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

MAXAI by FDG
(140774596)

Created by: FDominguez FDominguez
Started: 06/2022
Stocks
Last trade: Yesterday

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.

8.9%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(11.9%)
Max Drawdown
86
Num Trades
55.8%
Win Trades
2.1 : 1
Profit Factor
57.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                   (0.3%)+3.1%+5.5%(2.2%)+0.2%+2.4%  -  +8.9%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/21/22 15:55 GLD SPDR GOLD SHARES LONG 125 161.86 11/25 15:55 162.55 0.01%
Trade id #142637394
Max drawdown($18)
Time11/23/22 0:00
Quant open63
Worst price161.56
Drawdown as % of equity-0.01%
$84
Includes Typical Broker Commissions trade costs of $2.50
11/21/22 15:55 TIP ISHARES BARCLAYS TIPS BOND LONG 258 106.54 11/23 15:55 107.20 0%
Trade id #142637403
Max drawdown($1)
Time11/21/22 15:58
Quant open258
Worst price106.53
Drawdown as % of equity-0.00%
$165
Includes Typical Broker Commissions trade costs of $5.16
11/14/22 15:55 UUP INVESCO DB USD INDEX BULLISH FUND ETF LONG 374 28.76 11/21 15:55 29.05 0.03%
Trade id #142561255
Max drawdown($84)
Time11/15/22 0:00
Quant open352
Worst price28.52
Drawdown as % of equity-0.03%
$102
Includes Typical Broker Commissions trade costs of $7.48
11/9/22 15:55 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,879 6.72 11/14 15:55 7.30 0.02%
Trade id #142508444
Max drawdown($56)
Time11/9/22 16:00
Quant open1,879
Worst price6.69
Drawdown as % of equity-0.02%
$1,085
Includes Typical Broker Commissions trade costs of $5.00
11/7/22 15:55 QQQ POWERSHARES QQQ LONG 70 267.32 11/14 15:55 285.57 0.11%
Trade id #142473563
Max drawdown($300)
Time11/9/22 0:00
Quant open70
Worst price263.03
Drawdown as % of equity-0.11%
$1,277
Includes Typical Broker Commissions trade costs of $1.40
11/10/22 15:55 FAZ DIREXION DAILY FINANCIAL BEAR LONG 736 17.43 11/11 15:55 16.95 0.17%
Trade id #142526209
Max drawdown($456)
Time11/11/22 14:58
Quant open736
Worst price16.81
Drawdown as % of equity-0.17%
($358)
Includes Typical Broker Commissions trade costs of $5.00
11/7/22 9:31 TIP ISHARES BARCLAYS TIPS BOND LONG 122 105.64 11/10 15:55 106.36 0.03%
Trade id #142464855
Max drawdown($69)
Time11/9/22 0:00
Quant open122
Worst price105.07
Drawdown as % of equity-0.03%
$86
Includes Typical Broker Commissions trade costs of $2.44
11/3/22 9:31 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,043 22.74 11/7 15:55 26.64 0.28%
Trade id #142423835
Max drawdown($752)
Time11/3/22 14:04
Quant open975
Worst price21.70
Drawdown as % of equity-0.28%
$4,063
Includes Typical Broker Commissions trade costs of $5.68
10/11/22 15:55 EEM ISHARES MSCI EMERGING MARKETS LONG 567 34.90 11/7 15:55 35.56 0.21%
Trade id #142129628
Max drawdown($561)
Time10/24/22 0:00
Quant open396
Worst price33.48
