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

Ha Algorithmic Trading
(140477271)

Created by: Sr_Ne Sr_Ne
Started: 05/2022
Stocks
Last trade: 7 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. Subscriptions to this system cost $300.00 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.

47.1%
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.

(13.2%)
Max Drawdown
142
Num Trades
52.1%
Win Trades
1.6 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                            +19.7%+7.1%+1.1%+23.5%+0.5%+0.6%(7%)(2.3%)+47.1%

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 96 hours.

Trading Record

This strategy has placed 234 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 27 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/30/22 9:30 BILI BILIBILI INC. ADS SHORT 519 16.52 12/2 10:21 17.94 0.86%
Trade id #142718031
Max drawdown($633)
Time11/30/22 10:06
Quant open519
Worst price17.74
Drawdown as % of equity-0.86%
($747)
Includes Typical Broker Commissions trade costs of $7.69
11/30/22 9:30 HZNP HORIZON THERAPIES PUBLIC LTD SHORT 117 102.65 12/1 9:31 99.25 n/a $396
Includes Typical Broker Commissions trade costs of $2.34
11/30/22 9:30 ASPN ASPEN AEROGELS INC LONG 789 10.16 12/1 9:31 12.06 n/a $1,487
Includes Typical Broker Commissions trade costs of $10.39
11/28/22 9:30 AXSM AXSOME THERAPEUTICS INC. COMMON STOCK SHORT 170 70.92 11/30 9:33 72.41 1.98%
Trade id #142692976
Max drawdown($1,489)
Time11/28/22 10:03
Quant open170
Worst price79.68
Drawdown as % of equity-1.98%
($256)
Includes Typical Broker Commissions trade costs of $3.40
11/29/22 9:30 APEN APOLLO ENDOSURGERY INC SHORT 817 9.80 11/29 12:41 9.93 0.14%
Trade id #142705336
Max drawdown($106)
Time11/29/22 11:45
Quant open817
Worst price9.93
Drawdown as % of equity-0.14%
($119)
Includes Typical Broker Commissions trade costs of $10.67
11/25/22 9:30 GRIN GRINDROD SHIPPING HOLDINGS LTD. SHORT 7 25.66 11/25 12:52 25.87 0%
Trade id #142675873
Max drawdown($1)
Time11/25/22 12:52
Quant open7
Worst price25.90
Drawdown as % of equity-0.00%
($1)
Includes Typical Broker Commissions trade costs of $0.14
11/25/22 9:30 MANU MANCHESTER UNITED SHORT 426 20.00 11/25 12:52 21.53 1.62%
Trade id #142675863
Max drawdown($1,256)
Time11/25/22 10:49
Quant open426
Worst price22.95
Drawdown as % of equity-1.62%
($661)
Includes Typical Broker Commissions trade costs of $8.52
11/23/22 9:30 GHRS GH RESEARCH PLC ORDINARY SHARES SHORT 639 12.91 11/23 15:52 12.14 0.5%
Trade id #142657841
Max drawdown($396)
Time11/23/22 10:07
Quant open639
Worst price13.53
Drawdown as % of equity-0.50%
$487
Includes Typical Broker Commissions trade costs of $5.00
11/23/22 9:30 MANU MANCHESTER UNITED SHORT 488 16.44 11/23 14:10 18.09 1.13%
Trade id #142657835
Max drawdown($883)
Time11/23/22 14:10
Quant open488
Worst price18.25
Drawdown as % of equity-1.13%
($815)
Includes Typical Broker Commissions trade costs of $9.76
11/22/22 9:33 ANF ABERCROMBIE & FITCH SHORT 536 22.40 11/22 15:52 21.80 0.1%
Trade id #142644304
Max drawdown($74)
Time11/22/22 9:45
Quant open536
Worst price22.54
Drawdown as % of equity-0.10%
$312
Includes Typical Broker Commissions trade costs of $7.86
11/21/22 9:30 IMGO IMAGO BIOSCIENCES INC. SHORT 336 35.67 11/21 15:52 35.58 0.01%
Trade id #142630372
Max drawdown($10)
Time11/21/22 13:21
Quant open336
Worst price35.70
Drawdown as % of equity-0.01%
$23
Includes Typical Broker Commissions trade costs of $6.72
11/14/22 9:30 MNDY MONDAY.COM LTD. ORDINARY SHARES SHORT 188 114.54 11/14 15:52 101.43 n/a $2,461
Includes Typical Broker Commissions trade costs of $3.76
11/14/22 9:30 OPNT OPIANT PHARMACEUTICALS INC. SHORT 476 20.45 11/14 15:52 20.12 n/a $147
Includes Typical Broker Commissions trade costs of $9.52
11/11/22 9:30 JD JD.COM INC SHORT 111 49.70 11/11 15:52 48.88 0.1%
Trade id #142532585
Max drawdown($77)
Time11/11/22 9:34
Quant open111
Worst price50.40
Drawdown as % of equity-0.10%
$90
Includes Typical Broker Commissions trade costs of $2.22
11/10/22 9:54 RNG RINGCENTRAL INC. SHORT 460 35.98 11/10 15:52 36.93 1.6%
Trade id #142518986
