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

Mikron
(134661688)

Created by: Andrea_Canto Andrea_Canto
Started: 03/2021
Stocks
Last trade: 679 days ago
Trading style: Equity Trend-following

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 $80.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
-2.4%
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.

(32.1%)
Max Drawdown
66
Num Trades
37.9%
Win Trades
1.0 : 1
Profit Factor
18.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021              +6.2%+5.3%(10.7%)+7.3%(2.2%)+31.2%(13.1%)(4.8%)+17.9%(19.2%)+8.4%
2022+5.9%+6.0%(2.7%)(7.1%)(11.6%)  -    -    -    -    -    -    -  (10.4%)
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

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 48 hours.

Trading Record

This strategy has placed 4 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 930 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/13/22 10:02 MU MICRON TECHNOLOGY LONG 360 71.93 5/19 13:10 69.54 3.58%
Trade id #140466080
Max drawdown($874)
Time5/19/22 13:10
Quant open360
Worst price69.50
Drawdown as % of equity-3.58%
($867)
Includes Typical Broker Commissions trade costs of $7.20
5/10/22 11:04 MU MICRON TECHNOLOGY SHORT 190 68.27 5/13 10:02 70.44 1.94%
Trade id #140427271
Max drawdown($495)
Time5/11/22 0:00
Quant open190
Worst price70.88
Drawdown as % of equity-1.94%
($416)
Includes Typical Broker Commissions trade costs of $3.80
5/10/22 11:04 MU MICRON TECHNOLOGY LONG 190 68.35 5/10 11:04 68.25 0.07%
Trade id #140427244
Max drawdown($19)
Time5/10/22 11:04
Quant open190
Worst price68.25
Drawdown as % of equity-0.07%
($23)
Includes Typical Broker Commissions trade costs of $3.80
5/6/22 11:22 MU MICRON TECHNOLOGY LONG 380 71.86 5/6 15:08 69.69 3.18%
Trade id #140394462
Max drawdown($824)
Time5/6/22 15:08
Quant open380
Worst price69.69
Drawdown as % of equity-3.18%
($833)
Includes Typical Broker Commissions trade costs of $7.60
5/6/22 9:49 MU MICRON TECHNOLOGY SHORT 400 69.66 5/6 11:22 71.85 3.22%
Trade id #140392148
Max drawdown($900)
Time5/6/22 11:22
Quant open400
Worst price71.91
Drawdown as % of equity-3.22%
($884)
Includes Typical Broker Commissions trade costs of $8.00
4/28/22 13:39 MU MICRON TECHNOLOGY LONG 400 70.54 5/6 9:47 69.69 1.5%
Trade id #140303032
Max drawdown($419)
Time5/6/22 9:47
Quant open400
Worst price69.49
Drawdown as % of equity-1.50%
($347)
Includes Typical Broker Commissions trade costs of $8.00
4/21/22 15:03 MU MICRON TECHNOLOGY SHORT 195 70.98 4/28 13:39 69.63 0.23%
Trade id #140218424
Max drawdown($62)
Time4/21/22 15:53
Quant open195
Worst price71.30
Drawdown as % of equity-0.23%
$259
Includes Typical Broker Commissions trade costs of $3.90
4/19/22 11:39 MU MICRON TECHNOLOGY LONG 390 73.18 4/21 14:59 70.95 3.17%
Trade id #140184276
Max drawdown($877)
Time4/21/22 14:59
Quant open390
Worst price70.93
Drawdown as % of equity-3.17%
($878)
Includes Typical Broker Commissions trade costs of $7.80
4/1/22 11:42 MU MICRON TECHNOLOGY SHORT 360 74.76 4/19 11:39 74.33 2.2%
Trade id #139993680
Max drawdown($615)
Time4/4/22 0:00
Quant open180
Worst price78.18
Drawdown as % of equity-2.20%
$148
Includes Typical Broker Commissions trade costs of $7.20
3/30/22 9:30 MU MICRON TECHNOLOGY LONG 380 85.62 4/1 11:42 74.70 14.41%
Trade id #139964102
Max drawdown($4,153)
Time4/1/22 11:42
Quant open380
Worst price74.69
Drawdown as % of equity-14.41%
($4,158)
Includes Typical Broker Commissions trade costs of $7.60
3/23/22 13:55 MU MICRON TECHNOLOGY LONG 445 75.69 3/28 12:00 78.00 0.76%
Trade id #139893708
Max drawdown($249)
Time3/25/22 0:00
Quant open445
Worst price75.13
Drawdown as % of equity-0.76%
$1,019
Includes Typical Broker Commissions trade costs of $8.90
