average
3.03 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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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.