Collective2 Collective2
Featured Strategy Quant AI pro +16.8% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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(142915226)

Created by: TheNextTrend TheNextTrend
Started: 12/2022
Stocks
Last trade: 179 days ago
Trading style: Equity Trend-following Sector: Technology

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.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
-
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.

(100.0%)
Max Drawdown
494
Num Trades
56.9%
Win Trades
0.8 : 1
Profit Factor
24.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                             (0.7%)(0.7%)
2023+0.9%(1.4%)+29.9%(4.8%)+9.8%+7.1%+9.7%(2.9%)(17.1%)(24.8%)+16.3%(24.6%)(15.7%)
2024(44.3%)(31.1%)(136.9%)(90.3%)(23.4%)(9.4%)(6%)(4.1%)(4.6%)(11.1%)(7.6%)(11.2%)(131.7%)

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 1,049 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/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/21/24 9:56 QBTS D-WAVE QUANTUM INC LONG 230 2.10 6/25 9:55 1.13 29.45%
Trade id #147703044
Max drawdown($231)
Time6/13/24 0:00
Quant open230
Worst price1.09
Drawdown as % of equity29.45%
 ($228)
Includes Typical Broker Commissions trade costs of $4.60
3/1/24 15:53 BIVI BIOVIE INC. COMMON STOCK LONG 3,470 0.88 6/25 9:30 0.49 171.68%
Trade id #147517211
Max drawdown($1,651)
Time6/10/24 0:00
Quant open3,470
Worst price0.41
Drawdown as % of equity171.68%
 ($1,359)
Includes Typical Broker Commissions trade costs of $11.35
2/23/24 12:27 LUNR INTUITIVE MACHINES INC. CLASS A LONG 552 6.22 3/15 15:50 5.46 301.57%
Trade id #147436870
Max drawdown($814)
Time3/7/24 0:00
Quant open276
Worst price4.46
Drawdown as % of equity-301.57%
 ($429)
Includes Typical Broker Commissions trade costs of $8.02
3/1/24 9:50 XBI SPDR S&P BIOTECH LONG 7 100.73 3/1 15:59 101.53 n/a $6
Includes Typical Broker Commissions trade costs of $0.14
2/26/24 11:40 U UNITY SOFTWARE INC LONG 42 30.40 2/27 9:49 30.46 9.65%
Trade id #147451993
Max drawdown($101)
Time2/27/24 9:33
Quant open21
Worst price27.73
Drawdown as % of equity-9.65%
 $1
Includes Typical Broker Commissions trade costs of $0.84
2/26/24 13:32 WDAY WORKDAY LONG 2 308.31 2/27 9:37 300.36 2.99%
Trade id #147453823
Max drawdown($31)
Time2/27/24 9:30
Quant open2
Worst price292.57
Drawdown as % of equity-2.99%
 ($16)
Includes Typical Broker Commissions trade costs of $0.04
2/22/24 15:11 NICE NICE LTD ADR LONG 3 248.77 2/26 15:23 245.37 2.93%
Trade id #147414998
Max drawdown($37)
Time2/23/24 0:00
Quant open3
Worst price236.27
Drawdown as % of equity-2.93%
 ($10)
Includes Typical Broker Commissions trade costs of $0.06
2/15/24 11:54 NNOX NANO-X IMAGING LTD ORDINARY SHARES LONG 148 10.13 2/26 12:43 9.60 24.72%
Trade id #147346646
Max drawdown($315)
Time2/23/24 0:00
Quant open148
Worst price8.00
Drawdown as % of equity-24.72%
 ($82)
Includes Typical Broker Commissions trade costs of $2.96
2/22/24 11:11 AMLX AMYLYX PHARMACEUTICALS INC. LONG 38 18.66 2/26 9:34 18.16 3.87%
Trade id #147411296
Max drawdown($49)
Time2/23/24 0:00
Quant open38
Worst price17.36
Drawdown as % of equity-3.87%
 ($20)
Includes Typical Broker Commissions trade costs of $0.76
2/16/24 14:31 IONQ IONQ INC LONG 67 10.81 2/26 9:33 10.93 1.95%
Trade id #147358564
Max drawdown($30)
Time2/20/24 0:00
Quant open67
Worst price10.35
Drawdown as % of equity-1.95%
 $7
Includes Typical Broker Commissions trade costs of $1.34
2/16/24 15:56 TTD THE TRADE DESK INC. CLASS A LONG 16 85.87 2/22 15:46 83.20 5.6%
Trade id #147359742
Max drawdown($69)
Time2/21/24 0:00
Quant open8
Worst price80.02
Drawdown as % of equity-5.60%
 ($43)
Includes Typical Broker Commissions trade costs of $0.32
