Collective2 Collective2
Featured Strategy Cryptoverse Followed by live capital $1.80 million Hypothetical

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Quanatee US100
(148792552)

Created by: Quanatee Quanatee
Started: 08/2024
Stocks
Last trade: 24 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 $38.00 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.
2.1%
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.

(3.5%)
Max Drawdown
520
Num Trades
34.4%
Win Trades
1.3 : 1
Profit Factor
40.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                                                 +3.6%(0.1%)(1.4%)+0.2%(0.1%)+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 4 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/21/24 12:39 GOOGL ALPHABET INC CLASS A SHORT 1 166.16 11/27 11:08 168.95 0.01%
Trade id #150145293
Max drawdown($3)
Time11/26/24 0:00
Quant open1
Worst price169.82
Drawdown as % of equity-0.01%
 ($3)
Includes Typical Broker Commissions trade costs of $0.02
11/20/24 13:12 WBD WARNER BROS. DISCOVERY INC. SERIES A LONG 86 9.92 11/27 11:08 10.32 0.02%
Trade id #150135130
Max drawdown($11)
Time11/20/24 13:59
Quant open77
Worst price9.74
Drawdown as % of equity-0.02%
 $32
Includes Typical Broker Commissions trade costs of $1.72
11/21/24 13:06 PEP PEPSICO LONG 1 159.75 11/26 11:33 162.00 0%
Trade id #150145548
Max drawdown($0)
Time11/21/24 13:20
Quant open1
Worst price159.58
Drawdown as % of equity-0.00%
 $2
Includes Typical Broker Commissions trade costs of $0.02
11/21/24 13:06 MU MICRON TECHNOLOGY LONG 16 102.86 11/26 11:33 102.30 0.04%
Trade id #150145546
Max drawdown($22)
Time11/26/24 10:28
Quant open9
Worst price100.31
Drawdown as % of equity-0.04%
 ($9)
Includes Typical Broker Commissions trade costs of $0.32
11/21/24 13:06 CEG CONSTELLATION ENERGY CORPORATION LONG 3 248.48 11/26 11:33 264.38 0.02%
Trade id #150145540
Max drawdown($10)
Time11/22/24 0:00
Quant open3
Worst price245.03
Drawdown as % of equity-0.02%
 $48
Includes Typical Broker Commissions trade costs of $0.06
11/21/24 12:15 ISRG INTUITIVE SURGICAL LONG 1 547.92 11/26 11:33 541.19 0.02%
Trade id #150145071
Max drawdown($10)
Time11/26/24 9:30
Quant open1
Worst price537.28
Drawdown as % of equity-0.02%
 ($7)
Includes Typical Broker Commissions trade costs of $0.02
11/21/24 12:07 CDW CDW CORPORATION COMMON STOCK LONG 4 178.16 11/26 11:33 179.24 0.01%
Trade id #150144955
Max drawdown($3)
Time11/22/24 0:00
Quant open4
Worst price177.27
Drawdown as % of equity-0.01%
 $4
Includes Typical Broker Commissions trade costs of $0.08
11/21/24 12:07 CMCSA COMCAST LONG 3 43.42 11/26 11:33 42.96 0%
Trade id #150144959
Max drawdown($1)
Time11/26/24 9:34
Quant open2
Worst price42.53
Drawdown as % of equity-0.00%
 ($1)
Includes Typical Broker Commissions trade costs of $0.06
11/21/24 11:46 CTSH COGNIZANT TECH SOLUTION LONG 1 78.70 11/26 11:33 80.21 0%
Trade id #150144656
Max drawdown($0)
Time11/21/24 12:05
Quant open1
Worst price78.53
Drawdown as % of equity-0.00%
 $2
Includes Typical Broker Commissions trade costs of $0.02
11/21/24 11:46 PDD PINDUODUO INC. ADS SHORT 29 105.21 11/26 11:33 100.30 0.12%
Trade id #150144654
Max drawdown($58)
Time11/21/24 12:32
Quant open29
Worst price107.24
Drawdown as % of equity-0.12%
 $142
Includes Typical Broker Commissions trade costs of $0.58
11/21/24 10:45 TXN TEXAS INSTRUMENTS SHORT 1 197.07 11/26 11:33 200.50 0.02%
Trade id #150142877
Max drawdown($9)
Time11/26/24 9:30
Quant open1
Worst price206.91
Drawdown as % of equity-0.02%
 ($3)
Includes Typical Broker Commissions trade costs of $0.02
11/20/24 15:07 EA ELECTRONIC ARTS LONG 14 166.13 11/26 11:33 166.85 0.05%
Trade id #150135923
Max drawdown($23)
Time11/22/24 0:00
Quant open14
Worst price164.47
Drawdown as % of equity-0.05%
 $10
Includes Typical Broker Commissions trade costs of $0.28
11/20/24 13:07 ABNB AIRBNB INC. CLASS A COMMON STOCK LONG 1 134.28 11/26 11:33 140.22 0%
Trade id #150135091
Max drawdown($1)
Time11/21/24 0:00
Quant open1
Worst price132.58
