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Featured Strategy Easiest Rank on Leaderboard #7 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 06/29/2023
Most recent certification approved 6/29/23 10:52 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 437
# trading signals executed in manager's Israel Interactive Trading account 437
Percent signals followed since 06/29/2023 100%
This information was last updated 4/27/24 2:24 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 06/29/2023, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

NYHA
(144997765)

Created by: NYHA NYHA
Started: 06/2023
Stocks
Last trade: 9 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 $100.00 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.

5.7%
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.

(34.3%)
Max Drawdown
197
Num Trades
34.0%
Win Trades
1.1 : 1
Profit Factor
45.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                   (1.5%)+23.6%(15%)(9.2%)(9.3%)+21.0%+27.4%+31.4%
2024(12%)+2.2%+7.3%(16.6%)                                                (19.5%)

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 437 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/15/24 10:19 CUTR CUTERA LONG 3,000 2.20 4/18 13:44 2.21 1.42%
Trade id #147905376
Max drawdown($238)
Time4/15/24 10:29
Quant open1,500
Worst price1.84
Drawdown as % of equity-1.42%
 $17
Includes Typical Broker Commissions trade costs of $7.50
4/12/24 9:30 JD JD.COM INC SHORT 110 25.81 4/18 11:15 25.72 0.24%
Trade id #147884332
Max drawdown($40)
Time4/15/24 0:00
Quant open110
Worst price26.18
Drawdown as % of equity-0.24%
 $8
Includes Typical Broker Commissions trade costs of $2.20
3/18/24 12:20 FCX FREEPORT-MCMORAN INC LONG 140 47.11 4/16 9:34 48.51 0.69%
Trade id #147669127
Max drawdown($118)
Time3/19/24 0:00
Quant open70
Worst price43.35
Drawdown as % of equity-0.69%
 $193
Includes Typical Broker Commissions trade costs of $2.80
4/15/24 9:52 CENX CENTURY ALUMINUM LONG 120 18.23 4/16 9:30 17.00 0.94%
Trade id #147904668
Max drawdown($154)
Time4/16/24 9:30
Quant open120
Worst price16.94
Drawdown as % of equity-0.94%
 ($150)
Includes Typical Broker Commissions trade costs of $2.40
4/8/24 10:11 MANU MANCHESTER UNITED LONG 200 14.98 4/15 14:49 14.44 0.71%
Trade id #147836483
Max drawdown($115)
Time4/15/24 14:49
Quant open200
Worst price14.40
Drawdown as % of equity-0.71%
 ($113)
Includes Typical Broker Commissions trade costs of $4.00
4/8/24 10:49 EXAS EXACT SCIENCES LONG 100 71.26 4/15 14:29 66.94 2.67%
Trade id #147837059
Max drawdown($439)
Time4/15/24 14:29
Quant open100
Worst price66.87
Drawdown as % of equity-2.67%
 ($434)
Includes Typical Broker Commissions trade costs of $2.00
4/15/24 9:52 INSE INSPIRED ENTERTAINMENT INC. LONG 200 10.62 4/15 13:39 10.01 0.97%
Trade id #147904654
Max drawdown($159)
Time4/15/24 13:39
Quant open200
Worst price9.82
Drawdown as % of equity-0.97%
 ($126)
Includes Typical Broker Commissions trade costs of $4.00
3/14/24 11:57 SLB SCHLUMBERGER LONG 56 53.59 4/12 13:21 52.52 0.35%
Trade id #147639848
Max drawdown($60)
Time4/12/24 13:21
Quant open56
Worst price52.52
Drawdown as % of equity-0.35%
 ($61)
Includes Typical Broker Commissions trade costs of $1.12
4/8/24 11:15 SLP SIMULATIONS PLUS LONG 60 49.71 4/12 10:52 46.50 1.09%
Trade id #147837376
Max drawdown($190)
Time4/12/24 10:52
Quant open60
Worst price46.53
Drawdown as % of equity-1.09%
 ($194)
Includes Typical Broker Commissions trade costs of $1.20
4/8/24 11:06 MXL MAXLINEAR INC. COMMON STOCK LONG 125 24.00 4/10 15:50 21.99 1.45%
Trade id #147837276
Max drawdown($253)
Time4/10/24 15:50
Quant open125
Worst price21.97
Drawdown as % of equity-1.45%
 ($254)
Includes Typical Broker Commissions trade costs of $2.50
4/8/24 10:51 OPK OPKO HEALTH LONG 2,150 1.41 4/10 10:50 1.26 1.72%
Trade id #147837081
Max drawdown($318)
Time4/10/24 10:50
Quant open2,150
Worst price1.26
Drawdown as % of equity-1.72%
 ($323)
Includes Typical Broker Commissions trade costs of $5.00
4/2/24 11:18 DTSS DATASEA INC COMMON STOCK LONG 350 8.95 4/5 11:43 8.56 1.04%
Trade id #147784670
