Collective2 Collective2
Featured Strategy Cryptoverse +51.0% Annual Return (Compounded) since Jun 13, 2022 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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COT Report Alpha
(145050488)

Created by: Roman2 Roman2
Started: 06/2023
Stocks
Last trade: 11 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

14.7%
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.

(28.5%)
Max Drawdown
423
Num Trades
48.5%
Win Trades
1.3 : 1
Profit Factor
36.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                   (0.4%)+3.6%+25.0%+0.2%+1.6%(2.5%)+4.0%+33.3%
2024(0.2%)(4.3%)(2.4%)(1.6%)(3.8%)(2.2%)(1.4%)  -  (0.7%)(0.3%)+1.3%+8.0%(8%)

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 1,176 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
12/10/24 10:17 TMUS T-MOBILE US INC. COMMON STOCK SHORT 40 233.28 12/11 10:18 235.42 0.97%
Trade id #150289368
Max drawdown($99)
Time12/11/24 10:11
Quant open40
Worst price235.78
Drawdown as % of equity-0.97%
 ($86)
Includes Typical Broker Commissions trade costs of $0.80
11/26/24 9:46 FXI ISHARES FTSE CHINA 25 INDEX FU SHORT 120 29.83 12/10 10:17 31.24 1.4%
Trade id #150184119
Max drawdown($147)
Time12/9/24 0:00
Quant open40
Worst price33.51
Drawdown as % of equity-1.40%
 ($172)
Includes Typical Broker Commissions trade costs of $2.40
12/9/24 11:40 SHOP SHOPIFY INC LONG 75 115.53 12/10 10:16 116.13 1.35%
Trade id #150280433
Max drawdown($137)
Time12/10/24 9:30
Quant open75
Worst price113.70
Drawdown as % of equity-1.35%
 $44
Includes Typical Broker Commissions trade costs of $1.50
12/9/24 11:43 KKR KKR & CO INC LONG 75 155.31 12/10 10:12 152.71 3.13%
Trade id #150280447
Max drawdown($318)
Time12/10/24 9:30
Quant open75
Worst price151.06
Drawdown as % of equity-3.13%
 ($197)
Includes Typical Broker Commissions trade costs of $1.50
12/3/24 10:00 XLE ENERGY SELECT SECTOR SPDR SHORT 250 94.34 12/6 10:09 91.82 1.49%
Trade id #150231450
Max drawdown($149)
Time12/3/24 14:06
Quant open250
Worst price94.94
Drawdown as % of equity-1.49%
 $626
Includes Typical Broker Commissions trade costs of $5.00
11/26/24 9:36 XLU UTILITIES SELECT SECTOR SPDR LONG 115 81.86 12/3 9:46 81.50 0.63%
Trade id #150183812
Max drawdown($63)
Time12/2/24 0:00
Quant open115
Worst price81.30
Drawdown as % of equity-0.63%
 ($42)
Includes Typical Broker Commissions trade costs of $2.30
11/26/24 9:34 XLP SPDR CONSUMER STAPLES SELECT LONG 100 82.45 12/3 9:45 82.56 0.31%
Trade id #150183721
Max drawdown($30)
Time11/26/24 10:49
Quant open100
Worst price82.14
Drawdown as % of equity-0.31%
 $10
Includes Typical Broker Commissions trade costs of $2.00
6/4/24 9:40 VTRS VIATRIS INC SHORT 100 10.54 7/1 9:47 10.58 0.13%
Trade id #148324289
Max drawdown($11)
Time6/4/24 14:23
Quant open100
Worst price10.66
Drawdown as % of equity-0.13%
 ($6)
Includes Typical Broker Commissions trade costs of $2.00
6/24/24 7:34 @SBV4 Sugar #11 LONG 1 19.27 7/1 5:20 20.22 0.58%
Trade id #148481349
Max drawdown($56)
Time6/25/24 0:00
Quant open1
Worst price19.22
Drawdown as % of equity-0.58%
 $1,056
Includes Typical Broker Commissions trade costs of $8.00
6/17/24 10:50 @MSFU4 E-MICRO CHF/USD LONG 1 1.13230 6/27 12:34 1.12370 1.18%
Trade id #148427585
Max drawdown($119)
Time6/27/24 12:34
Quant open1
Worst price1.12370
Drawdown as % of equity-1.18%
 ($128)
Includes Typical Broker Commissions trade costs of $8.00
6/11/24 12:52 L2419S80 L Jul19'24 80 put LONG 1 5.80 6/12 10:51 3.90 0.13%
Trade id #148382427
Max drawdown($12)
Time6/11/24 13:11
Quant open1
Worst price5.68
Drawdown as % of equity-0.13%
 ($192)
Includes Typical Broker Commissions trade costs of $2.00
6/3/24 9:40 GOOGL2421F172.5 GOOGL Jun21'24 172.5 call LONG 1 4.85 6/12 10:51 5.70 1.47%
