Collective2 Collective2
Featured Strategy IC Algotrading +99.3% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Quanatee US500
(147105107)

Created by: Quanatee Quanatee
Started: 01/2024
Stocks
Last trade: Today
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 $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.

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.
-4.2%
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.

(5.1%)
Max Drawdown
1763
Num Trades
34.7%
Win Trades
0.9 : 1
Profit Factor
20.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024(0.6%)(2.7%)(0.2%)+0.4%(1%)                                          (4.2%)

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

This strategy has placed 853 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 59 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/2/24 12:27 ENPH ENPHASE ENERGY SHORT 2 103.87 5/3 11:26 109.19 0.01%
Trade id #148075697
Max drawdown($2)
Time5/2/24 16:00
Quant open1
Worst price106.53
Drawdown as % of equity-0.01%
 ($11)
Includes Typical Broker Commissions trade costs of $0.04
5/2/24 12:26 ICE INTERCONTINENTALEXCHANGE SHORT 1 126.51 5/3 11:26 131.11 0%
Trade id #148075683
Max drawdown($0)
Time5/2/24 14:49
Quant open1
Worst price126.65
Drawdown as % of equity-0.00%
 ($5)
Includes Typical Broker Commissions trade costs of $0.02
5/2/24 12:26 QCOM QUALCOMM LONG 1 177.11 5/3 11:26 178.40 0%
Trade id #148075681
Max drawdown($1)
Time5/2/24 12:39
Quant open1
Worst price175.83
Drawdown as % of equity-0.00%
 $1
Includes Typical Broker Commissions trade costs of $0.02
5/2/24 12:26 MCHP MICROCHIP TECHNOLOGY SHORT 1 88.45 5/3 11:26 91.25 0%
Trade id #148075679
Max drawdown($1)
Time5/2/24 15:10
Quant open1
Worst price90.19
Drawdown as % of equity-0.00%
 ($3)
Includes Typical Broker Commissions trade costs of $0.02
5/2/24 11:27 MDLZ MONDELEZ INTERNATIONAL SHORT 1 70.68 5/3 11:26 69.74 0%
Trade id #148074159
Max drawdown($0)
Time5/2/24 15:11
Quant open1
Worst price71.16
Drawdown as % of equity-0.00%
 $1
Includes Typical Broker Commissions trade costs of $0.02
5/2/24 11:27 NXPI NXP SEMICONDUCTOR SHORT 1 250.47 5/3 11:26 259.47 0.01%
Trade id #148074153
Max drawdown($4)
Time5/2/24 15:22
Quant open1
Worst price255.39
Drawdown as % of equity-0.01%
 ($9)
Includes Typical Broker Commissions trade costs of $0.02
5/2/24 11:27 ANSS ANSYS SHORT 1 313.72 5/3 11:26 321.57 0.01%
Trade id #148074149
Max drawdown($2)
Time5/2/24 15:23
Quant open1
Worst price316.09
Drawdown as % of equity-0.01%
 ($8)
Includes Typical Broker Commissions trade costs of $0.02
5/2/24 11:27 BBWI BATH & BODY WORKS INC SHORT 1 43.39 5/3 11:26 45.07 0%
Trade id #148074127
Max drawdown($0)
Time5/2/24 14:41
Quant open1
Worst price44.37
Drawdown as % of equity-0.00%
 ($2)
Includes Typical Broker Commissions trade costs of $0.02
5/2/24 11:27 NWS NEWS CORPORATION SHORT 3 24.67 5/3 11:26 24.93 0%
Trade id #148074125
Max drawdown($0)
Time5/2/24 13:12
Quant open3
Worst price24.81
Drawdown as % of equity-0.00%
 ($1)
Includes Typical Broker Commissions trade costs of $0.06
5/2/24 11:27 REG REGENCY CENTERS LONG 1 59.98 5/3 11:26 58.72 0%
Trade id #148074116
Max drawdown($0)
Time5/2/24 15:50
Quant open1
Worst price59.78
Drawdown as % of equity-0.00%
 ($1)
Includes Typical Broker Commissions trade costs of $0.02
5/2/24 11:27 PTC PTC INC. COMMON STOCK SHORT 1 175.03 5/3 11:26 174.61 0%
Trade id #148074108
Max drawdown($0)
Time5/2/24 11:57
Quant open1
Worst price176.02
Drawdown as % of equity-0.00%
 $0
Includes Typical Broker Commissions trade costs of $0.02
5/2/24 11:27 XOM EXXON MOBIL SHORT 1 116.46 5/3 11:26 114.89 0%
Trade id #148074099
Max drawdown($0)
Time5/2/24 15:08
Quant open1
Worst price116.70
Drawdown as % of equity-0.00%
 $2
Includes Typical Broker Commissions trade costs of $0.02
5/2/24 11:27 DLR DIGITAL REALTY TRUST SHORT 1 138.25 5/3 11:26 147.90 0.01%
Trade id #148074073
Max drawdown($2)
Time5/2/24 15:07
Quant open1
Worst price140.97
Drawdown as % of equity-0.01%
 ($10)
