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

NVIDIA System V1/11
(138839383)

Powered by BrokerTransmit.
Read important disclosures.

Created by: Arik Arik
Started: 01/2022
Stocks
Last trade: 5 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. You can subscribe to this system for free.

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.

6.4%
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.

(70.1%)
Max Drawdown
653
Num Trades
65.5%
Win Trades
1.1 : 1
Profit Factor
45.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022(8.3%)(0.7%)(0.7%)(0.7%)+33.1%+29.3%+20.6%(9.1%)(8.9%)+11.6%+26.3%(20%)+74.0%
2023+4.2%+7.6%+9.6%+1.3%+2.9%+3.8%(5.2%)(19.5%)(20%)(4.5%)(22.2%)+2.5%(38.2%)
2024+5.5%+33.6%+16.0%(0.5%)(18.7%)(0.2%)+0.9%(0.5%)(0.5%)(15.8%)(0.2%)      +10.8%

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 1,471 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/11/24 9:43 VERI VERITONE INC. COMMON STOCK LONG 206 4.77 10/29 10:07 3.87 4.73%
Trade id #149637555
Max drawdown($309)
Time10/23/24 0:00
Quant open206
Worst price3.27
Drawdown as % of equity-4.73%
($189)
Includes Typical Broker Commissions trade costs of $4.12
10/8/24 9:31 ACCD ACCOLADE INC. LONG 1,408 3.47 10/24 14:15 3.27 7.04%
Trade id #149604005
Max drawdown($444)
Time10/24/24 11:38
Quant open1,408
Worst price3.15
Drawdown as % of equity-7.04%
($292)
Includes Typical Broker Commissions trade costs of $9.96
10/24/24 9:56 CSIQ CANADIAN SOLAR LONG 232 12.35 10/24 10:15 12.28 0.48%
Trade id #149817635
Max drawdown($30)
Time10/24/24 10:06
Quant open232
Worst price12.22
Drawdown as % of equity-0.48%
($21)
Includes Typical Broker Commissions trade costs of $4.64
10/16/24 9:30 NVCR NOVOCURE LIMITED ORDINARY SHARES LONG 46 19.84 10/23 15:41 16.02 3.02%
Trade id #149672296
Max drawdown($194)
Time10/23/24 10:51
Quant open46
Worst price15.61
Drawdown as % of equity-3.02%
($176)
Includes Typical Broker Commissions trade costs of $0.92
10/7/24 9:45 CSIQ CANADIAN SOLAR LONG 128 15.14 10/23 5:09 12.92 5.93%
Trade id #149593555
Max drawdown($387)
Time10/22/24 0:00
Quant open128
Worst price12.11
Drawdown as % of equity-5.93%
($287)
Includes Typical Broker Commissions trade costs of $2.56
10/16/24 9:31 RIVN RIVIAN AUTOMOTIVE INC. CLASS A LONG 49 10.28 10/22 12:56 10.20 0.25%
Trade id #149672473
Max drawdown($16)
Time10/17/24 0:00
Quant open49
Worst price9.93
Drawdown as % of equity-0.25%
($5)
Includes Typical Broker Commissions trade costs of $0.98
10/16/24 9:31 BTE BAYTEX ENERGY CORP LONG 164 3.05 10/22 8:14 2.95 0.48%
Trade id #149672464
Max drawdown($30)
Time10/18/24 0:00
Quant open164
Worst price2.86
Drawdown as % of equity-0.48%
($19)
Includes Typical Broker Commissions trade costs of $3.28
10/17/24 9:32 ZUO ZUORA INC LONG 110 10.01 10/21 13:16 9.92 0.36%
Trade id #149683771
Max drawdown($23)
