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

SteadyGrow
(146003298)

Created by: DisciplinedTrader DisciplinedTrader
Started: 10/2023
Stocks
Last trade: 67 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 $150.00 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.

6.6%
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.

(8.5%)
Max Drawdown
166
Num Trades
61.4%
Win Trades
1.3 : 1
Profit Factor
57.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                               +9.5%+1.6%(2.5%)+8.5%
2024+0.7%+4.0%(3.1%)(3.1%)                                                (1.7%)

Model Account Details

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

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

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

Trading Record

This strategy has placed 138 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 101 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/21/24 15:30 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,000 35.23 2/22 9:36 40.23 n/a $4,995
Includes Typical Broker Commissions trade costs of $5.00
2/16/24 15:19 FNGU MICROSECTORS FANG+ 3X LEVERAGED ETN LONG 30 319.69 2/20 9:40 300.00 1.12%
Trade id #147359032
Max drawdown($591)
Time2/20/24 9:40
Quant open30
Worst price299.98
Drawdown as % of equity-1.12%
 ($592)
Includes Typical Broker Commissions trade costs of $0.60
2/16/24 15:19 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 57.75 2/20 9:40 56.02 0.73%
Trade id #147359022
Max drawdown($386)
Time2/20/24 9:40
Quant open200
Worst price55.82
Drawdown as % of equity-0.73%
 ($350)
Includes Typical Broker Commissions trade costs of $4.00
2/16/24 15:19 SPXL DIREXION DAILY S&P500 BULL 3X LONG 60 118.69 2/20 9:40 116.27 0.31%
Trade id #147359028
Max drawdown($161)
Time2/20/24 9:40
Quant open60
Worst price116.00
Drawdown as % of equity-0.31%
 ($146)
Includes Typical Broker Commissions trade costs of $1.20
2/16/24 14:50 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,000 11.58 2/16 15:18 11.58 0.06%
Trade id #147358753
Max drawdown($30)
Time2/16/24 15:00
Quant open1,000
Worst price11.55
Drawdown as % of equity-0.06%
 ($5)
Includes Typical Broker Commissions trade costs of $5.00
2/15/24 15:53 SPXL DIREXION DAILY S&P500 BULL 3X LONG 100 119.72 2/16 9:51 118.78 0.18%
Trade id #147349434
Max drawdown($94)
Time2/16/24 9:51
Quant open100
Worst price118.78
Drawdown as % of equity-0.18%
 ($96)
Includes Typical Broker Commissions trade costs of $2.00
2/15/24 15:52 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 200 106.67 2/16 9:51 106.90 0.06%
Trade id #147349423
Max drawdown($34)
Time2/16/24 9:37
Quant open200
Worst price106.50
Drawdown as % of equity-0.06%
 $42
Includes Typical Broker Commissions trade costs of $4.00
2/15/24 15:52 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,000 14.49 2/16 9:51 14.43 0.19%
Trade id #147349419
Max drawdown($100)
Time2/16/24 9:38
Quant open2,000
Worst price14.54
Drawdown as % of equity-0.19%
 $115
Includes Typical Broker Commissions trade costs of $5.00
2/15/24 15:58 AMAT APPLIED MATERIALS LONG 20 187.53 2/16 9:51 201.73 n/a $284
Includes Typical Broker Commissions trade costs of $0.40
2/15/24 15:58 TTD THE TRADE DESK INC. CLASS A LONG 15 75.83 2/16 9:51 88.64 n/a $192
Includes Typical Broker Commissions trade costs of $0.30
2/15/24 13:16 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 58.88 2/15 15:22 58.77 0.1%
Trade id #147347713
Max drawdown($54)
Time2/15/24 14:13
Quant open300
Worst price58.70
Drawdown as % of equity-0.10%
 ($39)
Includes Typical Broker Commissions trade costs of $6.00
2/15/24 13:39 FNGU MICROSECTORS FANG+ 3X LEVERAGED ETN LONG 100 327.12 2/15 15:22 324.67 0.7%
Trade id #147348013
Max drawdown($370)
Time2/15/24 14:13
Quant open100
Worst price323.42
Drawdown as % of equity-0.70%
 ($247)
Includes Typical Broker Commissions trade costs of $2.00
2/15/24 13:07 ICOP ISHARES COPPER AND METALS MINING ETF LONG 1,000 24.04 2/15 14:30 24.00 0.08%
Trade id #147347629
Max drawdown($40)
Time2/15/24 14:30
Quant open1,000
Worst price24.00
Drawdown as % of equity-0.08%
 ($45)
Includes Typical Broker Commissions trade costs of $5.00
2/14/24 9:49 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,000 10.33 2/15 13:15 10.03 0.59%
Trade id #147333717