Max drawdown($1,228)
Time11/10/22 11:40
Quant open460
Worst price38.65
Drawdown as % of equity-1.60%
($446)
Includes Typical Broker Commissions trade costs of $9.20
11/10/22 9:54 APPS DIGITAL TURBINE INC SHORT 1,156 15.38 11/10 15:52 17.32 3.14%
Trade id #142518983
Max drawdown($2,404)
Time11/10/22 14:29
Quant open1,156
Worst price17.46
Drawdown as % of equity-3.14%
($2,243)
Includes Typical Broker Commissions trade costs of $5.00
11/10/22 9:30 OM OUTSET MEDICAL INC. COMMON STOCK SHORT 403 15.64 11/10 15:52 17.46 0.99%
Trade id #142517863
Max drawdown($757)
Time11/10/22 14:41
Quant open403
Worst price17.52
Drawdown as % of equity-0.99%
($740)
Includes Typical Broker Commissions trade costs of $8.06
11/8/22 9:30 PRGO PERRIGO COMPANY PLC LONG 114 34.00 11/8 15:52 33.15 0.28%
Trade id #142480758
Max drawdown($220)
Time11/8/22 14:13
Quant open114
Worst price32.07
Drawdown as % of equity-0.28%
($99)
Includes Typical Broker Commissions trade costs of $2.28
11/8/22 9:30 FLGT FULGENT GENETICS INC. COMMON STOCK LONG 125 32.27 11/8 15:52 34.79 0.19%
Trade id #142480711
Max drawdown($150)
Time11/8/22 9:36
Quant open125
Worst price31.07
Drawdown as % of equity-0.19%
$313
Includes Typical Broker Commissions trade costs of $2.50
11/8/22 9:30 LITE LUMENTUM HOLDINGS INC LONG 63 61.00 11/8 15:52 59.08 0.16%
Trade id #142480702
Max drawdown($124)
Time11/8/22 15:51
Quant open63
Worst price59.02
Drawdown as % of equity-0.16%
($122)
Includes Typical Broker Commissions trade costs of $1.26
11/8/22 9:30 SEDG SOLAREDGE TECHNOLOGIES INC. C SHORT 46 240.56 11/8 15:52 251.75 0.76%
Trade id #142480697
Max drawdown($605)
Time11/8/22 9:54
Quant open46
Worst price253.72
Drawdown as % of equity-0.76%
($516)
Includes Typical Broker Commissions trade costs of $0.92
11/8/22 9:30 BOIL PROSHARES ULTRA BLOOMBERG NATU LONG 92 43.02 11/8 14:06 38.66 0.5%
Trade id #142480710
Max drawdown($401)
Time11/8/22 14:06
Quant open92
Worst price38.65
Drawdown as % of equity-0.50%
($403)
Includes Typical Broker Commissions trade costs of $1.84
11/8/22 9:30 SI SILVERGATE CAPITAL CORP LONG 87 46.08 11/8 13:57 40.94 0.56%
Trade id #142480707
Max drawdown($450)
Time11/8/22 13:57
Quant open87
Worst price40.90
Drawdown as % of equity-0.56%
($449)
Includes Typical Broker Commissions trade costs of $1.74
11/8/22 9:30 MSTR MICROSTRATEGY LONG 3 245.30 11/8 10:26 220.30 0.09%
Trade id #142480721
Max drawdown($75)
Time11/8/22 10:26
Quant open3
Worst price220.00
Drawdown as % of equity-0.09%
($75)
Includes Typical Broker Commissions trade costs of $0.06
11/7/22 11:30 VERU VERU INC SHORT 384 15.46 11/7 15:52 14.43 0.21%
Trade id #142468249
Max drawdown($168)
Time11/7/22 11:38
Quant open384
Worst price15.90
Drawdown as % of equity-0.21%
$388
Includes Typical Broker Commissions trade costs of $7.68
11/7/22 9:30 FOUR SHIFT4 PAYMENTS INC SHORT 138 43.40 11/7 15:52 37.50 0.11%
Trade id #142464613
Max drawdown($89)
Time11/7/22 9:34
Quant open138
Worst price44.05
Drawdown as % of equity-0.11%
$811
Includes Typical Broker Commissions trade costs of $2.76
11/7/22 9:30 BEAM BEAM THERAPEUTICS INC. LONG 154 39.00 11/7 15:52 35.07 0.81%
Trade id #142464602
Max drawdown($660)
Time11/7/22 9:49
Quant open154
Worst price34.71
Drawdown as % of equity-0.81%
($608)
Includes Typical Broker Commissions trade costs of $3.08
11/7/22 9:30 VERV VERVE THERAPEUTICS INC. COMMON STOCK LONG 384 24.73 11/7 11:29 23.19 1.49%
Trade id #142464601
Max drawdown($1,194)
Time11/7/22 11:12
Quant open384
Worst price21.62
Drawdown as % of equity-1.49%
($599)
Includes Typical Broker Commissions trade costs of $7.68
11/7/22 9:30 RBA RITCHIE BROS. AUCTIONEERS LONG 108 54.57 11/7 10:47 49.45 0.71%
Trade id #142464627
Max drawdown($572)
Time11/7/22 10:47
Quant open108
Worst price49.27
Drawdown as % of equity-0.71%
($555)
Includes Typical Broker Commissions trade costs of $2.16
11/4/22 9:30 SQ BLOCK INC SHORT 65 60.30 11/4 15:52 60.29 0.27%
Trade id #142439630
Max drawdown($221)
Time11/4/22 10:46
Quant open65
Worst price63.70
Drawdown as % of equity-0.27%
$0
Includes Typical Broker Commissions trade costs of $1.30