Includes Typical Broker Commissions trade costs of $0.02
5/1/24 14:13 MCO MOODY'S SHORT 1 372.54 5/3 11:26 378.74 0.01%
Trade id #148065395
Max drawdown($5)
Time5/2/24 0:00
Quant open1
Worst price377.65
Drawdown as % of equity-0.01%
 ($6)
Includes Typical Broker Commissions trade costs of $0.02
5/1/24 14:13 HES HESS SHORT 1 155.26 5/3 11:26 155.72 0.01%
Trade id #148065387
Max drawdown($5)
Time5/2/24 0:00
Quant open1
Worst price160.31
Drawdown as % of equity-0.01%
 $0
Includes Typical Broker Commissions trade costs of $0.02
5/1/24 14:13 SCHW CHARLES SCHWAB SHORT 1 74.05 5/3 11:26 75.25 0%
Trade id #148065383
Max drawdown($1)
Time5/2/24 0:00
Quant open1
Worst price75.47
Drawdown as % of equity-0.00%
 ($1)
Includes Typical Broker Commissions trade costs of $0.02
5/1/24 14:13 GNRC GENERAC HOLDINGS SHORT 1 128.42 5/3 11:26 132.66 0.01%
Trade id #148065389
Max drawdown($4)
Time5/1/24 15:00
Quant open1
Worst price133.04
Drawdown as % of equity-0.01%
 ($4)
Includes Typical Broker Commissions trade costs of $0.02
5/1/24 14:13 TER TERADYNE SHORT 1 113.77 5/3 11:26 119.63 0.01%
Trade id #148065377
Max drawdown($3)
Time5/2/24 0:00
Quant open1
Worst price117.60
Drawdown as % of equity-0.01%
 ($6)
Includes Typical Broker Commissions trade costs of $0.02
5/1/24 14:13 ACGL ARCH CAPITAL GROUP LONG 1 95.57 5/3 11:26 93.32 0%
Trade id #148065353
Max drawdown($1)
Time5/2/24 0:00
Quant open1
Worst price94.50
Drawdown as % of equity-0.00%
 ($2)
Includes Typical Broker Commissions trade costs of $0.02
5/1/24 14:13 AXP AMERICAN EXPRESS SHORT 1 232.31 5/3 11:26 230.18 0%
Trade id #148065345
Max drawdown($1)
Time5/1/24 14:48
Quant open1
Worst price233.99
Drawdown as % of equity-0.00%
 $2
Includes Typical Broker Commissions trade costs of $0.02
5/1/24 14:13 EOG EOG RESOURCES SHORT 1 129.02 5/3 11:26 129.11 0.01%
Trade id #148065337
Max drawdown($3)
Time5/2/24 0:00
Quant open1
Worst price132.32
Drawdown as % of equity-0.01%
 $0
Includes Typical Broker Commissions trade costs of $0.02
5/1/24 14:13 SYF SYNCHRONY FINANCIAL SHORT 1 43.81 5/3 11:26 45.72 0%
Trade id #148065323
Max drawdown($1)
Time5/2/24 0:00
Quant open1
Worst price45.36
Drawdown as % of equity-0.00%
 ($2)
Includes Typical Broker Commissions trade costs of $0.02
5/1/24 14:13 CTRA COTERRA ENERGY INC SHORT 2 26.75 5/3 11:26 28.10 0%
Trade id #148065296
Max drawdown($1)
Time5/2/24 0:00
Quant open2
Worst price27.30
Drawdown as % of equity-0.00%
 ($3)
Includes Typical Broker Commissions trade costs of $0.04
4/25/24 10:17 AAL AMERICAN AIRLINES GROUP INC. C SHORT 33 14.11 5/3 11:26 13.75 0.01%
Trade id #148008895
Max drawdown($5)
Time4/25/24 10:25
Quant open33
Worst price14.28
Drawdown as % of equity-0.01%
 $11
Includes Typical Broker Commissions trade costs of $0.66
4/23/24 12:56 AES AES LONG 36 17.31 5/3 11:26 18.48 0.04%
Trade id #147988650
Max drawdown($15)
Time4/24/24 0:00
Quant open36
Worst price16.87
Drawdown as % of equity-0.04%
 $41
Includes Typical Broker Commissions trade costs of $0.72
4/23/24 9:41 GRMN GARMIN LONG 6 141.66 5/3 11:26 145.39 0%
Trade id #147985263
Max drawdown($2)
Time4/23/24 9:44
Quant open5
Worst price141.27
Drawdown as % of equity-0.00%
 $22
Includes Typical Broker Commissions trade costs of $0.12
5/2/24 11:27 NKE NIKE SHORT 1 91.43 5/3 10:27 92.41 0%
Trade id #148074151
Max drawdown($1)
Time5/2/24 14:47
Quant open1
Worst price92.45
Drawdown as % of equity-0.00%
 ($1)
Includes Typical Broker Commissions trade costs of $0.02
5/2/24 11:27 AAPL APPLE SHORT 1 171.66 5/3 10:27 183.87 0%
Trade id #148074135
Max drawdown($1)
Time5/2/24 16:00
Quant open1
Worst price173.50
Drawdown as % of equity-0.00%
 ($12)
Includes Typical Broker Commissions trade costs of $0.02
5/2/24 11:27 KMI KINDER MORGAN SHORT 2 18.29 5/3 10:27 18.42 0%
Trade id #148074112
Max drawdown($0)
Time5/2/24 14:58
Quant open2
Worst price18.58
Drawdown as % of equity-0.00%
 $0
Includes Typical Broker Commissions trade costs of $0.04
5/2/24 11:27 EQR EQUITY RESIDENTIAL SHORT 2 64.51 5/3 10:27 65.19 0%
Trade id #148074095