Drawdown as % of equity-0.21%
$360
Includes Typical Broker Commissions trade costs of $11.34
10/18/22 15:55 GLD SPDR GOLD SHARES LONG 210 153.54 11/7 15:55 154.20 0.09%
Trade id #142216818
Max drawdown($234)
Time11/3/22 0:00
Quant open79
Worst price150.57
Drawdown as % of equity-0.09%
$135
Includes Typical Broker Commissions trade costs of $4.20
10/26/22 15:55 UUP INVESCO DB USD INDEX BULLISH FUND ETF LONG 491 29.50 11/7 9:31 29.71 0%
Trade id #142333106
Max drawdown($4)
Time10/26/22 15:58
Quant open490
Worst price29.49
Drawdown as % of equity-0.00%
$95
Includes Typical Broker Commissions trade costs of $9.82
10/24/22 15:55 FAZ DIREXION DAILY FINANCIAL BEAR LONG 1,225 22.11 11/3 9:31 21.13 0.94%
Trade id #142292067
Max drawdown($2,501)
Time11/2/22 0:00
Quant open902
Worst price19.34
Drawdown as % of equity-0.94%
($1,223)
Includes Typical Broker Commissions trade costs of $17.93
9/15/22 15:55 XLU UTILITIES SELECT SECTOR SPDR LONG 1,344 67.62 10/28 15:55 66.77 1.21%
Trade id #141821759
Max drawdown($3,244)
Time10/13/22 0:00
Quant open398
Worst price60.35
Drawdown as % of equity-1.21%
($1,173)
Includes Typical Broker Commissions trade costs of $26.88
10/18/22 15:55 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 4,396 6.68 10/25 15:53 6.54 0.86%
Trade id #142216824
Max drawdown($2,314)
Time10/24/22 0:00
Quant open4,396
Worst price6.15
Drawdown as % of equity-0.86%
($589)
Includes Typical Broker Commissions trade costs of $10.00
10/13/22 15:55 QQQ POWERSHARES QQQ LONG 61 269.18 10/20 15:55 267.87 0.21%
Trade id #142163382
Max drawdown($551)
Time10/14/22 0:00
Quant open61
Worst price260.14
Drawdown as % of equity-0.21%
($81)
Includes Typical Broker Commissions trade costs of $1.22
9/27/22 15:55 VTI VANGUARD TOTAL STOCK MARKET ET LONG 57 182.33 10/18 15:55 184.18 0.12%
Trade id #141950921
Max drawdown($322)
Time10/13/22 0:00
Quant open44
Worst price174.84
Drawdown as % of equity-0.12%
$104
Includes Typical Broker Commissions trade costs of $1.14
10/14/22 15:55 TIP ISHARES BARCLAYS TIPS BOND LONG 95 105.76 10/17 15:55 105.92 0%
Trade id #142179027
Max drawdown($8)
Time10/14/22 15:59
Quant open95
Worst price105.67
Drawdown as % of equity-0.00%
$13
Includes Typical Broker Commissions trade costs of $1.90
10/14/22 15:55 VXUS VANGUARD TOTAL INTL STOCK IDX LONG 121 45.48 10/17 15:55 46.62 0%
Trade id #142179041
Max drawdown($9)
Time10/14/22 15:59
Quant open121
Worst price45.41
Drawdown as % of equity-0.00%
$136
Includes Typical Broker Commissions trade costs of $2.42
10/14/22 15:55 VT VANGUARD TOTAL WORLD STOCK IND LONG 71 78.78 10/17 15:55 80.80 0.01%
Trade id #142179034
Max drawdown($13)
Time10/14/22 15:59
Quant open71
Worst price78.59
Drawdown as % of equity-0.01%
$142
Includes Typical Broker Commissions trade costs of $1.42
10/10/22 15:55 SPY SPDR S&P 500 LONG 32 360.91 10/17 15:55 362.52 0.15%
Trade id #142111457