Statistics

  • Strategy began
    5/15/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    208.07
  • Age
    7 months ago
  • What it trades
    Stocks
  • # Trades
    142
  • # Profitable
    74
  • % Profitable
    52.10%
  • Avg trade duration
    8.3 hours
  • Max peak-to-valley drawdown
    13.16%
  • drawdown period
    Aug 07, 2022 - Aug 15, 2022
  • Cumul. Return
    47.1%
  • Avg win
    $974.39
  • Avg loss
    $654.31
  • Model Account Values (Raw)
  • Cash
    $134,939
  • Margin Used
    $82,963
  • Buying Power
    $47,956
  • Ratios
  • W:L ratio
    1.62:1
  • Sharpe Ratio
    1.93
  • Sortino Ratio
    3.75
  • Calmar Ratio
    9.009
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    48.63%
  • Correlation to SP500
    -0.04550
  • Return Percent SP500 (cumu) during strategy life
    -1.50%
  • Return Statistics
  • Ann Return (w trading costs)
    94.6%
  • Slump
  • Current Slump as Pcnt Equity
    12.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.25%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.471%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    110.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    21.50%
  • Chance of 20% account loss
    2.00%
  • 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
    98.40%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    786
  • Popularity (Last 6 weeks)
    977
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    960
  • Popularity (7 days, Percentile 1000 scale)
    860
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $669
  • Avg Win
    $974
  • Sum Trade PL (losers)
    $45,493.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $72,105.000
  • # Winners
    74
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    68
  • % Winners
    52.1%
  • Frequency
  • Avg Position Time (mins)
    497.32
  • Avg Position Time (hrs)
    8.29
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.52
  • Daily leverage (max)
    2.02
  • Regression
  • Alpha
    0.20
  • Beta
    -0.06
  • Treynor Index
    -3.53
  • 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)
    -10.22
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -128.448
  • 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
    0.670
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.371
  • Hold-and-Hope Ratio
    0.002
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.06075
  • SD
    0.43800
  • Sharpe ratio (Glass type estimate)
    2.42179
  • Sharpe ratio (Hedges UMVUE)
    2.03612
  • df
    5.00000
  • t
    1.71247
  • p
    0.07374
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80087
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.46445
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.00945
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.08169
  • Statistics related to Sortino ratio
  • Sortino ratio
    17.05280
  • Upside Potential Ratio
    18.97680
  • Upside part of mean
    1.18043
  • Downside part of mean
    -0.11968
  • Upside SD
    0.49977
  • Downside SD
    0.06220
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.00802
  • Mean of criterion
    1.06075
  • SD of predictor
    0.32790
  • SD of criterion
    0.43800
  • Covariance
    -0.01838
  • r
    -0.12795
  • b (slope, estimate of beta)
    -0.17091
  • a (intercept, estimate of alpha)
    1.06212
  • Mean Square Error
    0.23588
  • DF error
    4.00000
  • t(b)
    -0.25802
  • p(b)
    0.59544
  • t(a)
    1.54632
  • p(a)
    0.09846
  • Lowerbound of 95% confidence interval for beta
    -2.01039
  • Upperbound of 95% confidence interval for beta
    1.66857
  • Lowerbound of 95% confidence interval for alpha
    -0.84531
  • Upperbound of 95% confidence interval for alpha
    2.96955
  • Treynor index (mean / b)
    -6.20643
  • Jensen alpha (a)
    1.06212
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.94906
  • SD
    0.39242
  • Sharpe ratio (Glass type estimate)
    2.41849
  • Sharpe ratio (Hedges UMVUE)
    2.03334
  • df
    5.00000
  • t
    1.71013
  • p
    0.07397
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80318
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.46021