Trade id #148314006
Max drawdown($135)
Time6/10/24 0:00
Quant open1
Worst price3.50
Drawdown as % of equity-1.47%
 $83
Includes Typical Broker Commissions trade costs of $2.00
6/3/24 9:40 GOOGL2421F177.5 GOOGL Jun21'24 177.5 call SHORT 1 2.45 6/12 10:51 2.45 2.3%
Trade id #148314004
Max drawdown($209)
Time6/12/24 9:34
Quant open1
Worst price4.54
Drawdown as % of equity-2.30%
 ($2)
Includes Typical Broker Commissions trade costs of $2.00
6/3/24 9:33 UBER2421F63 UBER Jun21'24 63 call LONG 1 2.92 6/12 10:48 9.10 0.98%
Trade id #148313740
Max drawdown($92)
Time6/3/24 13:07
Quant open1
Worst price2.00
Drawdown as % of equity-0.98%
 $616
Includes Typical Broker Commissions trade costs of $2.00
6/3/24 9:33 DAL2414F53 DAL Jun14'24 53 call SHORT 3 0.52 6/12 10:48 0.09 0.35%
Trade id #148313738
Max drawdown($36)
Time6/3/24 9:50
Quant open3
Worst price0.64
Drawdown as % of equity-0.35%
 $125
Includes Typical Broker Commissions trade costs of $4.20
6/3/24 9:33 JNPR2421R34 JNPR Jun21'24 34 put SHORT 3 0.10 6/12 10:48 0.30 n/a ($64)
Includes Typical Broker Commissions trade costs of $4.20
6/3/24 9:33 LEN2414F160 LEN Jun14'24 160 call SHORT 1 4.30 6/12 10:45 1.70 1.17%
Trade id #148313733
Max drawdown($110)
Time6/3/24 12:06
Quant open1
Worst price5.40
Drawdown as % of equity-1.17%
 $258
Includes Typical Broker Commissions trade costs of $2.00
6/3/24 9:33 CRM2414F235 CRM Jun14'24 235 call SHORT 1 8.30 6/12 10:45 4.20 4.5%
Trade id #148313729
Max drawdown($420)
Time6/6/24 0:00
Quant open1
Worst price12.50
Drawdown as % of equity-4.50%
 $408
Includes Typical Broker Commissions trade costs of $2.00
6/3/24 9:33 GLD2414R215 GLD Jun14'24 215 put SHORT 1 1.80 6/12 10:45 1.45 2.55%
Trade id #148313727
Max drawdown($238)
Time6/7/24 0:00
Quant open1
Worst price4.18
Drawdown as % of equity-2.55%
 $33
Includes Typical Broker Commissions trade costs of $2.00
6/3/24 9:33 UBER2421F65 UBER Jun21'24 65 call SHORT 1 1.52 6/12 10:43 7.45 6.58%
Trade id #148313725
Max drawdown($598)
Time6/12/24 9:36
Quant open1
Worst price7.50
Drawdown as % of equity-6.58%
 ($595)
Includes Typical Broker Commissions trade costs of $2.00
6/3/24 9:33 JNPR2421R35 JNPR Jun21'24 35 put LONG 3 1.10 6/12 10:43 0.15 3.04%
Trade id #148313721
Max drawdown($285)
Time6/4/24 0:00
Quant open3
Worst price0.15
Drawdown as % of equity-3.04%
 ($289)
Includes Typical Broker Commissions trade costs of $4.20
6/3/24 9:33 DAL2414F51 DAL Jun14'24 51 call LONG 3 1.50 6/12 10:43 0.56 4.4%
Trade id #148313719
Max drawdown($411)
Time6/11/24 0:00
Quant open3
Worst price0.13
Drawdown as % of equity-4.40%
 ($286)
Includes Typical Broker Commissions trade costs of $4.20
6/3/24 9:33 LEN2414F155 LEN Jun14'24 155 call LONG 1 7.90 6/12 10:40 4.80 7.21%
Trade id #148313715
Max drawdown($674)
Time6/11/24 0:00
Quant open1
Worst price1.16
Drawdown as % of equity-7.21%
 ($312)
Includes Typical Broker Commissions trade costs of $2.00
6/3/24 9:33 GLD2414R220 GLD Jun14'24 220 put LONG 1 4.85 6/12 10:40 5.05 2.81%
Trade id #148313713
Max drawdown($262)
Time6/6/24 0:00
Quant open1
Worst price2.23
Drawdown as % of equity-2.81%
 $18
Includes Typical Broker Commissions trade costs of $2.00
6/3/24 9:33 CRM2414F230 CRM Jun14'24 230 call LONG 1 13.25 6/12 10:40 8.10 8.36%
Trade id #148313711
Max drawdown($776)
Time6/3/24 13:15
Quant open1
Worst price5.49
Drawdown as % of equity-8.36%
 ($517)
Includes Typical Broker Commissions trade costs of $2.00
5/13/24 12:35 UGA UNITED STATES GASOLINE LONG 64 67.05 6/12 9:46 65.38 3.48%
Trade id #148156111
Max drawdown($326)
Time6/4/24 0:00
Quant open64
Worst price61.95
Drawdown as % of equity-3.48%
 ($108)
Includes Typical Broker Commissions trade costs of $1.28
6/3/24 9:33 V2407R275 V Jun7'24 275 put SHORT 1 2.89 6/7 15:41 0.01 3.2%