Time10/18/24 0:00
Quant open110
Worst price9.80
Drawdown as % of equity-0.36%
($12)
Includes Typical Broker Commissions trade costs of $2.20
10/7/24 9:33 EH EHANG HOLDINGS LTD. ADR OVERVIEW LONG 116 17.84 10/21 9:34 17.88 4.66%
Trade id #149593153
Max drawdown($313)
Time10/17/24 0:00
Quant open116
Worst price15.14
Drawdown as % of equity-4.66%
$2
Includes Typical Broker Commissions trade costs of $2.32
10/16/24 9:31 MP MP MATERIALS CORP LONG 27 18.48 10/17 10:05 18.92 0%
Trade id #149672528
Max drawdown($0)
Time10/16/24 9:34
Quant open27
Worst price18.48
Drawdown as % of equity-0.00%
$11
Includes Typical Broker Commissions trade costs of $0.54
10/16/24 9:31 LCID LUCID GROUP INC LONG 300 3.07 10/17 10:00 2.82 1.31%
Trade id #149672451
Max drawdown($88)
Time10/17/24 9:30
Quant open150
Worst price2.74
Drawdown as % of equity-1.31%
($81)
Includes Typical Broker Commissions trade costs of $6.00
10/16/24 9:31 UUUU ENERGY FUELS INC. LONG 84 5.93 10/17 5:27 6.74 n/a $66
Includes Typical Broker Commissions trade costs of $1.68
10/16/24 9:30 RIG TRANSOCEAN LONG 123 4.07 10/17 5:18 4.13 0.08%
Trade id #149672416
Max drawdown($5)
Time10/16/24 9:55
Quant open123
Worst price4.02
Drawdown as % of equity-0.08%
$6
Includes Typical Broker Commissions trade costs of $2.46
10/14/24 9:30 IVA INVENTIVA S.A. - AMERICAN DEPOS LONG 404 2.60 10/15 14:39 2.65 1.03%
Trade id #149651222
Max drawdown($72)
Time10/14/24 10:24
Quant open202
Worst price2.29
Drawdown as % of equity-1.03%
$12
Includes Typical Broker Commissions trade costs of $8.08
10/15/24 9:42 MGTX MEIRAGTX HOLDINGS PLC ORDINARY SHARES LONG 107 4.98 10/15 14:21 5.40 0.01%
Trade id #149662254
Max drawdown($0)
Time10/15/24 9:45
Quant open107
Worst price4.97
Drawdown as % of equity-0.01%
$43
Includes Typical Broker Commissions trade costs of $2.14
10/11/24 9:47 HNST THE HONEST COMPANY INC. COMMON STOCK LONG 146 3.74 10/14 4:00 3.79 0.5%
Trade id #149637670
Max drawdown($35)
Time10/11/24 15:38
Quant open146
Worst price3.50
Drawdown as % of equity-0.50%
$4
Includes Typical Broker Commissions trade costs of $2.92
10/7/24 9:41 MYTE MYT NETHERLANDS PARENT BV LONG 96 4.83 10/8 9:40 7.34 n/a $239
Includes Typical Broker Commissions trade costs of $1.92
10/4/24 10:23 CHAU DIREXION DAILY CSI 300 CHINA A BULL X2 LONG 43 23.20 10/4 11:31 23.30 0.01%
Trade id #149579088
Max drawdown($0)
Time10/4/24 10:38
Quant open43
Worst price23.18
Drawdown as % of equity-0.01%
$3
Includes Typical Broker Commissions trade costs of $0.86
10/2/24 9:31 VTYX VENTYX BIOSCIENCES INC. COMMON STOCK LONG 724 2.10 10/4 9:44 2.12 0.66%
Trade id #149558762
Max drawdown($36)
Time10/3/24 0:00
Quant open724
Worst price2.05
Drawdown as % of equity-0.66%
$12
Includes Typical Broker Commissions trade costs of $5.00
10/2/24 9:31 FRGT FREIGHT TECHNOLOGIES INC. LONG 768 1.75 10/4 9:43 1.80 4.35%