Max drawdown($312)
Time2/15/24 13:12
Quant open1,000
Worst price10.02
Drawdown as % of equity-0.59%
 ($310)
Includes Typical Broker Commissions trade costs of $8.00
2/14/24 9:50 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,000 11.67 2/15 13:15 11.36 0.6%
Trade id #147333721
Max drawdown($320)
Time2/15/24 9:31
Quant open1,000
Worst price11.35
Drawdown as % of equity-0.60%
 ($318)
Includes Typical Broker Commissions trade costs of $8.00
2/13/24 14:35 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 100 103.52 2/14 10:35 106.46 0.63%
Trade id #147327989
Max drawdown($334)
Time2/13/24 15:26
Quant open100
Worst price100.18
Drawdown as % of equity-0.63%
 $292
Includes Typical Broker Commissions trade costs of $2.00
2/9/24 14:15 HON HONEYWELL INTERNATIONAL SHORT 50 194.41 2/13 14:35 193.28 0.24%
Trade id #147273310
Max drawdown($127)
Time2/13/24 9:34
Quant open50
Worst price196.96
Drawdown as % of equity-0.24%
 $56
Includes Typical Broker Commissions trade costs of $1.00
2/12/24 14:57 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 3,400 11.47 2/13 14:35 11.59 0.27%
Trade id #147293505
Max drawdown($140)
Time2/12/24 15:21
Quant open2,000
Worst price11.22
Drawdown as % of equity-0.27%
 $415
Includes Typical Broker Commissions trade costs of $10.00
2/9/24 14:54 USO UNITED STATES OIL SHORT 600 71.68 2/13 11:40 72.22 0.75%
Trade id #147277731
Max drawdown($396)
Time2/13/24 11:34
Quant open300
Worst price73.00
Drawdown as % of equity-0.75%
 ($333)
Includes Typical Broker Commissions trade costs of $8.50
2/9/24 14:20 IBM INTERNATIONAL BUSINESS MACHINES SHORT 30 186.54 2/9 14:20 186.55 n/a ($1)
Includes Typical Broker Commissions trade costs of $0.60
2/1/24 15:39 AAPL APPLE LONG 110 186.76 2/9 14:16 186.81 0.14%
Trade id #147197470
Max drawdown($75)
Time2/2/24 0:00
Quant open10
Worst price179.25
Drawdown as % of equity-0.14%
 $3
Includes Typical Broker Commissions trade costs of $2.20
2/2/24 11:52 META META PLATFORMS INC. CLASS A LONG 10 479.44 2/9 14:16 469.52 0.49%
Trade id #147205866
Max drawdown($264)
Time2/6/24 0:00
Quant open10
Worst price453.00
Drawdown as % of equity-0.49%
 ($99)
Includes Typical Broker Commissions trade costs of $0.20
2/6/24 15:57 DIS WALT DISNEY LONG 30 99.27 2/9 14:15 108.54 0.15%
Trade id #147242173
Max drawdown($78)
Time2/7/24 0:00
Quant open30
Worst price96.64
Drawdown as % of equity-0.15%
 $277
Includes Typical Broker Commissions trade costs of $0.60
2/7/24 13:55 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 200 108.84 2/9 14:15 109.15 0.23%
Trade id #147251064
Max drawdown($126)
Time2/8/24 0:00
Quant open200
Worst price108.21
Drawdown as % of equity-0.23%
 $58
Includes Typical Broker Commissions trade costs of $4.00
2/7/24 13:56 SNOW SNOWFLAKE INC LONG 20 218.53 2/9 14:15 232.32 0.04%
Trade id #147251076
Max drawdown($19)
Time2/7/24 15:43
Quant open20
Worst price217.54
Drawdown as % of equity-0.04%
 $276
Includes Typical Broker Commissions trade costs of $0.40
2/7/24 13:56 ZS ZSCALER INC. COMMON STOCK LONG 20 245.47 2/9 14:15 258.50 0.08%
Trade id #147251079
Max drawdown($44)
Time2/7/24 15:33
Quant open20
Worst price243.26
Drawdown as % of equity-0.08%
 $261
Includes Typical Broker Commissions trade costs of $0.40
2/7/24 12:39 USO UNITED STATES OIL SHORT 600 68.99 2/9 9:39 72.15 3.62%
Trade id #147250120
Max drawdown($1,920)
Time2/9/24 9:39
Quant open600
Worst price72.19
Drawdown as % of equity-3.62%
 ($1,901)
Includes Typical Broker Commissions trade costs of $5.00
2/7/24 13:57 AZN ASTRAZENECA LONG 20 66.56 2/7 15:03 66.68 0%
Trade id #147251086
Max drawdown($1)
Time2/7/24 14:02
Quant open20
Worst price66.49
Drawdown as % of equity-0.00%
 $2
Includes Typical Broker Commissions trade costs of $0.40
2/7/24 12:46 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,000 10.22 2/7 13:26 10.17 0.11%
Trade id #147250255
Max drawdown($59)
Time2/7/24 13:01
Quant open1,000
Worst price10.16
Drawdown as % of equity-0.11%
 ($55)
Includes Typical Broker Commissions trade costs of $5.00
2/7/24 10:46 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 58.54 2/7 12:45 57.97 0.44%
Trade id #147248133
Max drawdown($237)
Time2/7/24 12:41
Quant open300
Worst price57.75
Drawdown as % of equity-0.44%
 ($177)
Includes Typical Broker Commissions trade costs of $6.00
Next

