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This is an archived track record. This track record was archived on 1/22/24 22:57 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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TightAF
(138466822)

Created by: Danny Danny
Started: 12/2021
Stocks
Last trade: 87 days ago

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.

16.5%
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.

(45.6%)
Max Drawdown
366
Num Trades
48.9%
Win Trades
1.3 : 1
Profit Factor
51.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                                             +0.8%+0.8%
2022+3.4%+5.5%+1.5%+11.6%(0.5%)+10.5%(10.7%)+9.5%+10.6%(2.8%)(9%)+1.0%+31.3%
2023(4%)+4.0%+1.6%(1.6%)(5.1%)(7.2%)(2.5%)+1.0%+19.3%+13.9%(16.8%)(11%)(13.1%)
2024+20.6%  -    -    -                                                  +20.6%

Model Account Details

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

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

Trading Record

This strategy has placed 719 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 162 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/28/23 11:26 CMPX COMPASS THERAPEUTICS INC. COMMON STOCK SHORT 215,000 1.49 1/22/24 22:57 1.45 111.83%
Trade id #146832871
Max drawdown($111,750)
Time1/9/24 0:00
Quant open215,000
Worst price2.01
Drawdown as % of equity-111.83%
 $8,638
Includes Typical Broker Commissions trade costs of $12.50
11/7/23 9:30 TFLO ISHARES TREASURY FLOATING RATE LONG 2,000 50.59 12/28 11:25 50.46 0.34%
Trade id #146354824
Max drawdown($440)
Time12/14/23 0:00
Quant open2,000
Worst price50.37
Drawdown as % of equity-0.34%
 ($268)
Includes Typical Broker Commissions trade costs of $7.50
10/27/23 12:05 USFR WISDOMTREE FLOATING RATE TREASURY FUND LONG 4,000 50.34 12/28 11:25 50.24 0.39%
Trade id #146259907
Max drawdown($510)
Time12/22/23 0:00
Quant open4,000
Worst price50.21
Drawdown as % of equity-0.39%
 ($398)
Includes Typical Broker Commissions trade costs of $7.50
10/30/23 9:58 SHYF SHYFT GROUP INC SHORT 2,862 10.66 11/9 9:30 11.05 2.18%
Trade id #146275163
Max drawdown($3,424)
Time11/2/23 0:00
Quant open2,862
Worst price11.86
Drawdown as % of equity-2.18%
 ($1,119)
Includes Typical Broker Commissions trade costs of $11.50
10/16/23 9:51 ZFOX ZEROFOX HOLDINGS INC. SHORT 69,144 0.67 11/9 9:30 0.60 3.04%
Trade id #146139489
Max drawdown($4,400)
Time10/25/23 0:00
Quant open69,144
Worst price0.73
Drawdown as % of equity-3.04%
 $4,612
Includes Typical Broker Commissions trade costs of $17.50
10/12/23 11:17 EVA ENVIVA INC SHORT 2,149 5.12 11/7 9:30 4.29 0.3%
Trade id #146111316
Max drawdown($384)
Time10/17/23 0:00
Quant open2,149
Worst price5.30
Drawdown as % of equity-0.30%
 $1,781
Includes Typical Broker Commissions trade costs of $5.00
10/4/23 9:57 CIO CITY OFFICE REIT INC SHORT 19,142 3.75 11/6 9:30 3.93 4.24%
Trade id #146027290
Max drawdown($6,129)
Time11/3/23 0:00
Quant open9,571
Worst price4.39
Drawdown as % of equity-4.24%
 ($3,517)
Includes Typical Broker Commissions trade costs of $15.00
10/23/23 10:13 BCAB BIOATLA INC. COMMON STOCK SHORT 28,700 1.47 11/6 9:30 1.90 9.5%
Trade id #146205104
Max drawdown($13,726)
Time11/3/23 0:00
Quant open28,700
Worst price1.95
Drawdown as % of equity-9.50%
 ($12,306)
Includes Typical Broker Commissions trade costs of $15.00
9/18/23 10:07 CCCC C4 THERAPEUTICS INC. COMMON STOCK SHORT 5,253 2.18 11/6 9:30 1.58 0.55%
Trade id #145855560
Max drawdown($656)
Time9/20/23 0:00
Quant open5,253
Worst price2.31
Drawdown as % of equity-0.55%
 $3,147
Includes Typical Broker Commissions trade costs of $5.00
9/19/23 9:40 ESPR ESPERION THERAPEUTICS INC. CO SHORT 6,627 1.29 11/6 9:30 1.06 0.45%
Trade id #145864986
Max drawdown($530)
Time9/20/23 0:00
Quant open6,627
Worst price1.37
Drawdown as % of equity-0.45%
 $1,519