Trade id #148313731
Max drawdown($298)
Time6/3/24 11:58
Quant open1
Worst price5.87
Drawdown as % of equity-3.20%
 $286
Includes Typical Broker Commissions trade costs of $2.00
6/3/24 9:33 V2407R280 V Jun7'24 280 put LONG 1 7.95 6/7 15:41 0.80 8.09%
Trade id #148313717
Max drawdown($746)
Time6/7/24 15:31
Quant open1
Worst price0.49
Drawdown as % of equity-8.09%
 ($717)
Includes Typical Broker Commissions trade costs of $2.00
6/3/24 9:33 WMB2414F41 WMB Jun14'24 41 call SHORT 5 0.50 6/6 15:25 0.46 0.48%
Trade id #148313742
Max drawdown($50)
Time6/3/24 9:42
Quant open5
Worst price0.60
Drawdown as % of equity-0.48%
 $13
Includes Typical Broker Commissions trade costs of $7.00
6/3/24 9:33 WMB2414F40 WMB Jun14'24 40 call LONG 5 1.65 6/6 15:25 1.41 2.61%
Trade id #148313723
Max drawdown($245)
Time6/4/24 0:00
Quant open5
Worst price1.16
Drawdown as % of equity-2.61%
 ($127)
Includes Typical Broker Commissions trade costs of $7.00
Next

Statistics

  • Strategy began
    6/28/2023
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    542.75
  • Age
    18 months ago
  • What it trades
    Stocks
  • # Trades
    423
  • # Profitable
    205
  • % Profitable
    48.50%
  • Avg trade duration
    6.9 days
  • Max peak-to-valley drawdown
    28.53%
  • drawdown period
    Oct 13, 2023 - June 11, 2024
  • Annual Return (Compounded)
    14.6%
  • Avg win
    $58.72
  • Avg loss
    $41.62
  • Model Account Values (Raw)
  • Cash
    $11,827
  • Margin Used
    $0
  • Buying Power
    $11,827
  • Ratios
  • W:L ratio
    1.32:1
  • Sharpe Ratio
    0.67
  • Sortino Ratio
    1.16
  • Calmar Ratio
    1.422
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -12.83%
  • Correlation to SP500
    -0.00650
  • Return Percent SP500 (cumu) during strategy life
    35.50%
  • Return Statistics
  • Ann Return (w trading costs)
    14.6%
  • Slump
  • Current Slump as Pcnt Equity
    11.60%
  • Instruments
  • Percent Trades Futures
    0.01%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.80%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.146%
  • Instruments
  • Percent Trades Options
    0.03%
  • Percent Trades Stocks
    0.96%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    21.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    28.50%
  • Chance of 20% account loss
    3.00%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    449
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    404
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $42
  • Avg Win
    $59
  • Sum Trade PL (losers)
    $9,074.000
  • Age
  • Num Months filled monthly returns table
    19
  • Win / Loss
  • Sum Trade PL (winners)
    $12,037.000
  • # Winners
    205
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    -18
  • Win / Loss
  • # Losers
    218
  • % Winners
    48.5%
  • Frequency
  • Avg Position Time (mins)
    10002.80
  • Avg Position Time (hrs)
    166.71
  • Avg Trade Length
    6.9 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.54
  • Daily leverage (max)
    17.31
  • Regression
  • Alpha
    0.04
  • Beta
    -0.01
  • Treynor Index
    -3.72
  • 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)
    -0.52
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    5.410
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.308
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.289
  • Hold-and-Hope Ratio
    0.182
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21142
  • SD
    0.31822
  • Sharpe ratio (Glass type estimate)
    0.66437
  • Sharpe ratio (Hedges UMVUE)
    0.61784
  • df
    11.00000
  • t
    0.66437
  • p
    0.26007
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.32925
