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These are hypothetical performance results that have certain inherent limitations. Learn more

Blockchain Quantum Fund
(85633603)

Created by: ManuelllX ManuelllX
Started: 02/2014
Stocks
Last trade: 897 days ago
Trading style: Equity Hedged 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 $10.00 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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
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.
12.9%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(24.0%)
Max Drawdown
186
Num Trades
47.8%
Win Trades
2.7 : 1
Profit Factor
36.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014       +7.7%+1.0%+4.7%+5.6%+7.1%(1.3%)+1.4%(7.5%)(3.2%)+7.6%(4%)+19.3%
2015(2.2%)+3.2%+0.9%(1.7%)+3.5%(1.7%)+2.0%+3.7%  -  (0.3%)(3.2%)+1.4%+5.5%
2016+10.9%(0.6%)+0.3%+0.8%+3.4%(2.3%)+2.3%(2.6%)(3%)(0.8%)(1.4%)+2.2%+8.7%
2017+5.6%+3.4%+0.4%+1.8%+2.4%(1.7%)+4.7%(0.8%)+0.4%+3.8%(2.6%)(0.8%)+17.5%
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -  (7.9%)+6.2%(1.9%)(4.8%)(0.3%)+5.1%+8.6%+6.4%+10.6%
2020+6.2%(0.5%)+1.5%+17.9%(0.5%)(6.5%)+25.8%+5.3%(14%)+22.5%+24.9%+1.2%+107.8%
2021(5.1%)(7.5%)(0.1%)+4.4%+6.5%(2.8%)+3.2%+2.6%(8.6%)+1.1%  -    -  (7.4%)
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

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

This strategy has placed 240 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1134 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/11/21 9:30 FB META PLATFORMS INC LONG 15 300.75 10/4 15:56 326.10 0.08%
Trade id #135555299
Max drawdown($38)
Time5/12/21 0:00
Quant open15
Worst price298.19
Drawdown as % of equity-0.08%
$380
Includes Typical Broker Commissions trade costs of $0.30
4/20/21 9:30 EBAY EBAY LONG 55 63.63 10/4 15:56 68.38 1.05%
Trade id #135227957
Max drawdown($477)
Time4/29/21 0:00
Quant open55
Worst price54.95
Drawdown as % of equity-1.05%
$260
Includes Typical Broker Commissions trade costs of $1.10
3/4/21 9:30 GBTC GRAYSCALE BITCOIN TRUST (BTC) LONG 75 45.39 10/4 15:56 37.48 3.45%
Trade id #134412569
Max drawdown($1,604)
Time6/22/21 0:00
Quant open75
Worst price24.00
Drawdown as % of equity-3.45%
($595)
Includes Typical Broker Commissions trade costs of $1.50
2/22/21 9:30 MSFT MICROSOFT LONG 37 237.58 10/4 15:56 283.19 1.16%
Trade id #134190584
Max drawdown($492)
Time3/4/21 0:00
Quant open37
Worst price224.26
Drawdown as % of equity-1.16%
$1,687
Includes Typical Broker Commissions trade costs of $0.74
2/8/21 15:58 VALE VALE LONG 175 17.64 10/4 15:56 13.90 1.55%
Trade id #133926591
Max drawdown($682)
Time9/29/21 0:00
Quant open175
Worst price13.74
Drawdown as % of equity-1.55%
($659)
Includes Typical Broker Commissions trade costs of $3.50
12/4/20 11:14 PHYS SPROTT PHYSICAL GOLD TRUST UNI LONG 5,216 14.84 10/4/21 15:56 14.18 10.58%
Trade id #132644069
Max drawdown($4,522)
Time3/30/21 0:00
Quant open2,816
Worst price13.23
Drawdown as % of equity-10.58%
($3,420)
Includes Typical Broker Commissions trade costs of $17.50
2/8/21 14:50 AAPL APPLE LONG 132 135.96 3/3 15:08 128.71 2.81%
Trade id #133923645
Max drawdown($1,265)
Time2/23/21 0:00
Quant open72
Worst price118.39
Drawdown as % of equity-2.81%
($960)
Includes Typical Broker Commissions trade costs of $2.64
12/4/20 9:30 CVX CHEVRON SHORT 5 91.22 12/4 11:11 92.59 0.02%
Trade id #132640770
Max drawdown($7)
Time12/4/20 10:41
Quant open5
Worst price92.80
Drawdown as % of equity-0.02%
($7)
Includes Typical Broker Commissions trade costs of $0.10
12/4/20 9:30 AAL AMERICAN AIRLINES GROUP INC. C SHORT 250 16.40 12/4 11:11 16.29 0.28%
Trade id #132640765
Max drawdown($132)
Time12/4/20 9:38
Quant open250
Worst price16.93
Drawdown as % of equity-0.28%
$23
Includes Typical Broker Commissions trade costs of $5.00
12/4/20 9:30 SABR SABRE CORPORATION COMMON STOCK SHORT 333 12.17 12/4 11:11 12.19 0.15%
Trade id #132640766
Max drawdown($69)
Time12/4/20 9:54
Quant open333
Worst price12.38
Drawdown as % of equity-0.15%
($14)
Includes Typical Broker Commissions trade costs of $6.66