Drawdown as % of equity-0.00%
 $6
Includes Typical Broker Commissions trade costs of $0.02
11/20/24 12:34 GEHC GE HEALTHCARE TECHNOLOGIES INC. LONG 2 84.73 11/26 11:33 82.94 0.02%
Trade id #150134814
Max drawdown($8)
Time11/22/24 0:00
Quant open2
Worst price80.56
Drawdown as % of equity-0.02%
 ($4)
Includes Typical Broker Commissions trade costs of $0.04
11/20/24 11:38 TTD THE TRADE DESK INC. CLASS A LONG 1 122.92 11/26 11:33 130.47 0%
Trade id #150133289
Max drawdown($0)
Time11/21/24 0:00
Quant open1
Worst price122.31
Drawdown as % of equity-0.00%
 $8
Includes Typical Broker Commissions trade costs of $0.02
11/19/24 14:46 SMCI SUPER MICRO COMPUTER LONG 40 27.73 11/26 11:33 34.15 0.21%
Trade id #150126002
Max drawdown($109)
Time11/20/24 0:00
Quant open35
Worst price24.82
Drawdown as % of equity-0.21%
 $256
Includes Typical Broker Commissions trade costs of $0.80
11/19/24 13:07 COST COSTCO WHOLESALE LONG 1 928.91 11/26 11:33 964.81 0.02%
Trade id #150124911
Max drawdown($12)
Time11/20/24 0:00
Quant open1
Worst price916.50
Drawdown as % of equity-0.02%
 $36
Includes Typical Broker Commissions trade costs of $0.02
11/18/24 13:07 MSFT MICROSOFT SHORT 1 416.09 11/26 11:33 426.01 0.02%
Trade id #150114782
Max drawdown($11)
Time11/26/24 10:44
Quant open1
Worst price427.25
Drawdown as % of equity-0.02%
 ($10)
Includes Typical Broker Commissions trade costs of $0.02
11/18/24 12:38 HON HONEYWELL INTERNATIONAL SHORT 1 229.82 11/26 11:33 230.18 0.01%
Trade id #150114504
Max drawdown($2)
Time11/26/24 9:30
Quant open1
Worst price232.50
Drawdown as % of equity-0.01%
 $0
Includes Typical Broker Commissions trade costs of $0.02
11/15/24 13:32 IDXX IDEXX LABORATORIES SHORT 1 419.65 11/26 11:33 419.49 0.02%
Trade id #150099255
Max drawdown($9)
Time11/26/24 9:34
Quant open1
Worst price429.06
Drawdown as % of equity-0.02%
 $0
Includes Typical Broker Commissions trade costs of $0.02
11/13/24 12:37 KLAC KLA CORP SHORT 1 642.66 11/26 11:33 631.59 0.03%
Trade id #150078070
Max drawdown($17)
Time11/14/24 0:00
Quant open1
Worst price660.00
Drawdown as % of equity-0.03%
 $11
Includes Typical Broker Commissions trade costs of $0.02
11/11/24 15:07 XEL XCEL ENERGY LONG 5 69.55 11/26 11:33 70.45 0%
Trade id #150058742
Max drawdown($0)
Time11/13/24 0:00
Quant open1
Worst price68.13
Drawdown as % of equity-0.00%
 $5
Includes Typical Broker Commissions trade costs of $0.10
11/11/24 12:55 AVGO BROADCOM LIMITED ORDINARY SHARES SHORT 5 177.09 11/26 11:33 167.84 0.01%
Trade id #150057732
Max drawdown($4)
Time11/12/24 0:00
Quant open3
Worst price179.56
Drawdown as % of equity-0.01%
 $46
Includes Typical Broker Commissions trade costs of $0.10
11/7/24 13:06 AAPL APPLE LONG 1 227.07 11/26 11:33 234.76 0.01%
Trade id #150031201
Max drawdown($5)
Time11/11/24 0:00
Quant open1
Worst price221.50
Drawdown as % of equity-0.01%
 $8
Includes Typical Broker Commissions trade costs of $0.02
11/21/24 13:11 PANW PALO ALTO NETWORKS LONG 1 399.28 11/25 9:39 389.92 0.05%
Trade id #150145603
Max drawdown($24)
Time11/22/24 0:00
Quant open1
Worst price375.20
Drawdown as % of equity-0.05%
 ($9)
Includes Typical Broker Commissions trade costs of $0.02
11/21/24 13:06 INTU INTUIT LONG 1 678.35 11/25 9:39 646.14 0.08%
Trade id #150145544
Max drawdown($41)
Time11/25/24 9:31
Quant open1
Worst price637.18
Drawdown as % of equity-0.08%
 ($32)
Includes Typical Broker Commissions trade costs of $0.02
11/20/24 12:46 ORLY O'REILLY AUTOMOTIVE SHORT 1 1188.09 11/25 9:39 1242.43 0.11%
Trade id #150134895
Max drawdown($54)
Time11/25/24 9:38
Quant open1
Worst price1242.79
Drawdown as % of equity-0.11%
 ($54)
Includes Typical Broker Commissions trade costs of $0.02
11/20/24 12:07 DLTR DOLLAR TREE STORES SHORT 7 62.11 11/25 9:39 68.89 0.09%
Trade id #150134468
Max drawdown($48)
Time11/25/24 9:39
Quant open7
Worst price69.00
Drawdown as % of equity-0.09%
 ($47)
Includes Typical Broker Commissions trade costs of $0.14
11/19/24 12:39 FAST FASTENAL SHORT 2 81.40 11/25 9:39 82.39 0%
Trade id #150124614
Max drawdown($2)
Time11/25/24 9:37
