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

Antipodal
(118467314)

Created by: Steve_McMahon Steve_McMahon
Started: 06/2018
Futures
Last trade: 7 days ago
Trading style: Futures Short Term Commodities

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 $50.00 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: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
26.9%
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.

(70.2%)
Max Drawdown
579
Num Trades
49.1%
Win Trades
1.2 : 1
Profit Factor
62.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                   (1.7%)+9.8%+7.1%+1.7%(0.1%)+1.3%(9.2%)+7.9%
2019+4.4%(1.2%)+4.9%(0.1%)(0.1%)+7.2%+1.0%+7.5%+2.3%  -  +1.2%+0.7%+30.8%
2020+0.4%+37.2%(24.4%)+20.0%+10.1%+6.5%+5.3%+15.4%(0.4%)(4%)+13.3%(1.6%)+89.7%
2021+1.1%+7.5%+2.7%+7.6%+4.1%+13.6%(52.6%)+6.0%(2.8%)+14.0%+9.4%(1.6%)(14.8%)
2022(2.9%)(4.2%)+0.6%(8.7%)+16.7%+16.3%(36.4%)(3.9%)+5.4%+38.0%(10.2%)+51.5%+40.5%
2023(6.4%)                                                                  

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 150 hours.

Trading Record

This strategy has placed 62 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1071 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/24/23 11:47 QHOH3 Heating Oil SHORT 1 3.3425 1/25 8:40 3.3051 1.62%
Trade id #143319978
Max drawdown($2,465)
Time1/24/23 21:10
Quant open1
Worst price3.4012
Drawdown as % of equity-1.62%
$1,563
Includes Typical Broker Commissions trade costs of $8.00
1/23/23 8:18 QRBG3 RBOB Gasoline LONG 1 2.6700 1/25 8:39 2.6384 1.01%
Trade id #143299159
Max drawdown($1,600)
Time1/24/23 0:00
Quant open1
Worst price2.6319
Drawdown as % of equity-1.01%
($1,335)
Includes Typical Broker Commissions trade costs of $8.00
1/23/23 14:30 QNGH3 Natural Gas LONG 1 3.232 1/25 2:15 2.985 2%
Trade id #143308132
Max drawdown($3,030)
Time1/25/23 2:15
Quant open1
Worst price2.929
Drawdown as % of equity-2.00%
($2,478)
Includes Typical Broker Commissions trade costs of $8.00
1/19/23 12:06 QHOH3 Heating Oil LONG 1 3.2583 1/24 11:47 3.3420 0.36%
Trade id #143270744
Max drawdown($550)
Time1/19/23 12:49
Quant open1
Worst price3.2452
Drawdown as % of equity-0.36%
$3,507
Includes Typical Broker Commissions trade costs of $8.00
1/20/23 12:10 QCLH3 CRUDE OIL LONG 1 81.54 1/24 7:04 81.84 0.5%
Trade id #143284781
Max drawdown($790)
Time1/24/23 4:34
Quant open1
Worst price80.75
Drawdown as % of equity-0.50%
$292
Includes Typical Broker Commissions trade costs of $8.00
1/23/23 7:10 QSIH3 Silver 5000 oz SHORT 2 23.520 1/23 22:03 23.407 0.55%
Trade id #143298849
Max drawdown($875)
Time1/23/23 22:03
Quant open-1
Worst price23.695
Drawdown as % of equity-0.55%
$1,109
Includes Typical Broker Commissions trade costs of $16.00
1/22/23 19:48 QSIH3 Silver 5000 oz LONG 1 24.220 1/23 7:10 23.765 1.45%
Trade id #143295100
Max drawdown($2,250)
Time1/23/23 7:10
Quant open1
Worst price23.770
Drawdown as % of equity-1.45%
($2,283)
Includes Typical Broker Commissions trade costs of $8.00
1/22/23 18:00 QNGH3 Natural Gas LONG 1 3.228 1/23 7:09 3.149 1.19%
Trade id #143294475
Max drawdown($1,820)
Time1/23/23 2:24
Quant open1
Worst price3.046
Drawdown as % of equity-1.19%
($798)
Includes Typical Broker Commissions trade costs of $8.00
1/19/23 12:06 QRBG3 RBOB Gasoline LONG 1 2.5967 1/23 7:08 2.6571 0.26%
Trade id #143270745
Max drawdown($394)
Time1/19/23 14:13
Quant open1
Worst price2.5873
Drawdown as % of equity-0.26%
$2,529
Includes Typical Broker Commissions trade costs of $8.00
1/19/23 8:23 QNGH3 Natural Gas SHORT 1 3.111 1/22 18:00 3.216 0.77%
Trade id #143265521
Max drawdown($1,210)
Time1/22/23 18:00
Quant open1
Worst price3.232
Drawdown as % of equity-0.77%
($1,058)
Includes Typical Broker Commissions trade costs of $8.00
1/18/23 8:03 @KCH3 COFFEE LONG 1 152.20 1/20 8:58 153.20 0.09%
Trade id #143249857
Max drawdown($131)
Time1/20/23 8:30
Quant open1
Worst price151.85
Drawdown as % of equity-0.09%
$367