Includes Typical Broker Commissions trade costs of $5.00
9/21/23 10:45 OPI OFFICE PROPERTIES INCOME TRUST SHORT 5,000 5.41 11/6 9:30 5.47 0.51%
Trade id #145894993
Max drawdown($742)
Time11/3/23 0:00
Quant open5,000
Worst price5.56
Drawdown as % of equity-0.51%
 ($301)
Includes Typical Broker Commissions trade costs of $7.50
10/30/23 10:41 RUM RUMBLE INC CLASS A SHORT 5,500 4.79 11/2 11:08 5.07 1.04%
Trade id #146276277
Max drawdown($1,527)
Time11/2/23 11:04
Quant open5,500
Worst price5.07
Drawdown as % of equity-1.04%
 ($1,531)
Includes Typical Broker Commissions trade costs of $5.00
10/4/23 12:49 COMM COMMSCOPE HOLDING COMPANY INC SHORT 11,217 2.87 11/2 9:40 1.52 0.38%
Trade id #146031904
Max drawdown($560)
Time10/4/23 14:37
Quant open11,217
Worst price2.92
Drawdown as % of equity-0.38%
 $15,125
Includes Typical Broker Commissions trade costs of $12.50
10/23/23 9:42 DPST DIREXION DAILY REGIONAL BANKS BULL 3X SHORT 204 42.97 10/27 12:04 43.11 0.42%
Trade id #146204224
Max drawdown($644)
Time10/26/23 0:00
Quant open204
Worst price46.13
Drawdown as % of equity-0.42%
 ($33)
Includes Typical Broker Commissions trade costs of $4.08
9/15/23 10:05 CCSI CONSENSUS CLOUD SOLUTIONS INC. SHORT 684 25.51 10/27 12:04 20.68 0.95%
Trade id #145836177
Max drawdown($1,108)
Time9/22/23 0:00
Quant open684
Worst price27.13
Drawdown as % of equity-0.95%
 $3,297
Includes Typical Broker Commissions trade costs of $5.00
9/13/23 11:11 FREY FREYR BATTERY SHORT 2,570 5.85 10/27 12:01 3.23 0.23%
Trade id #145809919
Max drawdown($259)
Time9/14/23 0:00
Quant open2,570
Worst price5.95
Drawdown as % of equity-0.23%
 $6,739
Includes Typical Broker Commissions trade costs of $5.00
10/13/23 10:56 RUM RUMBLE INC CLASS A SHORT 5,980 4.96 10/23 10:14 5.18 2.48%
Trade id #146122801
Max drawdown($3,154)
Time10/19/23 0:00
Quant open5,980
Worst price5.49
Drawdown as % of equity-2.48%
 ($1,299)
Includes Typical Broker Commissions trade costs of $7.50
9/13/23 11:10 HIPO HIPPO HOLDINGS INC SHORT 1,239 9.50 10/23 10:14 7.30 0.34%
Trade id #145809906
Max drawdown($391)
Time9/14/23 0:00
Quant open1,239
Worst price9.82
Drawdown as % of equity-0.34%
 $2,727
Includes Typical Broker Commissions trade costs of $5.00
9/19/23 9:46 VERU VERU INC SHORT 70,042 0.88 10/16 9:30 0.84 2.99%
Trade id #145865221
Max drawdown($3,483)
Time9/21/23 0:00
Quant open43,342
Worst price0.98
Drawdown as % of equity-2.99%
 $3,021
Includes Typical Broker Commissions trade costs of $42.50
10/9/23 10:22 INCY INCYTE SHORT 640 56.03 10/16 9:30 57.97 0.92%
Trade id #146074805
Max drawdown($1,251)
Time10/16/23 9:30
Quant open640
Worst price57.99
Drawdown as % of equity-0.92%
 ($1,243)
Includes Typical Broker Commissions trade costs of $5.00
9/22/23 11:02 BCAB BIOATLA INC. COMMON STOCK SHORT 12,230 1.89 10/13 10:55 1.67 2.16%
Trade id #145905714
Max drawdown($2,669)
Time10/11/23 0:00
Quant open12,230
Worst price2.11
Drawdown as % of equity-2.16%
 $2,748
Includes Typical Broker Commissions trade costs of $7.50
9/28/23 10:50 VSCO VICTORIA'S SECRET & CO SHORT 1,798 16.06 10/11 9:30 16.29 1.39%
Trade id #145959635
Max drawdown($1,860)
Time9/29/23 0:00
Quant open1,798
Worst price17.09
Drawdown as % of equity-1.39%
 ($421)
Includes Typical Broker Commissions trade costs of $7.50
9/25/23 10:45 GOSS GOSSAMER BIO INC. COMMON STOCK SHORT 11,039 0.77 10/11 9:30 0.68 0.69%
Trade id #145923974
Max drawdown($932)
Time9/29/23 0:00
Quant open11,039
Worst price0.85
Drawdown as % of equity-0.69%
 $955
Includes Typical Broker Commissions trade costs of $5.00
10/3/23 10:22 SHBI SHORE BANCSHARES SHORT 3,060 10.13 10/6 11:40 10.63 1.06%
Trade id #146008061
Max drawdown($1,522)
Time10/6/23 11:40
Quant open3,060
Worst price10.63
Drawdown as % of equity-1.06%
 ($1,520)
Includes Typical Broker Commissions trade costs of $5.00
10/3/23 9:53 VNDA VANDA PHARMACEUTICALS SHORT 7,982 4.12 10/4 12:49 4.28 1.11%
