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

Easy SP500
(138823996)

Created by: RickPionkowski2 RickPionkowski2
Started: 01/2022
Stocks
Last trade: 3 days ago
Trading style: Equity Non-hedged Equity Hedged Equity

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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
1.6%
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.

(23.2%)
Max Drawdown
158
Num Trades
65.8%
Win Trades
1.2 : 1
Profit Factor
41.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022+2.9%+6.3%(1.6%)+2.0%+8.1%(5.1%)+9.0%(3.5%)(5.5%)+8.7%(2.9%)(1%)+16.9%
2023+2.9%+0.7%+3.9%(1%)(1.2%)+2.6%(0.5%)(7.8%)(12.2%)+7.5%+2.5%(1.5%)(5.7%)
2024(1%)(3.4%)(0.1%)+3.9%  -  (3.6%)(1.4%)                              (5.6%)

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 264 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 317 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/10/24 9:42 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 360 27.03 7/10 15:50 26.46 2.05%
Trade id #148609636
Max drawdown($214)
Time7/10/24 15:50
Quant open360
Worst price26.43
Drawdown as % of equity-2.05%
($212)
Includes Typical Broker Commissions trade costs of $7.20
7/8/24 10:20 SPXL DIREXION DAILY S&P500 BULL 3X LONG 22 154.80 7/8 15:59 154.41 0.22%
Trade id #148589539
Max drawdown($22)
Time7/8/24 14:46
Quant open22
Worst price153.76
Drawdown as % of equity-0.22%
($9)
Includes Typical Broker Commissions trade costs of $0.44
7/5/24 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 62 151.82 7/5 11:40 153.05 0.33%
Trade id #148575804
Max drawdown($34)
Time7/5/24 10:11
Quant open62
Worst price151.26
Drawdown as % of equity-0.33%
$75
Includes Typical Broker Commissions trade costs of $1.24
6/24/24 9:30 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 200 29.30 6/24 15:57 29.53 0.8%
Trade id #148481925
Max drawdown($84)
Time6/24/24 10:09
Quant open200
Worst price28.88
Drawdown as % of equity-0.80%
$42
Includes Typical Broker Commissions trade costs of $4.00
6/21/24 9:30 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 200 29.26 6/21 15:47 29.29 0.38%
Trade id #148466814
Max drawdown($40)
Time6/21/24 12:05
Quant open200
Worst price29.06
Drawdown as % of equity-0.38%
$2
Includes Typical Broker Commissions trade costs of $4.00
6/20/24 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 40 149.79 6/20 13:07 146.90 1.11%
Trade id #148453842
Max drawdown($117)
Time6/20/24 13:07
Quant open40
Worst price146.85
Drawdown as % of equity-1.11%
($117)
Includes Typical Broker Commissions trade costs of $0.80
6/18/24 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 16 147.97 6/18 10:42 148.07 n/a $2
Includes Typical Broker Commissions trade costs of $0.32
6/17/24 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,472 8.09 6/17 12:46 7.92 2.33%
Trade id #148424282
Max drawdown($250)
Time6/17/24 12:46
Quant open1,472
Worst price7.92
Drawdown as % of equity-2.33%
($255)
Includes Typical Broker Commissions trade costs of $5.00
3/28/24 13:52 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,500 8.73 4/2 10:25 9.03 1%
Trade id #147757117
Max drawdown($105)
Time3/28/24 15:30
Quant open1,500
Worst price8.66
Drawdown as % of equity-1.00%
$445
Includes Typical Broker Commissions trade costs of $5.00
12/29/23 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 115 115.34 3/4/24 10:37 116.84 1.05%
Trade id #146841667
Max drawdown($116)
Time1/5/24 0:00
Quant open34
Worst price98.00
Drawdown as % of equity-1.05%
$172
Includes Typical Broker Commissions trade costs of $2.30
1/31/24 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 923 10.51 2/27 9:30 10.17 3.65%
Trade id #147176877
Max drawdown($389)
Time2/22/24 0:00
Quant open429
Worst price9.60
Drawdown as % of equity-3.65%
($328)
Includes Typical Broker Commissions trade costs of $18.46
1/29/24 9:45 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 282 10.81 1/30 9:30 10.62 0.62%
Trade id #147148070
Max drawdown($67)
Time1/29/24 15:26
Quant open282
Worst price10.57
Drawdown as % of equity-0.62%
($60)
Includes Typical Broker Commissions trade costs of $5.64
1/5/24 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 282 12.09 1/26 15:33 10.83 3.51%
Trade id #146915201
Max drawdown($385)
Time1/24/24 0:00
Quant open282
Worst price10.72
Drawdown as % of equity-3.51%
($361)
Includes Typical Broker Commissions trade costs of $5.64