Includes Typical Broker Commissions trade costs of $8.00
1/18/23 11:32 QSIH3 Silver 5000 oz SHORT 1 23.930 1/20 7:55 24.080 0.98%
Trade id #143254476
Max drawdown($1,475)
Time1/20/23 3:09
Quant open1
Worst price24.225
Drawdown as % of equity-0.98%
($758)
Includes Typical Broker Commissions trade costs of $8.00
1/19/23 0:35 QHOH3 Heating Oil SHORT 1 3.1378 1/19 12:06 3.2549 3.37%
Trade id #143261751
Max drawdown($5,166)
Time1/19/23 12:06
Quant open1
Worst price3.2608
Drawdown as % of equity-3.37%
($4,926)
Includes Typical Broker Commissions trade costs of $8.00
1/18/23 19:40 QCLH3 CRUDE OIL SHORT 1 79.14 1/19 11:00 80.27 1.13%
Trade id #143260388
Max drawdown($1,730)
Time1/19/23 10:44
Quant open1
Worst price80.87
Drawdown as % of equity-1.13%
($1,138)
Includes Typical Broker Commissions trade costs of $8.00
1/18/23 19:40 QRBG3 RBOB Gasoline SHORT 1 2.4996 1/19 8:22 2.5346 1%
Trade id #143260389
Max drawdown($1,583)
Time1/19/23 8:08
Quant open1
Worst price2.5373
Drawdown as % of equity-1.00%
($1,478)
Includes Typical Broker Commissions trade costs of $8.00
1/18/23 2:30 @QGH3 MINY NATURAL GAS SHORT 1 3.215 1/19 8:21 3.120 0.01%
Trade id #143247139
Max drawdown($25)
Time1/18/23 2:45
Quant open1
Worst price3.225
Drawdown as % of equity-0.01%
$230
Includes Typical Broker Commissions trade costs of $8.00
1/18/23 10:44 QHOH3 Heating Oil LONG 1 3.2272 1/19 0:35 3.1383 2.41%
Trade id #143253043
Max drawdown($3,885)
Time1/19/23 0:35
Quant open1
Worst price3.1347
Drawdown as % of equity-2.41%
($3,742)
Includes Typical Broker Commissions trade costs of $8.00
1/17/23 8:11 QRBG3 RBOB Gasoline LONG 1 2.5446 1/18 19:40 2.4998 1.16%
Trade id #143235538
Max drawdown($1,881)
Time1/18/23 19:40
Quant open1
Worst price2.4998
Drawdown as % of equity-1.16%
($1,890)
Includes Typical Broker Commissions trade costs of $8.00
1/17/23 6:40 QCLH3 CRUDE OIL LONG 1 80.50 1/18 19:40 79.14 0.84%
Trade id #143234849
Max drawdown($1,360)
Time1/18/23 19:40
Quant open1
Worst price79.14
Drawdown as % of equity-0.84%
($1,368)
Includes Typical Broker Commissions trade costs of $8.00
1/17/23 7:50 QSIH3 Silver 5000 oz SHORT 1 24.190 1/18 9:15 24.370 0.76%
Trade id #143235344
Max drawdown($1,275)
Time1/18/23 8:31
Quant open1
Worst price24.445
Drawdown as % of equity-0.76%
($908)
Includes Typical Broker Commissions trade costs of $8.00
1/18/23 0:54 QHOH3 Heating Oil SHORT 1 3.1898 1/18 8:02 3.2076 0.75%
Trade id #143246667
Max drawdown($1,268)
Time1/18/23 7:01
Quant open1
Worst price3.2200
Drawdown as % of equity-0.75%
($756)
Includes Typical Broker Commissions trade costs of $8.00
1/16/23 22:45 @QGH3 MINY NATURAL GAS LONG 1 3.395 1/18 2:30 3.210 0.27%
Trade id #143231895
Max drawdown($462)
Time1/18/23 2:30
Quant open1
Worst price3.210
Drawdown as % of equity-0.27%
($471)
Includes Typical Broker Commissions trade costs of $8.00
1/17/23 1:21 QHOH3 Heating Oil LONG 1 3.1856 1/17 13:44 3.1445 1.17%
Trade id #143232604
Max drawdown($1,953)
Time1/17/23 13:46
Quant open1
Worst price3.1391
Drawdown as % of equity-1.17%
($1,734)
Includes Typical Broker Commissions trade costs of $8.00
1/13/23 10:06 QRBG3 RBOB Gasoline LONG 2 2.5060 1/16 9:28 2.5157 0.29%
Trade id #143210875
Max drawdown($474)
Time1/13/23 10:17
Quant open1
Worst price2.4834
Drawdown as % of equity-0.29%
$799
Includes Typical Broker Commissions trade costs of $16.00
1/13/23 8:54 QNGG3 Natural Gas SHORT 1 3.551 1/16 9:27 3.637 0.73%
Trade id #143208077
Max drawdown($1,250)
Time1/16/23 9:06
Quant open1
Worst price3.676
Drawdown as % of equity-0.73%
($868)
Includes Typical Broker Commissions trade costs of $8.00
1/13/23 6:33 QHOH3 Heating Oil LONG 1 3.1576 1/16 9:24 3.1742 1.04%
Trade id #143206970
Max drawdown($1,734)
Time1/13/23 9:14
Quant open1
Worst price3.1163
Drawdown as % of equity-1.04%
$689
Includes Typical Broker Commissions trade costs of $8.00
1/13/23 5:34 QCLH3 CRUDE OIL LONG 1 79.37 1/16 9:22 79.27 0.46%
Trade id #143206508
Max drawdown($770)
Time1/13/23 8:02
Quant open1