3/16/22 9:30 MU MICRON TECHNOLOGY LONG 445 77.59 3/23 13:48 75.12 3.44%
Trade id #139801491
Max drawdown($1,114)
Time3/23/22 13:48
Quant open445
Worst price75.09
Drawdown as % of equity-3.44%
($1,110)
Includes Typical Broker Commissions trade costs of $8.90
3/14/22 10:32 MU MICRON TECHNOLOGY SHORT 170 71.58 3/16 9:30 76.49 2.9%
Trade id #139771000
Max drawdown($963)
Time3/16/22 9:30
Quant open170
Worst price77.25
Drawdown as % of equity-2.90%
($838)
Includes Typical Broker Commissions trade costs of $3.40
3/4/22 9:30 MU MICRON TECHNOLOGY SHORT 340 86.70 3/14 9:30 74.97 0.24%
Trade id #139646642
Max drawdown($71)
Time3/4/22 9:36
Quant open340
Worst price86.91
Drawdown as % of equity-0.24%
$3,980
Includes Typical Broker Commissions trade costs of $6.80
3/2/22 10:00 MU MICRON TECHNOLOGY LONG 340 89.07 3/4 9:30 86.90 2.82%
Trade id #139608608
Max drawdown($856)
Time3/4/22 9:30
Quant open340
Worst price86.55
Drawdown as % of equity-2.82%
($745)
Includes Typical Broker Commissions trade costs of $6.80
2/23/22 15:04 MU MICRON TECHNOLOGY SHORT 350 87.52 3/2 10:00 89.10 3.4%
Trade id #139513450
Max drawdown($1,036)
Time2/25/22 0:00
Quant open350
Worst price90.48
Drawdown as % of equity-3.40%
($560)
Includes Typical Broker Commissions trade costs of $7.00
2/22/22 9:44 MU MICRON TECHNOLOGY LONG 170 91.43 2/23 14:23 87.86 1.97%
Trade id #139487673
Max drawdown($609)
Time2/23/22 14:23
Quant open170
Worst price87.84
Drawdown as % of equity-1.97%
($609)
Includes Typical Broker Commissions trade costs of $3.40
1/31/22 15:55 MU MICRON TECHNOLOGY LONG 345 81.95 2/18 11:03 90.75 2.55%
Trade id #139180747
Max drawdown($727)
Time2/4/22 0:00
Quant open345
Worst price79.84
Drawdown as % of equity-2.55%
$3,029
Includes Typical Broker Commissions trade costs of $6.90
1/18/22 12:27 MU MICRON TECHNOLOGY SHORT 270 93.82 1/31 15:55 81.95 1.01%
Trade id #138992425
Max drawdown($259)
Time1/19/22 0:00
Quant open270
Worst price94.78
Drawdown as % of equity-1.01%
$3,200
Includes Typical Broker Commissions trade costs of $5.40
1/12/22 9:33 MU MICRON TECHNOLOGY LONG 270 95.75 1/18 12:06 93.87 2.08%
Trade id #138917285
Max drawdown($531)
Time1/12/22 11:06
Quant open270
Worst price93.78
Drawdown as % of equity-2.08%
($513)
Includes Typical Broker Commissions trade costs of $5.40
1/10/22 9:56 MU MICRON TECHNOLOGY SHORT 285 93.20 1/12 9:31 95.77 3.27%
Trade id #138886428
Max drawdown($863)
Time1/12/22 9:31
Quant open285
Worst price96.23
Drawdown as % of equity-3.27%
($738)
Includes Typical Broker Commissions trade costs of $5.70
1/3/22 9:31 MU MICRON TECHNOLOGY LONG 285 94.50 1/10 9:56 93.18 1.44%
Trade id #138787342
Max drawdown($390)
Time1/10/22 9:56
Quant open285
Worst price93.13
Drawdown as % of equity-1.44%
($382)
Includes Typical Broker Commissions trade costs of $5.70
12/21/21 9:30 MU MICRON TECHNOLOGY LONG 320 88.88 12/31 15:53 93.10 1.74%
Trade id #138650969
Max drawdown($489)
Time12/21/21 9:36
Quant open320
Worst price87.35
Drawdown as % of equity-1.74%
$1,344
Includes Typical Broker Commissions trade costs of $6.40
12/14/21 10:14 MU MICRON TECHNOLOGY SHORT 960 85.11 12/21 9:30 86.91 5.81%
Trade id #138574878
Max drawdown($1,636)
Time12/21/21 9:30
Quant open350
Worst price89.79
Drawdown as % of equity-5.81%
($1,746)
Includes Typical Broker Commissions trade costs of $19.20
12/14/21 9:31 MU MICRON TECHNOLOGY SHORT 350 83.15 12/14 10:08 84.59 1.95%
Trade id #138572688
Max drawdown($560)
Time12/14/21 10:01
Quant open350
Worst price84.75
Drawdown as % of equity-1.95%
($511)
Includes Typical Broker Commissions trade costs of $7.00
12/7/21 9:30 MU MICRON TECHNOLOGY LONG 350 84.99 12/14 9:30 83.41 2.53%
Trade id #138488208
Max drawdown($728)
Time12/14/21 9:30
Quant open350
Worst price82.91
Drawdown as % of equity-2.53%