Statistics

  • Strategy began
    10/3/2023
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    201.44
  • Age
    7 months ago
  • What it trades
    Stocks
  • # Trades
    166
  • # Profitable
    102
  • % Profitable
    61.40%
  • Avg trade duration
    3.7 days
  • Max peak-to-valley drawdown
    8.48%
  • drawdown period
    Dec 06, 2023 - Feb 21, 2024
  • Cumul. Return
    6.6%
  • Avg win
    $229.75
  • Avg loss
    $289.25
  • Model Account Values (Raw)
  • Cash
    $89,890
  • Margin Used
    $54,667
  • Buying Power
    $31,676
  • Ratios
  • W:L ratio
    1.27:1
  • Sharpe Ratio
    0.7
  • Sortino Ratio
    1.3
  • Calmar Ratio
    3.481
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -10.80%
  • Correlation to SP500
    0.28050
  • Return Percent SP500 (cumu) during strategy life
    20.92%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    12.2%
  • Slump
  • Current Slump as Pcnt Equity
    7.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.20%
  • 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)
    0.066%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    18.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    4.50%
  • 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)
    443
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    938
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $275
  • Avg Win
    $229
  • Sum Trade PL (losers)
    $17,894.000
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $23,102.000
  • # Winners
    101
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    3
  • Win / Loss
  • # Losers
    65
  • % Winners
    60.8%
  • Frequency
  • Avg Position Time (mins)
    5155.42
  • Avg Position Time (hrs)
    85.92
  • Avg Trade Length
    3.6 days
  • Last Trade Ago
    59
  • Leverage
  • Daily leverage (average)
    1.11
  • Daily leverage (max)
    2.96
  • Regression
  • Alpha
    0.01
  • Beta
    0.35
  • Treynor Index
    0.10
  • 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)
    -1.40
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -19.614
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.637
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.401
  • Hold-and-Hope Ratio
    -0.041
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37815
  • SD
    0.16644
  • Sharpe ratio (Glass type estimate)
    2.27199
  • Sharpe ratio (Hedges UMVUE)
    1.81279
  • df
    4.00000
  • t
    1.46656
  • p
    0.10819
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.22953
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.56098
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47316
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.09874
  • Statistics related to Sortino ratio
  • Sortino ratio
    82.22900
  • Upside Potential Ratio
    83.77820
  • Upside part of mean
    0.38528
  • Downside part of mean
    -0.00712
  • Upside SD
    0.18455
  • Downside SD
    0.00460
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.43330
  • Mean of criterion
    0.37815
  • SD of predictor
    0.05586
  • SD of criterion
    0.16644
  • Covariance
    -0.00572
  • r
    -0.61484
  • b (slope, estimate of beta)
    -1.83197
  • a (intercept, estimate of alpha)
    1.17195
  • Mean Square Error
    0.02297
  • DF error
    3.00000
  • t(b)
    -1.35033
  • p(b)
    0.86513
  • t(a)
    1.85137
  • p(a)
    0.08060
  • Lowerbound of 95% confidence interval for beta
    -6.14955
  • Upperbound of 95% confidence interval for beta
    2.48562
  • Lowerbound of 95% confidence interval for alpha
    -0.84260
  • Upperbound of 95% confidence interval for alpha
    3.18650
  • Treynor index (mean / b)
    -0.20642
  • Jensen alpha (a)
    1.17195
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36142
  • SD
    0.15719
  • Sharpe ratio (Glass type estimate)
    2.29934
  • Sharpe ratio (Hedges UMVUE)
    1.83461
  • df
    4.00000
  • t
    1.48422
  • p
    0.10596
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.21116