Worst price78.60
Drawdown as % of equity-0.46%
($108)
Includes Typical Broker Commissions trade costs of $8.00
1/12/23 11:41 QHOG3 Heating Oil LONG 1 3.2488 1/13 6:33 3.2559 1.17%
Trade id #143195496
Max drawdown($1,990)
Time1/12/23 13:27
Quant open1
Worst price3.2014
Drawdown as % of equity-1.17%
$290
Includes Typical Broker Commissions trade costs of $8.00
1/12/23 7:28 QNGG3 Natural Gas LONG 1 3.775 1/13 6:26 3.717 0.94%
Trade id #143189653
Max drawdown($1,550)
Time1/13/23 0:00
Quant open1
Worst price3.620
Drawdown as % of equity-0.94%
($588)
Includes Typical Broker Commissions trade costs of $8.00
1/12/23 9:02 @QIH3 MiNY Silver LONG 1 24.2750 1/13 6:26 23.9125 0.8%
Trade id #143190787
Max drawdown($1,375)
Time1/12/23 9:54
Quant open1
Worst price23.7250
Drawdown as % of equity-0.80%
($914)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    6/16/2018
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1690.36
  • Age
    56 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    579
  • # Profitable
    284
  • % Profitable
    49.10%
  • Avg trade duration
    13.1 days
  • Max peak-to-valley drawdown
    70.19%
  • drawdown period
    July 02, 2021 - Aug 23, 2022
  • Annual Return (Compounded)
    26.9%
  • Avg win
    $2,426
  • Avg loss
    $1,973
  • Model Account Values (Raw)
  • Cash
    $149,028
  • Margin Used
    $20,452
  • Buying Power
    $139,395
  • Ratios
  • W:L ratio
    1.19:1
  • Sharpe Ratio
    0.56
  • Sortino Ratio
    0.86
  • Calmar Ratio
    0.429
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    154.94%
  • Correlation to SP500
    0.24600
  • Return Percent SP500 (cumu) during strategy life
    46.66%
  • Return Statistics
  • Ann Return (w trading costs)
    26.9%
  • Slump
  • Current Slump as Pcnt Equity
    28.60%
  • Instruments
  • Percent Trades Futures
    0.80%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.34%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.269%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.20%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    28.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    80.50%
  • Chance of 20% account loss
    59.50%
  • Chance of 30% account loss
    49.00%
  • Chance of 40% account loss
    30.50%
  • Chance of 60% account loss (Monte Carlo)
    9.00%
  • Chance of 70% account loss (Monte Carlo)
    5.00%
  • Chance of 80% account loss (Monte Carlo)
    0.50%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    0.12%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    22.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    814
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    392
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,974
  • Avg Win
    $2,427
  • Sum Trade PL (losers)
    $582,307.000
  • Age
  • Num Months filled monthly returns table
    56
  • Win / Loss
  • Sum Trade PL (winners)
    $689,231.000
  • # Winners
    284
  • Num Months Winners
    35
  • Dividends
  • Dividends Received in Model Acct
    2924
  • Win / Loss
  • # Losers
    295
  • % Winners
    49.0%
  • Frequency
  • Avg Position Time (mins)
    18805.00
  • Avg Position Time (hrs)
    313.42
  • Avg Trade Length
    13.1 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.40
  • Daily leverage (max)
    10.03
  • Regression
  • Alpha
    0.10
  • Beta
    0.74
  • Treynor Index
    0.17
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    27.43
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    57.83
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.71
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -13.551
  • 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
    0.474
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.286
  • Hold-and-Hope Ratio
    -0.045
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36801
  • SD
    0.51431
  • Sharpe ratio (Glass type estimate)
    0.71554
  • Sharpe ratio (Hedges UMVUE)
    0.70555