($560)
Includes Typical Broker Commissions trade costs of $7.00
12/6/21 9:58 MU MICRON TECHNOLOGY SHORT 385 81.06 12/7 9:30 84.84 6.47%
Trade id #138471839
Max drawdown($1,917)
Time12/7/21 0:00
Quant open385
Worst price86.04
Drawdown as % of equity-6.47%
($1,463)
Includes Typical Broker Commissions trade costs of $7.70
12/3/21 9:30 MU MICRON TECHNOLOGY LONG 400 83.90 12/6 9:37 80.54 4.41%
Trade id #138443174
Max drawdown($1,348)
Time12/6/21 9:37
Quant open400
Worst price80.53
Drawdown as % of equity-4.41%
($1,352)
Includes Typical Broker Commissions trade costs of $8.00
12/2/21 10:21 MU MICRON TECHNOLOGY SHORT 410 81.50 12/3 9:30 84.02 3.64%
Trade id #138429372
Max drawdown($1,164)
Time12/3/21 0:00
Quant open410
Worst price84.34
Drawdown as % of equity-3.64%
($1,041)
Includes Typical Broker Commissions trade costs of $8.20
11/29/21 11:23 MU MICRON TECHNOLOGY LONG 400 85.11 12/2 10:21 81.50 4.27%
Trade id #138377061
Max drawdown($1,452)
Time12/2/21 10:21
Quant open400
Worst price81.47
Drawdown as % of equity-4.27%
($1,450)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    3/16/2021
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1102.45
  • Age
    37 months ago
  • What it trades
    Stocks
  • # Trades
    66
  • # Profitable
    25
  • % Profitable
    37.90%
  • Avg trade duration
    6.1 days
  • Max peak-to-valley drawdown
    32.13%
  • drawdown period
    Nov 24, 2021 - May 19, 2022
  • Annual Return (Compounded)
    -2.4%
  • Avg win
    $1,486
  • Avg loss
    $870.54
  • Model Account Values (Raw)
  • Cash
    $26,449
  • Margin Used
    $0
  • Buying Power
    $26,449
  • Ratios
  • W:L ratio
    1.04:1
  • Sharpe Ratio
    -0.04
  • Sortino Ratio
    -0.06
  • Calmar Ratio
    0.147
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -0.86%
  • Correlation to SP500
    -0.02560
  • Return Percent SP500 (cumu) during strategy life
    32.59%
  • Return Statistics
  • Ann Return (w trading costs)
    -2.4%
  • Slump
  • Current Slump as Pcnt Equity
    47.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.77%
  • 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)
    -0.024%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    79.00%
  • Chance of 20% account loss
    42.50%
  • Chance of 30% account loss
    19.00%
  • Chance of 40% account loss
    3.00%
  • 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)
    279
  • 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
    $871
  • Avg Win
    $1,487
  • Sum Trade PL (losers)
    $35,692.000
  • Age
  • Num Months filled monthly returns table
    37
  • Win / Loss
  • Sum Trade PL (winners)
    $37,169.000
  • # Winners
    25
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    -26
  • Win / Loss
  • # Losers
    41
  • % Winners
    37.9%
  • Frequency
  • Avg Position Time (mins)
    8781.08
  • Avg Position Time (hrs)
    146.35
  • Avg Trade Length
    6.1 days
  • Last Trade Ago
    675
  • Leverage
  • Daily leverage (average)
    0.94
  • Daily leverage (max)
    9.54
  • Regression
  • Alpha
    -0.00
  • Beta
    -0.03
  • Treynor Index
    0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.33
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -9.597
  • 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
    0.273
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.075
  • Hold-and-Hope Ratio
    -0.104
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12765
  • SD
    0.39644
  • Sharpe ratio (Glass type estimate)
    0.32198
  • Sharpe ratio (Hedges UMVUE)
    0.30298
  • df
    13.00000
  • t
    0.34778
  • p
    0.43897
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.50280
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13459