Quant open1
Worst price83.64
Drawdown as % of equity-0.00%
 ($2)
Includes Typical Broker Commissions trade costs of $0.04
11/15/24 13:07 ZS ZSCALER INC. COMMON STOCK SHORT 5 200.06 11/25 9:39 204.33 0.04%
Trade id #150099022
Max drawdown($18)
Time11/18/24 0:00
Quant open4
Worst price204.63
Drawdown as % of equity-0.04%
 ($21)
Includes Typical Broker Commissions trade costs of $0.10
Next

Statistics

  • Strategy began
    8/1/2024
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    138.45
  • Age
    142 days ago
  • What it trades
    Stocks
  • # Trades
    520
  • # Profitable
    179
  • % Profitable
    34.40%
  • Avg trade duration
    6.4 days
  • Max peak-to-valley drawdown
    3.51%
  • drawdown period
    Aug 22, 2024 - Nov 06, 2024
  • Cumul. Return
    2.1%
  • Avg win
    $36.71
  • Avg loss
    $15.07
  • Model Account Values (Raw)
  • Cash
    $51,156
  • Margin Used
    ($73)
  • Buying Power
    $51,234
  • Ratios
  • W:L ratio
    1.29:1
  • Sharpe Ratio
    0.65
  • Sortino Ratio
    1.41
  • Calmar Ratio
    3.114
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -8.99%
  • Correlation to SP500
    0.14130
  • Return Percent SP500 (cumu) during strategy life
    8.89%
  • Return Statistics
  • Ann Return (w trading costs)
    5.4%
  • Slump
  • Current Slump as Pcnt Equity
    3.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.85%
  • 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)
    0.021%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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
    100.00%
  • 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
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $15
  • Avg Win
    $36
  • Sum Trade PL (losers)
    $5,155.000
  • Age
  • Num Months filled monthly returns table
    5
  • Win / Loss
  • Sum Trade PL (winners)
    $6,568.000
  • # Winners
    180
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    -13
  • Win / Loss
  • # Losers
    340
  • % Winners
    34.6%
  • Frequency
  • Avg Position Time (mins)
    9177.42
  • Avg Position Time (hrs)
    152.96
  • Avg Trade Length
    6.4 days
  • Last Trade Ago
    20
  • Leverage
  • Daily leverage (average)
    0.41
  • Daily leverage (max)
    0.83
  • Regression
  • Alpha
    0.01
  • Beta
    0.05
  • Treynor Index
    0.20
  • 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)
    -0.87
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    7.468
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.327
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.299
  • Hold-and-Hope Ratio
    0.136
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05928
  • SD
    0.08070
  • Sharpe ratio (Glass type estimate)
    0.73451
  • Sharpe ratio (Hedges UMVUE)
    0.53149
  • df
    3.00000
  • t
    0.42407
  • p
    0.35004
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.76214
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.11915
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.88980
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.95278
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.98444
  • Upside Potential Ratio
    3.91979
  • Upside part of mean
    0.11709
  • Downside part of mean
    -0.05781
  • Upside SD
    0.06546
  • Downside SD
    0.02987
  • N nonnegative terms
    2.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.29394
  • Mean of criterion
    0.05928
  • SD of predictor
    0.08475
  • SD of criterion
    0.08070
  • Covariance
    0.00004
  • r
    0.00553
  • b (slope, estimate of beta)
    0.00526
  • a (intercept, estimate of alpha)
    0.05773
  • Mean Square Error
    0.00977
  • DF error
    2.00000
  • t(b)
    0.00782
  • p(b)
    0.49724
  • t(a)
    0.22061
  • p(a)
    0.42293
  • Lowerbound of 95% confidence interval for beta
    -2.89187
  • Upperbound of 95% confidence interval for beta
    2.90239
  • Lowerbound of 95% confidence interval for alpha
    -1.06822
  • Upperbound of 95% confidence interval for alpha