8/3/20 11:09 CVX CHEVRON SHORT 5 84.56 12/4 9:30 91.22 0.12%
Trade id #130422528
Max drawdown($56)
Time11/24/20 0:00
Quant open5
Worst price95.82
Drawdown as % of equity-0.12%
($33)
Includes Typical Broker Commissions trade costs of $0.10
2/10/20 9:30 GBTC GRAYSCALE BITCOIN TRUST (BTC) LONG 2,121 10.70 12/4 9:30 22.07 9.93%
Trade id #127435704
Max drawdown($2,182)
Time3/16/20 0:00
Quant open310
Worst price5.01
Drawdown as % of equity-9.93%
$24,111
Includes Typical Broker Commissions trade costs of $17.70
2/11/20 9:30 PHYS SPROTT PHYSICAL GOLD TRUST UNI LONG 3,099 14.06 12/4 9:30 14.65 2.96%
Trade id #127454739
Max drawdown($649)
Time3/16/20 0:00
Quant open433
Worst price11.18
Drawdown as % of equity-2.96%
$1,803
Includes Typical Broker Commissions trade costs of $25.24
8/3/20 11:08 SABR SABRE CORPORATION COMMON STOCK SHORT 333 7.45 12/4 9:30 12.17 3.44%
Trade id #130422504
Max drawdown($1,668)
Time12/3/20 0:00
Quant open333
Worst price12.46
Drawdown as % of equity-3.44%
($1,579)
Includes Typical Broker Commissions trade costs of $6.66
8/3/20 11:07 AAL AMERICAN AIRLINES GROUP INC. C SHORT 250 10.82 12/4 9:30 16.40 2.93%
Trade id #130422477
Max drawdown($1,420)
Time12/3/20 0:00
Quant open250
Worst price16.50
Drawdown as % of equity-2.93%
($1,400)
Includes Typical Broker Commissions trade costs of $5.00
6/11/20 13:00 ETHE GRAYSCALE ETHEREUM TR ETH COMMON UNITS OF FRACTION LONG 10 203.25 8/3 11:08 117.56 4.56%
Trade id #129510054
Max drawdown($1,367)
Time7/20/20 0:00
Quant open10
Worst price66.51
Drawdown as % of equity-4.56%
($857)
Includes Typical Broker Commissions trade costs of $0.20
5/5/20 9:30 SABR SABRE CORPORATION COMMON STOCK SHORT 1,200 7.71 7/13 13:36 8.19 6.46%
Trade id #128871506
Max drawdown($1,792)
Time6/16/20 0:00
Quant open1,200
Worst price9.20
Drawdown as % of equity-6.46%
($595)
Includes Typical Broker Commissions trade costs of $14.50
5/5/20 9:30 AAL AMERICAN AIRLINES GROUP INC. C SHORT 600 12.46 7/13 13:36 12.09 12.92%
Trade id #128871513
Max drawdown($3,762)
Time6/5/20 0:00
Quant open300
Worst price22.80
Drawdown as % of equity-12.92%
$214
Includes Typical Broker Commissions trade costs of $8.50
5/5/20 9:30 TOT TOTAL SE SHORT 240 37.78 7/13 13:36 38.36 2.87%
Trade id #128871495
Max drawdown($797)
Time6/16/20 0:00
Quant open240
Worst price41.10
Drawdown as % of equity-2.87%
($145)
Includes Typical Broker Commissions trade costs of $4.80
5/2/19 9:30 AMZN AMAZON.COM LONG 3 1910.00 5/4/20 9:30 2256.38 3.48%
Trade id #123503787
Max drawdown($851)
Time3/16/20 0:00
Quant open3
Worst price1626.03
Drawdown as % of equity-3.48%
$1,039
Includes Typical Broker Commissions trade costs of $0.06
5/2/19 9:30 NFLX NETFLIX LONG 21 378.00 5/4/20 9:30 417.78 12.43%
Trade id #123503765
Max drawdown($2,640)
Time9/24/19 0:00
Quant open21
Worst price252.28
Drawdown as % of equity-12.43%
$835
Includes Typical Broker Commissions trade costs of $0.42
2/10/20 9:30 TSLA TESLA INC. SHORT 1 800.00 2/11 13:27 782.08 0.07%
Trade id #127435706
Max drawdown($19)
Time2/10/20 9:38
Quant open1
Worst price819.99
Drawdown as % of equity-0.07%
$18
Includes Typical Broker Commissions trade costs of $0.02
5/6/19 9:30 AAPL APPLE LONG 40 204.20 2/10/20 14:50 320.25 6.55%
Trade id #123539930
Max drawdown($1,357)
Time6/3/19 0:00
Quant open40
Worst price170.27
Drawdown as % of equity-6.55%
$4,641
Includes Typical Broker Commissions trade costs of $0.80
8/21/17 9:30 LBTYK LIBERTY GLOBAL PLC CLASS C ORD SHORT 66 32.32 12/18 9:30 31.88 n/a $28
Includes Typical Broker Commissions trade costs of $1.32
10/4/17 9:30 GLD SPDR GOLD SHARES LONG 33 121.21 12/6 10:48 120.04 1.2%
Trade id #114009976
Max drawdown($293)
Time11/24/17 13:13
Quant open33
Worst price112.32
Drawdown as % of equity-1.20%
($40)
Includes Typical Broker Commissions trade costs of $0.66
9/11/17 10:50 X UNITED STATES STEEL SHORT 74 26.95 12/4 9:30 29.98 0.99%
Trade id #113624532
Max drawdown($241)
Time12/1/17 10:52
Quant open-74
Worst price30.21
Drawdown as % of equity-0.99%
($225)
Includes Typical Broker Commissions trade costs of $1.48