Trade id #146007002
Max drawdown($1,619)
Time10/4/23 0:00
Quant open7,982
Worst price4.32
Drawdown as % of equity-1.11%
 ($1,289)
Includes Typical Broker Commissions trade costs of $7.50
9/22/23 10:22 INCY INCYTE SHORT 643 58.40 10/4 9:57 58.06 0.71%
Trade id #145905085
Max drawdown($930)
Time9/27/23 0:00
Quant open643
Worst price59.85
Drawdown as % of equity-0.71%
 $213
Includes Typical Broker Commissions trade costs of $5.00
9/25/23 10:56 BTM BITCOIN DEPOT INC. CLASS A SHORT 9,207 2.19 10/3 10:21 2.68 3.49%
Trade id #145924129
Max drawdown($4,682)
Time9/29/23 0:00
Quant open9,207
Worst price2.70
Drawdown as % of equity-3.49%
 ($4,468)
Includes Typical Broker Commissions trade costs of $10.00
9/26/23 11:29 USFR WISDOMTREE FLOATING RATE TREASURY FUND LONG 1,500 50.28 9/28 10:50 50.29 0%
Trade id #145934667
Max drawdown($5)
Time9/26/23 11:33
Quant open1,000
Worst price50.28
Drawdown as % of equity-0.00%
 ($15)
Includes Typical Broker Commissions trade costs of $22.50
9/26/23 10:07 BOIL PROSHARES ULTRA BLOOMBERG NATU SHORT 300 50.55 9/27 10:38 54.06 0.82%
Trade id #145933527
Max drawdown($1,082)
Time9/27/23 10:35
Quant open300
Worst price54.16
Drawdown as % of equity-0.82%
 ($1,058)
Includes Typical Broker Commissions trade costs of $6.00
5/5/23 15:56 TFLO ISHARES TREASURY FLOATING RATE LONG 5,500 50.56 9/22 10:50 50.65 0.52%
Trade id #144543753
Max drawdown($600)
Time7/3/23 0:00
Quant open5,500
Worst price50.45
Drawdown as % of equity-0.52%
 $425
Includes Typical Broker Commissions trade costs of $54.00
Next

Statistics

  • Strategy began
    12/6/2021
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    861.56
  • Age
    29 months ago
  • What it trades
    Stocks
  • # Trades
    366
  • # Profitable
    179
  • % Profitable
    48.90%
  • Avg trade duration
    28.5 days
  • Max peak-to-valley drawdown
    45.61%
  • drawdown period
    Nov 01, 2023 - Jan 05, 2024
  • Annual Return (Compounded)
    16.5%
  • Avg win
    $952.75
  • Avg loss
    $732.18
  • Model Account Values (Raw)
  • Cash
    $143,153
  • Margin Used
    $0
  • Buying Power
    $143,153
  • Ratios
  • W:L ratio
    1.32:1
  • Sharpe Ratio
    0.45
  • Sortino Ratio
    0.65
  • Calmar Ratio
    0.553
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    33.00%
  • Correlation to SP500
    -0.30250
  • Return Percent SP500 (cumu) during strategy life
    9.38%
  • Return Statistics
  • Ann Return (w trading costs)
    16.5%
  • Slump
  • Current Slump as Pcnt Equity
    15.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.19%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.165%
  • Instruments
  • Percent Trades Options
    0.06%
  • Percent Trades Stocks
    0.94%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    78.50%
  • Chance of 20% account loss
    52.00%
  • Chance of 30% account loss
    27.00%
  • Chance of 40% account loss
    10.00%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • 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
    0.11%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    4.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    705
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    610
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $732
  • Avg Win
    $953
  • Sum Trade PL (losers)
    $136,917.000
  • Age
  • Num Months filled monthly returns table
    29
  • Win / Loss
  • Sum Trade PL (winners)
    $170,543.000
  • # Winners
    179
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    9812
  • Win / Loss
  • # Losers
    187
  • % Winners
    48.9%
  • Frequency
  • Avg Position Time (mins)
    40970.20
  • Avg Position Time (hrs)
    682.84
  • Avg Trade Length
    28.5 days
  • Last Trade Ago
    84
  • Leverage
  • Daily leverage (average)
    2.19
  • Daily leverage (max)
    3.23
  • Regression
  • Alpha
    0.05
  • Beta
