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Featured Strategy Easiest Followed by live capital $482,000 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast More...

Episodic Pivot
(141141675)

Created by: MikeM5 MikeM5
Started: 07/2022
Stocks
Last trade: Yesterday

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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.

25.7%
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.

(30.1%)
Max Drawdown
697
Num Trades
35.7%
Win Trades
1.2 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          +3.5%+9.2%+14.3%(1.6%)(1.3%)+2.0%+27.9%
2023(4.7%)(0.5%)(4.4%)+15.6%+7.3%(4%)+5.0%(3.5%)(13.7%)(12.5%)+13.1%+5.5%(1.4%)
2024(2.3%)+23.3%+6.6%(7.8%)                                                +18.4%

Model Account Details

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

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

Trading Record

This strategy has placed 1,284 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/17/24 9:37 CXAI CXAPP INC. CLASS A LONG 651 5.06 4/17 9:38 4.92 0.24%
Trade id #147933049
Max drawdown($90)
Time4/17/24 9:38
Quant open651
Worst price4.92
Drawdown as % of equity-0.24%
 ($95)
Includes Typical Broker Commissions trade costs of $5.00
4/15/24 11:43 META META PLATFORMS INC. CLASS A LONG 8 508.46 4/15 15:48 500.11 0.24%
Trade id #147909437
Max drawdown($89)
Time4/15/24 13:41
Quant open8
Worst price497.28
Drawdown as % of equity-0.24%
 ($67)
Includes Typical Broker Commissions trade costs of $0.16
4/15/24 11:43 APP APPLOVIN CORPORATION CLASS A LONG 27 73.76 4/15 15:48 71.63 0.18%
Trade id #147909435
Max drawdown($66)
Time4/15/24 15:20
Quant open27
Worst price71.28
Drawdown as % of equity-0.18%
 ($59)
Includes Typical Broker Commissions trade costs of $0.54
4/15/24 12:22 INSE INSPIRED ENTERTAINMENT INC. LONG 250 10.44 4/15 13:39 9.88 0.41%
Trade id #147910725
Max drawdown($155)
Time4/15/24 13:39
Quant open250
Worst price9.82
Drawdown as % of equity-0.41%
 ($144)
Includes Typical Broker Commissions trade costs of $5.00
4/15/24 11:33: Rescaled downward to 50% of previous Model Account size
2/15/24 9:32 APP APPLOVIN CORPORATION CLASS A LONG 54 53.41 4/15 11:32 66.86 n/a $725
Includes Typical Broker Commissions trade costs of $1.08
2/2/24 9:36 META META PLATFORMS INC. CLASS A LONG 11.500000000 470.74 4/15 11:32 501.43 0.16%
Trade id #147202577
Max drawdown($49)
Time2/6/24 0:00
Quant open7
Worst price453.00
Drawdown as % of equity-0.16%
 $353
Includes Typical Broker Commissions trade costs of $0.24
4/12/24 15:33 ACVA ACV AUCTIONS INC. CLASS A COMMON STOCK SHORT 113.500000000 17.68 4/12 15:34 17.70 0%
Trade id #147890579
Max drawdown($1)
Time4/12/24 15:34
Quant open57
Worst price17.70
Drawdown as % of equity-0.00%
 ($4)
Includes Typical Broker Commissions trade costs of $2.28
