Collective2 Collective2
Featured Strategy Cryptoverse +50.3% Annual Return (Compounded) since Jun 13, 2022 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast More...

Bubbling to the Top
(143592051)

Created by: Ron_Ryninger Ron_Ryninger
Started: 02/2023
Stocks
Last trade: 429 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 $125.00 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.

-2.9%
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.

(17.1%)
Max Drawdown
63
Num Trades
34.9%
Win Trades
0.6 : 1
Profit Factor
34.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023       +1.0%(2.3%)(2.7%)(0.5%)+1.3%(0.1%)  -  (0.7%)(1.7%)+0.6%+0.8%(4.2%)
2024+0.3%(0.5%)+0.8%(0.4%)(0.2%)(0.4%)+0.9%(0.7%)(0.3%)+0.4%(0.2%)(0.8%)(1.2%)

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/11/23 10:39 GATX GATX CORP LONG 18 111.35 10/24 9:30 97.21 0.54%
Trade id #144252081
Max drawdown($254)
Time10/24/23 9:30
Quant open18
Worst price97.21
Drawdown as % of equity-0.54%
 ($255)
Includes Typical Broker Commissions trade costs of $0.36
4/5/23 12:23 NWN NORTHWEST NATURAL HOLDING CO LONG 62 47.98 5/16 9:53 44.73 0.42%
Trade id #144198243
Max drawdown($201)
Time5/16/23 9:53
Quant open62
Worst price44.73
Drawdown as % of equity-0.42%
 ($203)
Includes Typical Broker Commissions trade costs of $1.24
4/5/23 12:01 USM UNITED STATES CELLULAR LONG 76 21.66 5/5 9:31 18.80 0.59%
Trade id #144197950
Max drawdown($283)
Time5/5/23 9:31
Quant open76
Worst price17.93
Drawdown as % of equity-0.59%
 ($219)
Includes Typical Broker Commissions trade costs of $1.52
4/10/23 10:13 DNOW NOW INC LONG 238 10.72 5/4 9:30 9.85 0.55%
Trade id #144239805
Max drawdown($261)
Time5/4/23 9:30
Quant open238
Worst price9.62
Drawdown as % of equity-0.55%
 ($212)
Includes Typical Broker Commissions trade costs of $4.76
4/18/23 10:55 HEES H&E EQUIPMENT SERVICES LONG 50 43.22 4/27 9:40 39.41 0.4%
Trade id #144350378
Max drawdown($190)
Time4/27/23 9:40
Quant open50
Worst price39.41
Drawdown as % of equity-0.40%
 ($192)
Includes Typical Broker Commissions trade costs of $1.00
4/18/23 10:11 MCFT MASTERCRAFT BOAT HOLDINGS INC LONG 80 29.93 4/27 9:34 27.29 0.44%
Trade id #144349457
Max drawdown($211)
Time4/27/23 9:34
Quant open80
Worst price27.29
Drawdown as % of equity-0.44%
 ($213)
Includes Typical Broker Commissions trade costs of $1.60
4/11/23 10:21 FWRD FORWARD AIR LONG 31 108.90 4/26 13:50 102.43 0.42%
Trade id #144251818
Max drawdown($200)
Time4/26/23 13:50
Quant open31
Worst price102.43
Drawdown as % of equity-0.42%
 ($202)
Includes Typical Broker Commissions trade costs of $0.62
4/17/23 10:12 BXC BLUELINX HOLDINGS LONG 81 70.45 4/26 10:24 67.68 0.47%
Trade id #144323524
Max drawdown($225)
Time4/26/23 10:24
Quant open81
Worst price67.66
Drawdown as % of equity-0.47%
 ($226)
Includes Typical Broker Commissions trade costs of $1.62
4/14/23 15:43 TWI TITAN INTERNATIONAL LONG 140 10.95 4/26 9:30 9.50 0.43%
Trade id #144310214
Max drawdown($208)
Time4/26/23 9:30
Quant open140
Worst price9.46
Drawdown as % of equity-0.43%
 ($206)
Includes Typical Broker Commissions trade costs of $2.80
4/11/23 10:20 FLYW FLYWIRE CORPORATION VOTING COMMON STOCK LONG 31 28.49 4/11 10:21 28.49 n/a ($1)
Includes Typical Broker Commissions trade costs of $0.62
3/29/23 10:04 SPY SPDR S&P 500 LONG 159 400.13 3/29 10:37 399.19 0.32%
Trade id #144103138
Max drawdown($159)
Time3/29/23 10:37
Quant open159
Worst price399.13
Drawdown as % of equity-0.32%
 ($152)
Includes Typical Broker Commissions trade costs of $3.18
3/29/23 10:04 QQQ POWERSHARES QQQ LONG 159 311.83 3/29 10:25 310.89 0.33%
Trade id #144103146
Max drawdown($162)
Time3/29/23 10:25
Quant open159
Worst price310.81
Drawdown as % of equity-0.33%
 ($152)
Includes Typical Broker Commissions trade costs of $3.18
3/29/23 10:01 IWM ISHARES RUSSELL 2000 INDEX LONG 272 175.27 3/29 10:13 174.98 0.18%
Trade id #144103050
Max drawdown($89)
Time3/29/23 10:13
Quant open272
Worst price174.94
Drawdown as % of equity-0.18%
 ($84)