Max drawdown($1)
Time5/2/24 15:59
Quant open1
Worst price65.67
Drawdown as % of equity-0.00%
 ($1)
Includes Typical Broker Commissions trade costs of $0.04
Next

Statistics

  • Strategy began
    1/23/2024
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    101.03
  • Age
    101 days ago
  • What it trades
    Stocks
  • # Trades
    1763
  • # Profitable
    612
  • % Profitable
    34.70%
  • Avg trade duration
    5.3 days
  • Max peak-to-valley drawdown
    5.14%
  • drawdown period
    Jan 24, 2024 - March 26, 2024
  • Cumul. Return
    -4.2%
  • Avg win
    $12.24
  • Avg loss
    $7.20
  • Model Account Values (Raw)
  • Cash
    $73,456
  • Margin Used
    $45,704
  • Buying Power
    $27,634
  • Ratios
  • W:L ratio
    0.92:1
  • Sharpe Ratio
    -2.02
  • Sortino Ratio
    -2.61
  • Calmar Ratio
    -1.861
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -9.63%
  • Correlation to SP500
    -0.18390
  • Return Percent SP500 (cumu) during strategy life
    5.27%
  • Verified
  • C2Star
    1
  • Return Statistics
  • Ann Return (w trading costs)
    -13.8%
  • Slump
  • Current Slump as Pcnt Equity
    4.00%
  • 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)
    -0.042%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -6.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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
    99.87%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    402
  • Popularity (Last 6 weeks)
    826
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    934
  • Popularity (7 days, Percentile 1000 scale)
    513
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $7
  • Avg Win
    $12
  • Sum Trade PL (losers)
    $8,363.000
  • Age
  • Num Months filled monthly returns table
    5
  • Win / Loss
  • Sum Trade PL (winners)
    $7,497.000
  • # Winners
    613
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    20
  • Win / Loss
  • # Losers
    1150
  • % Winners
    34.8%
  • Frequency
  • Avg Position Time (mins)
    7678.62
  • Avg Position Time (hrs)
    127.98
  • Avg Trade Length
    5.3 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.99
  • Daily leverage (max)
    2.70
  • Regression
  • Alpha
    -0.04
  • Beta
    -0.09
  • Treynor Index
    0.45
  • 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)
    -0.79
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -11.070
  • 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
    0.373
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.327
  • Hold-and-Hope Ratio
    -0.081
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02232
  • SD
    0.06621
  • Sharpe ratio (Glass type estimate)
    -0.33706
  • Sharpe ratio (Hedges UMVUE)
    -0.19017
  • df
    2.00000
  • t
    -0.16853
  • p
    0.55917
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.23099
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63283
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.11452
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.73419
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.54931
  • Upside Potential Ratio
    1.78413
  • Upside part of mean
    0.07248
  • Downside part of mean
    -0.09480
  • Upside SD
    0.03624
  • Downside SD
    0.04063
  • N nonnegative terms
    1.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.14575
  • Mean of criterion
    -0.02232
  • SD of predictor
    0.13227
  • SD of criterion
    0.06621
  • Covariance
    -0.00862
  • r
    -0.98482
  • b (slope, estimate of beta)
    -0.49296
  • a (intercept, estimate of alpha)
    0.04953
  • Mean Square Error
    0.00026
  • DF error
    1.00000
  • t(b)
    -5.67382
  • p(b)
    0.94447
  • t(a)
    1.41987
  • p(a)
    0.19531
  • Lowerbound of 95% confidence interval for beta
    -1.59692
  • Upperbound of 95% confidence interval for beta
    0.61100
  • Lowerbound of 95% confidence interval for alpha
    -0.39371
  • Upperbound of 95% confidence interval for alpha
    0.49277