2/23/24 9:52 ACVA ACV AUCTIONS INC. CLASS A COMMON STOCK LONG 183.500000000 16.41 4/12 15:27 17.39 0.1%
Trade id #147433633
Max drawdown($33)
Time2/26/24 0:00
Quant open92
Worst price16.04
Drawdown as % of equity-0.10%
 $176
Includes Typical Broker Commissions trade costs of $3.66
2/23/24 9:53 TS TENARIS LONG 85.500000000 34.94 4/12 15:27 38.74 0%
Trade id #147433674
Max drawdown($0)
Time2/29/24 0:00
Quant open43
Worst price34.92
Drawdown as % of equity-0.00%
 $323
Includes Typical Broker Commissions trade costs of $1.71
2/23/24 9:34 MRVI MARAVAI LIFESCIENCES HOLDINGS INC. LONG 879 7.58 4/12 15:25 8.01 0.13%
Trade id #147433075
Max drawdown($54)
Time3/5/24 0:00
Quant open228
Worst price7.09
Drawdown as % of equity-0.13%
 $360
Includes Typical Broker Commissions trade costs of $13.62
2/26/24 9:31 KRYS KRYSTAL BIOTECH INC. COMMON STOCK LONG 34.500000000 142.33 4/12 15:25 165.13 0.02%
Trade id #147449457
Max drawdown($8)
Time2/26/24 9:34
Quant open12
Worst price129.53
Drawdown as % of equity-0.02%
 $786
Includes Typical Broker Commissions trade costs of $0.68
3/8/24 9:32 SWBI SMITH & WESSON BRANDS INC LONG 355.500000000 16.57 4/12 13:46 16.99 n/a $143
Includes Typical Broker Commissions trade costs of $7.12
3/8/24 9:33 WLDN WILLDAN GROUP LONG 212 26.29 4/10 12:16 27.09 0.1%
Trade id #147574887
Max drawdown($39)
Time3/11/24 0:00
Quant open60
Worst price24.21
Drawdown as % of equity-0.10%
 $166
Includes Typical Broker Commissions trade costs of $4.24
2/23/24 9:31 CVNA CARVANA CO LONG 44.500000000 70.97 4/10 9:30 77.74 0.26%
Trade id #147432964
Max drawdown($88)
Time2/26/24 0:00
Quant open22
Worst price66.97
Drawdown as % of equity-0.26%
 $301
Includes Typical Broker Commissions trade costs of $0.90
2/16/24 9:40 HOOD ROBINHOOD MARKETS INC LONG 345.500000000 15.57 4/10 9:30 17.76 0.17%
Trade id #147354035
Max drawdown($58)
Time2/21/24 0:00
Quant open110
Worst price13.39
Drawdown as % of equity-0.17%
 $748
Includes Typical Broker Commissions trade costs of $6.92
3/8/24 9:35 GIFI GULF ISLAND FABRICATION LONG 465.500000000 6.22 4/9 10:47 6.47 0.18%
Trade id #147574935
Max drawdown($75)
Time3/8/24 9:39
Quant open233
Worst price5.90
Drawdown as % of equity-0.18%
 $104
Includes Typical Broker Commissions trade costs of $9.32
3/27/24 9:48 NCNO NCINO INC. COMMON STOCK LONG 85 35.99 4/5 9:30 33.82 0.24%
Trade id #147744945
Max drawdown($96)
Time4/5/24 9:30
Quant open42
Worst price33.72
Drawdown as % of equity-0.24%
 ($186)
Includes Typical Broker Commissions trade costs of $1.70
2/22/24 9:35 NVDA NVIDIA LONG 8 824.21 4/4 15:01 871.76 n/a $380
Includes Typical Broker Commissions trade costs of $0.16
2/15/24 10:57 SHAK SHAKE SHACK INC LONG 68.500000000 98.54 4/4 14:58 100.72 0.03%
Trade id #147344686
Max drawdown($11)
Time2/15/24 11:06
Quant open16
Worst price92.75
Drawdown as % of equity-0.03%
 $149
Includes Typical Broker Commissions trade costs of $1.37