Includes Typical Broker Commissions trade costs of $5.44
3/28/23 10:08 SPY SPDR S&P 500 LONG 150 396.05 3/28 10:33 395.08 0.39%
Trade id #144091577
Max drawdown($196)
Time3/28/23 10:33
Quant open150
Worst price394.74
Drawdown as % of equity-0.39%
 ($149)
Includes Typical Broker Commissions trade costs of $3.00
3/28/23 10:11 IWM ISHARES RUSSELL 2000 INDEX LONG 150 174.40 3/28 10:31 173.80 0.2%
Trade id #144091733
Max drawdown($99)
Time3/28/23 10:31
Quant open150
Worst price173.74
Drawdown as % of equity-0.20%
 ($93)
Includes Typical Broker Commissions trade costs of $3.00
3/27/23 13:40 IWM ISHARES RUSSELL 2000 INDEX LONG 150 174.05 3/27 15:06 174.33 0.11%
Trade id #144065289
Max drawdown($57)
Time3/27/23 14:05
Quant open150
Worst price173.67
Drawdown as % of equity-0.11%
 $39
Includes Typical Broker Commissions trade costs of $3.00
3/24/23 12:01 QQQ POWERSHARES QQQ LONG 100 309.74 3/24 12:16 308.05 0.34%
Trade id #144028412
Max drawdown($173)
Time3/24/23 12:16
Quant open100
Worst price308.00
Drawdown as % of equity-0.34%
 ($171)
Includes Typical Broker Commissions trade costs of $2.00
3/24/23 10:00 SPY SPDR S&P 500 LONG 100 391.98 3/24 11:10 390.14 0.37%
Trade id #144024982
Max drawdown($185)
Time3/24/23 11:10
Quant open100
Worst price390.13
Drawdown as % of equity-0.37%
 ($186)
Includes Typical Broker Commissions trade costs of $2.00
3/23/23 10:00 IWM ISHARES RUSSELL 2000 INDEX LONG 200 172.98 3/23 11:26 173.72 0.05%
Trade id #144011413
Max drawdown($26)
Time3/23/23 10:04
Quant open200
Worst price172.85
Drawdown as % of equity-0.05%
 $144
Includes Typical Broker Commissions trade costs of $4.00
3/23/23 10:00 SPY SPDR S&P 500 LONG 200 396.20 3/23 11:26 398.17 0.14%
Trade id #144011409
Max drawdown($72)
Time3/23/23 10:04
Quant open200
Worst price395.84
Drawdown as % of equity-0.14%
 $390
Includes Typical Broker Commissions trade costs of $4.00
3/21/23 10:00 IWM ISHARES RUSSELL 2000 INDEX LONG 200 177.60 3/21 10:15 177.16 0.22%
Trade id #143977102
Max drawdown($108)
Time3/21/23 10:15
Quant open200
Worst price177.06
Drawdown as % of equity-0.22%
 ($92)
Includes Typical Broker Commissions trade costs of $4.00
3/21/23 10:01 SPY SPDR S&P 500 LONG 200 398.23 3/21 10:15 396.76 0.6%
Trade id #143977115
Max drawdown($302)
Time3/21/23 10:15
Quant open200
Worst price396.72
Drawdown as % of equity-0.60%
 ($298)
Includes Typical Broker Commissions trade costs of $4.00
3/20/23 12:56 IWM ISHARES RUSSELL 2000 INDEX LONG 150 174.12 3/20 13:35 174.05 0.07%
Trade id #143969069
Max drawdown($37)
Time3/20/23 12:59
Quant open150
Worst price173.87
Drawdown as % of equity-0.07%
 ($14)
Includes Typical Broker Commissions trade costs of $3.00
3/20/23 10:50 SPY SPDR S&P 500 LONG 150 392.59 3/20 11:43 393.36 0.08%
Trade id #143966564
Max drawdown($40)
Time3/20/23 10:54
Quant open150
Worst price392.32
Drawdown as % of equity-0.08%
 $113
Includes Typical Broker Commissions trade costs of $3.00
3/20/23 10:49 QQQ POWERSHARES QQQ LONG 150 304.52 3/20 11:43 305.29 0.14%
Trade id #143966544
Max drawdown($69)
Time3/20/23 10:54
Quant open150
Worst price304.06
Drawdown as % of equity-0.14%
 $113
Includes Typical Broker Commissions trade costs of $3.00
3/17/23 10:04 SPY SPDR S&P 500 LONG 150 394.20 3/17 10:10 392.78 0.43%
Trade id #143944463
Max drawdown($217)
Time3/17/23 10:10
Quant open150
Worst price392.75
Drawdown as % of equity-0.43%
 ($216)
Includes Typical Broker Commissions trade costs of $3.00
3/16/23 10:46 SPY SPDR S&P 500 LONG 100 389.31 3/16 11:31 393.02 n/a $369
Includes Typical Broker Commissions trade costs of $2.00
3/16/23 10:47 IWM ISHARES RUSSELL 2000 INDEX LONG 100 172.66 3/16 10:55 175.00 n/a $232
Includes Typical Broker Commissions trade costs of $2.00
3/15/23 10:34 SPY SPDR S&P 500 SHORT 100 385.17 3/15 11:16 387.06 0.38%
Trade id #143911783
Max drawdown($189)
Time3/15/23 11:16
Quant open100
Worst price387.06
Drawdown as % of equity-0.38%
 ($191)
Includes Typical Broker Commissions trade costs of $2.00
3/15/23 10:17 QQQ POWERSHARES QQQ SHORT 100 294.27 3/15 11:13 295.74 0.3%