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51533
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12128
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.53568
  • Upside Potential Ratio
    2.74463
  • Upside part of mean
    0.65401
  • Downside part of mean
    -0.52637
  • Upside SD
    0.30085
  • Downside SD
    0.23829
  • N nonnegative terms
    8.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    -0.02725
  • Mean of criterion
    0.12765
  • SD of predictor
    0.13820
  • SD of criterion
    0.39644
  • Covariance
    0.01700
  • r
    0.31028
  • b (slope, estimate of beta)
    0.89010
  • a (intercept, estimate of alpha)
    0.15190
  • Mean Square Error
    0.15387
  • DF error
    12.00000
  • t(b)
    1.13066
  • p(b)
    0.34486
  • t(a)
    0.41755
  • p(a)
    0.44016
  • Lowerbound of 95% confidence interval for beta
    -0.82515
  • Upperbound of 95% confidence interval for beta
    2.60536
  • Lowerbound of 95% confidence interval for alpha
    -0.64074
  • Upperbound of 95% confidence interval for alpha
    0.94454
  • Treynor index (mean / b)
    0.14341
  • Jensen alpha (a)
    0.15190
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05629
  • SD
    0.38849
  • Sharpe ratio (Glass type estimate)
    0.14489
  • Sharpe ratio (Hedges UMVUE)
    0.13634
  • df
    13.00000
  • t
    0.15650
  • p
    0.47240
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.67326
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95760
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.67899
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95167
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.22328
  • Upside Potential Ratio
    2.42754
  • Upside part of mean
    0.61199
  • Downside part of mean
    -0.55570
  • Upside SD
    0.27722
  • Downside SD
    0.25210
  • N nonnegative terms
    8.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    -0.03639
  • Mean of criterion
    0.05629
  • SD of predictor
    0.14178
  • SD of criterion
    0.38849
  • Covariance
    0.01784
  • r
    0.32381
  • b (slope, estimate of beta)
    0.88728
  • a (intercept, estimate of alpha)
    0.08858
  • Mean Square Error
    0.14636
  • DF error
    12.00000
  • t(b)
    1.18560
  • p(b)
    0.33809
  • t(a)
    0.24935
  • p(a)
    0.46410
  • Lowerbound of 95% confidence interval for beta
    -0.74330
  • Upperbound of 95% confidence interval for beta
    2.51787
  • Lowerbound of 95% confidence interval for alpha
    -0.68541
  • Upperbound of 95% confidence interval for alpha
    0.86256
  • Treynor index (mean / b)
    0.06344
  • Jensen alpha (a)
    0.08858
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16454
  • Expected Shortfall on VaR
    0.20211
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09448
  • Expected Shortfall on VaR
    0.15599
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.87040
  • Quartile 1
    0.89950
  • Median
    1.03813
  • Quartile 3
    1.09300
  • Maximum
    1.23380
  • Mean of quarter 1
    0.88602
  • Mean of quarter 2
    0.96416
  • Mean of quarter 3
    1.04793
  • Mean of quarter 4
    1.15029
  • Inter Quartile Range
    0.19350
  • 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)
    -0.77379
  • VaR(95%) (moments method)
    0.12315
  • Expected Shortfall (moments method)
    0.12721
  • Extreme Value Index (regression method)
    0.13658
  • VaR(95%) (regression method)
    0.12215
  • Expected Shortfall (regression method)
    0.13638
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.09068
  • Quartile 1
    0.10542
  • Median
    0.13503
  • Quartile 3
    0.17478
  • Maximum
    0.21992
  • Mean of quarter 1
    0.09068
  • Mean of quarter 2