2/14/24 9:32 LYFT LYFT INC. CLASS A COMMON STOCK LONG 366.500000000 16.88 4/3 9:30 17.34 0.05%
Trade id #147333134
Max drawdown($18)
Time2/14/24 9:35
Quant open100
Worst price15.44
Drawdown as % of equity-0.05%
 $162
Includes Typical Broker Commissions trade costs of $7.34
2/7/24 9:47 XPO XPO INC LONG 42 115.25 4/2 9:36 119.12 0.03%
Trade id #147246878
Max drawdown($11)
Time2/7/24 9:50
Quant open14
Worst price110.47
Drawdown as % of equity-0.03%
 $162
Includes Typical Broker Commissions trade costs of $0.84
2/15/24 9:33 PEGA PEGASYSTEMS LONG 89 62.62 4/1 14:36 62.74 0.08%
Trade id #147342726
Max drawdown($34)
Time3/5/24 0:00
Quant open24
Worst price61.71
Drawdown as % of equity-0.08%
 $9
Includes Typical Broker Commissions trade costs of $1.78
3/21/24 14:59 SPIR SPIRE GLOBAL INC LONG 222.500000000 11.23 4/1 10:47 11.96 0.03%
Trade id #147706868
Max drawdown($14)
Time3/21/24 15:40
Quant open111
Worst price11.10
Drawdown as % of equity-0.03%
 $160
Includes Typical Broker Commissions trade costs of $4.46
3/15/24 9:31 AKBA AKEBIA THERAPEUTICS INC. COMM LONG 1,875 1.63 4/1 9:33 2.01 0.26%
Trade id #147647387
Max drawdown($102)
Time3/15/24 9:38
Quant open938
Worst price1.52
Drawdown as % of equity-0.26%
 $711
Includes Typical Broker Commissions trade costs of $7.50
3/27/24 9:31 PAYS PAYSIGN INC LONG 765 4.06 3/28 10:12 3.66 0.54%
Trade id #147744521
Max drawdown($229)
Time3/28/24 10:12
Quant open382
Worst price3.46
Drawdown as % of equity-0.54%
 ($311)
Includes Typical Broker Commissions trade costs of $5.00
2/13/24 9:35 NTWK NETSOL TECHNOLOGIES LONG 1,090.500000000 2.69 3/25 10:33 2.73 0.3%
Trade id #147323745
Max drawdown($102)
Time2/13/24 9:51
Quant open545
Worst price2.50
Drawdown as % of equity-0.30%
 $43
Includes Typical Broker Commissions trade costs of $5.00
2/28/24 9:33 QUIK QUICKLOGIC LONG 350 15.76 3/25 10:04 16.27 0.28%
Trade id #147470957
Max drawdown($104)
Time2/28/24 10:07
Quant open102
Worst price14.28
Drawdown as % of equity-0.28%
 $173
Includes Typical Broker Commissions trade costs of $7.00
3/20/24 9:33 TSHA TAYSHA GENE THERAPIES INC. LONG 1,053 3.15 3/20 9:43 2.72 0.64%
Trade id #147692690
Max drawdown($257)
Time3/20/24 9:43
Quant open526
Worst price2.66
Drawdown as % of equity-0.64%
 ($458)
Includes Typical Broker Commissions trade costs of $5.00
3/20/24 9:31 PDD PINDUODUO INC. ADS LONG 20 147.82 3/20 9:32 143.78 0.1%
Trade id #147692642
Max drawdown($40)
Time3/20/24 9:32
Quant open10
Worst price143.78
Drawdown as % of equity-0.10%
 ($81)
Includes Typical Broker Commissions trade costs of $0.40
2/1/24 9:31 NXT NEXTRACKER INC. CLASS A LONG 110.500000000 55.10 3/19 10:08 58.33 0.21%
Trade id #147191876
Max drawdown($65)
Time2/1/24 10:03
Quant open28
Worst price51.78
Drawdown as % of equity-0.21%
 $355
Includes Typical Broker Commissions trade costs of $2.21
Next