Trade id #143911378
Max drawdown($149)
Time3/15/23 11:13
Quant open100
Worst price295.76
Drawdown as % of equity-0.30%
 ($149)
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    2/15/2023
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    679.92
  • Age
    23 months ago
  • What it trades
    Stocks
  • # Trades
    63
  • # Profitable
    22
  • % Profitable
    34.90%
  • Avg trade duration
    15.3 days
  • Max peak-to-valley drawdown
    17.13%
  • drawdown period
    Feb 23, 2023 - April 14, 2023
  • Annual Return (Compounded)
    -2.9%
  • Avg win
    $162.41
  • Avg loss
    $139.95
  • Model Account Values (Raw)
  • Cash
    $46,939
  • Margin Used
    $0
  • Buying Power
    $46,896
  • Ratios
  • W:L ratio
    0.64:1
  • Sharpe Ratio
    -0.82
  • Sortino Ratio
    -1.13
  • Calmar Ratio
    -1.356
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -50.98%
  • Correlation to SP500
    0.16320
  • Return Percent SP500 (cumu) during strategy life
    45.57%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    -2.9%
  • Slump
  • Current Slump as Pcnt Equity
    7.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • 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)
    -0.029%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -2.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    48.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $140
  • Avg Win
    $162
  • Sum Trade PL (losers)
    $5,738.000
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $3,573.000
  • # Winners
    22
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    103
  • Win / Loss
  • # Losers
    41
  • % Winners
    34.9%
  • Frequency
  • Avg Position Time (mins)
    22037.70
  • Avg Position Time (hrs)
    367.30
  • Avg Trade Length
    15.3 days
  • Last Trade Ago
    618
  • Leverage
  • Daily leverage (average)
    0.66
  • Daily leverage (max)
    3.23
  • Regression
  • Alpha
    -0.02
  • Beta
    0.06
  • Treynor Index
    -0.23
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.66
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -2.491
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.356
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.096
  • Hold-and-Hope Ratio
    -0.398
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10097
  • SD
    0.04538
  • Sharpe ratio (Glass type estimate)
    -2.22495
  • Sharpe ratio (Hedges UMVUE)
    -1.87063
  • df
    5.00000
  • t
    -1.57328
  • p
    0.91177
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.21821
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.94006
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.87514
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.13389
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.01005
  • Upside Potential Ratio
    0.25384
  • Upside part of mean
    0.01275
  • Downside part of mean
    -0.11372
  • Upside SD
    0.00652
  • Downside SD
    0.05023
  • N nonnegative terms
    2.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.76582
  • Mean of criterion
    -0.10097
  • SD of predictor
    0.28704
  • SD of criterion
    0.04538
  • Covariance
    0.00289
  • r
    0.22191
  • b (slope, estimate of beta)
    0.03508
  • a (intercept, estimate of alpha)
    -0.12783
  • Mean Square Error
    0.00245
  • DF error
    4.00000
  • t(b)
    0.45516
  • p(b)
    0.33630
  • t(a)
    -1.39654
  • p(a)
    0.88247
  • Lowerbound of 95% confidence interval for beta
    -0.17895
  • Upperbound of 95% confidence interval for beta
    0.24912
  • Lowerbound of 95% confidence interval for alpha
    -0.38202
  • Upperbound of 95% confidence interval for alpha
    0.12636
  • Treynor index (mean / b)
    -2.87805
  • Jensen alpha (a)
    -0.12783
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10203
  • SD
    0.04590
  • Sharpe ratio (Glass type estimate)
    -2.22313
  • Sharpe ratio (Hedges UMVUE)
    -1.86909
  • df
    5.00000