Max drawdown($183)
Time4/2/24 14:59
Quant open350
Worst price8.43
Drawdown as % of equity-1.04%
 ($145)
Includes Typical Broker Commissions trade costs of $7.00
4/2/24 11:24 VTSI VIRTRA INC. COMMON STOCK LONG 250 13.70 4/4 15:05 14.53 2.59%
Trade id #147784765
Max drawdown($466)
Time4/2/24 12:58
Quant open250
Worst price11.83
Drawdown as % of equity-2.59%
 $203
Includes Typical Broker Commissions trade costs of $5.00
3/12/24 12:43 AAP ADVANCE AUTO PARTS LONG 80 81.11 4/4 11:37 81.11 0.17%
Trade id #147609934
Max drawdown($29)
Time3/12/24 13:12
Quant open40
Worst price77.23
Drawdown as % of equity-0.17%
 ($2)
Includes Typical Broker Commissions trade costs of $1.60
3/12/24 12:44 XPOF XPONENTIAL FITNESS INC LONG 210 14.43 4/2 14:32 15.64 0.39%
Trade id #147609939
Max drawdown($66)
Time3/19/24 0:00
Quant open210
Worst price14.11
Drawdown as % of equity-0.39%
 $252
Includes Typical Broker Commissions trade costs of $4.20
3/12/24 12:42 JD JD.COM INC LONG 110 27.36 4/1 11:04 27.67 0.76%
Trade id #147609928
Max drawdown($144)
Time3/22/24 0:00
Quant open110
Worst price26.05
Drawdown as % of equity-0.76%
 $33
Includes Typical Broker Commissions trade costs of $2.20
4/1/24 10:22 AVTX AVALO THERAPEUTICS INC. COMMON STOCK LONG 150 19.26 4/1 11:00 17.01 2.17%
Trade id #147772315
Max drawdown($412)
Time4/1/24 10:59
Quant open150
Worst price16.51
Drawdown as % of equity-2.17%
 ($341)
Includes Typical Broker Commissions trade costs of $3.00
4/1/24 9:53 AVTX AVALO THERAPEUTICS INC. COMMON STOCK LONG 150 21.87 4/1 10:11 18.80 2.78%
Trade id #147771789
Max drawdown($527)
Time4/1/24 10:08
Quant open150
Worst price18.36
Drawdown as % of equity-2.78%
 ($464)
Includes Typical Broker Commissions trade costs of $3.00
3/20/24 12:42 SILK SILK ROAD MEDICAL INC. COMMON STOCK LONG 160 19.17 4/1 9:44 17.82 1.17%
Trade id #147695222
Max drawdown($223)
Time4/1/24 9:44
Quant open160
Worst price17.78
Drawdown as % of equity-1.17%
 ($220)
Includes Typical Broker Commissions trade costs of $3.20
3/18/24 12:26 MNSO MINISO GROUP HOLDING LTD LONG 200 20.95 3/26 13:50 20.20 0.82%
Trade id #147670024
Max drawdown($153)
Time3/26/24 13:50
Quant open200
Worst price20.18
Drawdown as % of equity-0.82%
 ($153)
Includes Typical Broker Commissions trade costs of $4.00
3/21/24 10:40 ARRY ARRAY TECHNOLOGIES INC. COMMON STOCK LONG 220 14.46 3/21 11:53 14.04 0.51%
Trade id #147703746
Max drawdown($96)
Time3/21/24 11:53
Quant open220
Worst price14.03
Drawdown as % of equity-0.51%
 ($97)
Includes Typical Broker Commissions trade costs of $4.40
3/12/24 12:37 XPEV XPENG INC LONG 300 10.37 3/20 9:44 9.13 1.97%
Trade id #147609772
Max drawdown($370)
Time3/20/24 9:44
Quant open300
Worst price9.13
Drawdown as % of equity-1.97%
 ($376)
Includes Typical Broker Commissions trade costs of $6.00
3/18/24 12:23 FUSN FUSION PHARMACEUTICALS INC. LONG 400 15.73 3/19 11:52 20.99 0.07%
Trade id #147669429
Max drawdown($12)
Time3/18/24 12:46
Quant open200
Worst price10.41
Drawdown as % of equity-0.07%
 $2,096
Includes Typical Broker Commissions trade costs of $8.00
3/12/24 12:45 OPRA OPERA LIMITED ADS LONG 200 16.10 3/19 9:40 14.77 1.68%
Trade id #147609962
Max drawdown($288)
Time3/19/24 9:40
Quant open200
Worst price14.66
Drawdown as % of equity-1.68%
 ($270)
Includes Typical Broker Commissions trade costs of $4.00
3/18/24 10:31 DLO DLOCAL LIMITED CLASS A COMMON SHARES LONG 170 18.18 3/19 9:30 15.42 2.84%
Trade id #147663196
Max drawdown($487)
Time3/19/24 9:30
Quant open170
Worst price15.31
Drawdown as % of equity-2.84%
 ($473)
Includes Typical Broker Commissions trade costs of $3.40
2/21/24 11:56 HALO HALOZYME THERAPEUTICS LONG 80 38.40 3/14 10:03 40.40 0.24%
Trade id #147399504
Max drawdown($37)
Time2/21/24 12:29
Quant open80
Worst price37.93
Drawdown as % of equity-0.24%
 $158
Includes Typical Broker Commissions trade costs of $1.60
2/28/24 10:37 ABOS ACUMEN PHARMACEUTICALS INC. LONG 500 4.05 3/5 9:34 4.39 0.25%
Trade id #147472444
Max drawdown($45)
Time2/28/24 11:40
Quant open500
Worst price3.96
Drawdown as % of equity-0.25%
 $163
Includes Typical Broker Commissions trade costs of $10.00
