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Featured Strategy MT3 Algotrading Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Anton
(124125457)

Created by: Anton Anton
Started: 06/2019
Stocks
Last trade: 59 days ago
Trading style: Equity Non-hedged Equity

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 $19.00 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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
9.2%
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.

(55.1%)
Max Drawdown
119
Num Trades
49.6%
Win Trades
1.7 : 1
Profit Factor
43.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                   (0.8%)(0.7%)(4.6%)+0.2%(1.1%)(4.7%)+29.0%+14.6%
2020(3.1%)(17%)+16.4%+32.1%(0.1%)(3.4%)+2.3%+2.6%(1.5%)+3.3%+0.2%(0.5%)+27.0%
2021+1.5%  -  +3.1%+0.7%+4.4%(1.9%)+1.9%+0.7%(3.8%)(0.1%)(1%)+1.5%+6.9%
2022(2.3%)(0.1%)(0.1%)(0.8%)(0.1%)(0.5%)+1.9%+1.2%+0.2%+3.6%(0.2%)(0.1%)+2.5%
2023+0.1%(3.1%)+0.7%(0.4%)(1.2%)+6.5%+0.7%(1.8%)(0.6%)(1.4%)(0.1%)  -  (0.9%)
2024+2.4%+0.1%(0.1%)(4.6%)(0.1%)+0.8%+1.8%  -  (0.1%)(3.6%)+5.9%+1.0%+3.0%

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 48 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/14/24 11:23 SMCI SUPER MICRO COMPUTER LONG 200 47.18 10/23 13:19 44.97 1.2%
Trade id #149653158
Max drawdown($474)
Time10/22/24 0:00
Quant open200
Worst price44.81
Drawdown as % of equity-1.20%
 ($446)
Includes Typical Broker Commissions trade costs of $4.00
6/21/24 9:30 GLD SPDR GOLD SHARES LONG 90 217.83 7/12 15:35 223.21 1.33%
Trade id #148466813
Max drawdown($513)
Time6/26/24 0:00
Quant open90
Worst price212.12
Drawdown as % of equity-1.33%
 $482
Includes Typical Broker Commissions trade costs of $1.80
6/3/24 11:14 SPY SPDR S&P 500 LONG 38 528.18 6/21 12:59 544.73 0.55%
Trade id #148315917
Max drawdown($212)
Time6/3/24 13:11
Quant open38
Worst price522.60
Drawdown as % of equity-0.55%
 $628
Includes Typical Broker Commissions trade costs of $0.76
4/4/24 9:34 SPY SPDR S&P 500 LONG 75 523.43 4/25 9:39 499.18 5.74%
Trade id #147805553
Max drawdown($2,217)
Time4/19/24 0:00
Quant open75
Worst price493.86
Drawdown as % of equity-5.74%
 ($1,821)
Includes Typical Broker Commissions trade costs of $1.50
3/15/24 13:00 USMV ISHARES EDGE MSCI MIN VOL USA SHORT 120 82.00 3/15 13:01 82.02 0%
Trade id #147651238
Max drawdown($2)
Time3/15/24 13:01
Quant open120
Worst price82.02
Drawdown as % of equity-0.00%
 ($4)
Includes Typical Broker Commissions trade costs of $2.40
3/5/24 13:41 USMV ISHARES EDGE MSCI MIN VOL USA LONG 120 81.52 3/15 13:00 82.01 0.11%
Trade id #147542575
Max drawdown($45)
Time3/5/24 15:30
Quant open120
Worst price81.14
Drawdown as % of equity-0.11%
 $57
Includes Typical Broker Commissions trade costs of $2.40
3/5/24 13:41 MTUM ISHARES MSCI USA MOMENTUM FACTOR ETF LONG 50 183.82 3/15 13:00 182.64 0.23%
Trade id #147542567
Max drawdown($93)
Time3/11/24 0:00
Quant open50
Worst price181.96
Drawdown as % of equity-0.23%
 ($60)
Includes Typical Broker Commissions trade costs of $1.00
12/14/23 11:03 SPY SPDR S&P 500 LONG 145 474.93 1/19/24 15:56 482.25 3.21%
Trade id #146700782
Max drawdown($1,231)
Time1/5/24 0:00
Quant open145
Worst price466.43
Drawdown as % of equity-3.21%
 $1,059
Includes Typical Broker Commissions trade costs of $2.90
10/9/23 12:08 SPY SPDR S&P 500 LONG 95 429.44 10/24 15:43 424.09 2.41%
Trade id #146076910
Max drawdown($948)
Time10/23/23 0:00
Quant open95
Worst price419.46
Drawdown as % of equity-2.41%
 ($510)
Includes Typical Broker Commissions trade costs of $1.90
7/28/23 13:06 SPY SPDR S&P 500 LONG 90 456.69 9/11 15:43 448.45 5.45%
Trade id #145359611
Max drawdown($2,131)
Time8/18/23 0:00
Quant open90
Worst price433.01
Drawdown as % of equity-5.45%
 ($744)
Includes Typical Broker Commissions trade costs of $1.80
5/26/23 15:17 SPY SPDR S&P 500 LONG 100 420.53 7/4 12:11 443.87 1.12%
Trade id #144761057
Max drawdown($431)
