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

High Frequency Algo
(140022552)

Created by: High-Frequency-Algo High-Frequency-Algo
Started: 04/2022
Options
Last trade: Today
Trading style: Equity Momentum

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $100.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
1452.6%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(40.1%)
Max Drawdown
158
Num Trades
58.2%
Win Trades
2.6 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                     +496.3%+33.5%+77.6%(20.8%)(5.2%)+46.2%                  +1452.6%

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 394 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/15/22 14:06 SPY2217V360 SPY Oct17'22 360 put LONG 60 2.68 9/29 14:09 8.95 0.46%
Trade id #141820464
Max drawdown($2,460)
Time9/19/22 0:00
Quant open60
Worst price2.27
Drawdown as % of equity-0.46%
$37,529
Includes Typical Broker Commissions trade costs of $63.00
9/27/22 9:31 SPY2214V360 SPY Oct14'22 360 put LONG 60 7.02 9/29 10:27 8.47 0.48%
Trade id #141941692
Max drawdown($3,682)
Time9/28/22 0:00
Quant open20
Worst price4.64
Drawdown as % of equity-0.48%
$8,608
Includes Typical Broker Commissions trade costs of $84.00
9/28/22 10:12 SPY2207V360 SPY Oct7'22 360 put LONG 20 6.16 9/29 10:26 6.56 0.93%
Trade id #141960071
Max drawdown($6,606)
Time9/28/22 15:49
Quant open20
Worst price2.86
Drawdown as % of equity-0.93%
$774
Includes Typical Broker Commissions trade costs of $21.00
9/27/22 9:30 SPY2207V365 SPY Oct7'22 365 put LONG 20 6.42 9/27 12:03 7.94 0.28%
Trade id #141941616
Max drawdown($2,162)
Time9/27/22 9:41
Quant open20
Worst price5.34
Drawdown as % of equity-0.28%
$3,003
Includes Typical Broker Commissions trade costs of $28.00
9/22/22 10:20 SPY2230U370 SPY Sep30'22 370 put LONG 50 4.30 9/23 12:25 8.11 1.07%
Trade id #141892771
Max drawdown($6,120)
Time9/22/22 15:47
Quant open50
Worst price3.08
Drawdown as % of equity-1.07%
$18,977
Includes Typical Broker Commissions trade costs of $70.00
9/15/22 14:02 SPY2230U385 SPY Sep30'22 385 put LONG 30 5.68 9/23 12:25 19.55 0.59%
Trade id #141820338
Max drawdown($3,179)
Time9/21/22 0:00
Quant open30
Worst price4.62
Drawdown as % of equity-0.59%
$41,570
Includes Typical Broker Commissions trade costs of $42.00
9/15/22 14:02 SPY2230U380 SPY Sep30'22 380 put LONG 60 4.40 9/23 10:12 13.36 0.61%
Trade id #141820331
Max drawdown($3,315)
Time9/21/22 0:00
Quant open30
Worst price3.10
Drawdown as % of equity-0.61%
$53,680
Includes Typical Broker Commissions trade costs of $84.00
9/22/22 10:21 SPY2230U372 SPY Sep30'22 372 put LONG 190 5.09 9/23 9:40 7.40 4.57%
Trade id #141892791
Max drawdown($26,179)
Time9/22/22 15:47
Quant open190
Worst price3.71
Drawdown as % of equity-4.57%
$43,664
Includes Typical Broker Commissions trade costs of $266.00
9/22/22 10:38 SPY2315X350 SPY Dec15'23 350 put LONG 20 25.96 9/23 9:32 26.89 0.25%
Trade id #141893161
Max drawdown($1,502)
Time9/22/22 15:07
Quant open20
Worst price25.21
Drawdown as % of equity-0.25%
$1,839
Includes Typical Broker Commissions trade costs of $28.00
9/21/22 9:34 SPY2223U380 SPY Sep23'22 380 put LONG 40 2.95 9/22 10:25 6.20 1.26%
Trade id #141875341
Max drawdown($7,120)
Time9/21/22 14:46
Quant open40
Worst price1.17
Drawdown as % of equity-1.26%
$12,942
Includes Typical Broker Commissions trade costs of $56.00
9/8/22 13:19 SPY2216I400 SPY Sep16'22 400 call LONG 30 4.65 9/13 9:53 4.88 0.29%
Trade id #141710222
Max drawdown($1,548)
Time9/8/22 15:04
Quant open30
Worst price4.13
Drawdown as % of equity-0.29%
$668
Includes Typical Broker Commissions trade costs of $42.00
9/8/22 13:20 SPY2221I405 SPY Sep21'22 405 call LONG 30 3.50 9/13 9:53 3.87 0.11%
Trade id #141710231
Max drawdown($564)
Time9/8/22 14:59
Quant open30
Worst price3.31
Drawdown as % of equity-0.11%
$1,077
Includes Typical Broker Commissions trade costs of $42.00
8/29/22 15:14 CHWY2209U32 CHWY Sep9'22 32 put LONG 140 0.85 9/10 9:35 0.00 2.21%
Trade id #141582025
Max drawdown($11,723)
Time9/9/22 0:00
Quant open140
Worst price0.01
Drawdown as % of equity-2.21%
($11,961)
Includes Typical Broker Commissions trade costs of $98.00
9/2/22 11:09 SPY2214V385 SPY Oct14'22 385 put LONG 20 6.52 9/8 13:18 6.29 0.19%
Trade id #141638977
Max drawdown($1,008)