12/13/23 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 380 12.21 1/4/24 9:30 12.02 2.89%
Trade id #146680100
Max drawdown($314)
Time12/28/23 0:00
Quant open380
Worst price11.38
Drawdown as % of equity-2.89%
($79)
Includes Typical Broker Commissions trade costs of $7.60
12/13/23 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 17 100.50 12/14 9:30 101.89 n/a $24
Includes Typical Broker Commissions trade costs of $0.34
12/12/23 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 100 12.79 12/12 15:21 12.58 0.2%
Trade id #146669512
Max drawdown($22)
Time12/12/23 15:09
Quant open100
Worst price12.57
Drawdown as % of equity-0.20%
($23)
Includes Typical Broker Commissions trade costs of $2.00
12/4/23 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 20 91.80 12/6 9:30 93.68 0.14%
Trade id #146604106
Max drawdown($15)
Time12/4/23 10:53
Quant open20
Worst price91.03
Drawdown as % of equity-0.14%
$38
Includes Typical Broker Commissions trade costs of $0.40
11/10/23 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 48 81.15 11/14 9:42 87.33 0.36%
Trade id #146395326
Max drawdown($39)
Time11/10/23 10:43
Quant open48
Worst price80.32
Drawdown as % of equity-0.36%
$296
Includes Typical Broker Commissions trade costs of $0.96
11/7/23 9:36 SPXL DIREXION DAILY S&P500 BULL 3X LONG 47 80.80 11/9 9:44 82.03 0.06%
Trade id #146355194
Max drawdown($6)
Time11/7/23 9:39
Quant open36
Worst price80.52
Drawdown as % of equity-0.06%
$57
Includes Typical Broker Commissions trade costs of $0.94
11/3/23 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 191 15.26 11/6 9:30 15.01 0.6%
Trade id #146324929
Max drawdown($64)
Time11/3/23 15:06
Quant open191
Worst price14.92
Drawdown as % of equity-0.60%
($52)
Includes Typical Broker Commissions trade costs of $3.82
10/30/23 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 84 69.74 10/30 15:58 70.78 0.52%
Trade id #146273678
Max drawdown($56)
Time10/30/23 10:45
Quant open84
Worst price69.07
Drawdown as % of equity-0.52%
$85
Includes Typical Broker Commissions trade costs of $1.68
10/17/23 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 197 15.26 10/30 9:30 17.53 1.05%
Trade id #146149265
Max drawdown($108)
Time10/17/23 12:30
Quant open197
Worst price14.71
Drawdown as % of equity-1.05%
$443
Includes Typical Broker Commissions trade costs of $3.94
10/16/23 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 29 81.18 10/16 14:45 82.43 0.03%
Trade id #146138293
Max drawdown($2)
Time10/16/23 9:44
Quant open29
Worst price81.09
Drawdown as % of equity-0.03%
$35
Includes Typical Broker Commissions trade costs of $0.58
10/11/23 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 149 14.92 10/11 14:26 14.99 0.09%
Trade id #146097753
Max drawdown($9)
Time10/11/23 9:38
Quant open149
Worst price14.86
Drawdown as % of equity-0.09%
$7
Includes Typical Broker Commissions trade costs of $2.98
9/14/23 10:54 SPXL DIREXION DAILY S&P500 BULL 3X LONG 266 88.12 10/10 9:59 85.25 10.3%
Trade id #145822247
Max drawdown($1,046)
Time10/3/23 0:00
Quant open75
Worst price74.17
Drawdown as % of equity-10.30%
($770)
Includes Typical Broker Commissions trade costs of $5.32
9/1/23 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 131 93.62 9/6 9:30 90.64 3.78%
Trade id #145709663
Max drawdown($425)
Time9/6/23 9:30
Quant open131
Worst price90.37
Drawdown as % of equity-3.78%
($393)
Includes Typical Broker Commissions trade costs of $2.62
8/31/23 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 131 92.72 8/31 10:35 93.39 0.19%
Trade id #145699349
Max drawdown($22)
Time8/31/23 9:47
Quant open131
Worst price92.55
Drawdown as % of equity-0.19%
$85
Includes Typical Broker Commissions trade costs of $2.62
8/25/23 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 141 85.18 8/25 10:03 85.80 0.28%
Trade id #145641379
Max drawdown($32)
Time8/25/23 10:02
Quant open141
Worst price84.95
Drawdown as % of equity-0.28%
$84
Includes Typical Broker Commissions trade costs of $2.82
8/24/23 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 140 88.84 8/24 11:00 86.37 3.17%
Trade id #145624691
Max drawdown($365)
Time8/24/23 11:00
Quant open140
Worst price86.23
Drawdown as % of equity-3.17%
($349)
Includes Typical Broker Commissions trade costs of $2.80
8/23/23 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 870 14.68 8/23 13:20 14.27 3.08%
Trade id #145611990
Max drawdown($365)
Time8/23/23 13:20
Quant open870
Worst price14.26