Time5/31/23 0:00
Quant open100
Worst price416.22
Drawdown as % of equity-1.12%
 $2,332
Includes Typical Broker Commissions trade costs of $2.00
5/15/23 9:30 VLUE ISHARES MSCI USA VALUE FACTOR ETF LONG 220 88.32 5/25 14:56 87.69 0.66%
Trade id #144612013
Max drawdown($254)
Time5/25/23 11:46
Quant open220
Worst price87.16
Drawdown as % of equity-0.66%
 ($143)
Includes Typical Broker Commissions trade costs of $4.40
3/31/23 13:22 SPY SPDR S&P 500 LONG 100 407.10 4/25 14:43 406.69 0.37%
Trade id #144131744
Max drawdown($142)
Time4/6/23 0:00
Quant open100
Worst price405.68
Drawdown as % of equity-0.37%
 ($43)
Includes Typical Broker Commissions trade costs of $2.00
3/1/23 15:04 SPY SPDR S&P 500 LONG 100 394.19 3/23 9:30 395.09 3.58%
Trade id #143739300
Max drawdown($1,354)
Time3/13/23 0:00
Quant open100
Worst price380.65
Drawdown as % of equity-3.58%
 $88
Includes Typical Broker Commissions trade costs of $2.00
2/2/23 15:33 QQQ POWERSHARES QQQ LONG 65 310.41 2/21 10:05 296.86 2.25%
Trade id #143436944
Max drawdown($884)
Time2/21/23 10:05
Quant open65
Worst price296.81
Drawdown as % of equity-2.25%
 ($882)
Includes Typical Broker Commissions trade costs of $1.30
2/2/23 15:32 SPY SPDR S&P 500 LONG 65 414.54 2/21 10:05 404.01 1.58%
Trade id #143436939
Max drawdown($621)
Time2/21/23 10:00
Quant open50
Worst price402.11
Drawdown as % of equity-1.58%
 ($685)
Includes Typical Broker Commissions trade costs of $1.30
1/24/23 9:30 SPY SPDR S&P 500 LONG 80 399.42 2/2 9:30 411.02 1.19%
Trade id #143315896
Max drawdown($468)
Time1/25/23 0:00
Quant open80
Worst price393.56
Drawdown as % of equity-1.19%
 $927
Includes Typical Broker Commissions trade costs of $1.60
1/16/23 15:54 SH PROSHARES SHORT S&P500 LONG 1,600 15.55 1/23 11:17 15.30 1.05%
Trade id #143229354
Max drawdown($416)
Time1/23/23 11:07
Quant open1,600
Worst price15.29
Drawdown as % of equity-1.05%
 ($408)
Includes Typical Broker Commissions trade costs of $7.50
11/21/22 10:36 SH PROSHARES SHORT S&P500 LONG 1,200 15.62 11/22 13:31 15.43 0.57%
Trade id #142632436
Max drawdown($228)
Time11/22/22 13:23
Quant open1,200
Worst price15.43
Drawdown as % of equity-0.57%
 ($233)
Includes Typical Broker Commissions trade costs of $5.00
10/27/22 9:30 SH PROSHARES SHORT S&P500 LONG 1,000 16.07 11/2 13:25 16.11 0.74%
Trade id #142340325
Max drawdown($296)
Time11/1/22 0:00
Quant open1,000
Worst price15.77
Drawdown as % of equity-0.74%
 $35
Includes Typical Broker Commissions trade costs of $5.00
10/12/22 9:30 SPY SPDR S&P 500 LONG 50 358.17 10/13 13:31 365.65 1.36%
Trade id #142137491
Max drawdown($503)
Time10/13/22 9:33
Quant open50
Worst price348.11
Drawdown as % of equity-1.36%
 $373
Includes Typical Broker Commissions trade costs of $1.00
10/3/22 9:30 SPY SPDR S&P 500 LONG 100 361.08 10/5 9:30 373.39 0.52%
Trade id #142009945
Max drawdown($187)
Time10/3/22 9:40
Quant open100
Worst price359.21
Drawdown as % of equity-0.52%
 $1,229
Includes Typical Broker Commissions trade costs of $2.00
9/26/22 13:28 SPY SPDR S&P 500 LONG 50 363.68 9/30 9:48 360.96 0.55%
Trade id #141933582
Max drawdown($199)
Time9/29/22 0:00
Quant open50
Worst price359.70
Drawdown as % of equity-0.55%
 ($137)
Includes Typical Broker Commissions trade costs of $1.00
9/16/22 14:05 GLD SPDR GOLD SHARES LONG 100 155.81 9/23 9:30 153.90 0.56%
Trade id #141834501
Max drawdown($201)
Time9/23/22 9:30
Quant open100
Worst price153.80
Drawdown as % of equity-0.56%
 ($193)
Includes Typical Broker Commissions trade costs of $2.00
9/8/22 15:55 PSQ PROSHARES SHORT QQQ LONG 1,200 13.37 9/21 9:30 13.77 1.67%
Trade id #141712520
Max drawdown($588)
Time9/12/22 0:00
Quant open1,200
Worst price12.88
Drawdown as % of equity-1.67%
 $475
Includes Typical Broker Commissions trade costs of $5.00
8/3/22 11:36 GLD SPDR GOLD SHARES LONG 50 163.82 8/23 11:44 163.11 0.34%
Trade id #141286424
Max drawdown($123)
Time8/22/22 0:00