11/13/17 9:30 CTXS CITRIX SYSTEMS SHORT 28 83.33 11/27 9:30 86.40 0.47%
Trade id #114824333
Max drawdown($116)
Time11/17/17 12:14
Quant open-28
Worst price87.49
Drawdown as % of equity-0.47%
($87)
Includes Typical Broker Commissions trade costs of $0.56
11/13/17 9:30 FAST FASTENAL SHORT 50 47.11 11/27 9:30 49.28 0.5%
Trade id #114824201
Max drawdown($122)
Time11/22/17 10:45
Quant open-50
Worst price49.56
Drawdown as % of equity-0.50%
($109)
Includes Typical Broker Commissions trade costs of $1.00
9/18/17 9:30 NFLX NETFLIX LONG 21 183.67 11/15 10:41 195.03 n/a $239
Includes Typical Broker Commissions trade costs of $0.42
10/2/17 9:30 VRSN VERISIGN LONG 33 106.77 11/13 9:30 109.49 0.05%
Trade id #113969660
Max drawdown($12)
Time10/27/17 9:40
Quant open33
Worst price106.40
Drawdown as % of equity-0.05%
$89
Includes Typical Broker Commissions trade costs of $0.66

Statistics

  • Strategy began
    2/6/2014
  • Suggested Minimum Cap
    $13,906
  • Strategy Age (days)
    3691.31
  • Age
    123 months ago
  • What it trades
    Stocks
  • # Trades
    186
  • # Profitable
    89
  • % Profitable
    47.80%
  • Avg trade duration
    53.4 days
  • Max peak-to-valley drawdown
    24%
  • drawdown period
    June 04, 2020 - June 16, 2020
  • Annual Return (Compounded)
    12.9%
  • Avg win
    $619.08
  • Avg loss
    $212.26
  • Model Account Values (Raw)
  • Cash
    $49,554
  • Margin Used
    $0
  • Buying Power
    $49,554
  • Ratios
  • W:L ratio
    2.73:1
  • Sharpe Ratio
    0.65
  • Sortino Ratio
    0.98
  • Calmar Ratio
    1.132
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    53.60%
  • Correlation to SP500
    0.18280
  • Return Percent SP500 (cumu) during strategy life
    190.36%
  • Return Statistics
  • Ann Return (w trading costs)
    12.9%
  • Slump
  • Current Slump as Pcnt Equity
    9.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.32%
  • 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)
    0.129%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    13.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    42.00%
  • Chance of 20% account loss
    12.00%
  • Chance of 30% account loss
    2.00%
  • 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
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $212
  • Avg Win
    $619
  • Sum Trade PL (losers)
    $20,589.000
  • Age
  • Num Months filled monthly returns table
    122
  • Win / Loss
  • Sum Trade PL (winners)
    $55,098.000
  • # Winners
    89
  • Num Months Winners
    44
  • Dividends
  • Dividends Received in Model Acct
    1139
  • Win / Loss
  • # Losers
    97
  • % Winners
    47.9%
  • Frequency
  • Avg Position Time (mins)
    76875.50
  • Avg Position Time (hrs)
    1281.26
  • Avg Trade Length
    53.4 days
  • Last Trade Ago
    894
  • Leverage
  • Daily leverage (average)
    1.03
  • Daily leverage (max)
    2.07
  • Regression
  • Alpha
    0.03
  • Beta
    0.15
  • Treynor Index
    0.21
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    12.38
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    24.73
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.73
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.463
  • 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
    0.366
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.377
  • Hold-and-Hope Ratio
    0.684
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20800
  • SD
    0.26182
  • Sharpe ratio (Glass type estimate)
    0.79443
  • Sharpe ratio (Hedges UMVUE)
    0.78635
  • df
    74.00000
  • t
    1.98608
  • p
    0.02536
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00249
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58617
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00780
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58051
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.87983
  • Upside Potential Ratio
    3.27802
  • Upside part of mean
    0.36270
  • Downside part of mean
    -0.15471
  • Upside SD
    0.24289
  • Downside SD
    0.11065