2/28/24 11:15 ALB ALBEMARLE LONG 17 132.00 3/5 9:30 121.56 1.04%
Trade id #147473140
Max drawdown($183)
Time3/5/24 9:30
Quant open17
Worst price121.20
Drawdown as % of equity-1.04%
 ($177)
Includes Typical Broker Commissions trade costs of $0.34
2/14/24 15:37 ONON ON HOLDING AG LONG 200 33.43 3/5 9:30 33.71 0.34%
Trade id #147338242
Max drawdown($60)
Time2/16/24 0:00
Quant open100
Worst price31.08
Drawdown as % of equity-0.34%
 $53
Includes Typical Broker Commissions trade costs of $4.00
2/26/24 10:48 RCUS ARCUS BIOSCIENCES INC LONG 150 20.02 3/4 9:33 18.97 1.1%
Trade id #147451224
Max drawdown($197)
Time3/4/24 9:33
Quant open150
Worst price18.70
Drawdown as % of equity-1.10%
 ($160)
Includes Typical Broker Commissions trade costs of $3.00
Next

Statistics

  • Strategy began
    6/22/2023
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    309.59
  • Age
    10 months ago
  • What it trades
    Stocks
  • # Trades
    197
  • # Profitable
    67
  • % Profitable
    34.00%
  • Avg trade duration
    9.2 days
  • Max peak-to-valley drawdown
    34.27%
  • drawdown period
    July 19, 2023 - Nov 10, 2023
  • Cumul. Return
    5.7%
  • Avg win
    $339.28
  • Avg loss
    $154.95
  • Model Account Values (Raw)
  • Cash
    $14,311
  • Margin Used
    $0
  • Buying Power
    $14,582
  • Ratios
  • W:L ratio
    1.14:1
  • Sharpe Ratio
    0.28
  • Sortino Ratio
    0.46
  • Calmar Ratio
    1.626
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -10.71%
  • Correlation to SP500
    0.39690
  • Return Percent SP500 (cumu) during strategy life
    16.39%
  • Return Statistics
  • Ann Return (w trading costs)
    6.7%
  • Slump
  • Current Slump as Pcnt Equity
    31.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.39%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.057%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    22.1%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    439
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    937
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $155
  • Avg Win
    $339
  • Sum Trade PL (losers)
    $20,144.000
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $22,732.000
  • # Winners
    67
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    187
  • AUM
  • AUM (AutoTrader live capital)
    17256
  • Win / Loss
  • # Losers
    130
  • % Winners
    34.0%
  • Frequency
  • Avg Position Time (mins)
    13247.30
  • Avg Position Time (hrs)
    220.79
  • Avg Trade Length
    9.2 days
  • Last Trade Ago
    8
  • Leverage
  • Daily leverage (average)
    1.40
  • Daily leverage (max)
    2.68
  • Regression
  • Alpha
    -0.02
  • Beta
    1.11
  • Treynor Index
    0.03
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.85
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    12.768
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.244
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.130
  • Hold-and-Hope Ratio
    0.073
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47158
  • SD
    0.37971
  • Sharpe ratio (Glass type estimate)
    1.24195
  • Sharpe ratio (Hedges UMVUE)
    0.99093
  • df
    4.00000
  • t
    0.80167
  • p
    0.23383
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.97477
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.32109
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.12211
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.10397
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.07022
  • Upside Potential Ratio
    8.01554
  • Upside part of mean
    0.62271
  • Downside part of mean
    -0.15113
  • Upside SD
    0.35755
  • Downside SD
    0.07769
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.30854
  • Mean of criterion
    0.47158
  • SD of predictor
    0.10801
  • SD of criterion
    0.37971
  • Covariance
    0.01813
  • r
    0.44197
  • b (slope, estimate of beta)
    1.55376
  • a (intercept, estimate of alpha)
    -0.00781
  • Mean Square Error
    0.15469
  • DF error
    3.00000
  • t(b)
    0.85338
  • p(b)
    0.22808
  • t(a)
    -0.00942
  • p(a)
    0.50346
  • Lowerbound of 95% confidence interval for beta