Quant open50
Worst price161.36
Drawdown as % of equity-0.34%
 ($37)
Includes Typical Broker Commissions trade costs of $1.00
8/3/22 9:58 SPY SPDR S&P 500 LONG 40 411.37 8/10 15:38 419.60 0.2%
Trade id #141283489
Max drawdown($70)
Time8/5/22 0:00
Quant open40
Worst price409.60
Drawdown as % of equity-0.20%
 $328
Includes Typical Broker Commissions trade costs of $0.80
7/26/22 9:42 GLD SPDR GOLD SHARES LONG 200 160.34 8/1 15:58 165.10 0.48%
Trade id #141185793
Max drawdown($166)
Time7/27/22 0:00
Quant open200
Worst price159.51
Drawdown as % of equity-0.48%
 $948
Includes Typical Broker Commissions trade costs of $4.00
6/2/22 9:30 GLD SPDR GOLD SHARES LONG 400 173.88 6/3 11:12 173.57 0.51%
Trade id #140658450
Max drawdown($178)
Time6/3/22 11:04
Quant open200
Worst price172.99
Drawdown as % of equity-0.51%
 ($130)
Includes Typical Broker Commissions trade costs of $8.00
4/21/22 9:30 SPY SPDR S&P 500 LONG 14 448.54 4/22 11:40 431.77 0.67%
Trade id #140210429
Max drawdown($236)
Time4/22/22 11:39
Quant open14
Worst price431.67
Drawdown as % of equity-0.67%
 ($235)
Includes Typical Broker Commissions trade costs of $0.28
Next

Statistics

  • Strategy began
    6/18/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2009.17
  • Age
    67 months ago
  • What it trades
    Stocks
  • # Trades
    119
  • # Profitable
    59
  • % Profitable
    49.60%
  • Avg trade duration
    11.4 days
  • Max peak-to-valley drawdown
    55.12%
  • drawdown period
    Dec 23, 2019 - March 04, 2020
  • Annual Return (Compounded)
    9.2%
  • Avg win
    $769.93
  • Avg loss
    $449.62
  • Model Account Values (Raw)
  • Cash
    $20,949
  • Margin Used
    $0
  • Buying Power
    $22,457
  • Ratios
  • W:L ratio
    1.74:1
  • Sharpe Ratio
    0.32
  • Sortino Ratio
    0.69
  • Calmar Ratio
    0.425
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -44.80%
  • Correlation to SP500
    0.01250
  • Return Percent SP500 (cumu) during strategy life
    107.01%
  • Return Statistics
  • Ann Return (w trading costs)
    9.2%
  • Slump
  • Current Slump as Pcnt Equity
    0.90%
  • Instruments
  • Percent Trades Futures
    0.02%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.25%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.092%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.98%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    11.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    72.50%
  • Chance of 20% account loss
    51.50%
  • Chance of 30% account loss
    28.50%
  • Chance of 40% account loss
    16.00%
  • Chance of 60% account loss (Monte Carlo)
    3.00%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    5.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    365
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $450
  • Avg Win
    $774
  • Sum Trade PL (losers)
    $26,977.000
  • Age
  • Num Months filled monthly returns table
    67
  • Win / Loss
  • Sum Trade PL (winners)
    $45,675.000
  • # Winners
    59
  • Num Months Winners
    31
  • Dividends
  • Dividends Received in Model Acct
    803
  • Win / Loss
  • # Losers
    60
  • % Winners
    49.6%
  • Frequency
  • Avg Position Time (mins)
    16346.70
  • Avg Position Time (hrs)
    272.44
  • Avg Trade Length
    11.4 days
  • Last Trade Ago
    50
  • Leverage
  • Daily leverage (average)
    1.02
  • Daily leverage (max)
    16.93
  • Regression
  • Alpha
    0.03
  • Beta
    0.02
  • Treynor Index
    1.63
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.15
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    4.097
  • 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
    0.813
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.304
  • Hold-and-Hope Ratio
    0.243
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14672
  • SD
    0.26273
  • Sharpe ratio (Glass type estimate)
    0.55843
