Collective2 Collective2
Featured Strategy MT3 Algotrading +89.4% 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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AltData III
(143001897)

Created by: AltData AltData
Started: 12/2022
Stocks
Last trade: 7 days ago
Subscriptions not currently available.

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 $1,999.00 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.

55.4%
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.

(17.6%)
Max Drawdown
152
Num Trades
55.9%
Win Trades
1.6 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023       +17.4%+18.2%(0.9%)+2.7%(9.1%)(0.2%)+9.7%(1.3%)+1.8%+13.6%(8%)+47.7%
2024(2.1%)+27.5%(1.8%)+0.3%+11.8%+1.8%+2.3%+6.7%(4.9%)                  +45.3%

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/2/24 11:40 ZS ZSCALER INC. COMMON STOCK LONG 1,600 199.75 9/9 14:26 159.13 3.36%
Trade id #149175972
Max drawdown($71,152)
Time9/6/24 0:00
Quant open1,600
Worst price155.28
Drawdown as % of equity-3.36%
 ($64,997)
Includes Typical Broker Commissions trade costs of $5.00
9/2/24 11:40 SMAR SMARTSHEET INC LONG 4,920 47.61 9/9 14:26 52.08 0.44%
Trade id #149175965
Max drawdown($9,249)
Time9/5/24 0:00
Quant open4,920
Worst price45.73
Drawdown as % of equity-0.44%
 $21,987
Includes Typical Broker Commissions trade costs of $5.00
9/2/24 11:40 GTLB GITLAB INC. CLASS A COMMON STOCK SHORT 10,130 47.40 9/9 14:26 53.62 4.56%
Trade id #149175956
Max drawdown($96,224)
Time9/5/24 0:00
Quant open10,130
Worst price56.90
Drawdown as % of equity-4.56%
 ($63,014)
Includes Typical Broker Commissions trade costs of $5.00
8/26/24 11:40 NVDA NVIDIA LONG 2,470 126.98 9/2 11:40 119.23 1.13%
Trade id #149052237
Max drawdown($25,366)
Time8/29/24 0:00
Quant open2,470
Worst price116.71
Drawdown as % of equity-1.13%
 ($19,148)
Includes Typical Broker Commissions trade costs of $5.00
8/26/24 11:40 NTNX NUTANIX INC. CLASS A COMMON STOCK LONG 3,000 53.34 9/2 11:40 63.19 0.16%
Trade id #149052234
Max drawdown($3,480)
Time8/28/24 0:00
Quant open3,000
Worst price52.18
Drawdown as % of equity-0.16%
 $29,545
Includes Typical Broker Commissions trade costs of $5.00
8/19/24 10:40 WDAY WORKDAY LONG 1,380 230.28 9/2 11:40 261.22 0.01%
Trade id #148952840
Max drawdown($303)
Time8/19/24 10:46
Quant open1,380
Worst price230.06
Drawdown as % of equity-0.01%
 $42,692
Includes Typical Broker Commissions trade costs of $5.00
8/19/24 10:40 SNOW SNOWFLAKE INC SHORT 3,750 131.12 9/2 11:40 114.30 0.79%
Trade id #148952837
Max drawdown($17,250)
Time8/21/24 0:00
Quant open3,750
Worst price135.72
Drawdown as % of equity-0.79%
 $63,070
Includes Typical Broker Commissions trade costs of $5.00
8/19/24 10:40 PANW PALO ALTO NETWORKS LONG 480 340.62 9/2 11:40 362.41 0.02%
Trade id #148952832
Max drawdown($499)
Time8/19/24 12:00
Quant open480
Worst price339.58
Drawdown as % of equity-0.02%
 $10,449
Includes Typical Broker Commissions trade costs of $9.60
8/19/24 10:40 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A SHORT 2,760 59.53 8/26 11:40 71.81 1.58%
Trade id #148952843
Max drawdown($35,410)
Time8/26/24 9:40
Quant open2,760
Worst price72.36
Drawdown as % of equity-1.58%
 ($33,898)