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62888
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.35905
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59473
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.64671
  • Upside Potential Ratio
    3.51070
  • Upside part of mean
    0.45074
  • Downside part of mean
    -0.23932
  • Upside SD
    0.28296
  • Downside SD
    0.12839
  • N nonnegative terms
    7.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.22590
  • Mean of criterion
    0.21142
  • SD of predictor
    0.10818
  • SD of criterion
    0.31822
  • Covariance
    -0.00336
  • r
    -0.09757
  • b (slope, estimate of beta)
    -0.28702
  • a (intercept, estimate of alpha)
    0.27626
  • Mean Square Error
    0.11033
  • DF error
    10.00000
  • t(b)
    -0.31002
  • p(b)
    0.61855
  • t(a)
    0.70381
  • p(a)
    0.24881
  • Lowerbound of 95% confidence interval for beta
    -2.34979
  • Upperbound of 95% confidence interval for beta
    1.77576
  • Lowerbound of 95% confidence interval for alpha
    -0.59833
  • Upperbound of 95% confidence interval for alpha
    1.15085
  • Treynor index (mean / b)
    -0.73661
  • Jensen alpha (a)
    0.27626
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16756
  • SD
    0.29598
  • Sharpe ratio (Glass type estimate)
    0.56612
  • Sharpe ratio (Hedges UMVUE)
    0.52647
  • df
    11.00000
  • t
    0.56612
  • p
    0.29134
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42021
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.52746
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.44580
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49874
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.24870
  • Upside Potential Ratio
    3.09305
  • Upside part of mean
    0.41505
  • Downside part of mean
    -0.24749
  • Upside SD
    0.25424
  • Downside SD
    0.13419
  • N nonnegative terms
    7.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.21801
  • Mean of criterion
    0.16756
  • SD of predictor
    0.10797
  • SD of criterion
    0.29598
  • Covariance
    -0.00265
  • r
    -0.08287
  • b (slope, estimate of beta)
    -0.22718
  • a (intercept, estimate of alpha)
    0.21709
  • Mean Square Error
    0.09570
  • DF error
    10.00000
  • t(b)
    -0.26298
  • p(b)
    0.60105
  • t(a)
    0.59940
  • p(a)
    0.28112
  • Lowerbound of 95% confidence interval for beta
    -2.15206
  • Upperbound of 95% confidence interval for beta
    1.69769
  • Lowerbound of 95% confidence interval for alpha
    -0.58990
  • Upperbound of 95% confidence interval for alpha
    1.02408
  • Treynor index (mean / b)
    -0.73755
  • Jensen alpha (a)
    0.21709
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11889
  • Expected Shortfall on VaR
    0.14937
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04141
  • Expected Shortfall on VaR
    0.07878
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.89389
  • Quartile 1
    0.97271
  • Median
    1.00619
  • Quartile 3
    1.03668
  • Maximum
    1.26317
  • Mean of quarter 1
    0.93946
  • Mean of quarter 2
    0.98604
  • Mean of quarter 3
    1.01594
  • Mean of quarter 4
    1.13835
  • Inter Quartile Range
    0.06398
  • 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
    0.08333
  • Mean of outliers high
    1.26317
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.26934
  • VaR(95%) (moments method)
    0.06446
  • Expected Shortfall (moments method)
    0.07011
  • Extreme Value Index (regression method)
    0.57815
  • VaR(95%) (regression method)
    0.10421
  • Expected Shortfall (regression method)
    0.28225
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02795
  • Quartile 1
    0.06781