Max drawdown($409)
Time10/13/22 0:00
Quant open32
Worst price348.11
Drawdown as % of equity-0.15%
$51
Includes Typical Broker Commissions trade costs of $0.64
10/13/22 15:55 VXZ IPATH SERIES B S&P 500 VIX MID-TERM FUTURES ETN LONG 1,003 30.32 10/14 15:55 30.85 0.13%
Trade id #142163410
Max drawdown($336)
Time10/14/22 0:00
Quant open1,003
Worst price29.98
Drawdown as % of equity-0.13%
$527
Includes Typical Broker Commissions trade costs of $5.00
10/10/22 15:55 GLD SPDR GOLD SHARES LONG 81 155.32 10/13 15:55 154.99 0.07%
Trade id #142111448
Max drawdown($177)
Time10/13/22 9:45
Quant open74
Worst price152.92
Drawdown as % of equity-0.07%
($29)
Includes Typical Broker Commissions trade costs of $1.62
10/6/22 15:55 VXUS VANGUARD TOTAL INTL STOCK IDX LONG 252 47.39 10/13 15:55 45.94 0.19%
Trade id #142073464
Max drawdown($504)
Time10/11/22 0:00
Quant open252
Worst price45.39
Drawdown as % of equity-0.19%
($371)
Includes Typical Broker Commissions trade costs of $5.04
9/2/22 15:55 TIP ISHARES BARCLAYS TIPS BOND LONG 1,001 108.41 10/13 15:55 106.81 0.66%
Trade id #141646425
Max drawdown($1,764)
Time9/30/22 0:00
Quant open405
Worst price104.63
Drawdown as % of equity-0.66%
($1,616)
Includes Typical Broker Commissions trade costs of $20.02
9/13/22 15:55 VXZ IPATH SERIES B S&P 500 VIX MID-TERM FUTURES ETN LONG 2,645 28.98 10/11 15:55 29.42 0.13%
Trade id #141773203
Max drawdown($347)
Time9/21/22 0:00
Quant open349
Worst price27.62
Drawdown as % of equity-0.13%
$1,135
Includes Typical Broker Commissions trade costs of $19.64
10/4/22 15:55 FAZ DIREXION DAILY FINANCIAL BEAR LONG 443 24.49 10/6 15:55 25.94 0.03%
Trade id #142036286
Max drawdown($70)
Time10/4/22 16:00
Quant open439
Worst price24.33
Drawdown as % of equity-0.03%
$631
Includes Typical Broker Commissions trade costs of $8.86
9/23/22 15:55 QQQ POWERSHARES QQQ LONG 60 275.34 10/5 15:55 277.22 0.19%
Trade id #141913115
Max drawdown($494)
Time9/30/22 0:00
Quant open60
Worst price267.10
Drawdown as % of equity-0.19%
$112
Includes Typical Broker Commissions trade costs of $1.20
9/16/22 15:55 SPY SPDR S&P 500 LONG 86 379.26 10/4 15:55 372.81 0.53%
Trade id #141837462
Max drawdown($1,428)
Time9/29/22 0:00
Quant open73
Worst price359.70
Drawdown as % of equity-0.53%
($557)
Includes Typical Broker Commissions trade costs of $1.72
9/30/22 15:55 VXUS VANGUARD TOTAL INTL STOCK IDX LONG 141 45.75 10/3 15:55 46.73 0%
Trade id #141997888
Max drawdown($4)
Time9/30/22 15:58
Quant open141
Worst price45.72
Drawdown as % of equity-0.00%
$135
Includes Typical Broker Commissions trade costs of $2.82
9/27/22 15:55 HYG ISHARES IBOXX $ HIGH YIELD COR LONG 167 71.24 9/29 15:55 71.69 0.01%
Trade id #141950934
Max drawdown($21)
Time9/27/22 15:59
Quant open167
Worst price71.11
Drawdown as % of equity-0.01%
$72
Includes Typical Broker Commissions trade costs of $3.34