Time9/8/22 11:14
Quant open20
Worst price6.02
Drawdown as % of equity-0.19%
($495)
Includes Typical Broker Commissions trade costs of $28.00
9/6/22 10:13 SPY2216U385 SPY Sep16'22 385 put LONG 40 5.18 9/8 13:18 1.65 2.79%
Trade id #141669710
Max drawdown($14,816)
Time9/8/22 11:06
Quant open40
Worst price1.48
Drawdown as % of equity-2.79%
($14,192)
Includes Typical Broker Commissions trade costs of $56.00
8/29/22 15:16 MDB2223U290 MDB Sep23'22 290 put LONG 10 13.50 9/1 9:32 32.98 0.44%
Trade id #141582063
Max drawdown($2,353)
Time8/31/22 0:00
Quant open10
Worst price11.15
Drawdown as % of equity-0.44%
$19,461
Includes Typical Broker Commissions trade costs of $14.00
8/24/22 9:36 SPY2229T409 SPY Aug29'22 409 put LONG 60 2.90 8/29 9:51 5.88 3.06%
Trade id #141519894
Max drawdown($15,436)
Time8/26/22 0:00
Quant open60
Worst price0.33
Drawdown as % of equity-3.06%
$17,764
Includes Typical Broker Commissions trade costs of $84.00
8/17/22 10:44 NVDA2226H185 NVDA Aug26'22 185 call LONG 15 6.42 8/27 9:35 0.00 1.9%
Trade id #141448155
Max drawdown($9,615)
Time8/26/22 0:00
Quant open15
Worst price0.01
Drawdown as % of equity-1.90%
($9,642)
Includes Typical Broker Commissions trade costs of $10.50
8/12/22 11:01 NVDA2226H200 NVDA Aug26'22 200 call LONG 50 2.85 8/27 9:35 0.00 2.76%
Trade id #141401179
Max drawdown($14,208)
Time8/25/22 0:00
Quant open50
Worst price0.01
Drawdown as % of equity-2.76%
($14,293)
Includes Typical Broker Commissions trade costs of $35.00
8/12/22 11:00 NVDA2226H182.5 NVDA Aug26'22 182.5 call LONG 10 9.49 8/27 9:35 0.00 1.88%
Trade id #141401171
Max drawdown($9,480)
Time8/26/22 0:00
Quant open10
Worst price0.01
Drawdown as % of equity-1.88%
($9,497)
Includes Typical Broker Commissions trade costs of $7.00
8/19/22 11:02 SPY2226T422 SPY Aug26'22 422 put LONG 30 3.91 8/23 9:30 9.40 0.4%
Trade id #141476872
Max drawdown($2,044)
Time8/19/22 12:57
Quant open30
Worst price3.23
Drawdown as % of equity-0.40%
$16,439
Includes Typical Broker Commissions trade costs of $42.00
8/12/22 10:53 NVDA2219H185 NVDA Aug19'22 185 call LONG 30 4.44 8/16 10:27 4.42 0.16%
Trade id #141401005
Max drawdown($882)
Time8/12/22 11:53
Quant open30
Worst price4.15
Drawdown as % of equity-0.16%
($118)
Includes Typical Broker Commissions trade costs of $42.00
8/8/22 10:35 SPY2215T417 SPY Aug15'22 417 put LONG 30 4.50 8/12 10:55 0.42 2.32%
Trade id #141335894
Max drawdown($12,358)
Time8/12/22 10:33
Quant open30
Worst price0.38
Drawdown as % of equity-2.32%
($12,280)
Includes Typical Broker Commissions trade costs of $42.00
8/5/22 15:30 SPY2212H412 SPY Aug12'22 412 call LONG 40 4.47 8/8 10:06 7.19 n/a $10,854
Includes Typical Broker Commissions trade costs of $56.00
8/5/22 12:49 SPY2210H412 SPY Aug10'22 412 call LONG 45 3.78 8/8 9:59 6.61 0.39%
Trade id #141320208
Max drawdown($2,014)
Time8/5/22 14:30
Quant open45
Worst price3.33
Drawdown as % of equity-0.39%
$12,667
Includes Typical Broker Commissions trade costs of $63.00
8/4/22 11:18 SPY2208H416 SPY Aug8'22 416 call LONG 80 2.00 8/8 9:54 2.14 2.58%
Trade id #141303787
Max drawdown($13,500)
Time8/5/22 0:00
Quant open80
Worst price0.31
Drawdown as % of equity-2.58%
$1,064
Includes Typical Broker Commissions trade costs of $112.00
8/5/22 12:50 SPY2205H412 SPY Aug5'22 412 call LONG 85 1.06 8/5 15:27 0.53 1.1%
Trade id #141320229
Max drawdown($5,633)
Time8/5/22 14:57
Quant open85
Worst price0.40
Drawdown as % of equity-1.10%
($4,612)
Includes Typical Broker Commissions trade costs of $119.00
8/4/22 10:58 SPY2208H414 SPY Aug8'22 414 call LONG 40 3.32 8/4 11:14 2.78 0.43%
Trade id #141303398
Max drawdown($2,280)
Time8/4/22 11:14
Quant open40
Worst price2.75
Drawdown as % of equity-0.43%
($2,200)
Includes Typical Broker Commissions trade costs of $56.00
8/4/22 10:34 SPY2205T412 SPY Aug5'22 412 put LONG 50 2.04 8/4 10:56 1.61 0.47%
Trade id #141302798
Max drawdown($2,497)
Time8/4/22 10:56
Quant open50
Worst price1.54
Drawdown as % of equity-0.47%
($2,217)
Includes Typical Broker Commissions trade costs of $70.00
8/3/22 13:28 SPY2210H415 SPY Aug10'22 415 call LONG 30 4.23 8/4 10:29 3.70 0.36%
Trade id #141288966
Max drawdown($1,938)
Time8/4/22 0:00
Quant open30
Worst price3.58
Drawdown as % of equity-0.36%
($1,621)
Includes Typical Broker Commissions trade costs of $42.00