Statistics

  • Strategy began
    7/21/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    637.74
  • Age
    21 months ago
  • What it trades
    Stocks
  • # Trades
    697
  • # Profitable
    249
  • % Profitable
    35.70%
  • Avg trade duration
    13.0 days
  • Max peak-to-valley drawdown
    30.13%
  • drawdown period
    May 18, 2023 - Nov 13, 2023
  • Annual Return (Compounded)
    25.7%
  • Avg win
    $304.77
  • Avg loss
    $136.49
  • Model Account Values (Raw)
  • Cash
    $36,397
  • Margin Used
    $0
  • Buying Power
    $36,226
  • Ratios
  • W:L ratio
    1.24:1
  • Sharpe Ratio
    0.79
  • Sortino Ratio
    1.3
  • Calmar Ratio
    1.203
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    23.99%
  • Correlation to SP500
    0.02910
  • Return Percent SP500 (cumu) during strategy life
    25.31%
  • Return Statistics
  • Ann Return (w trading costs)
    25.7%
  • Slump
  • Current Slump as Pcnt Equity
    11.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.257%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    30.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    60.00%
  • Chance of 20% account loss
    25.50%
  • Chance of 30% account loss
    8.00%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    873
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    403
  • Popularity (7 days, Percentile 1000 scale)
    765
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $136
  • Avg Win
    $305
  • Sum Trade PL (losers)
    $61,149.000
  • Age
  • Num Months filled monthly returns table
    22
  • Win / Loss
  • Sum Trade PL (winners)
    $75,887.000
  • # Winners
    249
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    98
  • AUM
  • AUM (AutoTrader live capital)
    37628
  • Win / Loss
  • # Losers
    448
  • % Winners
    35.7%
  • Frequency
  • Avg Position Time (mins)
    18664.70
  • Avg Position Time (hrs)
    311.08
  • Avg Trade Length
    13.0 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.84
  • Daily leverage (max)
    2.07
  • Regression
  • Alpha
    0.07
  • Beta
    0.05
  • Treynor Index
    1.45
  • 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)
    -0.33
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    14.935
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.169
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.566
  • Hold-and-Hope Ratio
    0.065
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35386
  • SD
    0.31126
  • Sharpe ratio (Glass type estimate)
    1.13688
  • Sharpe ratio (Hedges UMVUE)
    1.09130
  • df
    19.00000
  • t
    1.46770
  • p
    0.30035
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43722
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68289
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46603
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.64862
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.72491
  • Upside Potential Ratio
    4.58237
  • Upside part of mean
    0.59508
  • Downside part of mean
    -0.24122
  • Upside SD
    0.29259
  • Downside SD
    0.12986
  • N nonnegative terms
    10.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.14459
  • Mean of criterion
    0.35386
  • SD of predictor
    0.13156
  • SD of criterion
    0.31126
  • Covariance
    0.00277
  • r
    0.06765
  • b (slope, estimate of beta)
    0.16004
  • a (intercept, estimate of alpha)
    0.33072
  • Mean Square Error
    0.10180
  • DF error
    18.00000
  • t(b)
    0.28765
  • p(b)
    0.46618
  • t(a)
    1.27249
  • p(a)
    0.35636
  • Lowerbound of 95% confidence interval for beta
    -1.00884
  • Upperbound of 95% confidence interval for beta
    1.32892
  • Lowerbound of 95% confidence interval for alpha
    -0.21531
  • Upperbound of 95% confidence interval for alpha
    0.87676
  • Treynor index (mean / b)
    2.21109
  • Jensen alpha (a)
    0.33072
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30558
  • SD
    0.29729
  • Sharpe ratio (Glass type estimate)
    1.02790
  • Sharpe ratio (Hedges UMVUE)
    0.98670
  • df
    19.00000
  • t
    1.32702
  • p
    0.31725
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53743
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.56759
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56356
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.53695
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.23939
  • Upside Potential Ratio
    4.06886
  • Upside part of mean
    0.55523
  • Downside part of mean