Trade id #149558764
Max drawdown($230)
Time10/2/24 10:47
Quant open768
Worst price1.45
Drawdown as % of equity-4.35%
$33
Includes Typical Broker Commissions trade costs of $5.31
10/2/24 9:31 PRME PRIME MEDICINE INC. LONG 225 3.31 10/3 5:33 3.43 0.13%
Trade id #149558760
Max drawdown($6)
Time10/2/24 9:41
Quant open225
Worst price3.28
Drawdown as % of equity-0.13%
$23
Includes Typical Broker Commissions trade costs of $4.50
6/28/24 10:30 INDI INDIE SEMICONDUCTOR INC. CLASS A LONG 252 6.36 7/8 9:30 6.40 1.45%
Trade id #148530310
Max drawdown($103)
Time7/1/24 0:00
Quant open252
Worst price5.95
Drawdown as % of equity-1.45%
$5
Includes Typical Broker Commissions trade costs of $5.04
6/28/24 10:34 NVDA NVIDIA LONG 13 126.85 7/3 11:52 126.95 1.47%
Trade id #148530418
Max drawdown($104)
Time7/1/24 0:00
Quant open13
Worst price118.83
Drawdown as % of equity-1.47%
$1
Includes Typical Broker Commissions trade costs of $0.26
5/28/24 10:08 MSOX ADVISORSHARES MSOS 2X DAILY ETF LONG 3,342 3.59 6/27 15:53 3.54 83.31%
Trade id #148269870
Max drawdown($3,431)
Time6/17/24 0:00
Quant open3,342
Worst price2.56
Drawdown as % of equity-83.31%
($145)
Includes Typical Broker Commissions trade costs of $5.00
5/29/24 15:03 CLNN CLENE INC. COMMON STOCK LONG 4,652 0.38 5/30 15:40 0.34 3.54%
Trade id #148282371
Max drawdown($236)
Time5/30/24 12:23
Quant open4,652
Worst price0.33
Drawdown as % of equity-3.54%
($193)
Includes Typical Broker Commissions trade costs of $7.50
5/17/24 14:13 MJ AMPLIFY ALTERNATIVE HARVEST ETF LONG 7,784 4.09 5/28 10:07 3.78 26.44%
Trade id #148196851
Max drawdown($2,023)
Time5/28/24 10:07
Quant open6,470
Worst price3.78
Drawdown as % of equity-26.44%
($2,476)
Includes Typical Broker Commissions trade costs of $22.23
5/14/24 9:48 ULTY YIELDMAX ULTRA OPTION INCOME STRATEGY ETF LONG 242 15.33 5/21 15:08 14.64 1.87%
Trade id #148162132
Max drawdown($188)
Time5/20/24 0:00
Quant open242
Worst price14.55
Drawdown as % of equity-1.87%
($171)
Includes Typical Broker Commissions trade costs of $4.84
5/17/24 9:50 UTSL DIREXION DAILY UTILITIES BULL 3X LONG 141 29.61 5/21 9:32 29.69 0.14%
Trade id #148193100
Max drawdown($14)
Time5/17/24 14:40
Quant open71
Worst price29.39
Drawdown as % of equity-0.14%
$8
Includes Typical Broker Commissions trade costs of $2.82
5/16/24 15:48 FXU FIRST TRUST UTILITIES ALPHADEX LONG 58 35.10 5/17 15:55 35.00 0.11%
Trade id #148188379
Max drawdown($10)
Time5/17/24 9:38
Quant open58
Worst price34.91
Drawdown as % of equity-0.11%
($7)
Includes Typical Broker Commissions trade costs of $1.16
5/16/24 13:56 CONY YIELDMAX COIN OPTION INCOME STRATEGY ETF LONG 97 20.94 5/17 13:04 21.64 0.25%
Trade id #148187252
Max drawdown($24)
Time5/16/24 15:55
Quant open97
Worst price20.69
Drawdown as % of equity-0.25%
$66
Includes Typical Broker Commissions trade costs of $1.94