  • df
    54.00000
  • t
    1.53187
  • p
    0.06570
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21302
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63766
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21957
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63067
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.19321
  • Upside Potential Ratio
    2.44486
  • Upside part of mean
    0.75403
  • Downside part of mean
    -0.38603
  • Upside SD
    0.41937
  • Downside SD
    0.30842
  • N nonnegative terms
    32.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    55.00000
  • Mean of predictor
    0.07671
  • Mean of criterion
    0.36801
  • SD of predictor
    0.20899
  • SD of criterion
    0.51431
  • Covariance
    0.01285
  • r
    0.11951
  • b (slope, estimate of beta)
    0.29410
  • a (intercept, estimate of alpha)
    0.34544
  • Mean Square Error
    0.26565
  • DF error
    53.00000
  • t(b)
    0.87630
  • p(b)
    0.19241
  • t(a)
    1.42673
  • p(a)
    0.07976
  • Lowerbound of 95% confidence interval for beta
    -0.37906
  • Upperbound of 95% confidence interval for beta
    0.96726
  • Lowerbound of 95% confidence interval for alpha
    -0.14019
  • Upperbound of 95% confidence interval for alpha
    0.83108
  • Treynor index (mean / b)
    1.25129
  • Jensen alpha (a)
    0.34544
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22954
  • SD
    0.53563
  • Sharpe ratio (Glass type estimate)
    0.42853
  • Sharpe ratio (Hedges UMVUE)
    0.42255
  • df
    54.00000
  • t
    0.91744
  • p
    0.18150
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49247
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.34562
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49641
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.34151
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.58452
  • Upside Potential Ratio
    1.73142
  • Upside part of mean
    0.67992
  • Downside part of mean
    -0.45038
  • Upside SD
    0.36314
  • Downside SD
    0.39269
  • N nonnegative terms
    32.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    55.00000
  • Mean of predictor
    0.05288
  • Mean of criterion
    0.22954
  • SD of predictor
    0.22474
  • SD of criterion
    0.53563
  • Covariance
    0.01315
  • r
    0.10925
  • b (slope, estimate of beta)
    0.26038
  • a (intercept, estimate of alpha)
    0.21577
  • Mean Square Error
    0.28883
  • DF error
    53.00000
  • t(b)
    0.80013
  • p(b)
    0.21360
  • t(a)
    0.85751
  • p(a)
    0.19751
  • Lowerbound of 95% confidence interval for beta
    -0.39233
  • Upperbound of 95% confidence interval for beta
    0.91310
  • Lowerbound of 95% confidence interval for alpha
    -0.28892
  • Upperbound of 95% confidence interval for alpha
    0.72046
  • Treynor index (mean / b)
    0.88154
  • Jensen alpha (a)
    0.21577
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20959
  • Expected Shortfall on VaR
    0.25786
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06381
  • Expected Shortfall on VaR
    0.14313
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    55.00000
  • Minimum
    0.51255
  • Quartile 1
    0.97922
  • Median
    1.01910
  • Quartile 3
    1.07569
  • Maximum
    1.46811
  • Mean of quarter 1
    0.88011
  • Mean of quarter 2
    1.00231
  • Mean of quarter 3
    1.04799
  • Mean of quarter 4
    1.20265
  • Inter Quartile Range
    0.09647
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.03636
  • Mean of outliers low
    0.59351
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.07273
  • Mean of outliers high
    1.37419
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.67607
  • VaR(95%) (moments method)
    0.11342
  • Expected Shortfall (moments method)
    0.39100
  • Extreme Value Index (regression method)
    0.79483
  • VaR(95%) (regression method)
    0.12998
  • Expected Shortfall (regression method)