    1.18369
  • Treynor index (mean / b)
    11.25960
  • Jensen alpha (a)
    0.05773
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05661
  • SD
    0.07955
  • Sharpe ratio (Glass type estimate)
    0.71160
  • Sharpe ratio (Hedges UMVUE)
    0.51492
  • df
    3.00000
  • t
    0.41085
  • p
    0.35439
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.78053
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.09504
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.90475
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.93458
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.88351
  • Upside Potential Ratio
    3.81747
  • Upside part of mean
    0.11474
  • Downside part of mean
    -0.05813
  • Upside SD
    0.06411
  • Downside SD
    0.03006
  • N nonnegative terms
    2.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.28719
  • Mean of criterion
    0.05661
  • SD of predictor
    0.08218
  • SD of criterion
    0.07955
  • Covariance
    0.00011
  • r
    0.01627
  • b (slope, estimate of beta)
    0.01575
  • a (intercept, estimate of alpha)
    0.05209
  • Mean Square Error
    0.00949
  • DF error
    2.00000
  • t(b)
    0.02301
  • p(b)
    0.49187
  • t(a)
    0.20108
  • p(a)
    0.42962
  • Lowerbound of 95% confidence interval for beta
    -2.92906
  • Upperbound of 95% confidence interval for beta
    2.96055
  • Lowerbound of 95% confidence interval for alpha
    -1.06252
  • Upperbound of 95% confidence interval for alpha
    1.16670
  • Treynor index (mean / b)
    3.59544
  • Jensen alpha (a)
    0.05209
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03252
  • Expected Shortfall on VaR
    0.04172
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01123
  • Expected Shortfall on VaR
    0.02026
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.98522
  • Quartile 1
    0.99643
  • Median
    1.00188
  • Quartile 3
    1.01271
  • Maximum
    1.04010
  • Mean of quarter 1
    0.98522
  • Mean of quarter 2
    1.00017
  • Mean of quarter 3
    1.00358
  • Mean of quarter 4
    1.04010
  • Inter Quartile Range
    0.01628
  • 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
    1.04010
  • 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
    0.01478
  • Quartile 1
    0.01478
  • Median
    0.01478
  • Quartile 3
    0.01478
  • Maximum
    0.01478
  • 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)
    0.08572
  • Compounded annual return (geometric extrapolation)
    0.08819
  • Calmar ratio (compounded annual return / max draw down)
    5.96607
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    2.11383
  • 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
    0.05231
  • SD
    0.05277
  • Sharpe ratio (Glass type estimate)
    0.99120
  • Sharpe ratio (Hedges UMVUE)
    0.98291
  • df
    90.00000
  • t
    0.58416
  • p
    0.28029
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.34031
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.31731
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.34584
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.31167
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.15685
  • Upside Potential Ratio
    10.97830
  • Upside part of mean
    0.26625
  • Downside part of mean
    -0.21394
  • Upside SD
    0.04665
  • Downside SD
    0.02425
  • N nonnegative terms
    36.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    91.00000
  • Mean of predictor
    0.28512
  • Mean of criterion
    0.05231
  • SD of predictor
    0.15077
  • SD of criterion
    0.05277
  • Covariance
    0.00096
  • r
    0.12084
  • b (slope, estimate of beta)
    0.04230
  • a (intercept, estimate of alpha)
    0.04000
  • Mean Square Error
    0.00278
  • DF error
    89.00000
  • t(b)
    1.14843
  • p(b)
    0.12693
  • t(a)
    0.44720
  • p(a)
    0.32791
  • Lowerbound of 95% confidence interval for beta
    -0.03088
  • Upperbound of 95% confidence interval for beta
    0.11548
  • Lowerbound of 95% confidence interval for alpha