Drawdown as % of equity-3.08%
($366)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    1/5/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    920.36
  • Age
    31 months ago
  • What it trades
    Stocks
  • # Trades
    158
  • # Profitable
    104
  • % Profitable
    65.80%
  • Avg trade duration
    2.9 days
  • Max peak-to-valley drawdown
    23.19%
  • drawdown period
    July 24, 2023 - Oct 04, 2023
  • Annual Return (Compounded)
    1.6%
  • Avg win
    $131.85
  • Avg loss
    $220.52
  • Model Account Values (Raw)
  • Cash
    $11,908
  • Margin Used
    $0
  • Buying Power
    $11,908
  • Ratios
  • W:L ratio
    1.16:1
  • Sharpe Ratio
    0.04
  • Sortino Ratio
    0.06
  • Calmar Ratio
    0.382
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -15.41%
  • Correlation to SP500
    0.22250
  • Return Percent SP500 (cumu) during strategy life
    19.46%
  • Return Statistics
  • Ann Return (w trading costs)
    1.6%
  • Slump
  • Current Slump as Pcnt Equity
    23.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.39%
  • 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)
    0.016%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    27.50%
  • Chance of 20% account loss
    1.50%
  • 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)
    536
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    306
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $221
  • Avg Win
    $132
  • Sum Trade PL (losers)
    $11,908.000
  • Age
  • Num Months filled monthly returns table
    31
  • Win / Loss
  • Sum Trade PL (winners)
    $13,712.000
  • # Winners
    104
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    107
  • AUM
  • AUM (AutoTrader live capital)
    12002
  • Win / Loss
  • # Losers
    54
  • % Winners
    65.8%
  • Frequency
  • Avg Position Time (mins)
    4105.67
  • Avg Position Time (hrs)
    68.43
  • Avg Trade Length
    2.9 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    1.33
  • Daily leverage (max)
    4.02
  • Regression
  • Alpha
    -0.00
  • Beta
    0.15
  • Treynor Index
    0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.42
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -38.293
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.523
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.292
  • Hold-and-Hope Ratio
    -0.026
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06557
  • SD
    0.16135
  • Sharpe ratio (Glass type estimate)
    0.40637
  • Sharpe ratio (Hedges UMVUE)
    0.39537
  • df
    28.00000
  • t
    0.63172
  • p
    0.26635
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86241
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66803
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86966
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66039
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.67031
  • Upside Potential Ratio
    2.79171
  • Upside part of mean
    0.27307
  • Downside part of mean
    -0.20750
  • Upside SD
    0.12620
  • Downside SD
    0.09781
  • N nonnegative terms
    15.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.05682
  • Mean of criterion
    0.06557
  • SD of predictor
    0.16939
  • SD of criterion
    0.16135
  • Covariance
    0.01211
  • r
    0.44325
  • b (slope, estimate of beta)
    0.42221
  • a (intercept, estimate of alpha)
    0.04157
  • Mean Square Error
    0.02169
  • DF error
    27.00000
  • t(b)
    2.56940
  • p(b)
    0.00801
  • t(a)
    0.43669
  • p(a)
    0.33290
  • Lowerbound of 95% confidence interval for beta
    0.08505
  • Upperbound of 95% confidence interval for beta
    0.75938
  • Lowerbound of 95% confidence interval for alpha
    -0.15377
  • Upperbound of 95% confidence interval for alpha
    0.23692
  • Treynor index (mean / b)
    0.15529
  • Jensen alpha (a)
    0.04157
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05290
  • SD
    0.15976
  • Sharpe ratio (Glass type estimate)
    0.33112
  • Sharpe ratio (Hedges UMVUE)
    0.32216
  • df
    28.00000
  • t
    0.51475
  • p
    0.30539
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93551
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.59196
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94144
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58576
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.52806
  • Upside Potential Ratio