Statistics

  • Strategy began
    4/4/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    178.3
  • Age
    178 days ago
  • What it trades
    Options
  • # Trades
    158
  • # Profitable
    92
  • % Profitable
    58.20%
  • Avg trade duration
    5.0 days
  • Max peak-to-valley drawdown
    40.12%
  • drawdown period
    June 13, 2022 - Sept 22, 2022
  • Cumul. Return
    1452.6%
  • Avg win
    $13,120
  • Avg loss
    $7,121
  • Model Account Values (Raw)
  • Cash
    $657,911
  • Margin Used
    $0
  • Buying Power
    $682,881
  • Ratios
  • W:L ratio
    2.57:1
  • Sharpe Ratio
    3.71
  • Sortino Ratio
    15.27
  • Calmar Ratio
    1069.84
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1473.16%
  • Correlation to SP500
    -0.39500
  • Return Percent SP500 (cumu) during strategy life
    -20.56%
  • Return Statistics
  • Ann Return (w trading costs)
    24624.9%
  • Slump
  • Current Slump as Pcnt Equity
    2.00%
  • Instruments
  • Percent Trades Futures
    0.01%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    14.526%
  • Instruments
  • Percent Trades Options
    0.97%
  • Percent Trades Stocks
    0.00%
  • Percent Trades Forex
    0.01%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    27233.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    53.50%
  • Chance of 20% account loss
    29.00%
  • Chance of 30% account loss
    13.00%
  • Chance of 40% account loss
    6.00%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • 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
    0.50%
  • Popularity
  • Popularity (Today)
    983
  • Popularity (Last 6 weeks)
    990
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    955
  • Popularity (7 days, Percentile 1000 scale)
    989
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $7,122
  • Avg Win
    $13,120
  • Sum Trade PL (losers)
    $470,025.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $1,207,040.000
  • # Winners
    92
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    1981590
  • Win / Loss
  • # Losers
    66
  • % Winners
    58.2%
  • Frequency
  • Avg Position Time (mins)
    7233.13
  • Avg Position Time (hrs)
    120.55
  • Avg Trade Length
    5.0 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    6.51
  • Daily leverage (max)
    75.55
  • Regression
  • Alpha
    1.52
  • Beta
    -2.30
  • Treynor Index
    -0.79
  • 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)
    -0.25
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.341
  • 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
    0.298
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.107
  • Hold-and-Hope Ratio
    0.758
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    12.78220
  • SD
    6.44223
  • Sharpe ratio (Glass type estimate)
    1.98412
  • Sharpe ratio (Hedges UMVUE)
    1.58310
  • df
    4.00000
  • t
    1.28074
  • p
    0.13475
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42757
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.19973
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64536
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.81155
  • Statistics related to Sortino ratio
  • Sortino ratio
    48.99600
  • Upside Potential Ratio
    50.70770
  • Upside part of mean
    13.22870
  • Downside part of mean
    -0.44656
  • Upside SD
    6.83734
  • Downside SD
    0.26088
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.29001
  • Mean of criterion
    12.78220
  • SD of predictor
    0.22650
  • SD of criterion
    6.44223
  • Covariance
    -1.07881
  • r
    -0.73933
  • b (slope, estimate of beta)
    -21.02800
  • a (intercept, estimate of alpha)
    6.68391
  • Mean Square Error
    25.08940
  • DF error
    3.00000
  • t(b)
    -1.90177
  • p(b)
    0.92332
  • t(a)
    0.79606
  • p(a)
    0.24208
  • Lowerbound of 95% confidence interval for beta
    -56.21660
  • Upperbound of 95% confidence interval for beta
    14.16060
  • Lowerbound of 95% confidence interval for alpha
    -20.03670
  • Upperbound of 95% confidence interval for alpha
    33.40460
  • Treynor index (mean / b)
    -0.60786