    -0.24965
  • Upside SD
    0.27041
  • Downside SD
    0.13646
  • N nonnegative terms
    10.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.13524
  • Mean of criterion
    0.30558
  • SD of predictor
    0.13168
  • SD of criterion
    0.29729
  • Covariance
    0.00285
  • r
    0.07273
  • b (slope, estimate of beta)
    0.16420
  • a (intercept, estimate of alpha)
    0.28338
  • Mean Square Error
    0.09280
  • DF error
    18.00000
  • t(b)
    0.30939
  • p(b)
    0.46364
  • t(a)
    1.14897
  • p(a)
    0.36930
  • Lowerbound of 95% confidence interval for beta
    -0.95083
  • Upperbound of 95% confidence interval for beta
    1.27923
  • Lowerbound of 95% confidence interval for alpha
    -0.23479
  • Upperbound of 95% confidence interval for alpha
    0.80154
  • Treynor index (mean / b)
    1.86102
  • Jensen alpha (a)
    0.28338
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10925
  • Expected Shortfall on VaR
    0.14020
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04669
  • Expected Shortfall on VaR
    0.08664
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.87240
  • Quartile 1
    0.97263
  • Median
    0.99919
  • Quartile 3
    1.09251
  • Maximum
    1.22871
  • Mean of quarter 1
    0.93871
  • Mean of quarter 2
    0.98555
  • Mean of quarter 3
    1.04486
  • Mean of quarter 4
    1.15815
  • Inter Quartile Range
    0.11989
  • 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)
    0.18977
  • VaR(95%) (moments method)
    0.06447
  • Expected Shortfall (moments method)
    0.09792
  • Extreme Value Index (regression method)
    0.81861
  • VaR(95%) (regression method)
    0.08556
  • Expected Shortfall (regression method)
    0.42422
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.08729
  • Quartile 1
    0.12161
  • Median
    0.15593
  • Quartile 3
    0.19025
  • Maximum
    0.22457
  • Mean of quarter 1
    0.08729
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.22457
  • Inter Quartile Range
    0.06864
  • 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)
    0.44602
  • Compounded annual return (geometric extrapolation)
    0.39583
  • Calmar ratio (compounded annual return / max draw down)
    1.76258
  • Compounded annual return / average of 25% largest draw downs
    1.76258
  • Compounded annual return / Expected Shortfall lognormal
    2.82334
  • 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
    0.27458
  • SD
    0.25046
  • Sharpe ratio (Glass type estimate)
    1.09633
  • Sharpe ratio (Hedges UMVUE)
    1.09451
  • df
    453.00000
  • t
    1.44317
  • p
    0.07483
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39486
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.58640
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39611
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.58513
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.84946
  • Upside Potential Ratio
    9.91974
  • Upside part of mean
    1.47274
  • Downside part of mean
    -1.19816
  • Upside SD
    0.20208
  • Downside SD
    0.14847
  • N nonnegative terms
    217.00000
  • N negative terms
    237.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    454.00000
  • Mean of predictor
    0.11558
  • Mean of criterion
    0.27458
  • SD of predictor
    0.16312
  • SD of criterion
    0.25046
  • Covariance
    0.00123
  • r
    0.03015
  • b (slope, estimate of beta)
    0.04629
  • a (intercept, estimate of alpha)
    0.26900
  • Mean Square Error
    0.06281
  • DF error
    452.00000
  • t(b)
    0.64133
  • p(b)
    0.26082
  • t(a)
    1.41277
  • p(a)
    0.07921
  • Lowerbound of 95% confidence interval for beta
    -0.09557
  • Upperbound of 95% confidence interval for beta
    0.18815
  • Lowerbound of 95% confidence interval for alpha
    -0.10528
  • Upperbound of 95% confidence interval for alpha
    0.64374
  • Treynor index (mean / b)
    5.93119
  • Jensen alpha (a)
    0.26923
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24348
  • SD
    0.24842
  • Sharpe ratio (Glass type estimate)
    0.98012
  • Sharpe ratio (Hedges UMVUE)
    0.97850
  • df
    453.00000
  • t
    1.29020
  • p
    0.09882
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51065
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.46992
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51178
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.46878
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.61726
  • Upside Potential Ratio