Statistics

  • Strategy began
    6/15/2022
  • Suggested Minimum Cap
    $45,000
  • Strategy Age (days)
    168.74
  • Age
    169 days ago
  • What it trades
    Stocks
  • # Trades
    86
  • # Profitable
    48
  • % Profitable
    55.80%
  • Avg trade duration
    9.4 days
  • Max peak-to-valley drawdown
    11.86%
  • drawdown period
    July 07, 2022 - July 13, 2022
  • Cumul. Return
    8.9%
  • Avg win
    $1,077
  • Avg loss
    $669.34
  • Model Account Values (Raw)
  • Cash
    $239,015
  • Margin Used
    $0
  • Buying Power
    $234,939
  • Ratios
  • W:L ratio
    2.09:1
  • Sharpe Ratio
    1.42
  • Sortino Ratio
    2.24
  • Calmar Ratio
    5.669
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1.21%
  • Correlation to SP500
    0.24680
  • Return Percent SP500 (cumu) during strategy life
    7.65%
  • Return Statistics
  • Ann Return (w trading costs)
    19.8%
  • Slump
  • Current Slump as Pcnt Equity
    1.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.58%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.089%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    20.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    41.50%
  • Chance of 20% account loss
    7.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    98.43%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    747
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    909
  • Popularity (7 days, Percentile 1000 scale)
    430
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $793
  • Avg Win
    $1,094
  • Sum Trade PL (losers)
    $30,152.000
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $52,507.000
  • # Winners
    48
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    673
  • Win / Loss
  • # Losers
    38
  • % Winners
    55.8%
  • Frequency
  • Avg Position Time (mins)
    13569.60
  • Avg Position Time (hrs)
    226.16
  • Avg Trade Length
    9.4 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.44
  • Daily leverage (max)
    0.91
  • Regression
  • Alpha
    0.04
  • Beta
    0.10
  • Treynor Index
    0.46
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.65
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.334
  • 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
    0.441
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.212
  • Hold-and-Hope Ratio
    0.264
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18584
  • SD
    0.07030
  • Sharpe ratio (Glass type estimate)
    2.64369
  • Sharpe ratio (Hedges UMVUE)
    2.10936
  • df
    4.00000
  • t
    1.70649
  • p
    0.08155
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.98400
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.04272
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.26051
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.47923
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.91560
  • Upside Potential Ratio
    13.46480
  • Upside part of mean
    0.21000
  • Downside part of mean
    -0.02416
  • Upside SD
    0.08117
  • Downside SD
    0.01560
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.14581
  • Mean of criterion
    0.18584
  • SD of predictor
    0.35020
  • SD of criterion
    0.07030
  • Covariance
    0.01808
  • r
    0.73430
  • b (slope, estimate of beta)
    0.14739
  • a (intercept, estimate of alpha)
    0.16435
  • Mean Square Error
    0.00304
  • DF error
    3.00000
  • t(b)
    1.87357
  • p(b)
    0.07885
  • t(a)
    1.90815
  • p(a)
    0.07620
  • Lowerbound of 95% confidence interval for beta
    -0.10297
  • Upperbound of 95% confidence interval for beta
    0.39776
  • Lowerbound of 95% confidence interval for alpha
    -0.10976
  • Upperbound of 95% confidence interval for alpha
    0.43845
  • Treynor index (mean / b)
    1.26084
  • Jensen alpha (a)
    0.16435
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18209
  • SD
    0.06882
  • Sharpe ratio (Glass type estimate)
    2.64611
  • Sharpe ratio (Hedges UMVUE)
    2.11129
  • df
    4.00000
  • t
    1.70806
  • p
    0.08141
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.98247
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.04597
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.25916
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.48174
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.64360
  • Upside Potential Ratio
    13.19280
  • Upside part of mean
    0.20632
  • Downside part of mean
    -0.02423
  • Upside SD
    0.07942
  • Downside SD
    0.01564
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.09656
  • Mean of criterion
    0.18209
  • SD of predictor
    0.34717
  • SD of criterion
    0.06882
  • Covariance
    0.01752
  • r
    0.73325
  • b (slope, estimate of beta)
    0.14534
  • a (intercept, estimate of alpha)
    0.16806
  • Mean Square Error
    0.00292
  • DF error
    3.00000
  • t(b)
    1.86780
  • p(b)
    0.07930
  • t(a)
    1.99975
  • p(a)
    0.06968
  • Lowerbound of 95% confidence interval for beta
    -0.10230
  • Upperbound of 95% confidence interval for beta
    0.39299
  • Lowerbound of 95% confidence interval for alpha
    -0.09939
  • Upperbound of 95% confidence interval for alpha
    0.43551
  • Treynor index (mean / b)
    1.25283
  • Jensen alpha (a)
    0.16806
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01735
  • Expected Shortfall on VaR
    0.02545
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00229
  • Expected Shortfall on VaR
    0.00567
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.99226
  • Quartile 1
    1.01267
  • Median
    1.01685
  • Quartile 3
    1.01840
  • Maximum
    1.04890
  • Mean of quarter 1
    1.00246
  • Mean of quarter 2
    1.01685
  • Mean of quarter 3
    1.01840
  • Mean of quarter 4
    1.04890
  • Inter Quartile Range
    0.00573
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.99226