  • Jensen alpha (a)
    6.68391
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    5.73367
  • SD
    2.52480
  • Sharpe ratio (Glass type estimate)
    2.27094
  • Sharpe ratio (Hedges UMVUE)
    1.81195
  • df
    4.00000
  • t
    1.46589
  • p
    0.10828
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.23024
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.55970
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47378
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.09768
  • Statistics related to Sortino ratio
  • Sortino ratio
    20.15270
  • Upside Potential Ratio
    21.85270
  • Upside part of mean
    6.21734
  • Downside part of mean
    -0.48366
  • Upside SD
    2.78538
  • Downside SD
    0.28451
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.31418
  • Mean of criterion
    5.73367
  • SD of predictor
    0.23041
  • SD of criterion
    2.52480
  • Covariance
    -0.48912
  • r
    -0.84079
  • b (slope, estimate of beta)
    -9.21336
  • a (intercept, estimate of alpha)
    2.83901
  • Mean Square Error
    2.49089
  • DF error
    3.00000
  • t(b)
    -2.69011
  • p(b)
    0.96280
  • t(a)
    1.06277
  • p(a)
    0.18293
  • Lowerbound of 95% confidence interval for beta
    -20.11290
  • Upperbound of 95% confidence interval for beta
    1.68622
  • Lowerbound of 95% confidence interval for alpha
    -5.66236
  • Upperbound of 95% confidence interval for alpha
    11.34040
  • Treynor index (mean / b)
    -0.62232
  • Jensen alpha (a)
    2.83901
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.51375
  • Expected Shortfall on VaR
    0.62963
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07429
  • Expected Shortfall on VaR
    0.14952
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.83497
  • Quartile 1
    0.98362
  • Median
    1.44662
  • Quartile 3
    1.74162
  • Maximum
    5.33071
  • Mean of quarter 1
    0.90929
  • Mean of quarter 2
    1.44662
  • Mean of quarter 3
    1.74162
  • Mean of quarter 4
    5.33071
  • Inter Quartile Range
    0.75801
  • 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
    5.33071
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.17871
  • Quartile 1
    0.17871
  • Median
    0.17871
  • Quartile 3
    0.17871
  • Maximum
    0.17871
  • 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)
    24.07310
  • Compounded annual return (geometric extrapolation)
    316.85000
  • Calmar ratio (compounded annual return / max draw down)
    1773.02000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    503.23600
  • 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
    6.87469
  • SD
    1.62607
  • Sharpe ratio (Glass type estimate)
    4.22779
  • Sharpe ratio (Hedges UMVUE)
    4.20174
  • df
    122.00000
  • t
    2.89678
  • p
    0.37316
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.31025
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.12872
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.29304
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.11045
  • Statistics related to Sortino ratio
  • Sortino ratio
    19.03020
  • Upside Potential Ratio
    27.45120
  • Upside part of mean
    9.91681
  • Downside part of mean
    -3.04212
  • Upside SD
    1.63478
  • Downside SD
    0.36125
  • N nonnegative terms
    58.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    123.00000
  • Mean of predictor
    -0.48486
  • Mean of criterion
    6.87469
  • SD of predictor
    0.25669
  • SD of criterion
    1.62607
  • Covariance
    -0.15143
  • r
    -0.36280
  • b (slope, estimate of beta)
    -2.29825
  • a (intercept, estimate of alpha)
    5.76000
  • Mean Square Error
    2.31506
  • DF error
    121.00000
  • t(b)
    -4.28262
  • p(b)
    0.72579
  • t(a)
    2.57638
  • p(a)
    0.35609
  • Lowerbound of 95% confidence interval for beta
    -3.36068
  • Upperbound of 95% confidence interval for beta
    -1.23582
  • Lowerbound of 95% confidence interval for alpha
    1.33393
  • Upperbound of 95% confidence interval for alpha
    10.18680
  • Treynor index (mean / b)
    -2.99127
  • Jensen alpha (a)
    5.76036