  • Sharpe ratio (Hedges UMVUE)
    0.54906
  • df
    45.00000
  • t
    1.09335
  • p
    0.14003
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45225
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56304
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45840
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55653
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.30905
  • Upside Potential Ratio
    2.73229
  • Upside part of mean
    0.30623
  • Downside part of mean
    -0.15951
  • Upside SD
    0.23824
  • Downside SD
    0.11208
  • N nonnegative terms
    24.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    46.00000
  • Mean of predictor
    0.17802
  • Mean of criterion
    0.14672
  • SD of predictor
    0.20437
  • SD of criterion
    0.26273
  • Covariance
    0.00390
  • r
    0.07264
  • b (slope, estimate of beta)
    0.09339
  • a (intercept, estimate of alpha)
    0.13009
  • Mean Square Error
    0.07022
  • DF error
    44.00000
  • t(b)
    0.48314
  • p(b)
    0.31570
  • t(a)
    0.93153
  • p(a)
    0.17833
  • Lowerbound of 95% confidence interval for beta
    -0.29617
  • Upperbound of 95% confidence interval for beta
    0.48294
  • Lowerbound of 95% confidence interval for alpha
    -0.15136
  • Upperbound of 95% confidence interval for alpha
    0.41154
  • Treynor index (mean / b)
    1.57103
  • Jensen alpha (a)
    0.13009
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11534
  • SD
    0.24365
  • Sharpe ratio (Glass type estimate)
    0.47339
  • Sharpe ratio (Hedges UMVUE)
    0.46545
  • df
    45.00000
  • t
    0.92684
  • p
    0.17948
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53499
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47659
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54022
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47111
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95398
  • Upside Potential Ratio
    2.32761
  • Upside part of mean
    0.28141
  • Downside part of mean
    -0.16608
  • Upside SD
    0.21110
  • Downside SD
    0.12090
  • N nonnegative terms
    24.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    46.00000
  • Mean of predictor
    0.15654
  • Mean of criterion
    0.11534
  • SD of predictor
    0.20122
  • SD of criterion
    0.24365
  • Covariance
    0.00429
  • r
    0.08742
  • b (slope, estimate of beta)
    0.10586
  • a (intercept, estimate of alpha)
    0.09877
  • Mean Square Error
    0.06025
  • DF error
    44.00000
  • t(b)
    0.58213
  • p(b)
    0.28172
  • t(a)
    0.76828
  • p(a)
    0.22321
  • Lowerbound of 95% confidence interval for beta
    -0.26062
  • Upperbound of 95% confidence interval for beta
    0.47234
  • Lowerbound of 95% confidence interval for alpha
    -0.16032
  • Upperbound of 95% confidence interval for alpha
    0.35786
  • Treynor index (mean / b)
    1.08957
  • Jensen alpha (a)
    0.09877
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10064
  • Expected Shortfall on VaR
    0.12640
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02928
  • Expected Shortfall on VaR
    0.06197
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    46.00000
  • Minimum
    0.81765
  • Quartile 1
    0.98747
  • Median
    1.00404
  • Quartile 3
    1.02244
  • Maximum
    1.32670
  • Mean of quarter 1
    0.95708
  • Mean of quarter 2
    0.99616
  • Mean of quarter 3
    1.00980
  • Mean of quarter 4
    1.09325
  • Inter Quartile Range
    0.03497
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02174
  • Mean of outliers low
    0.81765
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.06522
  • Mean of outliers high
    1.25146
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25898
  • VaR(95%) (moments method)
    0.03769
  • Expected Shortfall (moments method)
    0.06381
  • Extreme Value Index (regression method)