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01151
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.07820
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.02860
  • Upside Potential Ratio
    16.95050
  • Upside part of mean
    1.07043
  • Downside part of mean
    -0.12137
  • Upside SD
    0.44654
  • Downside SD
    0.06315
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    -0.03605
  • Mean of criterion
    0.94906
  • SD of predictor
    0.32419
  • SD of criterion
    0.39242
  • Covariance
    -0.01342
  • r
    -0.10545
  • b (slope, estimate of beta)
    -0.12764
  • a (intercept, estimate of alpha)
    0.94446
  • Mean Square Error
    0.19035
  • DF error
    4.00000
  • t(b)
    -0.21208
  • p(b)
    0.57879
  • t(a)
    1.52976
  • p(a)
    0.10041
  • Lowerbound of 95% confidence interval for beta
    -1.79896
  • Upperbound of 95% confidence interval for beta
    1.54368
  • Lowerbound of 95% confidence interval for alpha
    -0.77002
  • Upperbound of 95% confidence interval for alpha
    2.65893
  • Treynor index (mean / b)
    -7.43543
  • Jensen alpha (a)
    0.94446
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10169
  • Expected Shortfall on VaR
    0.14248
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01800
  • Expected Shortfall on VaR
    0.03486
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.96391
  • Quartile 1
    0.99178
  • Median
    1.08129
  • Quartile 3
    1.13908
  • Maximum
    1.29756
  • Mean of quarter 1
    0.97241
  • Mean of quarter 2
    1.02443
  • Mean of quarter 3
    1.13815
  • Mean of quarter 4
    1.21848
  • Inter Quartile Range
    0.14730
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • 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
    2.00000
  • Minimum
    0.01910
  • Quartile 1
    0.02334
  • Median
    0.02759
  • Quartile 3
    0.03184
  • Maximum
    0.03609
  • Mean of quarter 1
    0.01910
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03609
  • Inter Quartile Range
    0.00849
  • 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)
    1.25968
  • Compounded annual return (geometric extrapolation)
    1.65638
  • Calmar ratio (compounded annual return / max draw down)
    45.90190
  • Compounded annual return / average of 25% largest draw downs
    45.90190
  • Compounded annual return / Expected Shortfall lognormal
    11.62540
  • 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
    0.76851
  • SD
    0.30329
  • Sharpe ratio (Glass type estimate)
    2.53388
  • Sharpe ratio (Hedges UMVUE)
    2.52102
  • df
    148.00000
  • t
    1.91086
  • p
    0.42241
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08526
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.14470
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09379
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.13584
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.02990
  • Upside Potential Ratio
    9.89831
  • Upside part of mean
    1.51234
  • Downside part of mean
    -0.74383
  • Upside SD
    0.26510
  • Downside SD
    0.15279
  • N nonnegative terms
    47.00000
  • N negative terms
    102.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    149.00000
  • Mean of predictor
    -0.01615
  • Mean of criterion
    0.76851
  • SD of predictor
    0.25150
  • SD of criterion
    0.30329
  • Covariance
    -0.00295
  • r
    -0.03862
  • b (slope, estimate of beta)
    -0.04658
  • a (intercept, estimate of alpha)
    0.76800
  • Mean Square Error
    0.09247
  • DF error
    147.00000
  • t(b)
    -0.46865
  • p(b)
    0.52458
  • t(a)
    1.90394
  • p(a)
    0.40164
  • Lowerbound of 95% confidence interval for beta
    -0.24300
  • Upperbound of 95% confidence interval for beta
    0.14984
  • Lowerbound of 95% confidence interval for alpha
    -0.02915
  • Upperbound of 95% confidence interval for alpha
    1.56466
  • Treynor index (mean / b)
    -16.49870
  • Jensen alpha (a)
    0.76775
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72247
  • SD
    0.29953
  • Sharpe ratio (Glass type estimate)
    2.41199
  • Sharpe ratio (Hedges UMVUE)
    2.39975
  • df
    148.00000
  • t
    1.81894