    0.68292
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.01081
  • Quartile 1
    0.03588
  • Median
    0.05865
  • Quartile 3
    0.12414
  • Maximum
    0.59902
  • Mean of quarter 1
    0.01271
  • Mean of quarter 2
    0.05790
  • Mean of quarter 3
    0.11682
  • Mean of quarter 4
    0.36524
  • Inter Quartile Range
    0.08826
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.59902
  • 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)
    0.49183
  • Compounded annual return (geometric extrapolation)
    0.29362
  • Calmar ratio (compounded annual return / max draw down)
    0.49016
  • Compounded annual return / average of 25% largest draw downs
    0.80390
  • Compounded annual return / Expected Shortfall lognormal
    1.13870
  • 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
    0.43376
  • SD
    0.63850
  • Sharpe ratio (Glass type estimate)
    0.67934
  • Sharpe ratio (Hedges UMVUE)
    0.67892
  • df
    1205.00000
  • t
    1.45751
  • p
    0.47330
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23472
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.59315
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.23502
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59286
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.04463
  • Upside Potential Ratio
    6.18730
  • Upside part of mean
    2.56914
  • Downside part of mean
    -2.13538
  • Upside SD
    0.48544
  • Downside SD
    0.41523
  • N nonnegative terms
    540.00000
  • N negative terms
    666.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1206.00000
  • Mean of predictor
    0.08064
  • Mean of criterion
    0.43376
  • SD of predictor
    0.22262
  • SD of criterion
    0.63850
  • Covariance
    0.03443
  • r
    0.24224
  • b (slope, estimate of beta)
    0.69477
  • a (intercept, estimate of alpha)
    0.37800
  • Mean Square Error
    0.38408
  • DF error
    1204.00000
  • t(b)
    8.66356
  • p(b)
    0.37888
  • t(a)
    1.30734
  • p(a)
    0.48118
  • Lowerbound of 95% confidence interval for beta
    0.53743
  • Upperbound of 95% confidence interval for beta
    0.85211
  • Lowerbound of 95% confidence interval for alpha
    -0.18913
  • Upperbound of 95% confidence interval for alpha
    0.94460
  • Treynor index (mean / b)
    0.62432
  • Jensen alpha (a)
    0.37773
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22680
  • SD
    0.65252
  • Sharpe ratio (Glass type estimate)
    0.34758
  • Sharpe ratio (Hedges UMVUE)
    0.34736
  • df
    1205.00000
  • t
    0.74572
  • p
    0.48633
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56611
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.26117
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56628
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.26100
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.46323
  • Upside Potential Ratio
    5.04203
  • Upside part of mean
    2.46861
  • Downside part of mean
    -2.24181
  • Upside SD
    0.43117
  • Downside SD
    0.48961
  • N nonnegative terms
    540.00000
  • N negative terms
    666.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1206.00000
  • Mean of predictor
    0.05574
  • Mean of criterion
    0.22680
  • SD of predictor
    0.22357
  • SD of criterion
    0.65252
  • Covariance
    0.03469
  • r
    0.23781
  • b (slope, estimate of beta)
    0.69409
  • a (intercept, estimate of alpha)
    0.18811
  • Mean Square Error
    0.40203
  • DF error
    1204.00000
  • t(b)
    8.49559
  • p(b)
    0.38109
  • t(a)
    0.63645
  • p(a)
    0.49083
  • Lowerbound of 95% confidence interval for beta
    0.53380
  • Upperbound of 95% confidence interval for beta
    0.85438
  • Lowerbound of 95% confidence interval for alpha
    -0.39177
  • Upperbound of 95% confidence interval for alpha
    0.76800
  • Treynor index (mean / b)
    0.32676
  • Jensen alpha (a)
    0.18811
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06335