  • Median
    0.10767
  • Quartile 3
    0.14753
  • Maximum
    0.18739
  • Mean of quarter 1
    0.02795
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.18739
  • Inter Quartile Range
    0.07972
  • 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)
    0.21588
  • Compounded annual return (geometric extrapolation)
    0.21588
  • Calmar ratio (compounded annual return / max draw down)
    1.15201
  • Compounded annual return / average of 25% largest draw downs
    1.15201
  • Compounded annual return / Expected Shortfall lognormal
    1.44523
  • 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
    0.26285
  • SD
    0.18376
  • Sharpe ratio (Glass type estimate)
    1.43042
  • Sharpe ratio (Hedges UMVUE)
    1.42653
  • df
    276.00000
  • t
    1.47080
  • p
    0.07124
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48073
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.33905
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48334
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.33640
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.59280
  • Upside Potential Ratio
    9.27930
  • Upside part of mean
    0.94071
  • Downside part of mean
    -0.67786
  • Upside SD
    0.15373
  • Downside SD
    0.10138
  • N nonnegative terms
    110.00000
  • N negative terms
    167.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    277.00000
  • Mean of predictor
    0.26721
  • Mean of criterion
    0.26285
  • SD of predictor
    0.12338
  • SD of criterion
    0.18376
  • Covariance
    -0.00040
  • r
    -0.01776
  • b (slope, estimate of beta)
    -0.02645
  • a (intercept, estimate of alpha)
    0.27000
  • Mean Square Error
    0.03388
  • DF error
    275.00000
  • t(b)
    -0.29459
  • p(b)
    0.61574
  • t(a)
    1.49448
  • p(a)
    0.06810
  • Lowerbound of 95% confidence interval for beta
    -0.20324
  • Upperbound of 95% confidence interval for beta
    0.15033
  • Lowerbound of 95% confidence interval for alpha
    -0.08564
  • Upperbound of 95% confidence interval for alpha
    0.62548
  • Treynor index (mean / b)
    -9.93592
  • Jensen alpha (a)
    0.26992
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24603
  • SD
    0.18253
  • Sharpe ratio (Glass type estimate)
    1.34788
  • Sharpe ratio (Hedges UMVUE)
    1.34421
  • df
    276.00000
  • t
    1.38593
  • p
    0.08344
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56279
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.25615
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56524
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.25367
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.39109
  • Upside Potential Ratio
    9.02917
  • Upside part of mean
    0.92906
  • Downside part of mean
    -0.68303
  • Upside SD
    0.15113
  • Downside SD
    0.10290
  • N nonnegative terms
    110.00000
  • N negative terms
    167.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    277.00000
  • Mean of predictor
    0.25948
  • Mean of criterion
    0.24603
  • SD of predictor
    0.12332
  • SD of criterion
    0.18253
  • Covariance
    -0.00040
  • r
    -0.01797
  • b (slope, estimate of beta)
    -0.02660
  • a (intercept, estimate of alpha)
    0.25293
  • Mean Square Error
    0.03343
  • DF error
    275.00000
  • t(b)
    -0.29803
  • p(b)
    0.61705
  • t(a)
    1.41054
  • p(a)
    0.07976
  • Lowerbound of 95% confidence interval for beta
    -0.20229
  • Upperbound of 95% confidence interval for beta
    0.14909
  • Lowerbound of 95% confidence interval for alpha
    -0.10007
  • Upperbound of 95% confidence interval for alpha
    0.60594
  • Treynor index (mean / b)
    -9.25007
  • Jensen alpha (a)