  • N nonnegative terms
    39.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    75.00000
  • Mean of predictor
    0.13531
  • Mean of criterion
    0.20800
  • SD of predictor
    0.18083
  • SD of criterion
    0.26182
  • Covariance
    0.02135
  • r
    0.45085
  • b (slope, estimate of beta)
    0.65279
  • a (intercept, estimate of alpha)
    0.11967
  • Mean Square Error
    0.05536
  • DF error
    73.00000
  • t(b)
    4.31560
  • p(b)
    0.00002
  • t(a)
    1.24247
  • p(a)
    0.10902
  • Lowerbound of 95% confidence interval for beta
    0.35132
  • Upperbound of 95% confidence interval for beta
    0.95425
  • Lowerbound of 95% confidence interval for alpha
    -0.07229
  • Upperbound of 95% confidence interval for alpha
    0.31163
  • Treynor index (mean / b)
    0.31863
  • Jensen alpha (a)
    0.11967
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17541
  • SD
    0.24411
  • Sharpe ratio (Glass type estimate)
    0.71859
  • Sharpe ratio (Hedges UMVUE)
    0.71128
  • df
    74.00000
  • t
    1.79646
  • p
    0.03825
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07623
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.50868
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08104
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50359
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.48766
  • Upside Potential Ratio
    2.85305
  • Upside part of mean
    0.33641
  • Downside part of mean
    -0.16100
  • Upside SD
    0.21784
  • Downside SD
    0.11791
  • N nonnegative terms
    39.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    75.00000
  • Mean of predictor
    0.11783
  • Mean of criterion
    0.17541
  • SD of predictor
    0.18465
  • SD of criterion
    0.24411
  • Covariance
    0.01966
  • r
    0.43624
  • b (slope, estimate of beta)
    0.57670
  • a (intercept, estimate of alpha)
    0.10746
  • Mean Square Error
    0.04891
  • DF error
    73.00000
  • t(b)
    4.14217
  • p(b)
    0.00005
  • t(a)
    1.19439
  • p(a)
    0.11810
  • Lowerbound of 95% confidence interval for beta
    0.29922
  • Upperbound of 95% confidence interval for beta
    0.85418
  • Lowerbound of 95% confidence interval for alpha
    -0.07185
  • Upperbound of 95% confidence interval for alpha
    0.28677
  • Treynor index (mean / b)
    0.30416
  • Jensen alpha (a)
    0.10746
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09633
  • Expected Shortfall on VaR
    0.12225
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02842
  • Expected Shortfall on VaR
    0.06048
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    75.00000
  • Minimum
    0.84049
  • Quartile 1
    0.98751
  • Median
    1.00398
  • Quartile 3
    1.03477
  • Maximum
    1.36550
  • Mean of quarter 1
    0.95446
  • Mean of quarter 2
    0.99948
  • Mean of quarter 3
    1.01493
  • Mean of quarter 4
    1.10953
  • Inter Quartile Range
    0.04726
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.04000
  • Mean of outliers low
    0.86742
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.09333
  • Mean of outliers high
    1.20337
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40373
  • VaR(95%) (moments method)
    0.04235
  • Expected Shortfall (moments method)
    0.08439
  • Extreme Value Index (regression method)
    0.21607
  • VaR(95%) (regression method)
    0.04155
  • Expected Shortfall (regression method)
    0.06813
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.01323
  • Quartile 1
    0.01960
  • Median
    0.06873
  • Quartile 3
    0.10660
  • Maximum
    0.15951
  • Mean of quarter 1
    0.01700
  • Mean of quarter 2
    0.03545
  • Mean of quarter 3
    0.09566
  • Mean of quarter 4
    0.13980
  • Inter Quartile Range
    0.08700
  • 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)
    -139.58300
  • VaR(95%) (moments method)
    0.14775
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.69971
  • VaR(95%) (regression method)
    0.21670
  • Expected Shortfall (regression method)
    0.21686