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    5.77020
  • SD
    1.36491
  • Sharpe ratio (Glass type estimate)
    4.22754
  • Sharpe ratio (Hedges UMVUE)
    4.20149
  • df
    122.00000
  • t
    2.89660
  • p
    0.37317
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.31001
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.12847
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.29280
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.11019
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.42010
  • Upside Potential Ratio
    23.73160
  • Upside part of mean
    8.88037
  • Downside part of mean
    -3.11017
  • Upside SD
    1.35458
  • Downside SD
    0.37420
  • N nonnegative terms
    58.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    123.00000
  • Mean of predictor
    -0.51817
  • Mean of criterion
    5.77020
  • SD of predictor
    0.25786
  • SD of criterion
    1.36491
  • Covariance
    -0.13635
  • r
    -0.38741
  • b (slope, estimate of beta)
    -2.05063
  • a (intercept, estimate of alpha)
    4.70762
  • Mean Square Error
    1.59646
  • DF error
    121.00000
  • t(b)
    -4.62246
  • p(b)
    0.74031
  • t(a)
    2.53324
  • p(a)
    0.35834
  • Lowerbound of 95% confidence interval for beta
    -2.92890
  • Upperbound of 95% confidence interval for beta
    -1.17236
  • Lowerbound of 95% confidence interval for alpha
    1.02855
  • Upperbound of 95% confidence interval for alpha
    8.38670
  • Treynor index (mean / b)
    -2.81387
  • Jensen alpha (a)
    4.70762
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11013
  • Expected Shortfall on VaR
    0.14052
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02782
  • Expected Shortfall on VaR
    0.05219
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    123.00000
  • Minimum
    0.87931
  • Quartile 1
    0.98102
  • Median
    0.99886
  • Quartile 3
    1.03007
  • Maximum
    1.76767
  • Mean of quarter 1
    0.96304
  • Mean of quarter 2
    0.99115
  • Mean of quarter 3
    1.01043
  • Mean of quarter 4
    1.14026
  • Inter Quartile Range
    0.04906
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01626
  • Mean of outliers low
    0.89223
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.12195
  • Mean of outliers high
    1.22980
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40997
  • VaR(95%) (moments method)
    0.04259
  • Expected Shortfall (moments method)
    0.07497
  • Extreme Value Index (regression method)
    0.33536
  • VaR(95%) (regression method)
    0.03574
  • Expected Shortfall (regression method)
    0.05440
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.02474
  • Quartile 1
    0.03726
  • Median
    0.08361
  • Quartile 3
    0.11917
  • Maximum
    0.30722
  • Mean of quarter 1
    0.03046
  • Mean of quarter 2
    0.05612
  • Mean of quarter 3
    0.09810
  • Mean of quarter 4
    0.18744
  • Inter Quartile Range
    0.08192
  • 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
    0.30722
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.37562
  • VaR(95%) (moments method)
    0.23168
  • Expected Shortfall (moments method)
    0.38961
  • Extreme Value Index (regression method)
    4.18734
  • VaR(95%) (regression method)
    0.64207
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    30.27040
  • Compounded annual return (geometric extrapolation)
    328.67600
  • Calmar ratio (compounded annual return / max draw down)
    1069.84000
  • Compounded annual return / average of 25% largest draw downs
    1753.51000
  • Compounded annual return / Expected Shortfall lognormal
    2338.97000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.11000
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -347970000
  • Max Equity Drawdown (num days)
    101

Strategy Description

Summary Statistics

Strategy began
2022-04-04
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 4.5%
Rank # 
#36
# Trades
158
# Profitable
92
% Profitable
58.2%
Correlation S&P500
-0.395
Sharpe Ratio
3.71
Sortino Ratio
15.27
Beta
-2.30
Alpha
1.52
Leverage
6.51 Average
75.55 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.