    0.57121
  • VaR(95%) (regression method)
    0.03604
  • Expected Shortfall (regression method)
    0.08716
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00023
  • Quartile 1
    0.00891
  • Median
    0.03627
  • Quartile 3
    0.06185
  • Maximum
    0.18235
  • Mean of quarter 1
    0.00217
  • Mean of quarter 2
    0.02498
  • Mean of quarter 3
    0.04493
  • Mean of quarter 4
    0.11878
  • Inter Quartile Range
    0.05294
  • 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
    0.09091
  • Mean of outliers high
    0.18235
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.25529
  • VaR(95%) (moments method)
    0.13476
  • Expected Shortfall (moments method)
    0.16400
  • Extreme Value Index (regression method)
    1.37825
  • VaR(95%) (regression method)
    0.19236
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19088
  • Compounded annual return (geometric extrapolation)
    0.15401
  • Calmar ratio (compounded annual return / max draw down)
    0.84461
  • Compounded annual return / average of 25% largest draw downs
    1.29664
  • Compounded annual return / Expected Shortfall lognormal
    1.21847
  • 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
    0.16177
  • SD
    0.30085
  • Sharpe ratio (Glass type estimate)
    0.53769
  • Sharpe ratio (Hedges UMVUE)
    0.53729
  • df
    1009.00000
  • t
    1.05570
  • p
    0.47886
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46096
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.53609
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46123
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.53581
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.17110
  • Upside Potential Ratio
    5.58091
  • Upside part of mean
    0.77090
  • Downside part of mean
    -0.60914
  • Upside SD
    0.26729
  • Downside SD
    0.13813
  • N nonnegative terms
    362.00000
  • N negative terms
    648.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1010.00000
  • Mean of predictor
    0.18814
  • Mean of criterion
    0.16177
  • SD of predictor
    0.23051
  • SD of criterion
    0.30085
  • Covariance
    -0.00072
  • r
    -0.01044
  • b (slope, estimate of beta)
    -0.01363
  • a (intercept, estimate of alpha)
    0.16400
  • Mean Square Error
    0.09059
  • DF error
    1008.00000
  • t(b)
    -0.33153
  • p(b)
    0.50522
  • t(a)
    1.07060
  • p(a)
    0.48315
  • Lowerbound of 95% confidence interval for beta
    -0.09429
  • Upperbound of 95% confidence interval for beta
    0.06704
  • Lowerbound of 95% confidence interval for alpha
    -0.13687
  • Upperbound of 95% confidence interval for alpha
    0.46553
  • Treynor index (mean / b)
    -11.87000
  • Jensen alpha (a)
    0.16433
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12162
  • SD
    0.27582
  • Sharpe ratio (Glass type estimate)
    0.44093
  • Sharpe ratio (Hedges UMVUE)
    0.44060
  • df
    1009.00000
  • t
    0.86572
  • p
    0.48266
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55760
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.43927
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55783
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.43903
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.84003
  • Upside Potential Ratio
    5.11712
  • Upside part of mean
    0.74084
  • Downside part of mean
    -0.61923
  • Upside SD
    0.23473
  • Downside SD
    0.14478
  • N nonnegative terms
    362.00000
  • N negative terms
    648.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1010.00000
  • Mean of predictor
    0.16145
  • Mean of criterion
    0.12162
  • SD of predictor
    0.23107
  • SD of criterion
    0.27582
  • Covariance
    -0.00042
  • r
    -0.00655
  • b (slope, estimate of beta)
    -0.00781
  • a (intercept, estimate of alpha)
    0.12288