    0.25293
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01746
  • Expected Shortfall on VaR
    0.02207
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00663
  • Expected Shortfall on VaR
    0.01358
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    277.00000
  • Minimum
    0.94649
  • Quartile 1
    0.99697
  • Median
    1.00000
  • Quartile 3
    1.00252
  • Maximum
    1.04857
  • Mean of quarter 1
    0.99104
  • Mean of quarter 2
    0.99895
  • Mean of quarter 3
    1.00066
  • Mean of quarter 4
    1.01393
  • Inter Quartile Range
    0.00555
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.05415
  • Mean of outliers low
    0.97927
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.09386
  • Mean of outliers high
    1.02791
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43698
  • VaR(95%) (moments method)
    0.00902
  • Expected Shortfall (moments method)
    0.01825
  • Extreme Value Index (regression method)
    0.44134
  • VaR(95%) (regression method)
    0.00790
  • Expected Shortfall (regression method)
    0.01544
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00301
  • Quartile 1
    0.00561
  • Median
    0.01980
  • Quartile 3
    0.03515
  • Maximum
    0.22163
  • Mean of quarter 1
    0.00396
  • Mean of quarter 2
    0.01463
  • Mean of quarter 3
    0.02844
  • Mean of quarter 4
    0.13035
  • Inter Quartile Range
    0.02954
  • 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
    0.11111
  • Mean of outliers high
    0.22163
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.84414
  • VaR(95%) (moments method)
    0.13742
  • Expected Shortfall (moments method)
    0.91087
  • Extreme Value Index (regression method)
    4.53803
  • VaR(95%) (regression method)
    0.96944
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31773
  • Compounded annual return (geometric extrapolation)
    0.31513
  • Calmar ratio (compounded annual return / max draw down)
    1.42188
  • Compounded annual return / average of 25% largest draw downs
    2.41753
  • Compounded annual return / Expected Shortfall lognormal
    14.28140
  • 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
    -0.04179
  • SD
    0.19662
  • Sharpe ratio (Glass type estimate)
    -0.21256
  • Sharpe ratio (Hedges UMVUE)
    -0.21133
  • df
    130.00000
  • t
    -0.15030
  • p
    0.50659
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.98413
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.55973
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.98326
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.56059
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.32961
  • Upside Potential Ratio
    6.14935
  • Upside part of mean
    0.77973
  • Downside part of mean
    -0.82153
  • Upside SD
    0.14931
  • Downside SD
    0.12680
  • N nonnegative terms
    37.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35086
  • Mean of criterion
    -0.04179
  • SD of predictor
    0.12698
  • SD of criterion
    0.19662
  • Covariance
    -0.00164
  • r
    -0.06581
  • b (slope, estimate of beta)
    -0.10190
  • a (intercept, estimate of alpha)
    -0.00604
  • Mean Square Error
    0.03879
  • DF error
    129.00000
  • t(b)
    -0.74911
  • p(b)
    0.54187
  • t(a)
    -0.02137
  • p(a)
    0.50120
  • Lowerbound of 95% confidence interval for beta
    -0.37105
  • Upperbound of 95% confidence interval for beta
    0.16724
  • Lowerbound of 95% confidence interval for alpha
    -0.56516
  • Upperbound of 95% confidence interval for alpha
    0.55308
  • Treynor index (mean / b)
    0.41013
  • Jensen alpha (a)
    -0.00604
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06090
  • SD
    0.19603