    2.64388
  • Upside part of mean
    0.26485
  • Downside part of mean
    -0.21195
  • Upside SD
    0.12182
  • Downside SD
    0.10018
  • N nonnegative terms
    15.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.04253
  • Mean of criterion
    0.05290
  • SD of predictor
    0.17166
  • SD of criterion
    0.15976
  • Covariance
    0.01204
  • r
    0.43890
  • b (slope, estimate of beta)
    0.40847
  • a (intercept, estimate of alpha)
    0.03553
  • Mean Square Error
    0.02137
  • DF error
    27.00000
  • t(b)
    2.53809
  • p(b)
    0.00861
  • t(a)
    0.37681
  • p(a)
    0.35463
  • Lowerbound of 95% confidence interval for beta
    0.07826
  • Upperbound of 95% confidence interval for beta
    0.73869
  • Lowerbound of 95% confidence interval for alpha
    -0.15793
  • Upperbound of 95% confidence interval for alpha
    0.22898
  • Treynor index (mean / b)
    0.12950
  • Jensen alpha (a)
    0.03553
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06896
  • Expected Shortfall on VaR
    0.08659
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03969
  • Expected Shortfall on VaR
    0.06690
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    29.00000
  • Minimum
    0.93662
  • Quartile 1
    0.96628
  • Median
    1.00678
  • Quartile 3
    1.03779
  • Maximum
    1.09145
  • Mean of quarter 1
    0.95185
  • Mean of quarter 2
    0.98902
  • Mean of quarter 3
    1.02918
  • Mean of quarter 4
    1.06911
  • Inter Quartile Range
    0.07151
  • 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)
    -2.11746
  • VaR(95%) (moments method)
    0.05218
  • Expected Shortfall (moments method)
    0.05264
  • Extreme Value Index (regression method)
    -0.86982
  • VaR(95%) (regression method)
    0.05448
  • Expected Shortfall (regression method)
    0.05742
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.04101
  • Quartile 1
    0.04408
  • Median
    0.04884
  • Quartile 3
    0.08278
  • Maximum
    0.15780
  • Mean of quarter 1
    0.04255
  • Mean of quarter 2
    0.04884
  • Mean of quarter 3
    0.08278
  • Mean of quarter 4
    0.15780
  • Inter Quartile Range
    0.03870
  • 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
    0.20000
  • Mean of outliers high
    0.15780
  • 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)
    0.08924
  • Compounded annual return (geometric extrapolation)
    0.08416
  • Calmar ratio (compounded annual return / max draw down)
    0.53334
  • Compounded annual return / average of 25% largest draw downs
    0.53334
  • Compounded annual return / Expected Shortfall lognormal
    0.97190
  • 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
    0.05234
  • SD
    0.11810
  • Sharpe ratio (Glass type estimate)
    0.44322
  • Sharpe ratio (Hedges UMVUE)
    0.44270
  • df
    636.00000
  • t
    0.69110
  • p
    0.24488
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81415
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70029
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81452
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69992
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.62468
  • Upside Potential Ratio
    6.90729
  • Upside part of mean
    0.57880
  • Downside part of mean
    -0.52645
  • Upside SD
    0.08315
  • Downside SD
    0.08380
  • N nonnegative terms
    254.00000
  • N negative terms
    383.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    637.00000
  • Mean of predictor
    0.06230
  • Mean of criterion
    0.05234
  • SD of predictor
    0.18487
  • SD of criterion
    0.11810
  • Covariance
    0.00469
  • r
    0.21496
  • b (slope, estimate of beta)
    0.13732
  • a (intercept, estimate of alpha)
    0.04400
  • Mean Square Error
    0.01332
  • DF error
    635.00000
  • t(b)
    5.54638
  • p(b)
    0.00000
  • t(a)
    0.59140
  • p(a)
    0.27723
  • Lowerbound of 95% confidence interval for beta
    0.08870
  • Upperbound of 95% confidence interval for beta
    0.18594
  • Lowerbound of 95% confidence interval for alpha
    -0.10161
  • Upperbound of 95% confidence interval for alpha
    0.18919
  • Treynor index (mean / b)
    0.38119
  • Jensen alpha (a)
    0.04379
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04537
  • SD
    0.11818
  • Sharpe ratio (Glass type estimate)
    0.38388
  • Sharpe ratio (Hedges UMVUE)
    0.38342
  • df
    636.00000