    -0.52
  • Treynor Index
    -0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.37
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    14.072
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.066
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.309
  • Hold-and-Hope Ratio
    0.071
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20930
  • SD
    0.26770
  • Sharpe ratio (Glass type estimate)
    0.78187
  • Sharpe ratio (Hedges UMVUE)
    0.75605
  • df
    23.00000
  • t
    1.10573
  • p
    0.14014
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63033
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17765
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64697
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15907
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.50922
  • Upside Potential Ratio
    3.48452
  • Upside part of mean
    0.48324
  • Downside part of mean
    -0.27394
  • Upside SD
    0.23042
  • Downside SD
    0.13868
  • N nonnegative terms
    14.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.01735
  • Mean of criterion
    0.20930
  • SD of predictor
    0.19256
  • SD of criterion
    0.26770
  • Covariance
    -0.04062
  • r
    -0.78810
  • b (slope, estimate of beta)
    -1.09564
  • a (intercept, estimate of alpha)
    0.22831
  • Mean Square Error
    0.02839
  • DF error
    22.00000
  • t(b)
    -6.00531
  • p(b)
    1.00000
  • t(a)
    1.91573
  • p(a)
    0.03424
  • Lowerbound of 95% confidence interval for beta
    -1.47401
  • Upperbound of 95% confidence interval for beta
    -0.71727
  • Lowerbound of 95% confidence interval for alpha
    -0.01885
  • Upperbound of 95% confidence interval for alpha
    0.47547
  • Treynor index (mean / b)
    -0.19103
  • Jensen alpha (a)
    0.22831
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17430
  • SD
    0.26077
  • Sharpe ratio (Glass type estimate)
    0.66840
  • Sharpe ratio (Hedges UMVUE)
    0.64632
  • df
    23.00000
  • t
    0.94526
  • p
    0.17718
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73780
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06047
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75211
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04475
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.21087
  • Upside Potential Ratio
    3.17962
  • Upside part of mean
    0.45769
  • Downside part of mean
    -0.28339
  • Upside SD
    0.21675
  • Downside SD
    0.14395
  • N nonnegative terms
    14.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    -0.00050
  • Mean of criterion
    0.17430
  • SD of predictor
    0.19315
  • SD of criterion
    0.26077
  • Covariance
    -0.03988
  • r
    -0.79176
  • b (slope, estimate of beta)
    -1.06896
  • a (intercept, estimate of alpha)
    0.17377
  • Mean Square Error
    0.02653
  • DF error
    22.00000
  • t(b)
    -6.07980
  • p(b)
    1.00000
  • t(a)
    1.50889
  • p(a)
    0.07278
  • Lowerbound of 95% confidence interval for beta
    -1.43359
  • Upperbound of 95% confidence interval for beta
    -0.70433
  • Lowerbound of 95% confidence interval for alpha
    -0.06507
  • Upperbound of 95% confidence interval for alpha
    0.41261
  • Treynor index (mean / b)
    -0.16306
  • Jensen alpha (a)
    0.17377
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10354
  • Expected Shortfall on VaR
    0.13096
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04779
  • Expected Shortfall on VaR
    0.08733
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.91014
  • Quartile 1
    0.95115
  • Median
    1.01329
  • Quartile 3
    1.07056
  • Maximum
    1.15758
  • Mean of quarter 1
    0.92716
  • Mean of quarter 2
    0.98739
  • Mean of quarter 3
    1.03524
  • Mean of quarter 4
    1.12929
  • Inter Quartile Range
    0.11941