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.59589
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.45715
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.12636
  • Statistics related to Sortino ratio
  • Sortino ratio
    78.65740
  • Upside Potential Ratio
    80.20660
  • Upside part of mean
    0.36854
  • Downside part of mean
    -0.00712
  • Upside SD
    0.17502
  • Downside SD
    0.00459
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.42354
  • Mean of criterion
    0.36142
  • SD of predictor
    0.05370
  • SD of criterion
    0.15719
  • Covariance
    -0.00519
  • r
    -0.61521
  • b (slope, estimate of beta)
    -1.80068
  • a (intercept, estimate of alpha)
    1.12408
  • Mean Square Error
    0.02047
  • DF error
    3.00000
  • t(b)
    -1.35164
  • p(b)
    0.86531
  • t(a)
    1.85422
  • p(a)
    0.08037
  • Lowerbound of 95% confidence interval for beta
    -6.04039
  • Upperbound of 95% confidence interval for beta
    2.43903
  • Lowerbound of 95% confidence interval for alpha
    -0.80520
  • Upperbound of 95% confidence interval for alpha
    3.05336
  • Treynor index (mean / b)
    -0.20072
  • Jensen alpha (a)
    1.12408
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04354
  • Expected Shortfall on VaR
    0.06137
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00067
  • Expected Shortfall on VaR
    0.00167
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.99936
  • Quartile 1
    1.00471
  • Median
    1.01323
  • Quartile 3
    1.03580
  • Maximum
    1.11611
  • Mean of quarter 1
    1.00203
  • Mean of quarter 2
    1.01323
  • Mean of quarter 3
    1.03580
  • Mean of quarter 4
    1.11611
  • Inter Quartile Range
    0.03109
  • 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
    1.11611
  • 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
    0.00064
  • Quartile 1
    0.00064
  • Median
    0.00064
  • Quartile 3
    0.00064
  • Maximum
    0.00064
  • 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)
    0.42269
  • Compounded annual return (geometric extrapolation)
    0.47599
  • Calmar ratio (compounded annual return / max draw down)
    743.48500
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    7.75569
  • 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
    0.19661
  • SD
    0.15117
  • Sharpe ratio (Glass type estimate)
    1.30055
  • Sharpe ratio (Hedges UMVUE)
    1.29267
  • df
    124.00000
  • t
    0.89832
  • p
    0.45980
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.54415
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.14018
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54944
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.13478
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.50780
  • Upside Potential Ratio
    10.29550
  • Upside part of mean
    0.80714
  • Downside part of mean
    -0.61054
  • Upside SD
    0.12912
  • Downside SD
    0.07840
  • N nonnegative terms
    63.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    125.00000
  • Mean of predictor
    0.39105
  • Mean of criterion
    0.19661
  • SD of predictor
    0.11899
  • SD of criterion
    0.15117
  • Covariance
    0.00546
  • r
    0.30361
  • b (slope, estimate of beta)
    0.38573
  • a (intercept, estimate of alpha)
    0.04600
  • Mean Square Error
    0.02091
  • DF error
    123.00000
  • t(b)
    3.53404
  • p(b)
    0.30973
  • t(a)
    0.21419
  • p(a)
    0.48771
  • Lowerbound of 95% confidence interval for beta
    0.16968
  • Upperbound of 95% confidence interval for beta
    0.60177
  • Lowerbound of 95% confidence interval for alpha
    -0.37720
  • Upperbound of 95% confidence interval for alpha
    0.46874
  • Treynor index (mean / b)
    0.50970
  • Jensen alpha (a)
    0.04577
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18539
  • SD
    0.14908
  • Sharpe ratio (Glass type estimate)
    1.24357
  • Sharpe ratio (Hedges UMVUE)
    1.23603
  • df
    124.00000
  • t
    0.85896