2/16/24 14:53 ROKU ROKU INC. CLASS A COMMON STOCK LONG 20 67.49 2/22 15:40 63.24 9.74%
Trade id #147358775
Max drawdown($95)
Time2/22/24 10:25
Quant open10
Worst price62.26
Drawdown as % of equity-9.74%
 ($85)
Includes Typical Broker Commissions trade costs of $0.40
2/20/24 15:42 SMCI SUPER MICRO COMPUTER LONG 1 784.28 2/22 11:01 880.84 6.18%
Trade id #147384054
Max drawdown($76)
Time2/21/24 0:00
Quant open1
Worst price708.08
Drawdown as % of equity-6.18%
 $97
Includes Typical Broker Commissions trade costs of $0.02
2/20/24 15:48 NVDX OPPTY TRUST T-REX 2X LONG NVIDIA DAILY TARGET LONG 11 62.80 2/22 11:01 76.91 5.24%
Trade id #147384111
Max drawdown($64)
Time2/21/24 0:00
Quant open11
Worst price56.93
Drawdown as % of equity-5.24%
 $155
Includes Typical Broker Commissions trade costs of $0.22
2/20/24 9:58 IOVA IOVANCE BIOTHERAPEUTICS INC. LONG 57 12.55 2/21 9:38 12.66 4.21%
Trade id #147378198
Max drawdown($49)
Time2/20/24 15:40
Quant open57
Worst price11.68
Drawdown as % of equity-4.21%
 $5
Includes Typical Broker Commissions trade costs of $1.14
2/15/24 13:21 RXRX RECURSION PHARMACEUTICALS INC. CLASS A LONG 60 12.50 2/16 11:00 13.20 2.02%
Trade id #147347792
Max drawdown($25)
Time2/16/24 9:34
Quant open60
Worst price12.07
Drawdown as % of equity-2.02%
 $41
Includes Typical Broker Commissions trade costs of $1.20
2/14/24 10:50 QUBT QUANTUM COMPUTING INC. COMMON STOCK LONG 820 0.87 2/16 10:27 0.88 4.08%
Trade id #147334743
Max drawdown($44)
Time2/14/24 12:17
Quant open820
Worst price0.82
Drawdown as % of equity-4.08%
 ($2)
Includes Typical Broker Commissions trade costs of $7.25
2/12/24 11:38 MNMD MIND MEDICINE (MINDMED) INC. LONG 292 4.66 2/15 15:21 4.56 6.63%
Trade id #147290359
Max drawdown($75)
Time2/14/24 0:00
Quant open146
Worst price4.35
Drawdown as % of equity-6.63%
 ($35)
Includes Typical Broker Commissions trade costs of $5.84
2/12/24 10:14 REE REE AUTOMOTIVE LTD. CLASS A LONG 190 7.31 2/15 10:47 7.21 8.16%
Trade id #147287977
Max drawdown($95)
Time2/15/24 9:47
Quant open190
Worst price6.81
Drawdown as % of equity-8.16%
 ($22)
Includes Typical Broker Commissions trade costs of $3.80
2/14/24 10:30 ARM ARM HOLDINGS PLC ADS LONG 5 130.84 2/15 9:31 133.51 4.52%
Trade id #147334444
Max drawdown($49)
Time2/14/24 11:16
Quant open5
Worst price121.02
Drawdown as % of equity-4.52%
 $13
Includes Typical Broker Commissions trade costs of $0.10
2/13/24 11:39 MJ AMPLIFY ALTERNATIVE HARVEST ETF LONG 406 3.41 2/15 9:31 3.48 3.4%
Trade id #147325766
Max drawdown($38)
Time2/14/24 0:00
Quant open203
Worst price3.30
Drawdown as % of equity-3.40%
 $21
Includes Typical Broker Commissions trade costs of $8.12
2/12/24 13:35 FROG JFROG LTD. ORDINARY SHARES LONG 38 37.17 2/14 15:31 36.95 4.82%
Trade id #147292265
Max drawdown($59)
Time2/13/24 0:00
Quant open19
Worst price34.50
Drawdown as % of equity-4.82%
 ($9)
Includes Typical Broker Commissions trade costs of $0.76
2/13/24 10:08 ISRG INTUITIVE SURGICAL LONG 2 378.32 2/14 10:48 380.19 0.49%
Trade id #147324524
Max drawdown($5)
Time2/13/24 15:25
Quant open2
Worst price375.60
Drawdown as % of equity-0.49%
 $4
Includes Typical Broker Commissions trade costs of $0.04
2/13/24 9:47 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A LONG 2 319.69 2/14 10:36 331.97 0.34%
Trade id #147324096
Max drawdown($4)
Time2/13/24 9:52
Quant open2
Worst price317.59
Drawdown as % of equity-0.34%
 $25
Includes Typical Broker Commissions trade costs of $0.04
2/12/24 11:39 GCT GIGACLOUD TECHNOLOGY INC CLASS A LONG 22 32.25 2/13 11:37 32.27 6.53%
Trade id #147290372
Max drawdown($81)
Time2/13/24 9:31
Quant open22
Worst price28.56
Drawdown as % of equity-6.53%
 $0
Includes Typical Broker Commissions trade costs of $0.44
2/9/24 10:11 TSLS DIREXION DAILY TSLA BEAR 1X SHARES LONG 30 23.89 2/12 9:33 23.98 0.36%