  • t
    -1.57199
  • p
    0.91162
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.21597
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.94137
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.87324
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.13506
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.00845
  • Upside Potential Ratio
    0.24999
  • Upside part of mean
    0.01270
  • Downside part of mean
    -0.11473
  • Upside SD
    0.00649
  • Downside SD
    0.05080
  • N nonnegative terms
    2.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.71013
  • Mean of criterion
    -0.10203
  • SD of predictor
    0.27174
  • SD of criterion
    0.04590
  • Covariance
    0.00251
  • r
    0.20136
  • b (slope, estimate of beta)
    0.03401
  • a (intercept, estimate of alpha)
    -0.12618
  • Mean Square Error
    0.00253
  • DF error
    4.00000
  • t(b)
    0.41113
  • p(b)
    0.35102
  • t(a)
    -1.36840
  • p(a)
    0.87850
  • Lowerbound of 95% confidence interval for beta
    -0.19570
  • Upperbound of 95% confidence interval for beta
    0.26371
  • Lowerbound of 95% confidence interval for alpha
    -0.38225
  • Upperbound of 95% confidence interval for alpha
    0.12989
  • Treynor index (mean / b)
    -3.00027
  • Jensen alpha (a)
    -0.12618
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02984
  • Expected Shortfall on VaR
    0.03519
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02538
  • Expected Shortfall on VaR
    0.03855
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.97112
  • Quartile 1
    0.98944
  • Median
    0.99662
  • Quartile 3
    1.00358
  • Maximum
    1.00619
  • Mean of quarter 1
    0.97961
  • Mean of quarter 2
    0.99345
  • Mean of quarter 3
    0.99978
  • Mean of quarter 4
    1.00552
  • Inter Quartile Range
    0.01414
  • 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
    1.00000
  • Minimum
    0.04103
  • Quartile 1
    0.04103
  • Median
    0.04103
  • Quartile 3
    0.04103
  • Maximum
    0.04103
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.07277
  • Compounded annual return (geometric extrapolation)
    -0.07144
  • Calmar ratio (compounded annual return / max draw down)
    -1.74128
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -2.03050
  • 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
    -0.10651
  • SD
    0.08815
  • Sharpe ratio (Glass type estimate)
    -1.20829
  • Sharpe ratio (Hedges UMVUE)
    -1.20195
  • df
    143.00000
  • t
    -0.89578
  • p
    0.54751
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.85364
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.44123
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.84934
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44545
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.63393
  • Upside Potential Ratio
    4.30407
  • Upside part of mean
    0.28058
  • Downside part of mean
    -0.38709
  • Upside SD
    0.05925
  • Downside SD
    0.06519
  • N nonnegative terms
    61.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    144.00000
  • Mean of predictor
    0.68265
  • Mean of criterion
    -0.10651
  • SD of predictor
    0.22777
  • SD of criterion
    0.08815
  • Covariance
    0.00387
  • r
    0.19294
  • b (slope, estimate of beta)
    0.07467
  • a (intercept, estimate of alpha)
    -0.15700
  • Mean Square Error
    0.00753
  • DF error
    142.00000
  • t(b)
    2.34318
  • p(b)
    0.40353
  • t(a)
    -1.32248
  • p(a)
    0.55515
  • Lowerbound of 95% confidence interval for beta
    0.01168
  • Upperbound of 95% confidence interval for beta
    0.13767
  • Lowerbound of 95% confidence interval for alpha
    -0.39290
  • Upperbound of 95% confidence interval for alpha
    0.07792
  • Treynor index (mean / b)
    -1.42642
  • Jensen alpha (a)
    -0.15749
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11038
  • SD
    0.08816
  • Sharpe ratio (Glass type estimate)
    -1.25210