  • Mean Square Error
    0.07615
  • DF error
    1008.00000
  • t(b)
    -0.20781
  • p(b)
    0.50327
  • t(a)
    0.87347
  • p(a)
    0.48625
  • Lowerbound of 95% confidence interval for beta
    -0.08159
  • Upperbound of 95% confidence interval for beta
    0.06596
  • Lowerbound of 95% confidence interval for alpha
    -0.15318
  • Upperbound of 95% confidence interval for alpha
    0.39893
  • Treynor index (mean / b)
    -15.56660
  • Jensen alpha (a)
    0.12288
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02719
  • Expected Shortfall on VaR
    0.03407
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00610
  • Expected Shortfall on VaR
    0.01362
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1010.00000
  • Minimum
    0.85209
  • Quartile 1
    0.99833
  • Median
    1.00000
  • Quartile 3
    1.00182
  • Maximum
    1.42068
  • Mean of quarter 1
    0.99130
  • Mean of quarter 2
    0.99969
  • Mean of quarter 3
    1.00042
  • Mean of quarter 4
    1.01148
  • Inter Quartile Range
    0.00349
  • Number outliers low
    82.00000
  • Percentage of outliers low
    0.08119
  • Mean of outliers low
    0.98110
  • Number of outliers high
    88.00000
  • Percentage of outliers high
    0.08713
  • Mean of outliers high
    1.02582
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59054
  • VaR(95%) (moments method)
    0.00709
  • Expected Shortfall (moments method)
    0.01983
  • Extreme Value Index (regression method)
    0.40585
  • VaR(95%) (regression method)
    0.00645
  • Expected Shortfall (regression method)
    0.01325
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    30.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00478
  • Median
    0.01049
  • Quartile 3
    0.04758
  • Maximum
    0.37932
  • Mean of quarter 1
    0.00176
  • Mean of quarter 2
    0.00668
  • Mean of quarter 3
    0.02252
  • Mean of quarter 4
    0.12591
  • Inter Quartile Range
    0.04279
  • 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
    0.10000
  • Mean of outliers high
    0.22566
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.57961
  • VaR(95%) (moments method)
    0.14682
  • Expected Shortfall (moments method)
    0.36892
  • Extreme Value Index (regression method)
    1.52040
  • VaR(95%) (regression method)
    0.13390
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20224
  • Compounded annual return (geometric extrapolation)
    0.16128
  • Calmar ratio (compounded annual return / max draw down)
    0.42518
  • Compounded annual return / average of 25% largest draw downs
    1.28094
  • Compounded annual return / Expected Shortfall lognormal
    4.73369
  • 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
    0.04869
  • SD
    0.07818
  • Sharpe ratio (Glass type estimate)
    0.62277
  • Sharpe ratio (Hedges UMVUE)
    0.61917
  • df
    130.00000
  • t
    0.44036
  • p
    0.48070
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.15116
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.39452
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.15366
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.39200
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95638
  • Upside Potential Ratio
    7.88644
  • Upside part of mean
    0.40150
  • Downside part of mean
    -0.35281
  • Upside SD
    0.05902
  • Downside SD
    0.05091
  • N nonnegative terms
    49.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.45262
  • Mean of criterion
    0.04869
  • SD of predictor
    0.13503
  • SD of criterion
    0.07818
  • Covariance
    0.00532
  • r
    0.50375
  • b (slope, estimate of beta)
    0.29166
  • a (intercept, estimate of alpha)
    -0.08332
  • Mean Square Error
    0.00460
  • DF error
    129.00000
  • t(b)
    6.62326
  • p(b)
    0.19344
  • t(a)
    -0.85082
  • p(a)
    0.54751
  • Lowerbound of 95% confidence interval for beta