Statistics

  • Strategy began
    1/6/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1032.07
  • Age
    34 months ago
  • What it trades
    Stocks
  • # Trades
    653
  • # Profitable
    428
  • % Profitable
    65.50%
  • Avg trade duration
    2.8 days
  • Max peak-to-valley drawdown
    70.11%
  • drawdown period
    June 16, 2023 - June 14, 2024
  • Annual Return (Compounded)
    6.4%
  • Avg win
    $77.22
  • Avg loss
    $132.06
  • Model Account Values (Raw)
  • Cash
    $5,817
  • Margin Used
    $0
  • Buying Power
    $5,341
  • Ratios
  • W:L ratio
    1.13:1
  • Sharpe Ratio
    0.28
  • Sortino Ratio
    0.41
  • Calmar Ratio
    0.482
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -2.81%
  • Correlation to SP500
    0.05520
  • Return Percent SP500 (cumu) during strategy life
    21.99%
  • Return Statistics
  • Ann Return (w trading costs)
    6.4%
  • Slump
  • Current Slump as Pcnt Equity
    128.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.49%
  • 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)
    0.064%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    23.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    80.00%
  • Chance of 20% account loss
    64.50%
  • Chance of 30% account loss
    42.50%
  • Chance of 40% account loss
    31.00%
  • 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
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    17.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    930
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    889
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $132
  • Avg Win
    $77
  • Sum Trade PL (losers)
    $29,713.000
  • Age
  • Num Months filled monthly returns table
    35
  • Win / Loss
  • Sum Trade PL (winners)
    $33,051.000
  • # Winners
    428
  • Num Months Winners
    16
  • Dividends
  • Dividends Received in Model Acct
    655
  • AUM
  • AUM (AutoTrader live capital)
    7114
  • Win / Loss
  • # Losers
    225
  • % Winners
    65.5%
  • Frequency
  • Avg Position Time (mins)
    3973.70
  • Avg Position Time (hrs)
    66.23
  • Avg Trade Length
    2.8 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    2.22
  • Daily leverage (max)
    6.85
  • Regression
  • Alpha
    0.04
  • Beta
    0.16
  • Treynor Index
    0.29
  • 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)
    2.32
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -35.929
  • 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
    0.80
  • Avg(MAE) / Avg(PL) - Winning trades
    1.103
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.018
  • Hold-and-Hope Ratio
    -0.022
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37868
  • SD
    0.60103
  • Sharpe ratio (Glass type estimate)
    0.63006
  • Sharpe ratio (Hedges UMVUE)
    0.61516
  • df
    32.00000
  • t
    1.04484
  • p
    0.15196
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56658
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81714
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57631
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80663
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.13176
  • Upside Potential Ratio
    2.74119
  • Upside part of mean
    0.91719
  • Downside part of mean
    -0.53851
  • Upside SD
    0.50028
  • Downside SD
    0.33460
  • N nonnegative terms
    14.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.06723
  • Mean of criterion
    0.37868
  • SD of predictor
    0.16845
  • SD of criterion
    0.60103
  • Covariance
    0.02089
  • r
    0.20630
  • b (slope, estimate of beta)
    0.73607
  • a (intercept, estimate of alpha)
    0.32920
  • Mean Square Error
    0.35702
  • DF error
    31.00000
  • t(b)
    1.17385
  • p(b)
    0.12470
  • t(a)
    0.90746
  • p(a)
    0.18558
  • Lowerbound of 95% confidence interval for beta
    -0.54282
  • Upperbound of 95% confidence interval for beta
    2.01497
  • Lowerbound of 95% confidence interval for alpha
    -0.41068
  • Upperbound of 95% confidence interval for alpha
    1.06907
  • Treynor index (mean / b)
    0.51446
  • Jensen alpha (a)
    0.32920
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20369
  • SD
    0.59707
  • Sharpe ratio (Glass type estimate)
    0.34114
  • Sharpe ratio (Hedges UMVUE)
    0.33307
  • df
    32.00000
  • t
    0.56572
  • p
    0.28776
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84628
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.52338
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85164
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51779