  • Expected Shortfall on VaR
    0.07889
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01945
  • Expected Shortfall on VaR
    0.04311
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1206.00000
  • Minimum
    0.51699
  • Quartile 1
    0.99293
  • Median
    1.00000
  • Quartile 3
    1.00991
  • Maximum
    1.57234
  • Mean of quarter 1
    0.96955
  • Mean of quarter 2
    0.99813
  • Mean of quarter 3
    1.00372
  • Mean of quarter 4
    1.03564
  • Inter Quartile Range
    0.01698
  • Number outliers low
    88.00000
  • Percentage of outliers low
    0.07297
  • Mean of outliers low
    0.93455
  • Number of outliers high
    82.00000
  • Percentage of outliers high
    0.06799
  • Mean of outliers high
    1.07701
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49340
  • VaR(95%) (moments method)
    0.02643
  • Expected Shortfall (moments method)
    0.06084
  • Extreme Value Index (regression method)
    0.23141
  • VaR(95%) (regression method)
    0.02599
  • Expected Shortfall (regression method)
    0.04430
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    41.00000
  • Minimum
    0.00062
  • Quartile 1
    0.00591
  • Median
    0.01585
  • Quartile 3
    0.06759
  • Maximum
    0.67670
  • Mean of quarter 1
    0.00306
  • Mean of quarter 2
    0.01196
  • Mean of quarter 3
    0.04549
  • Mean of quarter 4
    0.19865
  • Inter Quartile Range
    0.06168
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.07317
  • Mean of outliers high
    0.42277
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.64193
  • VaR(95%) (moments method)
    0.21304
  • Expected Shortfall (moments method)
    0.62147
  • Extreme Value Index (regression method)
    0.94703
  • VaR(95%) (regression method)
    0.20260
  • Expected Shortfall (regression method)
    3.25184
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.48443
  • Compounded annual return (geometric extrapolation)
    0.29008
  • Calmar ratio (compounded annual return / max draw down)
    0.42868
  • Compounded annual return / average of 25% largest draw downs
    1.46028
  • Compounded annual return / Expected Shortfall lognormal
    3.67706
  • 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
    1.50960
  • SD
    0.90733
  • Sharpe ratio (Glass type estimate)
    1.66378
  • Sharpe ratio (Hedges UMVUE)
    1.65417
  • df
    130.00000
  • t
    1.17647
  • p
    0.44868
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11854
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.43981
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12492
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.43325
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.76882
  • Upside Potential Ratio
    10.94370
  • Upside part of mean
    5.96670
  • Downside part of mean
    -4.45710
  • Upside SD
    0.72691
  • Downside SD
    0.54522
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02239
  • Mean of criterion
    1.50960
  • SD of predictor
    0.22939
  • SD of criterion
    0.90733
  • Covariance
    0.01761
  • r
    0.08459
  • b (slope, estimate of beta)
    0.33460
  • a (intercept, estimate of alpha)
    1.51709
  • Mean Square Error
    0.82369
  • DF error
    129.00000
  • t(b)
    0.96425
  • p(b)
    0.44621
  • t(a)
    1.18197
  • p(a)
    0.43422
  • Lowerbound of 95% confidence interval for beta
    -0.35196
  • Upperbound of 95% confidence interval for beta
    1.02116
  • Lowerbound of 95% confidence interval for alpha
    -1.02240
  • Upperbound of 95% confidence interval for alpha
    4.05659
  • Treynor index (mean / b)
    4.51167
  • Jensen alpha (a)
    1.51709
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.10556
  • SD
    0.89615
  • Sharpe ratio (Glass type estimate)
    1.23368
  • Sharpe ratio (Hedges UMVUE)
    1.22655
  • df
    130.00000
  • t
    0.87234
  • p
    0.46186
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.54448