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -5.73116
  • VaR(95%) (moments method)
    0.07507
  • Expected Shortfall (moments method)
    0.07508
  • Extreme Value Index (regression method)
    -1.56446
  • VaR(95%) (regression method)
    0.09014
  • Expected Shortfall (regression method)
    0.09249
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01248
  • Quartile 1
    0.08646
  • Median
    0.12288
  • Quartile 3
    0.15473
  • Maximum
    0.21497
  • Mean of quarter 1
    0.01248
  • Mean of quarter 2
    0.11112
  • Mean of quarter 3
    0.13464
  • Mean of quarter 4
    0.21497
  • Inter Quartile Range
    0.06827
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24921
  • Compounded annual return (geometric extrapolation)
    0.22410
  • Calmar ratio (compounded annual return / max draw down)
    1.04247
  • Compounded annual return / average of 25% largest draw downs
    1.04247
  • Compounded annual return / Expected Shortfall lognormal
    1.71120
  • 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
    0.22850
  • SD
    0.32783
  • Sharpe ratio (Glass type estimate)
    0.69700
  • Sharpe ratio (Hedges UMVUE)
    0.69600
  • df
    523.00000
  • t
    0.98571
  • p
    0.16237
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68985
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08325
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69054
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08255
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.00057
  • Upside Potential Ratio
    6.47338
  • Upside part of mean
    1.47831
  • Downside part of mean
    -1.24981
  • Upside SD
    0.23519
  • Downside SD
    0.22837
  • N nonnegative terms
    303.00000
  • N negative terms
    221.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    524.00000
  • Mean of predictor
    0.01892
  • Mean of criterion
    0.22850
  • SD of predictor
    0.19720
  • SD of criterion
    0.32783
  • Covariance
    -0.02039
  • r
    -0.31545
  • b (slope, estimate of beta)
    -0.52441
  • a (intercept, estimate of alpha)
    0.22700
  • Mean Square Error
    0.09696
  • DF error
    522.00000
  • t(b)
    -7.59486
  • p(b)
    1.00000
  • t(a)
    1.08281
  • p(a)
    0.13970
  • Lowerbound of 95% confidence interval for beta
    -0.66006
  • Upperbound of 95% confidence interval for beta
    -0.38877
  • Lowerbound of 95% confidence interval for alpha
    -0.19415
  • Upperbound of 95% confidence interval for alpha
    0.67099
  • Treynor index (mean / b)
    -0.43572
  • Jensen alpha (a)
    0.23842
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17430
  • SD
    0.33024
  • Sharpe ratio (Glass type estimate)
    0.52780
  • Sharpe ratio (Hedges UMVUE)
    0.52704
  • df
    523.00000
  • t
    0.74642
  • p
    0.22787
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85872
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91383
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85923
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91331
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.72771
  • Upside Potential Ratio
    6.06118
  • Upside part of mean
    1.45176
  • Downside part of mean
    -1.27746
  • Upside SD
    0.22715
  • Downside SD
    0.23952
  • N nonnegative terms
    303.00000
  • N negative terms
    221.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    524.00000
  • Mean of predictor
    -0.00050
  • Mean of criterion
    0.17430
  • SD of predictor
    0.19730
  • SD of criterion
    0.33024
  • Covariance
    -0.02036
  • r
    -0.31249
  • b (slope, estimate of beta)
    -0.52304
  • a (intercept, estimate of alpha)
    0.17404
  • Mean Square Error
    0.09860
  • DF error
    522.00000
  • t(b)
    -7.51582
  • p(b)
    1.00000
  • t(a)
    0.78385
  • p(a)
    0.21674
  • Lowerbound of 95% confidence interval for beta