  • p
    0.42606
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20544
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.02153
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21358
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.01308
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.58532
  • Upside Potential Ratio
    9.38286
  • Upside part of mean
    1.47839
  • Downside part of mean
    -0.75591
  • Upside SD
    0.25746
  • Downside SD
    0.15756
  • N nonnegative terms
    47.00000
  • N negative terms
    102.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    149.00000
  • Mean of predictor
    -0.04754
  • Mean of criterion
    0.72247
  • SD of predictor
    0.25140
  • SD of criterion
    0.29953
  • Covariance
    -0.00297
  • r
    -0.03947
  • b (slope, estimate of beta)
    -0.04702
  • a (intercept, estimate of alpha)
    0.72024
  • Mean Square Error
    0.09019
  • DF error
    147.00000
  • t(b)
    -0.47890
  • p(b)
    0.52512
  • t(a)
    1.80846
  • p(a)
    0.40642
  • Lowerbound of 95% confidence interval for beta
    -0.24108
  • Upperbound of 95% confidence interval for beta
    0.14703
  • Lowerbound of 95% confidence interval for alpha
    -0.06682
  • Upperbound of 95% confidence interval for alpha
    1.50730
  • Treynor index (mean / b)
    -15.36380
  • Jensen alpha (a)
    0.72024
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02730
  • Expected Shortfall on VaR
    0.03477
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00779
  • Expected Shortfall on VaR
    0.01702
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    149.00000
  • Minimum
    0.91316
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00103
  • Maximum
    1.07939
  • Mean of quarter 1
    0.98915
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00011
  • Mean of quarter 4
    1.02327
  • Inter Quartile Range
    0.00103
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.20805
  • Mean of outliers low
    0.98679
  • Number of outliers high
    33.00000
  • Percentage of outliers high
    0.22148
  • Mean of outliers high
    1.02591
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.51706
  • VaR(95%) (moments method)
    0.00314
  • Expected Shortfall (moments method)
    0.00390
  • Extreme Value Index (regression method)
    0.00901
  • VaR(95%) (regression method)
    0.01123
  • Expected Shortfall (regression method)
    0.01850
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00039
  • Quartile 1
    0.00149
  • Median
    0.00552
  • Quartile 3
    0.02997
  • Maximum
    0.12407
  • Mean of quarter 1
    0.00084
  • Mean of quarter 2
    0.00397
  • Mean of quarter 3
    0.02835
  • Mean of quarter 4
    0.10708
  • Inter Quartile Range
    0.02848
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.22222
  • Mean of outliers high
    0.10708
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -29.28030
  • VaR(95%) (moments method)
    0.06904
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.82338
  • VaR(95%) (regression method)
    0.16284
  • Expected Shortfall (regression method)
    0.16624
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.93592
  • Compounded annual return (geometric extrapolation)
    1.11781
  • Calmar ratio (compounded annual return / max draw down)
    9.00918
  • Compounded annual return / average of 25% largest draw downs
    10.43850
  • Compounded annual return / Expected Shortfall lognormal
    32.14760
  • 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
    0.50281
  • SD
    0.28540
  • Sharpe ratio (Glass type estimate)
    1.76176
  • Sharpe ratio (Hedges UMVUE)
    1.75157
  • df
    130.00000
  • t
    1.24575
  • p
    0.44569
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.02158
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.53856
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02840
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.53154
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.14857
  • Upside Potential Ratio
    7.95311
  • Upside part of mean
    1.27007
  • Downside part of mean
    -0.76726
  • Upside SD
    0.23727
  • Downside SD
    0.15969