    0.11033
  • Mean of quarter 3
    0.15974
  • Mean of quarter 4
    0.21992
  • Inter Quartile Range
    0.06937
  • 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)
    0.08847
  • Compounded annual return (geometric extrapolation)
    0.08784
  • Calmar ratio (compounded annual return / max draw down)
    0.39943
  • Compounded annual return / average of 25% largest draw downs
    0.39943
  • Compounded annual return / Expected Shortfall lognormal
    0.43462
  • 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
    0.06353
  • SD
    0.29610
  • Sharpe ratio (Glass type estimate)
    0.21455
  • Sharpe ratio (Hedges UMVUE)
    0.21402
  • df
    307.00000
  • t
    0.23262
  • p
    0.40811
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59338
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02216
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.59374
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02179
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.31722
  • Upside Potential Ratio
    8.69547
  • Upside part of mean
    1.74136
  • Downside part of mean
    -1.67783
  • Upside SD
    0.21749
  • Downside SD
    0.20026
  • N nonnegative terms
    154.00000
  • N negative terms
    154.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    308.00000
  • Mean of predictor
    -0.03043
  • Mean of criterion
    0.06353
  • SD of predictor
    0.17118
  • SD of criterion
    0.29610
  • Covariance
    -0.00246
  • r
    -0.04854
  • b (slope, estimate of beta)
    -0.08396
  • a (intercept, estimate of alpha)
    0.05700
  • Mean Square Error
    0.08775
  • DF error
    306.00000
  • t(b)
    -0.85002
  • p(b)
    0.80201
  • t(a)
    0.22315
  • p(a)
    0.41178
  • Lowerbound of 95% confidence interval for beta
    -0.27831
  • Upperbound of 95% confidence interval for beta
    0.11040
  • Lowerbound of 95% confidence interval for alpha
    -0.47669
  • Upperbound of 95% confidence interval for alpha
    0.59863
  • Treynor index (mean / b)
    -0.75667
  • Jensen alpha (a)
    0.06097
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02002
  • SD
    0.29515
  • Sharpe ratio (Glass type estimate)
    0.06783
  • Sharpe ratio (Hedges UMVUE)
    0.06767
  • df
    307.00000
  • t
    0.07355
  • p
    0.47071
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.73991
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87548
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.74003
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87536
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.09829
  • Upside Potential Ratio
    8.43541
  • Upside part of mean
    1.71818
  • Downside part of mean
    -1.69816
  • Upside SD
    0.21294
  • Downside SD
    0.20369
  • N nonnegative terms
    154.00000
  • N negative terms
    154.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    308.00000
  • Mean of predictor
    -0.04509
  • Mean of criterion
    0.02002
  • SD of predictor
    0.17167
  • SD of criterion
    0.29515
  • Covariance
    -0.00239
  • r
    -0.04711
  • b (slope, estimate of beta)
    -0.08099
  • a (intercept, estimate of alpha)
    0.01637
  • Mean Square Error
    0.08721
  • DF error
    306.00000
  • t(b)
    -0.82497
  • p(b)
    0.79499
  • t(a)
    0.06009
  • p(a)
    0.47606
  • Lowerbound of 95% confidence interval for beta
    -0.27417
  • Upperbound of 95% confidence interval for beta
    0.11219
  • Lowerbound of 95% confidence interval for alpha
    -0.51964
  • Upperbound of 95% confidence interval for alpha
    0.55238
  • Treynor index (mean / b)
    -0.24720
  • Jensen alpha (a)
    0.01637
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02947