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.50624
  • Upside Potential Ratio
    2.01854
  • Upside part of mean
    0.81216
  • Downside part of mean
    -0.60848
  • Upside SD
    0.43274
  • Downside SD
    0.40235
  • N nonnegative terms
    14.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.05290
  • Mean of criterion
    0.20369
  • SD of predictor
    0.17126
  • SD of criterion
    0.59707
  • Covariance
    0.02026
  • r
    0.19811
  • b (slope, estimate of beta)
    0.69070
  • a (intercept, estimate of alpha)
    0.16715
  • Mean Square Error
    0.35355
  • DF error
    31.00000
  • t(b)
    1.12536
  • p(b)
    0.13454
  • t(a)
    0.46426
  • p(a)
    0.32285
  • Lowerbound of 95% confidence interval for beta
    -0.56107
  • Upperbound of 95% confidence interval for beta
    1.94247
  • Lowerbound of 95% confidence interval for alpha
    -0.56713
  • Upperbound of 95% confidence interval for alpha
    0.90142
  • Treynor index (mean / b)
    0.29490
  • Jensen alpha (a)
    0.16715
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.23397
  • Expected Shortfall on VaR
    0.28578
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.11246
  • Expected Shortfall on VaR
    0.22125
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    33.00000
  • Minimum
    0.58640
  • Quartile 1
    0.94387
  • Median
    1.00000
  • Quartile 3
    1.10465
  • Maximum
    1.44271
  • Mean of quarter 1
    0.84857
  • Mean of quarter 2
    0.99054
  • Mean of quarter 3
    1.05067
  • Mean of quarter 4
    1.26893
  • Inter Quartile Range
    0.16078
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03030
  • Mean of outliers low
    0.58640
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.06061
  • Mean of outliers high
    1.41145
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.32066
  • VaR(95%) (moments method)
    0.14126
  • Expected Shortfall (moments method)
    0.17263
  • Extreme Value Index (regression method)
    0.02547
  • VaR(95%) (regression method)
    0.16376
  • Expected Shortfall (regression method)
    0.23145
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.07440
  • Quartile 1
    0.12783
  • Median
    0.17491
  • Quartile 3
    0.26579
  • Maximum
    0.45059
  • Mean of quarter 1
    0.07440
  • Mean of quarter 2
    0.14563
  • Mean of quarter 3
    0.20419
  • Mean of quarter 4
    0.45059
  • Inter Quartile Range
    0.13796
  • 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)
    0.32384
  • Compounded annual return (geometric extrapolation)
    0.26061
  • Calmar ratio (compounded annual return / max draw down)
    0.57836
  • Compounded annual return / average of 25% largest draw downs
    0.57836
  • Compounded annual return / Expected Shortfall lognormal
    0.91191
  • 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
    0.26072
  • SD
    0.39521
  • Sharpe ratio (Glass type estimate)
    0.65970
  • Sharpe ratio (Hedges UMVUE)
    0.65902
  • df
    730.00000
  • t
    1.10193
  • p
    0.13543
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51439
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83335
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51485
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83289
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.97885
  • Upside Potential Ratio
    7.39568
  • Upside part of mean
    1.96985
  • Downside part of mean
    -1.70913
  • Upside SD
    0.29205
  • Downside SD
    0.26635
  • N nonnegative terms
    300.00000
  • N negative terms
    431.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    731.00000
  • Mean of predictor
    0.05916
  • Mean of criterion
    0.26072
  • SD of predictor
    0.17788
  • SD of criterion
    0.39521
  • Covariance
    0.00285
  • r
    0.04048
  • b (slope, estimate of beta)
    0.08993
  • a (intercept, estimate of alpha)
    0.25500
  • Mean Square Error
    0.15615
  • DF error
    729.00000
  • t(b)
    1.09375
  • p(b)
    0.13721
  • t(a)
    1.07936
  • p(a)
    0.14039
  • Lowerbound of 95% confidence interval for beta
    -0.07149
  • Upperbound of 95% confidence interval for beta
    0.25135
  • Lowerbound of 95% confidence interval for alpha
    -0.20914
  • Upperbound of 95% confidence interval for alpha
    0.71994
  • Treynor index (mean / b)
    2.89917
  • Jensen alpha (a)
    0.25540
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18292
  • SD
    0.39427
  • Sharpe ratio (Glass type estimate)
    0.46396
  • Sharpe ratio (Hedges UMVUE)
    0.46348
  • df
    730.00000
  • t
    0.77497
  • p
    0.21930