  • Sharpe ratio (Hedges UMVUE)
    -1.24552
  • df
    143.00000
  • t
    -0.92826
  • p
    0.54922
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.89772
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39770
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.89319
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.40215
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.67111
  • Upside Potential Ratio
    4.22122
  • Upside part of mean
    0.27883
  • Downside part of mean
    -0.38921
  • Upside SD
    0.05832
  • Downside SD
    0.06605
  • N nonnegative terms
    61.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    144.00000
  • Mean of predictor
    0.65599
  • Mean of criterion
    -0.11038
  • SD of predictor
    0.22771
  • SD of criterion
    0.08816
  • Covariance
    0.00389
  • r
    0.19401
  • b (slope, estimate of beta)
    0.07511
  • a (intercept, estimate of alpha)
    -0.15965
  • Mean Square Error
    0.00753
  • DF error
    142.00000
  • t(b)
    2.35662
  • p(b)
    0.40300
  • t(a)
    -1.34257
  • p(a)
    0.55598
  • Lowerbound of 95% confidence interval for beta
    0.01211
  • Upperbound of 95% confidence interval for beta
    0.13812
  • Lowerbound of 95% confidence interval for alpha
    -0.39473
  • Upperbound of 95% confidence interval for alpha
    0.07542
  • Treynor index (mean / b)
    -1.46961
  • Jensen alpha (a)
    -0.15965
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00934
  • Expected Shortfall on VaR
    0.01159
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00365
  • Expected Shortfall on VaR
    0.00780
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    144.00000
  • Minimum
    0.96238
  • Quartile 1
    0.99850
  • Median
    0.99992
  • Quartile 3
    1.00128
  • Maximum
    1.03923
  • Mean of quarter 1
    0.99497
  • Mean of quarter 2
    0.99938
  • Mean of quarter 3
    1.00042
  • Mean of quarter 4
    1.00404
  • Inter Quartile Range
    0.00278
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.05556
  • Mean of outliers low
    0.98740
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03472
  • Mean of outliers high
    1.01317
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50931
  • VaR(95%) (moments method)
    0.00488
  • Expected Shortfall (moments method)
    0.01117
  • Extreme Value Index (regression method)
    0.68170
  • VaR(95%) (regression method)
    0.00412
  • Expected Shortfall (regression method)
    0.01249
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00079
  • Quartile 1
    0.01519
  • Median
    0.02958
  • Quartile 3
    0.04398
  • Maximum
    0.05837
  • Mean of quarter 1
    0.00079
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.05837
  • Inter Quartile Range
    0.02879
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.08063
  • Compounded annual return (geometric extrapolation)
    -0.07917
  • Calmar ratio (compounded annual return / max draw down)
    -1.35620
  • Compounded annual return / average of 25% largest draw downs
    -1.35620
  • Compounded annual return / Expected Shortfall lognormal
    -6.83291
  • 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
    -0.13828
  • SD
    0.09135
  • Sharpe ratio (Glass type estimate)
    -1.51382
  • Sharpe ratio (Hedges UMVUE)
    -1.50507
  • df
    130.00000
  • t
    -1.07044
  • p
    0.54674
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.28883
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.26687
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.28291
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.27276
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.02739
  • Upside Potential Ratio
    4.02399
  • Upside part of mean
    0.27447
  • Downside part of mean
    -0.41275
  • Upside SD
    0.06084
  • Downside SD
    0.06821
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.80046
  • Mean of criterion
    -0.13828
  • SD of predictor
    0.23312
  • SD of criterion