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    1.04890
  • Risk estimates for a one-period unit investment (based on Ex
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.00774
  • Quartile 1
    0.00774
  • Median
    0.00774
  • Quartile 3
    0.00774
  • Maximum
    0.00774
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.21946
  • Compounded annual return (geometric extrapolation)
    0.23368
  • Calmar ratio (compounded annual return / max draw down)
    30.19420
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    9.18349
  • 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
    0.16772
  • SD
    0.09771
  • Sharpe ratio (Glass type estimate)
    1.71641
  • Sharpe ratio (Hedges UMVUE)
    1.70566
  • df
    120.00000
  • t
    1.16644
  • p
    0.44706
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.17936
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.60511
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18647
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.59779
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.71496
  • Upside Potential Ratio
    10.28210
  • Upside part of mean
    0.63518
  • Downside part of mean
    -0.46746
  • Upside SD
    0.07590
  • Downside SD
    0.06178
  • N nonnegative terms
    58.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    121.00000
  • Mean of predictor
    0.16145
  • Mean of criterion
    0.16772
  • SD of predictor
    0.24474
  • SD of criterion
    0.09771
  • Covariance
    0.00573
  • r
    0.23964
  • b (slope, estimate of beta)
    0.09568
  • a (intercept, estimate of alpha)
    0.15200
  • Mean Square Error
    0.00908
  • DF error
    119.00000
  • t(b)
    2.69265
  • p(b)
    0.34891
  • t(a)
    1.08533
  • p(a)
    0.43708
  • Lowerbound of 95% confidence interval for beta
    0.02532
  • Upperbound of 95% confidence interval for beta
    0.16604
  • Lowerbound of 95% confidence interval for alpha
    -0.12554
  • Upperbound of 95% confidence interval for alpha
    0.43007
  • Treynor index (mean / b)
    1.75290
  • Jensen alpha (a)
    0.15227
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16292
  • SD
    0.09768
  • Sharpe ratio (Glass type estimate)
    1.66782
  • Sharpe ratio (Hedges UMVUE)
    1.65738
  • df
    120.00000
  • t
    1.13342
  • p
    0.44854
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.22736
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.55620
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.23431
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.54906
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.61596
  • Upside Potential Ratio
    10.15230
  • Upside part of mean
    0.63226
  • Downside part of mean
    -0.46934
  • Upside SD
    0.07540
  • Downside SD
    0.06228
  • N nonnegative terms
    58.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    121.00000
  • Mean of predictor
    0.13181
  • Mean of criterion
    0.16292
  • SD of predictor
    0.24409
  • SD of criterion
    0.09768
  • Covariance
    0.00572
  • r
    0.23998
  • b (slope, estimate of beta)
    0.09604
  • a (intercept, estimate of alpha)
    0.15026
  • Mean Square Error
    0.00907
  • DF error
    119.00000
  • t(b)
    2.69668
  • p(b)
    0.34870
  • t(a)
    1.07173
  • p(a)
    0.43785
  • Lowerbound of 95% confidence interval for beta
    0.02552
  • Upperbound of 95% confidence interval for beta
    0.16655
  • Lowerbound of 95% confidence interval for alpha
    -0.12735
  • Upperbound of 95% confidence interval for alpha
    0.42787
  • Treynor index (mean / b)
    1.69640
  • Jensen alpha (a)
    0.15026
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00926
  • Expected Shortfall on VaR
    0.01175
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00420
  • Expected Shortfall on VaR
    0.00835
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    121.00000
  • Minimum
    0.97206
  • Quartile 1
    0.99780
  • Median
    0.99982
  • Quartile 3
    1.00326
  • Maximum
    1.02510
  • Mean of quarter 1
    0.99426
  • Mean of quarter 2
    0.99896
  • Mean of quarter 3
    1.00164
  • Mean of quarter 4
    1.00835
  • Inter Quartile Range
    0.00546
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00826
  • Mean of outliers low
    0.97206
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.04132
  • Mean of outliers high
    1.01514
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01717
  • VaR(95%) (moments method)
    0.00512
  • Expected Shortfall (moments method)
    0.00701
  • Extreme Value Index (regression method)
    0.13208
  • VaR(95%) (regression method)
    0.00469
  • Expected Shortfall (regression method)
    0.00665
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00954
  • Quartile 1
    0.02034
  • Median
    0.02846
  • Quartile 3
    0.03078
  • Maximum
    0.03709
  • Mean of quarter 1
    0.01494
  • Mean of quarter 2
    0.02846
  • Mean of quarter 3
    0.03078
  • Mean of quarter 4
    0.03709
  • Inter Quartile Range
    0.01044
  • 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)
    0.19948
  • Compounded annual return (geometric extrapolation)
    0.21024
  • Calmar ratio (compounded annual return / max draw down)
    5.66900
  • Compounded annual return / average of 25% largest draw downs
    5.66900
  • Compounded annual return / Expected Shortfall lognormal
    17.88690
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.00900
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -305015000
  • Max Equity Drawdown (num days)
    6

Strategy Description

Summary Statistics

Strategy began
2022-06-15
Suggested Minimum Capital
$45,000
Rank at C2 %
Top 9.1%
Rank # 
#73
# Trades
86
# Profitable
48
% Profitable
55.8%
Net Dividends
Correlation S&P500
0.247
Sharpe Ratio
1.42
Sortino Ratio
2.24
Beta
0.10
Alpha
0.04
Leverage
0.44 Average
0.91 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.