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70980
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63745
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71014
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63710
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.66442
  • Upside Potential Ratio
    7.00633
  • Upside part of mean
    1.92894
  • Downside part of mean
    -1.74601
  • Upside SD
    0.28207
  • Downside SD
    0.27531
  • N nonnegative terms
    300.00000
  • N negative terms
    431.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    731.00000
  • Mean of predictor
    0.04334
  • Mean of criterion
    0.18292
  • SD of predictor
    0.17800
  • SD of criterion
    0.39427
  • Covariance
    0.00278
  • r
    0.03958
  • b (slope, estimate of beta)
    0.08768
  • a (intercept, estimate of alpha)
    0.17912
  • Mean Square Error
    0.15541
  • DF error
    729.00000
  • t(b)
    1.06960
  • p(b)
    0.14258
  • t(a)
    0.75886
  • p(a)
    0.22409
  • Lowerbound of 95% confidence interval for beta
    -0.07325
  • Upperbound of 95% confidence interval for beta
    0.24861
  • Lowerbound of 95% confidence interval for alpha
    -0.28428
  • Upperbound of 95% confidence interval for alpha
    0.64253
  • Treynor index (mean / b)
    2.08633
  • Jensen alpha (a)
    0.17912
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03860
  • Expected Shortfall on VaR
    0.04830
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01644
  • Expected Shortfall on VaR
    0.03424
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    731.00000
  • Minimum
    0.86899
  • Quartile 1
    0.99460
  • Median
    1.00000
  • Quartile 3
    1.00815
  • Maximum
    1.15306
  • Mean of quarter 1
    0.97518
  • Mean of quarter 2
    0.99901
  • Mean of quarter 3
    1.00249
  • Mean of quarter 4
    1.02774
  • Inter Quartile Range
    0.01355
  • Number outliers low
    62.00000
  • Percentage of outliers low
    0.08482
  • Mean of outliers low
    0.95190
  • Number of outliers high
    60.00000
  • Percentage of outliers high
    0.08208
  • Mean of outliers high
    1.05172
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40891
  • VaR(95%) (moments method)
    0.02053
  • Expected Shortfall (moments method)
    0.04226
  • Extreme Value Index (regression method)
    0.19221
  • VaR(95%) (regression method)
    0.02267
  • Expected Shortfall (regression method)
    0.03810
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00126
  • Quartile 1
    0.00414
  • Median
    0.03337
  • Quartile 3
    0.10969
  • Maximum
    0.48731
  • Mean of quarter 1
    0.00244
  • Mean of quarter 2
    0.01879
  • Mean of quarter 3
    0.06236
  • Mean of quarter 4
    0.23781
  • Inter Quartile Range
    0.10555
  • 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
    0.04762
  • Mean of outliers high
    0.48731
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.24968
  • VaR(95%) (moments method)
    0.24490
  • Expected Shortfall (moments method)
    0.38433
  • Extreme Value Index (regression method)
    0.83954
  • VaR(95%) (regression method)
    0.30786
  • Expected Shortfall (regression method)
    1.67338
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28702
  • Compounded annual return (geometric extrapolation)
    0.23470
  • Calmar ratio (compounded annual return / max draw down)
    0.48162
  • Compounded annual return / average of 25% largest draw downs
    0.98693
  • Compounded annual return / Expected Shortfall lognormal
    4.85936
  • 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
    -0.42837
  • SD
    0.39353
  • Sharpe ratio (Glass type estimate)
    -1.08854
  • Sharpe ratio (Hedges UMVUE)
    -1.08225
  • df
    130.00000
  • t
    -0.76971
  • p
    0.53368
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.86145
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68848
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.85717
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69268
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.33589
  • Upside Potential Ratio
    4.03819
  • Upside part of mean
    1.29489
  • Downside part of mean
    -1.72326
  • Upside SD
    0.22706
  • Downside SD
    0.32066
  • N nonnegative terms
    37.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23894
  • Mean of criterion
    -0.42837
  • SD of predictor
    0.13307
  • SD of criterion
    0.39353
  • Covariance
    0.00375
  • r
    0.07166
  • b (slope, estimate of beta)
    0.21193
  • a (intercept, estimate of alpha)
    -0.47900