    0.09135
  • Covariance
    0.00457
  • r
    0.21438
  • b (slope, estimate of beta)
    0.08401
  • a (intercept, estimate of alpha)
    -0.20553
  • Mean Square Error
    0.00802
  • DF error
    129.00000
  • t(b)
    2.49288
  • p(b)
    0.36457
  • t(a)
    -1.58697
  • p(a)
    0.58781
  • Lowerbound of 95% confidence interval for beta
    0.01733
  • Upperbound of 95% confidence interval for beta
    0.15068
  • Lowerbound of 95% confidence interval for alpha
    -0.46177
  • Upperbound of 95% confidence interval for alpha
    0.05071
  • Treynor index (mean / b)
    -1.64612
  • Jensen alpha (a)
    -0.20553
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14245
  • SD
    0.09135
  • Sharpe ratio (Glass type estimate)
    -1.55929
  • Sharpe ratio (Hedges UMVUE)
    -1.55028
  • df
    130.00000
  • t
    -1.10258
  • p
    0.54813
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.33467
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.22189
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.32848
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.22793
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.06096
  • Upside Potential Ratio
    3.94447
  • Upside part of mean
    0.27263
  • Downside part of mean
    -0.41508
  • Upside SD
    0.05985
  • Downside SD
    0.06912
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.77226
  • Mean of criterion
    -0.14245
  • SD of predictor
    0.23306
  • SD of criterion
    0.09135
  • Covariance
    0.00459
  • r
    0.21545
  • b (slope, estimate of beta)
    0.08445
  • a (intercept, estimate of alpha)
    -0.20766
  • Mean Square Error
    0.00802
  • DF error
    129.00000
  • t(b)
    2.50586
  • p(b)
    0.36391
  • t(a)
    -1.60614
  • p(a)
    0.58885
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    0.01777
  • Upperbound of 95% confidence interval for beta
    0.15113
  • Lowerbound of 95% confidence interval for alpha
    -0.46348
  • Upperbound of 95% confidence interval for alpha
    0.04815
  • Treynor index (mean / b)
    -1.68675
  • Jensen alpha (a)
    -0.20766
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00978
  • Expected Shortfall on VaR
    0.01211
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00388
  • Expected Shortfall on VaR
    0.00826
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96238
  • Quartile 1
    0.99842
  • Median
    0.99991
  • Quartile 3
    1.00116
  • Maximum
    1.03923
  • Mean of quarter 1
    0.99467
  • Mean of quarter 2
    0.99932
  • Mean of quarter 3
    1.00039
  • Mean of quarter 4
    1.00395
  • Inter Quartile Range
    0.00275
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.98740
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.01457
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.47992
  • VaR(95%) (moments method)
    0.00515
  • Expected Shortfall (moments method)
    0.01123
  • Extreme Value Index (regression method)
    0.63692
  • VaR(95%) (regression method)
    0.00453
  • Expected Shortfall (regression method)
    0.01244
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.05798
  • Quartile 1
    0.05798
  • Median
    0.05798
  • Quartile 3
    0.05798
  • Maximum
    0.05798
  • 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
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -354249000
  • Max Equity Drawdown (num days)
    50
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.11132
  • Compounded annual return (geometric extrapolation)
    -0.10822
  • Calmar ratio (compounded annual return / max draw down)
    -1.86672
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -8.93729

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-02-15
Suggested Minimum Capital
$15,000
# Trades
63
# Profitable
22
% Profitable
34.9%
Net Dividends
$102
Correlation S&P500
0.163
Sharpe Ratio
-0.82
Sortino Ratio
-1.13
Beta
0.06
Alpha
-0.02
Leverage
0.66 Average
3.23 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.