  • t
    0.59857
  • p
    0.27484
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87343
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.64089
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87373
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64058
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.53590
  • Upside Potential Ratio
    6.79605
  • Upside part of mean
    0.57532
  • Downside part of mean
    -0.52995
  • Upside SD
    0.08238
  • Downside SD
    0.08466
  • N nonnegative terms
    254.00000
  • N negative terms
    383.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    637.00000
  • Mean of predictor
    0.04523
  • Mean of criterion
    0.04537
  • SD of predictor
    0.18484
  • SD of criterion
    0.11818
  • Covariance
    0.00468
  • r
    0.21435
  • b (slope, estimate of beta)
    0.13704
  • a (intercept, estimate of alpha)
    0.03917
  • Mean Square Error
    0.01335
  • DF error
    635.00000
  • t(b)
    5.52994
  • p(b)
    0.00000
  • t(a)
    0.52860
  • p(a)
    0.29863
  • Lowerbound of 95% confidence interval for beta
    0.08838
  • Upperbound of 95% confidence interval for beta
    0.18571
  • Lowerbound of 95% confidence interval for alpha
    -0.10634
  • Upperbound of 95% confidence interval for alpha
    0.18467
  • Treynor index (mean / b)
    0.33104
  • Jensen alpha (a)
    0.03917
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01177
  • Expected Shortfall on VaR
    0.01477
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00512
  • Expected Shortfall on VaR
    0.01071
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    637.00000
  • Minimum
    0.96107
  • Quartile 1
    0.99875
  • Median
    1.00000
  • Quartile 3
    1.00289
  • Maximum
    1.03268
  • Mean of quarter 1
    0.99239
  • Mean of quarter 2
    0.99986
  • Mean of quarter 3
    1.00082
  • Mean of quarter 4
    1.00820
  • Inter Quartile Range
    0.00413
  • Number outliers low
    58.00000
  • Percentage of outliers low
    0.09105
  • Mean of outliers low
    0.98540
  • Number of outliers high
    47.00000
  • Percentage of outliers high
    0.07378
  • Mean of outliers high
    1.01552
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38228
  • VaR(95%) (moments method)
    0.00533
  • Expected Shortfall (moments method)
    0.01083
  • Extreme Value Index (regression method)
    0.13552
  • VaR(95%) (regression method)
    0.00692
  • Expected Shortfall (regression method)
    0.01146
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00074
  • Quartile 1
    0.00348
  • Median
    0.00602
  • Quartile 3
    0.05426
  • Maximum
    0.19883
  • Mean of quarter 1
    0.00176
  • Mean of quarter 2
    0.00472
  • Mean of quarter 3
    0.02916
  • Mean of quarter 4
    0.10815
  • Inter Quartile Range
    0.05078
  • 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
    0.19883
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.44331
  • VaR(95%) (moments method)
    0.11478
  • Expected Shortfall (moments method)
    0.11988
  • Extreme Value Index (regression method)
    0.18294
  • VaR(95%) (regression method)
    0.11750
  • Expected Shortfall (regression method)
    0.17257
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.08021
  • Compounded annual return (geometric extrapolation)
    0.07602
  • Calmar ratio (compounded annual return / max draw down)
    0.38237
  • Compounded annual return / average of 25% largest draw downs
    0.70295
  • Compounded annual return / Expected Shortfall lognormal
    5.14613
  • 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
    -0.09091
  • SD
    0.05739
  • Sharpe ratio (Glass type estimate)
    -1.58411
  • Sharpe ratio (Hedges UMVUE)
    -1.57495
  • df
    130.00000
  • t
    -1.12013
  • p
    0.54889
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.35957
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.19740
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.35336
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20346
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.21404
  • Upside Potential Ratio
    4.37353
  • Upside part of mean
    0.17957
  • Downside part of mean
    -0.27048
  • Upside SD
    0.04017
  • Downside SD
    0.04106
  • N nonnegative terms
    27.00000
  • N negative terms
    104.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31822