    -0.65975
  • Upperbound of 95% confidence interval for beta
    -0.38633
  • Lowerbound of 95% confidence interval for alpha
    -0.26215
  • Upperbound of 95% confidence interval for alpha
    0.61023
  • Treynor index (mean / b)
    -0.33324
  • Jensen alpha (a)
    0.17404
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03236
  • Expected Shortfall on VaR
    0.04055
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00947
  • Expected Shortfall on VaR
    0.02154
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    524.00000
  • Minimum
    0.85562
  • Quartile 1
    0.99542
  • Median
    1.00070
  • Quartile 3
    1.00580
  • Maximum
    1.12504
  • Mean of quarter 1
    0.98253
  • Mean of quarter 2
    0.99869
  • Mean of quarter 3
    1.00293
  • Mean of quarter 4
    1.01976
  • Inter Quartile Range
    0.01038
  • Number outliers low
    27.00000
  • Percentage of outliers low
    0.05153
  • Mean of outliers low
    0.95398
  • Number of outliers high
    33.00000
  • Percentage of outliers high
    0.06298
  • Mean of outliers high
    1.04635
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48930
  • VaR(95%) (moments method)
    0.01578
  • Expected Shortfall (moments method)
    0.03553
  • Extreme Value Index (regression method)
    0.45253
  • VaR(95%) (regression method)
    0.01420
  • Expected Shortfall (regression method)
    0.02957
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00383
  • Quartile 1
    0.00982
  • Median
    0.02485
  • Quartile 3
    0.07103
  • Maximum
    0.35571
  • Mean of quarter 1
    0.00734
  • Mean of quarter 2
    0.01541
  • Mean of quarter 3
    0.04496
  • Mean of quarter 4
    0.20134
  • Inter Quartile Range
    0.06121
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.29308
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.49044
  • VaR(95%) (moments method)
    0.17836
  • Expected Shortfall (moments method)
    0.17919
  • Extreme Value Index (regression method)
    -0.51991
  • VaR(95%) (regression method)
    0.34060
  • Expected Shortfall (regression method)
    0.41483
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24921
  • Compounded annual return (geometric extrapolation)
    0.22410
  • Calmar ratio (compounded annual return / max draw down)
    0.63001
  • Compounded annual return / average of 25% largest draw downs
    1.11306
  • Compounded annual return / Expected Shortfall lognormal
    5.52719
  • 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
    0.58783
  • SD
    0.56713
  • Sharpe ratio (Glass type estimate)
    1.03650
  • Sharpe ratio (Hedges UMVUE)
    1.03051
  • df
    130.00000
  • t
    0.73292
  • p
    0.46793
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.74010
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.80924
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.74413
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.80514
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.45698
  • Upside Potential Ratio
    6.40721
  • Upside part of mean
    2.58505
  • Downside part of mean
    -1.99722
  • Upside SD
    0.39714
  • Downside SD
    0.40346
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14916
  • Mean of criterion
    0.58783
  • SD of predictor
    0.12045
  • SD of criterion
    0.56713
  • Covariance
    -0.01161
  • r
    -0.16992
  • b (slope, estimate of beta)
    -0.80007
  • a (intercept, estimate of alpha)
    0.70717
  • Mean Square Error
    0.31477
  • DF error
    129.00000
  • t(b)
    -1.95842
  • p(b)
    0.60765
  • t(a)
    0.88866
  • p(a)
    0.45039
  • Lowerbound of 95% confidence interval for beta
    -1.60836
  • Upperbound of 95% confidence interval for beta
    0.00821
  • Lowerbound of 95% confidence interval for alpha
    -0.86729
  • Upperbound of 95% confidence interval for alpha