    -4.24055
  • Upperbound of 95% confidence interval for beta
    7.34807
  • Lowerbound of 95% confidence interval for alpha
    -2.64526
  • Upperbound of 95% confidence interval for alpha
    2.62964
  • Treynor index (mean / b)
    0.30351
  • Jensen alpha (a)
    -0.00781
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41200
  • SD
    0.34554
  • Sharpe ratio (Glass type estimate)
    1.19232
  • Sharpe ratio (Hedges UMVUE)
    0.95133
  • df
    4.00000
  • t
    0.76964
  • p
    0.24222
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.01343
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.26520
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.15577
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.05843
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.19564
  • Upside Potential Ratio
    7.13611
  • Upside part of mean
    0.56587
  • Downside part of mean
    -0.15387
  • Upside SD
    0.32152
  • Downside SD
    0.07930
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.29943
  • Mean of criterion
    0.41200
  • SD of predictor
    0.10672
  • SD of criterion
    0.34554
  • Covariance
    0.01699
  • r
    0.46080
  • b (slope, estimate of beta)
    1.49196
  • a (intercept, estimate of alpha)
    -0.03474
  • Mean Square Error
    0.12540
  • DF error
    3.00000
  • t(b)
    0.89929
  • p(b)
    0.21739
  • t(a)
    -0.04694
  • p(a)
    0.51724
  • Lowerbound of 95% confidence interval for beta
    -3.78784
  • Upperbound of 95% confidence interval for beta
    6.77176
  • Lowerbound of 95% confidence interval for alpha
    -2.39002
  • Upperbound of 95% confidence interval for alpha
    2.32054
  • Treynor index (mean / b)
    0.27614
  • Jensen alpha (a)
    -0.03474
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12168
  • Expected Shortfall on VaR
    0.15696
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02565
  • Expected Shortfall on VaR
    0.04771
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.95453
  • Quartile 1
    0.98716
  • Median
    1.01075
  • Quartile 3
    1.02372
  • Maximum
    1.23198
  • Mean of quarter 1
    0.97084
  • Mean of quarter 2
    1.01075
  • Mean of quarter 3
    1.02372
  • Mean of quarter 4
    1.23198
  • Inter Quartile Range
    0.03656
  • 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
    1.23198
  • 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
    0.04760
  • Quartile 1
    0.04760
  • Median
    0.04760
  • Quartile 3
    0.04760
  • Maximum
    0.04760
  • 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)
    0.48280
  • Compounded annual return (geometric extrapolation)
    0.55256
  • Calmar ratio (compounded annual return / max draw down)
    11.60830
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    3.52026
  • 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
    0.53009
  • SD
    0.60188
  • Sharpe ratio (Glass type estimate)
    0.88073
  • Sharpe ratio (Hedges UMVUE)
    0.87497
  • df
    115.00000
  • t
    0.58603
  • p
    0.46528
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.06888
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.82659
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.07277
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.82271
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.73776
  • Upside Potential Ratio
    9.83687
  • Upside part of mean
    3.00066
  • Downside part of mean
    -2.47057
  • Upside SD
    0.51687
  • Downside SD
    0.30504
  • N nonnegative terms
    47.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    116.00000
  • Mean of predictor
    0.33369
  • Mean of criterion
    0.53009
  • SD of predictor
    0.19409
  • SD of criterion
    0.60188
  • Covariance
    0.05682
  • r
    0.48644
  • b (slope, estimate of beta)
    1.50849
  • a (intercept, estimate of alpha)
    0.02700
  • Mean Square Error
    0.27896
  • DF error
    114.00000
  • t(b)
    5.94446
  • p(b)
    0.25678
  • t(a)
    0.03348
  • p(a)
    0.49843
  • Lowerbound of 95% confidence interval for beta
    1.00579