    9.64946
  • Upside part of mean
    1.45274
  • Downside part of mean
    -1.20926
  • Upside SD
    0.19783
  • Downside SD
    0.15055
  • N nonnegative terms
    217.00000
  • N negative terms
    237.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    454.00000
  • Mean of predictor
    0.10230
  • Mean of criterion
    0.24348
  • SD of predictor
    0.16287
  • SD of criterion
    0.24842
  • Covariance
    0.00117
  • r
    0.02882
  • b (slope, estimate of beta)
    0.04396
  • a (intercept, estimate of alpha)
    0.23898
  • Mean Square Error
    0.06180
  • DF error
    452.00000
  • t(b)
    0.61307
  • p(b)
    0.27007
  • t(a)
    1.26454
  • p(a)
    0.10334
  • Lowerbound of 95% confidence interval for beta
    -0.09696
  • Upperbound of 95% confidence interval for beta
    0.18489
  • Lowerbound of 95% confidence interval for alpha
    -0.13242
  • Upperbound of 95% confidence interval for alpha
    0.61039
  • Treynor index (mean / b)
    5.53821
  • Jensen alpha (a)
    0.23898
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02402
  • Expected Shortfall on VaR
    0.03024
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01084
  • Expected Shortfall on VaR
    0.02087
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    454.00000
  • Minimum
    0.94067
  • Quartile 1
    0.99429
  • Median
    0.99985
  • Quartile 3
    1.00631
  • Maximum
    1.10069
  • Mean of quarter 1
    0.98473
  • Mean of quarter 2
    0.99726
  • Mean of quarter 3
    1.00254
  • Mean of quarter 4
    1.02007
  • Inter Quartile Range
    0.01201
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.04185
  • Mean of outliers low
    0.96772
  • Number of outliers high
    32.00000
  • Percentage of outliers high
    0.07048
  • Mean of outliers high
    1.03923
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07879
  • VaR(95%) (moments method)
    0.01393
  • Expected Shortfall (moments method)
    0.01983
  • Extreme Value Index (regression method)
    0.10655
  • VaR(95%) (regression method)
    0.01312
  • Expected Shortfall (regression method)
    0.01871
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00038
  • Quartile 1
    0.00790
  • Median
    0.02485
  • Quartile 3
    0.07053
  • Maximum
    0.25924
  • Mean of quarter 1
    0.00481
  • Mean of quarter 2
    0.01511
  • Mean of quarter 3
    0.03804
  • Mean of quarter 4
    0.12707
  • Inter Quartile Range
    0.06263
  • 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
    0.05263
  • Mean of outliers high
    0.25924
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.39058
  • VaR(95%) (moments method)
    0.14923
  • Expected Shortfall (moments method)
    0.25594
  • Extreme Value Index (regression method)
    1.76841
  • VaR(95%) (regression method)
    0.14250
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.34650
  • Compounded annual return (geometric extrapolation)
    0.31178
  • Calmar ratio (compounded annual return / max draw down)
    1.20267
  • Compounded annual return / average of 25% largest draw downs
    2.45368
  • Compounded annual return / Expected Shortfall lognormal
    10.30870
  • 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
    0.56166
  • SD
    0.31106
  • Sharpe ratio (Glass type estimate)
    1.80565
  • Sharpe ratio (Hedges UMVUE)
    1.79521
  • df
    130.00000
  • t
    1.27678
  • p
    0.44436
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97823
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.58274
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.98517
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.57559
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.19723
  • Upside Potential Ratio
    11.99670
  • Upside part of mean
    2.10748
  • Downside part of mean
    -1.54582
  • Upside SD
    0.25761
  • Downside SD
    0.17567
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25146
  • Mean of criterion
    0.56166
  • SD of predictor
    0.11801
  • SD of criterion
    0.31106
  • Covariance
    0.01075
  • r
    0.29285
  • b (slope, estimate of beta)
    0.77188
  • a (intercept, estimate of alpha)
    0.36756
  • Mean Square Error
    0.08914
  • DF error
    129.00000
  • t(b)
    3.47862
  • p(b)
    0.31627
  • t(a)
    0.86299
  • p(a)
    0.45181
  • Lowerbound of 95% confidence interval for beta
    0.33286
  • Upperbound of 95% confidence interval for beta
    1.21089
  • Lowerbound of 95% confidence interval for alpha
    -0.47512