    2.28163
  • Treynor index (mean / b)
    -0.73472
  • Jensen alpha (a)
    0.70717
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42516
  • SD
    0.57449
  • Sharpe ratio (Glass type estimate)
    0.74008
  • Sharpe ratio (Hedges UMVUE)
    0.73580
  • df
    130.00000
  • t
    0.52331
  • p
    0.47708
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.03452
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.51202
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.03745
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.50905
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.99480
  • Upside Potential Ratio
    5.87299
  • Upside part of mean
    2.51004
  • Downside part of mean
    -2.08487
  • Upside SD
    0.38150
  • Downside SD
    0.42739
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14191
  • Mean of criterion
    0.42516
  • SD of predictor
    0.12042
  • SD of criterion
    0.57449
  • Covariance
    -0.01166
  • r
    -0.16856
  • b (slope, estimate of beta)
    -0.80416
  • a (intercept, estimate of alpha)
    0.53928
  • Mean Square Error
    0.32314
  • DF error
    129.00000
  • t(b)
    -1.94232
  • p(b)
    0.60680
  • t(a)
    0.66903
  • p(a)
    0.46259
  • VAR (95 Confidence Intrvl)
    0.03200
  • Lowerbound of 95% confidence interval for beta
    -1.62332
  • Upperbound of 95% confidence interval for beta
    0.01499
  • Lowerbound of 95% confidence interval for alpha
    -1.05553
  • Upperbound of 95% confidence interval for alpha
    2.13410
  • Treynor index (mean / b)
    -0.52870
  • Jensen alpha (a)
    0.53928
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05518
  • Expected Shortfall on VaR
    0.06900
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01395
  • Expected Shortfall on VaR
    0.03292
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.85562
  • Quartile 1
    0.99812
  • Median
    1.00046
  • Quartile 3
    1.00544
  • Maximum
    1.12504
  • Mean of quarter 1
    0.97025
  • Mean of quarter 2
    0.99982
  • Mean of quarter 3
    1.00178
  • Mean of quarter 4
    1.03754
  • Inter Quartile Range
    0.00732
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.11450
  • Mean of outliers low
    0.94091
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.17557
  • Mean of outliers high
    1.05002
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.21375
  • VaR(95%) (moments method)
    0.02054
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.66509
  • VaR(95%) (regression method)
    0.02281
  • Expected Shortfall (regression method)
    0.08578
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00050
  • Quartile 1
    0.00869
  • Median
    0.01259
  • Quartile 3
    0.06814
  • Maximum
    0.35571
  • Mean of quarter 1
    0.00254
  • Mean of quarter 2
    0.01030
  • Mean of quarter 3
    0.02674
  • Mean of quarter 4
    0.25585
  • Inter Quartile Range
    0.05945
  • 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
    0.12500
  • Mean of outliers high
    0.35571
  • 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?
    -354758000
  • Max Equity Drawdown (num days)
    65
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.50850
  • Compounded annual return (geometric extrapolation)
    0.57314
  • Calmar ratio (compounded annual return / max draw down)
    1.61126
  • Compounded annual return / average of 25% largest draw downs
    2.24011
  • Compounded annual return / Expected Shortfall lognormal
    8.30584

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2021-12-06
Suggested Minimum Capital
$25,000
# Trades
366
# Profitable
179
% Profitable
48.9%
Net Dividends
$9,811
Correlation S&P500
-0.302
Sharpe Ratio
0.45
Sortino Ratio
0.65
Beta
-0.52
Alpha
0.05
Leverage
2.19 Average
3.23 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.