    0.20453
  • Upperbound of 95% confidence interval for beta
    0.37878
  • Lowerbound of 95% confidence interval for alpha
    -0.27708
  • Upperbound of 95% confidence interval for alpha
    0.11044
  • Treynor index (mean / b)
    0.16694
  • Jensen alpha (a)
    -0.08332
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04565
  • SD
    0.07806
  • Sharpe ratio (Glass type estimate)
    0.58488
  • Sharpe ratio (Hedges UMVUE)
    0.58150
  • df
    130.00000
  • t
    0.41357
  • p
    0.48188
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.18893
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.35651
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.19121
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.35420
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.89186
  • Upside Potential Ratio
    7.80887
  • Upside part of mean
    0.39973
  • Downside part of mean
    -0.35408
  • Upside SD
    0.05860
  • Downside SD
    0.05119
  • N nonnegative terms
    49.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.44318
  • Mean of criterion
    0.04565
  • SD of predictor
    0.13469
  • SD of criterion
    0.07806
  • Covariance
    0.00531
  • r
    0.50462
  • b (slope, estimate of beta)
    0.29243
  • a (intercept, estimate of alpha)
    -0.08395
  • Mean Square Error
    0.00458
  • DF error
    129.00000
  • t(b)
    6.63855
  • p(b)
    0.19296
  • t(a)
    -0.85971
  • p(a)
    0.54800
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    0.20528
  • Upperbound of 95% confidence interval for beta
    0.37959
  • Lowerbound of 95% confidence interval for alpha
    -0.27714
  • Upperbound of 95% confidence interval for alpha
    0.10924
  • Treynor index (mean / b)
    0.15612
  • Jensen alpha (a)
    -0.08395
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00773
  • Expected Shortfall on VaR
    0.00972
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00354
  • Expected Shortfall on VaR
    0.00713
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98327
  • Quartile 1
    0.99898
  • Median
    1.00000
  • Quartile 3
    1.00185
  • Maximum
    1.02292
  • Mean of quarter 1
    0.99513
  • Mean of quarter 2
    0.99979
  • Mean of quarter 3
    1.00053
  • Mean of quarter 4
    1.00573
  • Inter Quartile Range
    0.00287
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.99137
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.01128
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00274
  • VaR(95%) (moments method)
    0.00357
  • Expected Shortfall (moments method)
    0.00503
  • Extreme Value Index (regression method)
    0.14802
  • VaR(95%) (regression method)
    0.00475
  • Expected Shortfall (regression method)
    0.00762
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00029
  • Quartile 1
    0.00754
  • Median
    0.01479
  • Quartile 3
    0.03324
  • Maximum
    0.05170
  • Mean of quarter 1
    0.00029
  • Mean of quarter 2
    0.01479
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.05170
  • Inter Quartile Range
    0.02570
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -377510000
  • Max Equity Drawdown (num days)
    72
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07493
  • Compounded annual return (geometric extrapolation)
    0.07633
  • Calmar ratio (compounded annual return / max draw down)
    1.47660
  • Compounded annual return / average of 25% largest draw downs
    1.47660
  • Compounded annual return / Expected Shortfall lognormal
    7.85025

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2019-06-18
Suggested Minimum Capital
$15,000
# Trades
119
# Profitable
59
% Profitable
49.6%
Net Dividends
$802
Correlation S&P500
0.013
Sharpe Ratio
0.32
Sortino Ratio
0.69
Beta
0.02
Alpha
0.03
Leverage
1.02 Average
16.93 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.