  • Upperbound of 95% confidence interval for alpha
    1.21024
  • Treynor index (mean / b)
    0.72766
  • Jensen alpha (a)
    0.36756
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51354
  • SD
    0.30875
  • Sharpe ratio (Glass type estimate)
    1.66330
  • Sharpe ratio (Hedges UMVUE)
    1.65369
  • df
    130.00000
  • t
    1.17613
  • p
    0.44870
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11901
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.43933
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12540
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.43277
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.88261
  • Upside Potential Ratio
    11.64700
  • Upside part of mean
    2.07491
  • Downside part of mean
    -1.56137
  • Upside SD
    0.25272
  • Downside SD
    0.17815
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24442
  • Mean of criterion
    0.51354
  • SD of predictor
    0.11789
  • SD of criterion
    0.30875
  • Covariance
    0.01068
  • r
    0.29331
  • b (slope, estimate of beta)
    0.76817
  • a (intercept, estimate of alpha)
    0.32578
  • Mean Square Error
    0.08780
  • DF error
    129.00000
  • t(b)
    3.48462
  • p(b)
    0.31599
  • t(a)
    0.77109
  • p(a)
    0.45691
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    0.33201
  • Upperbound of 95% confidence interval for beta
    1.20432
  • Lowerbound of 95% confidence interval for alpha
    -0.51013
  • Upperbound of 95% confidence interval for alpha
    1.16170
  • Treynor index (mean / b)
    0.66853
  • Jensen alpha (a)
    0.32578
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02899
  • Expected Shortfall on VaR
    0.03667
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01427
  • Expected Shortfall on VaR
    0.02600
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95175
  • Quartile 1
    0.99131
  • Median
    0.99876
  • Quartile 3
    1.01134
  • Maximum
    1.05395
  • Mean of quarter 1
    0.98139
  • Mean of quarter 2
    0.99547
  • Mean of quarter 3
    1.00365
  • Mean of quarter 4
    1.02853
  • Inter Quartile Range
    0.02004
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.95486
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.04870
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.03355
  • VaR(95%) (moments method)
    0.01823
  • Expected Shortfall (moments method)
    0.02460
  • Extreme Value Index (regression method)
    0.02545
  • VaR(95%) (regression method)
    0.01990
  • Expected Shortfall (regression method)
    0.02717
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.01743
  • Quartile 1
    0.02666
  • Median
    0.05703
  • Quartile 3
    0.07305
  • Maximum
    0.08844
  • Mean of quarter 1
    0.02319
  • Mean of quarter 2
    0.04404
  • Mean of quarter 3
    0.07247
  • Mean of quarter 4
    0.08811
  • Inter Quartile Range
    0.04639
  • 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)
    -1257.03000
  • VaR(95%) (moments method)
    0.08676
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -5.48337
  • VaR(95%) (regression method)
    0.12268
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.12268
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -397969000
  • Max Equity Drawdown (num days)
    179
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.62182
  • Compounded annual return (geometric extrapolation)
    0.71849
  • Calmar ratio (compounded annual return / max draw down)
    8.12393
  • Compounded annual return / average of 25% largest draw downs
    8.15428
  • Compounded annual return / Expected Shortfall lognormal
    19.59310

Strategy Description

Please do not join existing positions!

During the period between October 2022 and Dec 2023, I tried various strategies in parallel with different risk profiles. Apparently, this was a bad idea. I won't mix things again.
Starting with January 2024, we just trade Episodic Pivot and nothing else.

The maximum position size is 10% of the account. The maximum risk is 10% per position, or 1% per account. We will open up to 25 positions.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-07-21
Suggested Minimum Capital
$35,000
# Trades
697
# Profitable
249
% Profitable
35.7%
Net Dividends
$98
Correlation S&P500
0.029
Sharpe Ratio
0.79
Sortino Ratio
1.30
Beta
0.05
Alpha
0.07
Leverage
0.84 Average
2.07 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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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.