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41016
  • Compounded annual return (geometric extrapolation)
    0.22546
  • Calmar ratio (compounded annual return / max draw down)
    1.41345
  • Compounded annual return / average of 25% largest draw downs
    1.61279
  • Compounded annual return / Expected Shortfall lognormal
    1.84421
  • 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
    0.18833
  • SD
    0.17542
  • Sharpe ratio (Glass type estimate)
    1.07359
  • Sharpe ratio (Hedges UMVUE)
    1.07311
  • df
    1657.00000
  • t
    2.70073
  • p
    0.45789
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29346
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.85342
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29313
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.85309
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.63168
  • Upside Potential Ratio
    7.44489
  • Upside part of mean
    0.85930
  • Downside part of mean
    -0.67097
  • Upside SD
    0.13254
  • Downside SD
    0.11542
  • N nonnegative terms
    713.00000
  • N negative terms
    945.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1658.00000
  • Mean of predictor
    0.16616
  • Mean of criterion
    0.18833
  • SD of predictor
    0.22870
  • SD of criterion
    0.17542
  • Covariance
    0.00695
  • r
    0.17322
  • b (slope, estimate of beta)
    0.13287
  • a (intercept, estimate of alpha)
    0.16600
  • Mean Square Error
    0.02987
  • DF error
    1656.00000
  • t(b)
    7.15720
  • p(b)
    0.41339
  • t(a)
    2.41757
  • p(a)
    0.47035
  • Lowerbound of 95% confidence interval for beta
    0.09646
  • Upperbound of 95% confidence interval for beta
    0.16928
  • Lowerbound of 95% confidence interval for alpha
    0.03137
  • Upperbound of 95% confidence interval for alpha
    0.30114
  • Treynor index (mean / b)
    1.41743
  • Jensen alpha (a)
    0.16625
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17290
  • SD
    0.17524
  • Sharpe ratio (Glass type estimate)
    0.98665
  • Sharpe ratio (Hedges UMVUE)
    0.98620
  • df
    1657.00000
  • t
    2.48201
  • p
    0.46128
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20667
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76636
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20636
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76605
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.47047
  • Upside Potential Ratio
    7.23439
  • Upside part of mean
    0.85062
  • Downside part of mean
    -0.67772
  • Upside SD
    0.13030
  • Downside SD
    0.11758
  • N nonnegative terms
    713.00000
  • N negative terms
    945.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1658.00000
  • Mean of predictor
    0.13975
  • Mean of criterion
    0.17290
  • SD of predictor
    0.23018
  • SD of criterion
    0.17524
  • Covariance
    0.00705
  • r
    0.17471
  • b (slope, estimate of beta)
    0.13301
  • a (intercept, estimate of alpha)
    0.15431
  • Mean Square Error
    0.02979
  • DF error
    1656.00000
  • t(b)
    7.22068
  • p(b)
    0.41264
  • t(a)
    2.24752
  • p(a)
    0.47243
  • Lowerbound of 95% confidence interval for beta
    0.09688
  • Upperbound of 95% confidence interval for beta
    0.16914
  • Lowerbound of 95% confidence interval for alpha
    0.01964
  • Upperbound of 95% confidence interval for alpha
    0.28898
  • Treynor index (mean / b)
    1.29990
  • Jensen alpha (a)
    0.15431
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01700
  • Expected Shortfall on VaR
    0.02143
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00628
  • Expected Shortfall on VaR
    0.01350
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1658.00000
  • Minimum
    0.91521
  • Quartile 1
    0.99837
  • Median
    1.00000
  • Quartile 3
    1.00331
  • Maximum
    1.06873
  • Mean of quarter 1
    0.99032
  • Mean of quarter 2
    0.99969
  • Mean of quarter 3
    1.00110
  • Mean of quarter 4
    1.01219
  • Inter Quartile Range
    0.00494