  • Mean of criterion
    -0.09091
  • SD of predictor
    0.12089
  • SD of criterion
    0.05739
  • Covariance
    -0.00201
  • r
    -0.29025
  • b (slope, estimate of beta)
    -0.13778
  • a (intercept, estimate of alpha)
    -0.04706
  • Mean Square Error
    0.00304
  • DF error
    129.00000
  • t(b)
    -3.44486
  • p(b)
    0.68215
  • t(a)
    -0.59576
  • p(a)
    0.53333
  • Lowerbound of 95% confidence interval for beta
    -0.21691
  • Upperbound of 95% confidence interval for beta
    -0.05865
  • Lowerbound of 95% confidence interval for alpha
    -0.20336
  • Upperbound of 95% confidence interval for alpha
    0.10923
  • Treynor index (mean / b)
    0.65981
  • Jensen alpha (a)
    -0.04706
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09255
  • SD
    0.05732
  • Sharpe ratio (Glass type estimate)
    -1.61441
  • Sharpe ratio (Hedges UMVUE)
    -1.60508
  • df
    130.00000
  • t
    -1.14156
  • p
    0.54981
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.39013
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.16736
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.38374
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.17358
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.24357
  • Upside Potential Ratio
    4.33357
  • Upside part of mean
    0.17876
  • Downside part of mean
    -0.27130
  • Upside SD
    0.03990
  • Downside SD
    0.04125
  • N nonnegative terms
    27.00000
  • N negative terms
    104.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31079
  • Mean of criterion
    -0.09255
  • SD of predictor
    0.12040
  • SD of criterion
    0.05732
  • Covariance
    -0.00200
  • r
    -0.28985
  • b (slope, estimate of beta)
    -0.13801
  • a (intercept, estimate of alpha)
    -0.04965
  • Mean Square Error
    0.00303
  • DF error
    129.00000
  • t(b)
    -3.43975
  • p(b)
    0.68191
  • t(a)
    -0.62947
  • p(a)
    0.53521
  • VAR (95 Confidence Intrvl)
    0.01200
  • Lowerbound of 95% confidence interval for beta
    -0.21739
  • Upperbound of 95% confidence interval for beta
    -0.05863
  • Lowerbound of 95% confidence interval for alpha
    -0.20572
  • Upperbound of 95% confidence interval for alpha
    0.10641
  • Treynor index (mean / b)
    0.67058
  • Jensen alpha (a)
    -0.04965
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00616
  • Expected Shortfall on VaR
    0.00763
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00313
  • Expected Shortfall on VaR
    0.00626
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98566
  • Quartile 1
    0.99934
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01783
  • Mean of quarter 1
    0.99630
  • Mean of quarter 2
    0.99994
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00281
  • Inter Quartile Range
    0.00066
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.16794
  • Mean of outliers low
    0.99500
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.12214
  • Mean of outliers high
    1.00540
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27883
  • VaR(95%) (moments method)
    0.00304
  • Expected Shortfall (moments method)
    0.00546
  • Extreme Value Index (regression method)
    0.16266
  • VaR(95%) (regression method)
    0.00433
  • Expected Shortfall (regression method)
    0.00740
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01338
  • Quartile 1
    0.02190
  • Median
    0.03042
  • Quartile 3
    0.03894
  • Maximum
    0.04746
  • Mean of quarter 1
    0.01338
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04746
  • Inter Quartile Range
    0.01704
  • 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?
    -359157000
  • Max Equity Drawdown (num days)
    72
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.06360
  • Compounded annual return (geometric extrapolation)
    -0.06259
  • Calmar ratio (compounded annual return / max draw down)
    -1.31895
  • Compounded annual return / average of 25% largest draw downs
    -1.31895
  • Compounded annual return / Expected Shortfall lognormal
    -8.20549

Strategy Description

Summary Statistics

Strategy began
2022-01-05
Suggested Minimum Capital
$35,000
# Trades
158
# Profitable
104
% Profitable
65.8%
Net Dividends
Correlation S&P500
0.223
Sharpe Ratio
0.04
Sortino Ratio
0.06
Beta
0.15
Alpha
-0.00
Leverage
1.33 Average
4.02 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.