  • Expected Shortfall on VaR
    0.03682
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01483
  • Expected Shortfall on VaR
    0.02812
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    308.00000
  • Minimum
    0.94408
  • Quartile 1
    0.99138
  • Median
    1.00007
  • Quartile 3
    1.00962
  • Maximum
    1.08953
  • Mean of quarter 1
    0.97862
  • Mean of quarter 2
    0.99598
  • Mean of quarter 3
    1.00459
  • Mean of quarter 4
    1.02221
  • Inter Quartile Range
    0.01824
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.02922
  • Mean of outliers low
    0.95257
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.03247
  • Mean of outliers high
    1.05156
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.24319
  • VaR(95%) (moments method)
    0.02011
  • Expected Shortfall (moments method)
    0.02481
  • Extreme Value Index (regression method)
    -0.24969
  • VaR(95%) (regression method)
    0.02072
  • Expected Shortfall (regression method)
    0.02558
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00027
  • Quartile 1
    0.00365
  • Median
    0.02139
  • Quartile 3
    0.04770
  • Maximum
    0.28299
  • Mean of quarter 1
    0.00201
  • Mean of quarter 2
    0.01122
  • Mean of quarter 3
    0.03174
  • Mean of quarter 4
    0.20799
  • Inter Quartile Range
    0.04405
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.23077
  • Mean of outliers high
    0.20799
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -15.83190
  • VaR(95%) (moments method)
    0.12083
  • Expected Shortfall (moments method)
    0.12083
  • Extreme Value Index (regression method)
    -0.76822
  • VaR(95%) (regression method)
    0.22730
  • Expected Shortfall (regression method)
    0.25502
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04930
  • Compounded annual return (geometric extrapolation)
    0.04909
  • Calmar ratio (compounded annual return / max draw down)
    0.17349
  • Compounded annual return / average of 25% largest draw downs
    0.23605
  • Compounded annual return / Expected Shortfall lognormal
    1.33343
  • 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
    -0.39275
  • SD
    0.34164
  • Sharpe ratio (Glass type estimate)
    -1.14960
  • Sharpe ratio (Hedges UMVUE)
    -1.14295
  • df
    130.00000
  • t
    -0.81289
  • p
    0.53556
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.92275
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62790
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.91824
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63233
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.56482
  • Upside Potential Ratio
    7.29325
  • Upside part of mean
    1.83052
  • Downside part of mean
    -2.22327
  • Upside SD
    0.23113
  • Downside SD
    0.25099
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.38543
  • Mean of criterion
    -0.39275
  • SD of predictor
    0.22762
  • SD of criterion
    0.34164
  • Covariance
    -0.00498
  • r
    -0.06401
  • b (slope, estimate of beta)
    -0.09608
  • a (intercept, estimate of alpha)
    -0.42978
  • Mean Square Error
    0.11714
  • DF error
    129.00000
  • t(b)
    -0.72855
  • p(b)
    0.54073
  • t(a)
    -0.88307
  • p(a)
    0.54930
  • Lowerbound of 95% confidence interval for beta
    -0.35701
  • Upperbound of 95% confidence interval for beta
    0.16484
  • Lowerbound of 95% confidence interval for alpha
    -1.39272
  • Upperbound of 95% confidence interval for alpha
    0.53315
  • Treynor index (mean / b)
    4.08774
  • Jensen alpha (a)
    -0.42978
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.45100
  • SD
    0.34178
  • Sharpe ratio (Glass type estimate)
    -1.31954
  • Sharpe ratio (Hedges UMVUE)