  • p
    0.46155
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.60061
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.08293
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.60568
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07775
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.34586
  • Upside Potential Ratio
    10.10970
  • Upside part of mean
    0.79897
  • Downside part of mean
    -0.61358
  • Upside SD
    0.12623
  • Downside SD
    0.07903
  • N nonnegative terms
    63.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    125.00000
  • Mean of predictor
    0.38371
  • Mean of criterion
    0.18539
  • SD of predictor
    0.11887
  • SD of criterion
    0.14908
  • Covariance
    0.00536
  • r
    0.30272
  • b (slope, estimate of beta)
    0.37966
  • a (intercept, estimate of alpha)
    0.03971
  • Mean Square Error
    0.02035
  • DF error
    123.00000
  • t(b)
    3.52256
  • p(b)
    0.31027
  • t(a)
    0.18854
  • p(a)
    0.48918
  • Lowerbound of 95% confidence interval for beta
    0.16631
  • Upperbound of 95% confidence interval for beta
    0.59300
  • Lowerbound of 95% confidence interval for alpha
    -0.37724
  • Upperbound of 95% confidence interval for alpha
    0.45667
  • Treynor index (mean / b)
    0.48832
  • Jensen alpha (a)
    0.03971
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01434
  • Expected Shortfall on VaR
    0.01812
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00533
  • Expected Shortfall on VaR
    0.01053
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    125.00000
  • Minimum
    0.97007
  • Quartile 1
    0.99711
  • Median
    1.00023
  • Quartile 3
    1.00385
  • Maximum
    1.06855
  • Mean of quarter 1
    0.99212
  • Mean of quarter 2
    0.99896
  • Mean of quarter 3
    1.00170
  • Mean of quarter 4
    1.01093
  • Inter Quartile Range
    0.00675
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02400
  • Mean of outliers low
    0.98013
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03200
  • Mean of outliers high
    1.03308
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04304
  • VaR(95%) (moments method)
    0.00699
  • Expected Shortfall (moments method)
    0.00936
  • Extreme Value Index (regression method)
    0.01706
  • VaR(95%) (regression method)
    0.00876
  • Expected Shortfall (regression method)
    0.01249
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00032
  • Quartile 1
    0.00368
  • Median
    0.00846
  • Quartile 3
    0.02188
  • Maximum
    0.06830
  • Mean of quarter 1
    0.00121
  • Mean of quarter 2
    0.00720
  • Mean of quarter 3
    0.01065
  • Mean of quarter 4
    0.05551
  • Inter Quartile Range
    0.01820
  • 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
    0.18182
  • Mean of outliers high
    0.06736
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1426.14000
  • VaR(95%) (moments method)
    0.05569
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -5.19363
  • VaR(95%) (regression method)
    0.14122
  • Expected Shortfall (regression method)
    0.14124
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22453
  • Compounded annual return (geometric extrapolation)
    0.23776
  • Calmar ratio (compounded annual return / max draw down)
    3.48097
  • Compounded annual return / average of 25% largest draw downs
    4.28311
  • Compounded annual return / Expected Shortfall lognormal
    13.12220
  • 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)
    0.01400
  • 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?
    -388121000
  • Max Equity Drawdown (num days)
    77

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-10-03
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 6.2%
Rank # 
#466
# Trades
166
# Profitable
102
% Profitable
61.4%
Net Dividends
$2
Correlation S&P500
0.281
Sharpe Ratio
0.70
Sortino Ratio
1.30
Beta
0.35
Alpha
0.01
Leverage
1.11 Average
2.96 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.