  • N nonnegative terms
    40.00000
  • N negative terms
    91.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02451
  • Mean of criterion
    0.50281
  • SD of predictor
    0.24860
  • SD of criterion
    0.28540
  • Covariance
    -0.00964
  • r
    -0.13591
  • b (slope, estimate of beta)
    -0.15603
  • a (intercept, estimate of alpha)
    0.49898
  • Mean Square Error
    0.08057
  • DF error
    129.00000
  • t(b)
    -1.55811
  • p(b)
    0.58626
  • t(a)
    1.24302
  • p(a)
    0.43088
  • Lowerbound of 95% confidence interval for beta
    -0.35417
  • Upperbound of 95% confidence interval for beta
    0.04210
  • Lowerbound of 95% confidence interval for alpha
    -0.29525
  • Upperbound of 95% confidence interval for alpha
    1.29322
  • Treynor index (mean / b)
    -3.22242
  • Jensen alpha (a)
    0.49898
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46235
  • SD
    0.28314
  • Sharpe ratio (Glass type estimate)
    1.63293
  • Sharpe ratio (Hedges UMVUE)
    1.62349
  • df
    130.00000
  • t
    1.15466
  • p
    0.44962
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.14900
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.40881
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.15533
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.40232
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.80493
  • Upside Potential Ratio
    7.53979
  • Upside part of mean
    1.24283
  • Downside part of mean
    -0.78048
  • Upside SD
    0.23066
  • Downside SD
    0.16484
  • N nonnegative terms
    40.00000
  • N negative terms
    91.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05513
  • Mean of criterion
    0.46235
  • SD of predictor
    0.24830
  • SD of criterion
    0.28314
  • Covariance
    -0.00948
  • r
    -0.13477
  • b (slope, estimate of beta)
    -0.15368
  • a (intercept, estimate of alpha)
    0.45388
  • Mean Square Error
    0.07932
  • DF error
    129.00000
  • t(b)
    -1.54481
  • p(b)
    0.58554
  • t(a)
    1.13942
  • p(a)
    0.43656
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    -0.35052
  • Upperbound of 95% confidence interval for beta
    0.04315
  • Lowerbound of 95% confidence interval for alpha
    -0.33425
  • Upperbound of 95% confidence interval for alpha
    1.24201
  • Treynor index (mean / b)
    -3.00848
  • Jensen alpha (a)
    0.45388
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02665
  • Expected Shortfall on VaR
    0.03372
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00811
  • Expected Shortfall on VaR
    0.01773
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91316
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00054
  • Maximum
    1.07813
  • Mean of quarter 1
    0.98867
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00005
  • Mean of quarter 4
    1.01932
  • Inter Quartile Range
    0.00054
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.21374
  • Mean of outliers low
    0.98664
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.22901
  • Mean of outliers high
    1.02118
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -10.00960
  • VaR(95%) (moments method)
    0.00028
  • Expected Shortfall (moments method)
    0.00028
  • Extreme Value Index (regression method)
    0.09306
  • VaR(95%) (regression method)
    0.01036
  • Expected Shortfall (regression method)
    0.01858
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00241
  • Quartile 1
    0.02064
  • Median
    0.05841
  • Quartile 3
    0.09859
  • Maximum
    0.12407
  • Mean of quarter 1
    0.00241
  • Mean of quarter 2
    0.02672
  • Mean of quarter 3
    0.09010
  • Mean of quarter 4
    0.12407
  • Inter Quartile Range
    0.07795
  • 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?
    -314459000
  • Max Equity Drawdown (num days)
    8
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.55557
  • Compounded annual return (geometric extrapolation)
    0.63274
  • Calmar ratio (compounded annual return / max draw down)
    5.09968
  • Compounded annual return / average of 25% largest draw downs
    5.09968
  • Compounded annual return / Expected Shortfall lognormal
    18.76730