Trade id #147268204
Max drawdown($4)
Time2/9/24 10:27
Quant open30
Worst price23.73
Drawdown as % of equity-0.36%
 $2
Includes Typical Broker Commissions trade costs of $0.60
2/8/24 10:01 COMM COMMSCOPE HOLDING COMPANY INC LONG 329 2.17 2/9 15:44 2.18 1.06%
Trade id #147256983
Max drawdown($14)
Time2/9/24 9:31
Quant open329
Worst price2.12
Drawdown as % of equity-1.06%
 ($3)
Includes Typical Broker Commissions trade costs of $6.58
2/2/24 10:12 STRC SARCOS TECHNOLOGY AND ROBOTICS CORP LONG 1,500 0.50 2/8 12:55 0.51 5.55%
Trade id #147203562
Max drawdown($69)
Time2/5/24 0:00
Quant open1,500
Worst price0.45
Drawdown as % of equity-5.55%
 $16
Includes Typical Broker Commissions trade costs of $5.00
2/1/24 9:34 WOLF WOLFSPEED INC LONG 92 27.91 2/8 10:07 27.96 15.05%
Trade id #147192071
Max drawdown($189)
Time2/5/24 0:00
Quant open46
Worst price24.97
Drawdown as % of equity-15.05%
 $2
Includes Typical Broker Commissions trade costs of $1.84
2/1/24 9:47 PTON PELOTON INTERACTIVE INC. CLASS A LONG 296 4.52 2/6 15:43 4.40 13.21%
Trade id #147192444
Max drawdown($166)
Time2/5/24 0:00
Quant open296
Worst price3.96
Drawdown as % of equity-13.21%
 ($41)
Includes Typical Broker Commissions trade costs of $5.92
Next

Statistics

  • Strategy began
    12/18/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    734.08
  • Age
    24 months ago
  • What it trades
    Stocks
  • # Trades
    494
  • # Profitable
    281
  • % Profitable
    56.90%
  • Avg trade duration
    3.6 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    March 14, 2024 - March 27, 2024
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $28.48
  • Avg loss
    $50.65
  • Model Account Values (Raw)
  • Cash
    $204
  • Margin Used
    $0
  • Buying Power
    ($144)
  • Ratios
  • W:L ratio
    0.79:1
  • Sharpe Ratio
    -0.35
  • Sortino Ratio
    -0.59
  • Calmar Ratio
    -0.527
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -180.49%
  • Correlation to SP500
    -0.00230
  • Return Percent SP500 (cumu) during strategy life
    53.95%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.67%
  • 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)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -48.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    337
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    81
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $51
  • Avg Win
    $28
  • Sum Trade PL (losers)
    $10,789.000
  • Age
  • Num Months filled monthly returns table
    16
  • Win / Loss
  • Sum Trade PL (winners)
    $8,003.000
  • # Winners
    281
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    573
  • Win / Loss
  • # Losers
    213
  • % Winners
    56.9%
  • Frequency
  • Avg Position Time (mins)
    5211.55
  • Avg Position Time (hrs)
    86.86
  • Avg Trade Length
    3.6 days
  • Last Trade Ago
    179
  • Leverage
  • Daily leverage (average)
    4.24
  • Daily leverage (max)
    634.21
  • Regression
  • Alpha
    0.00
  • Beta
    -0.04
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.64
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -7.567
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.921
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.672
  • Hold-and-Hope Ratio
    -0.116
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.34908
  • SD
    0.73132
  • Sharpe ratio (Glass type estimate)
    -0.47733
  • Sharpe ratio (Hedges UMVUE)
    -0.46084
  • df
    22.00000
  • t
    -0.66084
  • p
    0.74221
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.89466
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.95063
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.88309