  • Upperbound of 95% confidence interval for beta
    2.01120
  • Lowerbound of 95% confidence interval for alpha
    -1.55465
  • Upperbound of 95% confidence interval for alpha
    1.60810
  • Treynor index (mean / b)
    0.35141
  • Jensen alpha (a)
    0.02673
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36043
  • SD
    0.57645
  • Sharpe ratio (Glass type estimate)
    0.62525
  • Sharpe ratio (Hedges UMVUE)
    0.62117
  • df
    115.00000
  • t
    0.41604
  • p
    0.47533
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.32272
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.57064
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.32550
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.56783
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.14728
  • Upside Potential Ratio
    9.16457
  • Upside part of mean
    2.87912
  • Downside part of mean
    -2.51869
  • Upside SD
    0.48086
  • Downside SD
    0.31416
  • N nonnegative terms
    47.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    116.00000
  • Mean of predictor
    0.31484
  • Mean of criterion
    0.36043
  • SD of predictor
    0.19363
  • SD of criterion
    0.57645
  • Covariance
    0.05583
  • r
    0.50022
  • b (slope, estimate of beta)
    1.48916
  • a (intercept, estimate of alpha)
    -0.10843
  • Mean Square Error
    0.25133
  • DF error
    114.00000
  • t(b)
    6.16800
  • p(b)
    0.24989
  • t(a)
    -0.14318
  • p(a)
    0.50670
  • Lowerbound of 95% confidence interval for beta
    1.01088
  • Upperbound of 95% confidence interval for beta
    1.96744
  • Lowerbound of 95% confidence interval for alpha
    -1.60856
  • Upperbound of 95% confidence interval for alpha
    1.39170
  • Treynor index (mean / b)
    0.24203
  • Jensen alpha (a)
    -0.10843
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05560
  • Expected Shortfall on VaR
    0.06947
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02419
  • Expected Shortfall on VaR
    0.04570
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    116.00000
  • Minimum
    0.90794
  • Quartile 1
    0.98579
  • Median
    0.99875
  • Quartile 3
    1.00715
  • Maximum
    1.24377
  • Mean of quarter 1
    0.96883
  • Mean of quarter 2
    0.99383
  • Mean of quarter 3
    1.00189
  • Mean of quarter 4
    1.04397
  • Inter Quartile Range
    0.02135
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03448
  • Mean of outliers low
    0.92475
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.09483
  • Mean of outliers high
    1.08312
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29980
  • VaR(95%) (moments method)
    0.03315
  • Expected Shortfall (moments method)
    0.05459
  • Extreme Value Index (regression method)
    0.48837
  • VaR(95%) (regression method)
    0.02791
  • Expected Shortfall (regression method)
    0.05183
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00380
  • Quartile 1
    0.01039
  • Median
    0.11297
  • Quartile 3
    0.23296
  • Maximum
    0.29178
  • Mean of quarter 1
    0.00380
  • Mean of quarter 2
    0.01259
  • Mean of quarter 3
    0.21335
  • Mean of quarter 4
    0.29178
  • Inter Quartile Range
    0.22257
  • 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)
    0.42372
  • Compounded annual return (geometric extrapolation)
    0.47452
  • Calmar ratio (compounded annual return / max draw down)
    1.62629
  • Compounded annual return / average of 25% largest draw downs
    1.62629
  • Compounded annual return / Expected Shortfall lognormal
    6.83097
  • 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)
    0.05600
  • 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?
    -352414000
  • Max Equity Drawdown (num days)
    114

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-06-22
Suggested Minimum Capital
$5,000
Rank at C2 %
Top 6.3%
Rank # 
#117
# Trades
197
# Profitable
67
% Profitable
34.0%
Net Dividends
$187
Correlation S&P500
0.397
Sharpe Ratio
0.28
Sortino Ratio
0.46
Beta
1.11
Alpha
-0.02
Leverage
1.40 Average
2.68 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.