    -0.13858
  • Upperbound of 95% confidence interval for alpha
    0.21908
  • Treynor index (mean / b)
    1.23667
  • Jensen alpha (a)
    0.04025
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05093
  • SD
    0.05254
  • Sharpe ratio (Glass type estimate)
    0.96928
  • Sharpe ratio (Hedges UMVUE)
    0.96118
  • df
    90.00000
  • t
    0.57124
  • p
    0.28463
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.36200
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.29535
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.36744
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.28981
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.09620
  • Upside Potential Ratio
    10.91310
  • Upside part of mean
    0.26514
  • Downside part of mean
    -0.21421
  • Upside SD
    0.04637
  • Downside SD
    0.02430
  • N nonnegative terms
    36.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    91.00000
  • Mean of predictor
    0.27361
  • Mean of criterion
    0.05093
  • SD of predictor
    0.15170
  • SD of criterion
    0.05254
  • Covariance
    0.00095
  • r
    0.11945
  • b (slope, estimate of beta)
    0.04137
  • a (intercept, estimate of alpha)
    0.03961
  • Mean Square Error
    0.00275
  • DF error
    89.00000
  • t(b)
    1.13505
  • p(b)
    0.12970
  • t(a)
    0.44221
  • p(a)
    0.32970
  • Lowerbound of 95% confidence interval for beta
    -0.03105
  • Upperbound of 95% confidence interval for beta
    0.11380
  • Lowerbound of 95% confidence interval for alpha
    -0.13836
  • Upperbound of 95% confidence interval for alpha
    0.21758
  • Treynor index (mean / b)
    1.23092
  • Jensen alpha (a)
    0.03961
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00513
  • Expected Shortfall on VaR
    0.00648
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00212
  • Expected Shortfall on VaR
    0.00380
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    91.00000
  • Minimum
    0.99446
  • Quartile 1
    0.99875
  • Median
    0.99994
  • Quartile 3
    1.00070
  • Maximum
    1.01582
  • Mean of quarter 1
    0.99750
  • Mean of quarter 2
    0.99952
  • Mean of quarter 3
    1.00022
  • Mean of quarter 4
    1.00398
  • Inter Quartile Range
    0.00195
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.04396
  • Mean of outliers low
    0.99490
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    1.00885
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16094
  • VaR(95%) (moments method)
    0.00265
  • Expected Shortfall (moments method)
    0.00379
  • Extreme Value Index (regression method)
    -0.05307
  • VaR(95%) (regression method)
    0.00256
  • Expected Shortfall (regression method)
    0.00327
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00143
  • Quartile 1
    0.00162
  • Median
    0.00634
  • Quartile 3
    0.01484
  • Maximum
    0.02634
  • Mean of quarter 1
    0.00143
  • Mean of quarter 2
    0.00168
  • Mean of quarter 3
    0.01100
  • Mean of quarter 4
    0.02634
  • Inter Quartile Range
    0.01322
  • 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)
    0.07992
  • Compounded annual return (geometric extrapolation)
    0.08203
  • Calmar ratio (compounded annual return / max draw down)
    3.11421
  • Compounded annual return / average of 25% largest draw downs
    3.11421
  • Compounded annual return / Expected Shortfall lognormal
    12.65930
  • 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)
    0.00500
  • 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
    0.75%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -351025000
  • Max Equity Drawdown (num days)
    76

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2024-08-01
Suggested Minimum Capital
$5,000
# Trades
520
# Profitable
179
% Profitable
34.4%
Net Dividends
($12)
Correlation S&P500
0.141
Sharpe Ratio
0.65
Sortino Ratio
1.41
Beta
0.05
Alpha
0.01
Leverage
0.41 Average
0.83 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.