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.00725
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54926
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.00236
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.90942
  • Upside Potential Ratio
    9.88439
  • Upside part of mean
    5.72310
  • Downside part of mean
    -4.61754
  • Upside SD
    0.68292
  • Downside SD
    0.57900
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.04842
  • Mean of criterion
    1.10556
  • SD of predictor
    0.22889
  • SD of criterion
    0.89615
  • Covariance
    0.01671
  • r
    0.08145
  • b (slope, estimate of beta)
    0.31889
  • a (intercept, estimate of alpha)
    1.12100
  • Mean Square Error
    0.80394
  • DF error
    129.00000
  • t(b)
    0.92817
  • p(b)
    0.44821
  • t(a)
    0.88398
  • p(a)
    0.45065
  • VAR (95 Confidence Intrvl)
    0.06300
  • Lowerbound of 95% confidence interval for beta
    -0.36087
  • Upperbound of 95% confidence interval for beta
    0.99866
  • Lowerbound of 95% confidence interval for alpha
    -1.38803
  • Upperbound of 95% confidence interval for alpha
    3.63004
  • Treynor index (mean / b)
    3.46686
  • Jensen alpha (a)
    1.12100
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08318
  • Expected Shortfall on VaR
    0.10396
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03950
  • Expected Shortfall on VaR
    0.07586
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.79286
  • Quartile 1
    0.97059
  • Median
    0.99987
  • Quartile 3
    1.03586
  • Maximum
    1.24901
  • Mean of quarter 1
    0.94427
  • Mean of quarter 2
    0.98841
  • Mean of quarter 3
    1.01650
  • Mean of quarter 4
    1.07461
  • Inter Quartile Range
    0.06527
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.82789
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.17571
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22370
  • VaR(95%) (moments method)
    0.05985
  • Expected Shortfall (moments method)
    0.08913
  • Extreme Value Index (regression method)
    0.35123
  • VaR(95%) (regression method)
    0.05691
  • Expected Shortfall (regression method)
    0.09129
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00202
  • Quartile 1
    0.02339
  • Median
    0.05243
  • Quartile 3
    0.12363
  • Maximum
    0.30684
  • Mean of quarter 1
    0.01532
  • Mean of quarter 2
    0.04187
  • Mean of quarter 3
    0.07244
  • Mean of quarter 4
    0.25866
  • Inter Quartile Range
    0.10024
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.21429
  • Mean of outliers high
    0.29990
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1193.93000
  • VaR(95%) (moments method)
    0.24276
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.90590
  • VaR(95%) (regression method)
    0.20653
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.20695
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -370986000
  • Max Equity Drawdown (num days)
    417
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.52501
  • Compounded annual return (geometric extrapolation)
    2.10642
  • Calmar ratio (compounded annual return / max draw down)
    6.86476
  • Compounded annual return / average of 25% largest draw downs
    8.14370
  • Compounded annual return / Expected Shortfall lognormal
    20.26160

Strategy Description

Antipodal is a quantitative, rules-based system. ***PLEASE NOTE*** system experiences substantial volatility. If you are not prepared for these types of fluctuations, please look elsewhere.

Feel free to reach out to me with any questions. With kind regards.

-Steve

Summary Statistics

Strategy began
2018-06-16
Suggested Minimum Capital
$100,000
# Trades
579
# Profitable
284
% Profitable
49.1%
Net Dividends
Correlation S&P500
0.246
Sharpe Ratio
0.56
Sortino Ratio
0.86
Beta
0.74
Alpha
0.10
Leverage
1.40 Average
10.03 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.