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.96140
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.58768
  • Upside Potential Ratio
    1.13736
  • Upside part of mean
    0.67559
  • Downside part of mean
    -1.02467
  • Upside SD
    0.41096
  • Downside SD
    0.59400
  • N nonnegative terms
    12.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.21153
  • Mean of criterion
    -0.34908
  • SD of predictor
    0.09146
  • SD of criterion
    0.73132
  • Covariance
    0.00431
  • r
    0.06439
  • b (slope, estimate of beta)
    0.51487
  • a (intercept, estimate of alpha)
    -0.45799
  • Mean Square Error
    0.55797
  • DF error
    21.00000
  • t(b)
    0.29570
  • p(b)
    0.45904
  • t(a)
    -0.70107
  • p(a)
    0.59591
  • Lowerbound of 95% confidence interval for beta
    -3.10611
  • Upperbound of 95% confidence interval for beta
    4.13584
  • Lowerbound of 95% confidence interval for alpha
    -1.81655
  • Upperbound of 95% confidence interval for alpha
    0.90057
  • Treynor index (mean / b)
    -0.67801
  • Jensen alpha (a)
    -0.45799
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.67384
  • SD
    0.86390
  • Sharpe ratio (Glass type estimate)
    -0.78000
  • Sharpe ratio (Hedges UMVUE)
    -0.75305
  • df
    22.00000
  • t
    -1.07986
  • p
    0.85405
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.20556
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.66270
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.18614
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.68004
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.84922
  • Upside Potential Ratio
    0.76402
  • Upside part of mean
    0.60624
  • Downside part of mean
    -1.28008
  • Upside SD
    0.34942
  • Downside SD
    0.79348
  • N nonnegative terms
    12.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.20531
  • Mean of criterion
    -0.67384
  • SD of predictor
    0.09051
  • SD of criterion
    0.86390
  • Covariance
    0.00553
  • r
    0.07072
  • b (slope, estimate of beta)
    0.67495
  • a (intercept, estimate of alpha)
    -0.81241
  • Mean Square Error
    0.77795
  • DF error
    21.00000
  • t(b)
    0.32487
  • p(b)
    0.45502
  • t(a)
    -1.05962
  • p(a)
    0.64220
  • Lowerbound of 95% confidence interval for beta
    -3.64565
  • Upperbound of 95% confidence interval for beta
    4.99555
  • Lowerbound of 95% confidence interval for alpha
    -2.40686
  • Upperbound of 95% confidence interval for alpha
    0.78203
  • Treynor index (mean / b)
    -0.99835
  • Jensen alpha (a)
    -0.81241
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.37272
  • Expected Shortfall on VaR
    0.43247
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.19166
  • Expected Shortfall on VaR
    0.37366
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.43829
  • Quartile 1
    0.90619
  • Median
    1.00733
  • Quartile 3
    1.07348
  • Maximum
    1.48668
  • Mean of quarter 1
    0.71091
  • Mean of quarter 2
    0.96725
  • Mean of quarter 3
    1.04059
  • Mean of quarter 4
    1.18543
  • Inter Quartile Range
    0.16729
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.08696
  • Mean of outliers low
    0.52603
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04348
  • Mean of outliers high
    1.48668
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.40654
  • VaR(95%) (moments method)
    0.27038
  • Expected Shortfall (moments method)
    0.32878
  • Extreme Value Index (regression method)
    -0.14892
  • VaR(95%) (regression method)
    0.40706
  • Expected Shortfall (regression method)
    0.55153
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.89908
  • Quartile 1
    0.89908