  • Mean Square Error
    0.15526
  • DF error
    129.00000
  • t(b)
    0.81602
  • p(b)
    0.45442
  • t(a)
    -0.85431
  • p(a)
    0.54771
  • Lowerbound of 95% confidence interval for beta
    -0.30191
  • Upperbound of 95% confidence interval for beta
    0.72576
  • Lowerbound of 95% confidence interval for alpha
    -1.58834
  • Upperbound of 95% confidence interval for alpha
    0.63033
  • Treynor index (mean / b)
    -2.02131
  • Jensen alpha (a)
    -0.47900
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.50791
  • SD
    0.40256
  • Sharpe ratio (Glass type estimate)
    -1.26169
  • Sharpe ratio (Hedges UMVUE)
    -1.25440
  • df
    130.00000
  • t
    -0.89215
  • p
    0.53900
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.03532
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51665
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.03040
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.52160
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.51126
  • Upside Potential Ratio
    3.77849
  • Upside part of mean
    1.26989
  • Downside part of mean
    -1.77780
  • Upside SD
    0.22102
  • Downside SD
    0.33608
  • N nonnegative terms
    37.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23000
  • Mean of criterion
    -0.50791
  • SD of predictor
    0.13326
  • SD of criterion
    0.40256
  • Covariance
    0.00388
  • r
    0.07235
  • b (slope, estimate of beta)
    0.21855
  • a (intercept, estimate of alpha)
    -0.55817
  • Mean Square Error
    0.16246
  • DF error
    129.00000
  • t(b)
    0.82386
  • p(b)
    0.45398
  • t(a)
    -0.97367
  • p(a)
    0.55431
  • VAR (95 Confidence Intrvl)
    0.03900
  • Lowerbound of 95% confidence interval for beta
    -0.30630
  • Upperbound of 95% confidence interval for beta
    0.74340
  • Lowerbound of 95% confidence interval for alpha
    -1.69240
  • Upperbound of 95% confidence interval for alpha
    0.57605
  • Treynor index (mean / b)
    -2.32400
  • Jensen alpha (a)
    -0.55817
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04194
  • Expected Shortfall on VaR
    0.05181
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01866
  • Expected Shortfall on VaR
    0.03979
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.86899
  • Quartile 1
    0.99809
  • Median
    1.00000
  • Quartile 3
    1.00160
  • Maximum
    1.07876
  • Mean of quarter 1
    0.97425
  • Mean of quarter 2
    0.99994
  • Mean of quarter 3
    1.00014
  • Mean of quarter 4
    1.01960
  • Inter Quartile Range
    0.00350
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.17557
  • Mean of outliers low
    0.96509
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.16794
  • Mean of outliers high
    1.02754
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.62253
  • VaR(95%) (moments method)
    0.01405
  • Expected Shortfall (moments method)
    0.04506
  • Extreme Value Index (regression method)
    0.35956
  • VaR(95%) (regression method)
    0.02573
  • Expected Shortfall (regression method)
    0.05573
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00542
  • Quartile 1
    0.01253
  • Median
    0.01964
  • Quartile 3
    0.22571
  • Maximum
    0.43179
  • Mean of quarter 1
    0.00542
  • Mean of quarter 2
    0.01964
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.43179
  • Inter Quartile Range
    0.21319
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -407225000
  • Max Equity Drawdown (num days)
    364
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.42674
  • Compounded annual return (geometric extrapolation)
    -0.38122
  • Calmar ratio (compounded annual return / max draw down)
    -0.88288
  • Compounded annual return / average of 25% largest draw downs
    -0.88288
  • Compounded annual return / Expected Shortfall lognormal
    -7.35852

Strategy Description

Algorithm Trade System:
The system trades only NVDL (long trade).
I'm pleased to announce that a new Algo is up and running from Oct 2024
this is full Auto Trading System.
Algo monitor the market all session to open Long Trade.
more powerful and accurate then before.

the system was backtest and working well in the past.
past results may not represent the future.

Summary Statistics

Strategy began
2022-01-06
Suggested Minimum Capital
$15,000
# Trades
653
# Profitable
428
% Profitable
65.5%
Net Dividends
Correlation S&P500
0.055
Sharpe Ratio
0.28
Sortino Ratio
0.41
Beta
0.16
Alpha
0.04
Leverage
2.22 Average
6.85 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

#PERSONNAME#
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.