  • Number outliers low
    137.00000
  • Percentage of outliers low
    0.08263
  • Mean of outliers low
    0.97970
  • Number of outliers high
    155.00000
  • Percentage of outliers high
    0.09349
  • Mean of outliers high
    1.02204
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59072
  • VaR(95%) (moments method)
    0.00771
  • Expected Shortfall (moments method)
    0.02201
  • Extreme Value Index (regression method)
    0.31478
  • VaR(95%) (regression method)
    0.00829
  • Expected Shortfall (regression method)
    0.01598
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    59.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00389
  • Median
    0.01337
  • Quartile 3
    0.03998
  • Maximum
    0.19651
  • Mean of quarter 1
    0.00166
  • Mean of quarter 2
    0.00888
  • Mean of quarter 3
    0.02142
  • Mean of quarter 4
    0.10286
  • Inter Quartile Range
    0.03609
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.13559
  • Mean of outliers high
    0.14715
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.24967
  • VaR(95%) (moments method)
    0.10671
  • Expected Shortfall (moments method)
    0.17207
  • Extreme Value Index (regression method)
    -0.10504
  • VaR(95%) (regression method)
    0.08529
  • Expected Shortfall (regression method)
    0.10690
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40509
  • Compounded annual return (geometric extrapolation)
    0.22239
  • Calmar ratio (compounded annual return / max draw down)
    1.13167
  • Compounded annual return / average of 25% largest draw downs
    2.16192
  • Compounded annual return / Expected Shortfall lognormal
    10.37710
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.15607
  • SD
    0.06448
  • Sharpe ratio (Glass type estimate)
    -2.42041
  • Sharpe ratio (Hedges UMVUE)
    -2.40642
  • df
    130.00000
  • t
    -1.71149
  • p
    0.57422
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.20318
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.37145
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.19362
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38077
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.72144
  • Upside Potential Ratio
    2.26775
  • Upside part of mean
    0.13005
  • Downside part of mean
    -0.28611
  • Upside SD
    0.03050
  • Downside SD
    0.05735
  • N nonnegative terms
    13.00000
  • N negative terms
    118.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32604
  • Mean of criterion
    -0.15607
  • SD of predictor
    0.42177
  • SD of criterion
    0.06448
  • Covariance
    0.00181
  • r
    0.06645
  • b (slope, estimate of beta)
    0.01016
  • a (intercept, estimate of alpha)
    -0.15938
  • Mean Square Error
    0.00417
  • DF error
    129.00000
  • t(b)
    0.75643
  • p(b)
    0.45773
  • t(a)
    -1.74294
  • p(a)
    0.59619
  • Lowerbound of 95% confidence interval for beta
    -0.01641
  • Upperbound of 95% confidence interval for beta
    0.03673
  • Lowerbound of 95% confidence interval for alpha
    -0.34030
  • Upperbound of 95% confidence interval for alpha
    0.02154
  • Treynor index (mean / b)
    -15.36230
  • Jensen alpha (a)
    -0.15938
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.15817
  • SD
    0.06477
  • Sharpe ratio (Glass type estimate)
    -2.44190
  • Sharpe ratio (Hedges UMVUE)
    -2.42778
  • df
    130.00000
  • t
    -1.72668
  • p
    0.57487
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.22494
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.35037
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.21526
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35969
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.73822
  • Upside Potential Ratio
    2.24311
  • Upside part of mean
    0.12957
  • Downside part of mean
    -0.28774
  • Upside SD
    0.03037
  • Downside SD
    0.05776
  • N nonnegative terms
    13.00000
  • N negative terms
    118.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23782
  • Mean of criterion