  • Treynor index (mean / b)
    0.04527
  • Jensen alpha (a)
    0.04953
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02374
  • SD
    0.06609
  • Sharpe ratio (Glass type estimate)
    -0.35922
  • Sharpe ratio (Hedges UMVUE)
    -0.20267
  • df
    2.00000
  • t
    -0.17961
  • p
    0.56300
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.25218
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.61470
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.12762
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.72229
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.58008
  • Upside Potential Ratio
    1.75100
  • Upside part of mean
    0.07167
  • Downside part of mean
    -0.09541
  • Upside SD
    0.03583
  • Downside SD
    0.04093
  • N nonnegative terms
    1.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.13880
  • Mean of criterion
    -0.02374
  • SD of predictor
    0.13144
  • SD of criterion
    0.06609
  • Covariance
    -0.00854
  • r
    -0.98248
  • b (slope, estimate of beta)
    -0.49403
  • a (intercept, estimate of alpha)
    0.04483
  • Mean Square Error
    0.00030
  • DF error
    1.00000
  • t(b)
    -5.27122
  • p(b)
    0.94032
  • t(a)
    1.20535
  • p(a)
    0.22045
  • Lowerbound of 95% confidence interval for beta
    -1.68487
  • Upperbound of 95% confidence interval for beta
    0.69682
  • Lowerbound of 95% confidence interval for alpha
    -0.42775
  • Upperbound of 95% confidence interval for alpha
    0.51741
  • Treynor index (mean / b)
    0.04806
  • Jensen alpha (a)
    0.04483
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03281
  • Expected Shortfall on VaR
    0.04047
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02094
  • Expected Shortfall on VaR
    0.03078
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.98236
  • Quartile 1
    0.99048
  • Median
    0.99860
  • Quartile 3
    1.00952
  • Maximum
    1.02045
  • Mean of quarter 1
    0.98236
  • Mean of quarter 2
    0.99860
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.02045
  • Inter Quartile Range
    0.01904
  • 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
    0.01902
  • Quartile 1
    0.01902
  • Median
    0.01902
  • Quartile 3
    0.01902
  • Maximum
    0.01902
  • 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)
    0.00417
  • Compounded annual return (geometric extrapolation)
    0.00417
  • Calmar ratio (compounded annual return / max draw down)
    0.21943
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.10312
  • 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
    -0.08783
  • SD
    0.06111
  • Sharpe ratio (Glass type estimate)
    -1.43744
  • Sharpe ratio (Hedges UMVUE)
    -1.42241
  • df
    72.00000
  • t
    -0.75875
  • p
    0.77476
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.15307
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.28797
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.14277
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29795
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.94917
  • Upside Potential Ratio
    6.11475
  • Upside part of mean
    0.27555
  • Downside part of mean
    -0.36338
  • Upside SD
    0.04101
  • Downside SD
    0.04506
  • N nonnegative terms
    24.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    73.00000
  • Mean of predictor
    0.17077
  • Mean of criterion
    -0.08783
  • SD of predictor
    0.12312
  • SD of criterion
    0.06111
  • Covariance
    -0.00118
  • r
    -0.15717
  • b (slope, estimate of beta)
    -0.07801
  • a (intercept, estimate of alpha)
    -0.07500
  • Mean Square Error
    0.00369
  • DF error
    71.00000
  • t(b)
    -1.34104
  • p(b)
    0.90791
  • t(a)
    -0.64484
  • p(a)
    0.73945
  • Lowerbound of 95% confidence interval for beta
    -0.19400
  • Upperbound of 95% confidence interval for beta
    0.03798
  • Lowerbound of 95% confidence interval for alpha
    -0.30492
  • Upperbound of 95% confidence interval for alpha