  • Median
    0.89908
  • Quartile 3
    0.89908
  • Maximum
    0.89908
  • 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)
    -0.37046
  • Compounded annual return (geometric extrapolation)
    -0.47583
  • Calmar ratio (compounded annual return / max draw down)
    -0.52924
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.10026
  • 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
    -0.33774
  • SD
    0.85816
  • Sharpe ratio (Glass type estimate)
    -0.39357
  • Sharpe ratio (Hedges UMVUE)
    -0.39300
  • df
    521.00000
  • t
    -0.55552
  • p
    0.71061
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.78215
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.99538
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.78176
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.99576
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.55886
  • Upside Potential Ratio
    6.58531
  • Upside part of mean
    3.97977
  • Downside part of mean
    -4.31751
  • Upside SD
    0.60847
  • Downside SD
    0.60434
  • N nonnegative terms
    244.00000
  • N negative terms
    278.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    522.00000
  • Mean of predictor
    0.20168
  • Mean of criterion
    -0.33774
  • SD of predictor
    0.12959
  • SD of criterion
    0.85816
  • Covariance
    0.02895
  • r
    0.26036
  • b (slope, estimate of beta)
    1.72412
  • a (intercept, estimate of alpha)
    -0.68500
  • Mean Square Error
    0.68783
  • DF error
    520.00000
  • t(b)
    6.14922
  • p(b)
    0.00000
  • t(a)
    -1.16124
  • p(a)
    0.87696
  • Lowerbound of 95% confidence interval for beta
    1.17330
  • Upperbound of 95% confidence interval for beta
    2.27493
  • Lowerbound of 95% confidence interval for alpha
    -1.84509
  • Upperbound of 95% confidence interval for alpha
    0.47417
  • Treynor index (mean / b)
    -0.19589
  • Jensen alpha (a)
    -0.68546
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.70553
  • SD
    0.85964
  • Sharpe ratio (Glass type estimate)
    -0.82073
  • Sharpe ratio (Hedges UMVUE)
    -0.81954
  • df
    521.00000
  • t
    -1.15846
  • p
    0.87640
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.20981
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.56909
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.20899
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56990
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.08530
  • Upside Potential Ratio
    5.86492
  • Upside part of mean
    3.81264
  • Downside part of mean
    -4.51817
  • Upside SD
    0.56291
  • Downside SD
    0.65008
  • N nonnegative terms
    244.00000
  • N negative terms
    278.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    522.00000
  • Mean of predictor
    0.19320
  • Mean of criterion
    -0.70553
  • SD of predictor
    0.12961
  • SD of criterion
    0.85964
  • Covariance
    0.02949
  • r
    0.26466
  • b (slope, estimate of beta)
    1.75537
  • a (intercept, estimate of alpha)
    -1.04467
  • Mean Square Error
    0.68854
  • DF error
    520.00000
  • t(b)
    6.25846
  • p(b)
    0.00000
  • t(a)
    -1.76955
  • p(a)
    0.96131
  • Lowerbound of 95% confidence interval for beta
    1.20436
  • Upperbound of 95% confidence interval for beta
    2.30639
  • Lowerbound of 95% confidence interval for alpha
    -2.20445
  • Upperbound of 95% confidence interval for alpha
    0.11511
  • Treynor index (mean / b)
    -0.40192
  • Jensen alpha (a)
    -1.04467
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08611
  • Expected Shortfall on VaR
    0.10600
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03919
  • Expected Shortfall on VaR