    -0.15817
  • SD of predictor
    0.42113
  • SD of criterion
    0.06477
  • Covariance
    0.00179
  • r
    0.06559
  • b (slope, estimate of beta)
    0.01009
  • a (intercept, estimate of alpha)
    -0.16057
  • Mean Square Error
    0.00421
  • DF error
    129.00000
  • t(b)
    0.74654
  • p(b)
    0.45828
  • t(a)
    -1.74881
  • p(a)
    0.59651
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    -0.01665
  • Upperbound of 95% confidence interval for beta
    0.03682
  • Lowerbound of 95% confidence interval for alpha
    -0.34223
  • Upperbound of 95% confidence interval for alpha
    0.02109
  • Treynor index (mean / b)
    -15.67930
  • Jensen alpha (a)
    -0.16057
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00716
  • Expected Shortfall on VaR
    0.00882
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00357
  • Expected Shortfall on VaR
    0.00755
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97987
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01072
  • Mean of quarter 1
    0.99605
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00201
  • Inter Quartile Range
    0.00000
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.13740
  • Mean of outliers low
    0.99275
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.00511
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.43905
  • VaR(95%) (moments method)
    0.00309
  • Expected Shortfall (moments method)
    0.00374
  • Extreme Value Index (regression method)
    -0.60700
  • VaR(95%) (regression method)
    0.00774
  • Expected Shortfall (regression method)
    0.01172
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00222
  • Quartile 1
    0.00372
  • Median
    0.00523
  • Quartile 3
    0.05209
  • Maximum
    0.09896
  • Mean of quarter 1
    0.00222
  • Mean of quarter 2
    0.00523
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09896
  • Inter Quartile Range
    0.04837
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -352622000
  • Max Equity Drawdown (num days)
    12
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.12611
  • Compounded annual return (geometric extrapolation)
    -0.12214
  • Calmar ratio (compounded annual return / max draw down)
    -1.23423
  • Compounded annual return / average of 25% largest draw downs
    -1.23423
  • Compounded annual return / Expected Shortfall lognormal
    -13.85090

Strategy Description


We only do trading following the dominant trend in the market . We use our proprietary algorithm to calculate levels of support and resistance. We also use the classical rules of technical analysis.Our order are given only when the market is closed, every month. Only in very rare cases we carry out modifications to the active orders during the month , when volatility increases wide.
Our analyzes are 70% automatic , while 30% are analyzed by at least 3 traders to eliminate emotionality and errors by the choices of trading.
We believe that a fully automated trading system can be very dangerous when the market changes , while human intelligence knows when it's time to break the rules.
Our trading system is not based on past data, this way there is no Overfitting , instead the system is based on our experience and own trading theory that uses levels of trading of our invention. For this reason, we expect that in the future we will continue to achieve good results.
We had some good results in the past performances with low draw down .
We're here to get involved in Collective2 100% , a website that we believe ingenious and well built
This System was paused a year and a half, a period thet we used to specialize in cryptocoin.
To maintain the highest quality of the signals we will accept a maximum of 90 followers.

Summary Statistics

Strategy began
2014-02-06
Suggested Minimum Capital
$15,000
# Trades
186
# Profitable
89
% Profitable
47.8%
Net Dividends
Correlation S&P500
0.183
Sharpe Ratio
0.65
Sortino Ratio
0.98
Beta
0.15
Alpha
0.03
Leverage
1.03 Average
2.07 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.