Strategy Description

This strategy does algorithmic trading, with no manual intervention. A tool has been developed to scan trade data and select stocks. This is done entirely by automation. This strategy was selected after testing 1000 strategies. Ensures more than 65% successful trades and gains over 400% on initial trading capital.

Why have I chosen algorithmic trading?
I do intraday trading; I follow multiple own development strategies to do business. It is impossible to inspect 4000 stocks at once with manual power, which requires 1000 members and 1000 systems, again guiding which stock to select. Constantly monitoring stocks and waiting for trigger. I thought that was not possible with one man, then I thought about developing automation for Trading. Also, another reason to choose an algorithmic trade is the common trading errors that 97% of traders struggle with.

How disciplined I am when picking stocks and trade quantity?

This strategy trades using automation, so there is no human intervention to place high bets.
I always follow the same amount of trade and there is no change at all, you can check my history.
It enters at the beginning of the market and exits at the end, so there is no change in stock entry..
If you see my strategy, it does not have unnecessary entries.
it only enters when there is scope for profit.
how much I profited when my strategy was successful, how much I lost when my strategy failed,
it helps you to understand the stop loss for any entry. Based on stock entry and exit time, trade amount, stop loss, you can understand how disciplined this strategy is..

Summary Statistics

Strategy began
2022-05-15
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 4.0%
Rank # 
#32
# Trades
142
# Profitable
74
% Profitable
52.1%
Correlation S&P500
-0.045
Sharpe Ratio
1.93
Sortino Ratio
3.75
Beta
-0.06
Alpha
0.20
Leverage
0.52 Average
2.02 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

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.