    -1.31192
  • df
    130.00000
  • t
    -0.93306
  • p
    0.54078
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.09345
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.45932
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.08831
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46447
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.76271
  • Upside Potential Ratio
    7.05226
  • Upside part of mean
    1.80435
  • Downside part of mean
    -2.25535
  • Upside SD
    0.22636
  • Downside SD
    0.25585
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.41151
  • Mean of criterion
    -0.45100
  • SD of predictor
    0.22836
  • SD of criterion
    0.34178
  • Covariance
    -0.00493
  • r
    -0.06318
  • b (slope, estimate of beta)
    -0.09456
  • a (intercept, estimate of alpha)
    -0.48991
  • Mean Square Error
    0.11725
  • DF error
    129.00000
  • t(b)
    -0.71897
  • p(b)
    0.54019
  • t(a)
    -1.00541
  • p(a)
    0.55606
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    -0.35476
  • Upperbound of 95% confidence interval for beta
    0.16565
  • Lowerbound of 95% confidence interval for alpha
    -1.45398
  • Upperbound of 95% confidence interval for alpha
    0.47417
  • Treynor index (mean / b)
    4.76968
  • Jensen alpha (a)
    -0.48991
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03580
  • Expected Shortfall on VaR
    0.04424
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02036
  • Expected Shortfall on VaR
    0.03701
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94408
  • Quartile 1
    0.98886
  • Median
    0.99870
  • Quartile 3
    1.00928
  • Maximum
    1.07580
  • Mean of quarter 1
    0.97285
  • Mean of quarter 2
    0.99377
  • Mean of quarter 3
    1.00433
  • Mean of quarter 4
    1.02365
  • Inter Quartile Range
    0.02042
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.94832
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.04998
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.46087
  • VaR(95%) (moments method)
    0.02606
  • Expected Shortfall (moments method)
    0.03042
  • Extreme Value Index (regression method)
    -0.69158
  • VaR(95%) (regression method)
    0.02956
  • Expected Shortfall (regression method)
    0.03324
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00123
  • Quartile 1
    0.07167
  • Median
    0.14211
  • Quartile 3
    0.21255
  • Maximum
    0.28299
  • Mean of quarter 1
    0.00123
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.28299
  • Inter Quartile Range
    0.14088
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -331420000
  • Max Equity Drawdown (num days)
    176
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.38133
  • Compounded annual return (geometric extrapolation)
    -0.34498
  • Calmar ratio (compounded annual return / max draw down)
    -1.21905
  • Compounded annual return / average of 25% largest draw downs
    -1.21905
  • Compounded annual return / Expected Shortfall lognormal
    -7.79839

Strategy Description

Mikron strategy is a mechanical trading system that trades only Micron Technology (MU) stock, both on long and short side.

Mikron is a swing trading system and the holding period of each trade can range from some days to some weeks.

Mikron uses stop losses and when a stop is triggered the system reverses its position (i.e. from long to short).

Summary Statistics

Strategy began
2021-03-16
Suggested Minimum Capital
$5,000
# Trades
66
# Profitable
25
% Profitable
37.9%
Net Dividends
Correlation S&P500
-0.026
Sharpe Ratio
-0.04
Sortino Ratio
-0.06
Beta
-0.03
Alpha
-0.00
Leverage
0.94 Average
9.54 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.