  • Sharpe ratio (Glass type estimate)
    -0.31065
  • Sharpe ratio (Hedges UMVUE)
    -0.30885
  • df
    130.00000
  • t
    -0.21966
  • p
    0.50963
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.08223
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.46190
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.08091
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.46321
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.47183
  • Upside Potential Ratio
    5.95650
  • Upside part of mean
    0.76877
  • Downside part of mean
    -0.82967
  • Upside SD
    0.14660
  • Downside SD
    0.12907
  • N nonnegative terms
    37.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34259
  • Mean of criterion
    -0.06090
  • SD of predictor
    0.12701
  • SD of criterion
    0.19603
  • Covariance
    -0.00166
  • r
    -0.06661
  • b (slope, estimate of beta)
    -0.10281
  • a (intercept, estimate of alpha)
    -0.02567
  • Mean Square Error
    0.03855
  • DF error
    129.00000
  • t(b)
    -0.75828
  • p(b)
    0.54238
  • t(a)
    -0.09119
  • p(a)
    0.50511
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    -0.37106
  • Upperbound of 95% confidence interval for beta
    0.16545
  • Lowerbound of 95% confidence interval for alpha
    -0.58271
  • Upperbound of 95% confidence interval for alpha
    0.53136
  • Treynor index (mean / b)
    0.59232
  • Jensen alpha (a)
    -0.02567
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01995
  • Expected Shortfall on VaR
    0.02489
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00894
  • Expected Shortfall on VaR
    0.01816
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94649
  • Quartile 1
    0.99650
  • Median
    1.00000
  • Quartile 3
    1.00053
  • Maximum
    1.04857
  • Mean of quarter 1
    0.98901
  • Mean of quarter 2
    0.99884
  • Mean of quarter 3
    1.00004
  • Mean of quarter 4
    1.01190
  • Inter Quartile Range
    0.00402
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.97635
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.02668
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56299
  • VaR(95%) (moments method)
    0.01158
  • Expected Shortfall (moments method)
    0.02872
  • Extreme Value Index (regression method)
    0.57743
  • VaR(95%) (regression method)
    0.00932
  • Expected Shortfall (regression method)
    0.02198
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03666
  • Quartile 1
    0.08108
  • Median
    0.12549
  • Quartile 3
    0.16990
  • Maximum
    0.21431
  • Mean of quarter 1
    0.03666
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.21431
  • Inter Quartile Range
    0.08882
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -378321000
  • Max Equity Drawdown (num days)
    242
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.03272
  • Compounded annual return (geometric extrapolation)
    -0.03245
  • Calmar ratio (compounded annual return / max draw down)
    -0.15142
  • Compounded annual return / average of 25% largest draw downs
    -0.15142
  • Compounded annual return / Expected Shortfall lognormal
    -1.30387

Strategy Description

This strategy looks to go long commodities in which the commercial institutions have historically extreme net long positions.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-06-28
Suggested Minimum Capital
$5,000
# Trades
423
# Profitable
205
% Profitable
48.5%
Net Dividends
($17)
Correlation S&P500
-0.006
Sharpe Ratio
0.67
Sortino Ratio
1.16
Beta
-0.01
Alpha
0.04
Leverage
1.54 Average
17.31 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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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.