    0.07958
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    522.00000
  • Minimum
    0.75239
  • Quartile 1
    0.98056
  • Median
    1.00000
  • Quartile 3
    1.01423
  • Maximum
    1.32378
  • Mean of quarter 1
    0.94167
  • Mean of quarter 2
    0.99284
  • Mean of quarter 3
    1.00578
  • Mean of quarter 4
    1.05499
  • Inter Quartile Range
    0.03367
  • Number outliers low
    36.00000
  • Percentage of outliers low
    0.06897
  • Mean of outliers low
    0.88112
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.05747
  • Mean of outliers high
    1.12285
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43863
  • VaR(95%) (moments method)
    0.05918
  • Expected Shortfall (moments method)
    0.12059
  • Extreme Value Index (regression method)
    0.25207
  • VaR(95%) (regression method)
    0.05028
  • Expected Shortfall (regression method)
    0.08143
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00033
  • Quartile 1
    0.00436
  • Median
    0.03529
  • Quartile 3
    0.12593
  • Maximum
    0.93347
  • Mean of quarter 1
    0.00107
  • Mean of quarter 2
    0.01751
  • Mean of quarter 3
    0.07676
  • Mean of quarter 4
    0.33819
  • Inter Quartile Range
    0.12157
  • 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
    0.07143
  • Mean of outliers high
    0.93347
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.88751
  • VaR(95%) (moments method)
    0.40902
  • Expected Shortfall (moments method)
    3.41535
  • Extreme Value Index (regression method)
    4.26629
  • VaR(95%) (regression method)
    0.72056
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.37181
  • Compounded annual return (geometric extrapolation)
    -0.49218
  • Calmar ratio (compounded annual return / max draw down)
    -0.52726
  • Compounded annual return / average of 25% largest draw downs
    -1.45534
  • Compounded annual return / Expected Shortfall lognormal
    -4.64324
  • 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
    1.57268
  • SD
    1.19450
  • Sharpe ratio (Glass type estimate)
    1.31661
  • Sharpe ratio (Hedges UMVUE)
    1.30899
  • df
    130.00000
  • t
    0.93098
  • p
    0.45931
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.46224
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.09061
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.46737
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.08536
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.99798
  • Upside Potential Ratio
    8.97151
  • Upside part of mean
    7.06179
  • Downside part of mean
    -5.48911
  • Upside SD
    0.89766
  • Downside SD
    0.78714
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14272
  • Mean of criterion
    1.57268
  • SD of predictor
    0.14146
  • SD of criterion
    1.19450
  • Covariance
    0.07944
  • r
    0.47016
  • b (slope, estimate of beta)
    3.97011
  • a (intercept, estimate of alpha)
    1.00606
  • Mean Square Error
    1.12004
  • DF error
    129.00000
  • t(b)
    6.05047
  • p(b)
    0.21211
  • t(a)
    0.67088
  • p(a)
    0.46248
  • Lowerbound of 95% confidence interval for beta
    2.67187
  • Upperbound of 95% confidence interval for beta
    5.26835
  • Lowerbound of 95% confidence interval for alpha
    -1.96097
  • Upperbound of 95% confidence interval for alpha
    3.97309
  • Treynor index (mean / b)
    0.39613
  • Jensen alpha (a)
    1.00606
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.86416
  • SD
    1.19549
  • Sharpe ratio (Glass type estimate)
    0.72285
  • Sharpe ratio (Hedges UMVUE)
    0.71867
  • df
    130.00000
  • t
    0.51113
  • p
    0.47761
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.05168