    0.15589
  • Treynor index (mean / b)
    1.12597
  • Jensen alpha (a)
    -0.07451
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08968
  • SD
    0.06111
  • Sharpe ratio (Glass type estimate)
    -1.46755
  • Sharpe ratio (Hedges UMVUE)
    -1.45221
  • df
    72.00000
  • t
    -0.77465
  • p
    0.77946
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.18339
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.25828
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.17288
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26846
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.98236
  • Upside Potential Ratio
    6.07165
  • Upside part of mean
    0.27468
  • Downside part of mean
    -0.36436
  • Upside SD
    0.04083
  • Downside SD
    0.04524
  • N nonnegative terms
    24.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    73.00000
  • Mean of predictor
    0.16323
  • Mean of criterion
    -0.08968
  • SD of predictor
    0.12307
  • SD of criterion
    0.06111
  • Covariance
    -0.00118
  • r
    -0.15663
  • b (slope, estimate of beta)
    -0.07777
  • a (intercept, estimate of alpha)
    -0.07699
  • Mean Square Error
    0.00369
  • DF error
    71.00000
  • t(b)
    -1.33625
  • p(b)
    0.90713
  • t(a)
    -0.66635
  • p(a)
    0.74633
  • Lowerbound of 95% confidence interval for beta
    -0.19382
  • Upperbound of 95% confidence interval for beta
    0.03828
  • Lowerbound of 95% confidence interval for alpha
    -0.30736
  • Upperbound of 95% confidence interval for alpha
    0.15338
  • Treynor index (mean / b)
    1.15317
  • Jensen alpha (a)
    -0.07699
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00653
  • Expected Shortfall on VaR
    0.00810
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00382
  • Expected Shortfall on VaR
    0.00713
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    73.00000
  • Minimum
    0.98936
  • Quartile 1
    0.99856
  • Median
    0.99966
  • Quartile 3
    1.00062
  • Maximum
    1.01293
  • Mean of quarter 1
    0.99565
  • Mean of quarter 2
    0.99929
  • Mean of quarter 3
    1.00011
  • Mean of quarter 4
    1.00427
  • Inter Quartile Range
    0.00205
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.08219
  • Mean of outliers low
    0.99173
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.12329
  • Mean of outliers high
    1.00640
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.34291
  • VaR(95%) (moments method)
    0.00430
  • Expected Shortfall (moments method)
    0.00784
  • Extreme Value Index (regression method)
    -0.11685
  • VaR(95%) (regression method)
    0.00469
  • Expected Shortfall (regression method)
    0.00631
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02046
  • Quartile 1
    0.02340
  • Median
    0.02633
  • Quartile 3
    0.02926
  • Maximum
    0.03220
  • Mean of quarter 1
    0.02046
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03220
  • Inter Quartile Range
    0.00587
  • 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)
    -0.06125
  • Compounded annual return (geometric extrapolation)
    -0.05991
  • Calmar ratio (compounded annual return / max draw down)
    -1.86059
  • Compounded annual return / average of 25% largest draw downs
    -1.86059
  • Compounded annual return / Expected Shortfall lognormal
    -7.39949
  • 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)
    0.00700
  • 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
    0.75%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -323126000
  • Max Equity Drawdown (num days)
    62

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2024-01-23
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 6.6%
Rank # 
#403
# Trades
1763
# Profitable
612
% Profitable
34.7%
Net Dividends
$20
Correlation S&P500
-0.184
Sharpe Ratio
-2.02
Sortino Ratio
-2.61
Beta
-0.09
Alpha
-0.04
Leverage
0.99 Average
2.70 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.