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.49472
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.05451
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.49185
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.00395
  • Upside Potential Ratio
    7.78554
  • Upside part of mean
    6.70145
  • Downside part of mean
    -5.83729
  • Upside SD
    0.82477
  • Downside SD
    0.86076
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13271
  • Mean of criterion
    0.86416
  • SD of predictor
    0.14181
  • SD of criterion
    1.19549
  • Covariance
    0.08182
  • r
    0.48262
  • b (slope, estimate of beta)
    4.06864
  • a (intercept, estimate of alpha)
    0.32420
  • Mean Square Error
    1.10480
  • DF error
    129.00000
  • t(b)
    6.25872
  • p(b)
    0.20514
  • t(a)
    0.21773
  • p(a)
    0.48780
  • VAR (95 Confidence Intrvl)
    0.08600
  • Lowerbound of 95% confidence interval for beta
    2.78245
  • Upperbound of 95% confidence interval for beta
    5.35484
  • Lowerbound of 95% confidence interval for alpha
    -2.62177
  • Upperbound of 95% confidence interval for alpha
    3.27017
  • Treynor index (mean / b)
    0.21240
  • Jensen alpha (a)
    0.32420
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11147
  • Expected Shortfall on VaR
    0.13815
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04297
  • Expected Shortfall on VaR
    0.09094
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.75239
  • Quartile 1
    0.97623
  • Median
    1.00579
  • Quartile 3
    1.03608
  • Maximum
    1.29692
  • Mean of quarter 1
    0.92443
  • Mean of quarter 2
    0.99382
  • Mean of quarter 3
    1.02011
  • Mean of quarter 4
    1.08650
  • Inter Quartile Range
    0.05985
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.83058
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.22553
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56234
  • VaR(95%) (moments method)
    0.08002
  • Expected Shortfall (moments method)
    0.20168
  • Extreme Value Index (regression method)
    0.37917
  • VaR(95%) (regression method)
    0.06909
  • Expected Shortfall (regression method)
    0.12918
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00199
  • Quartile 1
    0.02454
  • Median
    0.06273
  • Quartile 3
    0.14825
  • Maximum
    0.53641
  • Mean of quarter 1
    0.00803
  • Mean of quarter 2
    0.04910
  • Mean of quarter 3
    0.08171
  • Mean of quarter 4
    0.30302
  • Inter Quartile Range
    0.12371
  • 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
    0.10000
  • Mean of outliers high
    0.53641
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.13225
  • VaR(95%) (moments method)
    0.34178
  • Expected Shortfall (moments method)
    0.50167
  • Extreme Value Index (regression method)
    2.02276
  • VaR(95%) (regression method)
    0.69473
  • 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?
    -106216000
  • Max Equity Drawdown (num days)
    13
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.12421
  • Compounded annual return (geometric extrapolation)
    1.44016
  • Calmar ratio (compounded annual return / max draw down)
    2.68484
  • Compounded annual return / average of 25% largest draw downs
    4.75274
  • Compounded annual return / Expected Shortfall lognormal
    10.42440

Strategy Description

need margin account to follow all trades.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-12-18
Suggested Minimum Capital
$15,000
# Trades
494
# Profitable
281
% Profitable
56.9%
Net Dividends
$572
Correlation S&P500
-0.002
Sharpe Ratio
-0.35
Sortino Ratio
-0.59
Beta
-0.04
Alpha
0.00
Leverage
4.24 Average
634.21 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.