Includes Typical Broker Commissions trade costs of $5.00
8/5/24 10:40 SEMR SEMRUSH HOLDINGS INC LONG 14,880 12.65 8/19 10:40 13.58 0.01%
Trade id #148830880
Max drawdown($148)
Time8/5/24 10:50
Quant open14,880
Worst price12.64
Drawdown as % of equity-0.01%
 $13,833
Includes Typical Broker Commissions trade costs of $5.00
8/5/24 10:40 HUBS HUBSPOT INC LONG 990 455.47 8/19 10:40 482.05 0.33%
Trade id #148830871
Max drawdown($6,939)
Time8/6/24 0:00
Quant open990
Worst price448.46
Drawdown as % of equity-0.33%
 $26,305
Includes Typical Broker Commissions trade costs of $12.40
8/5/24 10:40 WIX WIX.COM LTD. ORDINARY SHARES SHORT 3,040 148.03 8/12 10:40 160.49 2.39%
Trade id #148830886
Max drawdown($50,220)
Time8/7/24 0:00
Quant open3,040
Worst price164.55
Drawdown as % of equity-2.39%
 ($37,883)
Includes Typical Broker Commissions trade costs of $5.00
8/5/24 10:40 U UNITY SOFTWARE INC SHORT 17,530 14.62 8/12 10:40 15.08 1.54%
Trade id #148830883
Max drawdown($32,693)
Time8/9/24 0:00
Quant open17,530
Worst price16.48
Drawdown as % of equity-1.54%
 ($8,069)
Includes Typical Broker Commissions trade costs of $5.00
7/29/24 10:40 TWLO TWILIO INC LONG 8,180 58.79 8/12 10:40 60.20 1.02%
Trade id #148763580
Max drawdown($21,513)
Time8/1/24 0:00
Quant open8,180
Worst price56.16
Drawdown as % of equity-1.02%
 $11,529
Includes Typical Broker Commissions trade costs of $5.00
7/29/24 10:40 ROKU ROKU INC. CLASS A COMMON STOCK SHORT 4,090 58.40 8/12 10:40 54.05 0.17%
Trade id #148763573
Max drawdown($3,681)
Time7/30/24 0:00
Quant open4,090
Worst price59.30
Drawdown as % of equity-0.17%
 $17,787
Includes Typical Broker Commissions trade costs of $5.00
7/29/24 10:40 RNG RINGCENTRAL INC. LONG 11,400 34.66 8/12 10:40 31.82 1.69%
Trade id #148763570
Max drawdown($35,853)
Time8/12/24 10:21
Quant open11,400
Worst price31.52
Drawdown as % of equity-1.69%
 ($32,381)
Includes Typical Broker Commissions trade costs of $5.00
7/29/24 10:40 INFA INFORMATICA INC LONG 9,970 24.25 8/12 10:40 23.63 1.01%
Trade id #148763561
Max drawdown($21,684)
Time8/5/24 0:00
Quant open9,970
Worst price22.07
Drawdown as % of equity-1.01%
 ($6,186)
Includes Typical Broker Commissions trade costs of $5.00
7/29/24 10:40 GEN GEN DIGITAL INC. SHORT 9,180 26.08 8/12 10:40 24.74 0.13%
Trade id #148763558
Max drawdown($2,662)
Time7/31/24 0:00
Quant open9,180
Worst price26.37
Drawdown as % of equity-0.13%
 $12,296
Includes Typical Broker Commissions trade costs of $5.00
7/29/24 10:40 ETSY ETSY INC. COMMON STOCK SHORT 3,750 63.89 8/12 10:40 54.10 0.4%
Trade id #148763549
Max drawdown($8,587)
Time7/31/24 0:00
Quant open3,750
Worst price66.18
Drawdown as % of equity-0.40%
 $36,708
Includes Typical Broker Commissions trade costs of $5.00
8/5/24 10:40 DOCN DIGITAL OCEAN HOLDINGS INC LONG 13,730 27.70 8/12 10:40 33.18 0.57%
Trade id #148830862
Max drawdown($12,024)
Time8/8/24 0:00
Quant open13,730
Worst price26.82
Drawdown as % of equity-0.57%
 $75,235
Includes Typical Broker Commissions trade costs of $5.00
8/5/24 10:40 APP APPLOVIN CORPORATION CLASS A SHORT 1,460 67.00 8/12 10:40 76.68 0.77%
Trade id #148830859
Max drawdown($16,337)
Time8/12/24 9:30
Quant open1,460
Worst price78.19
Drawdown as % of equity-0.77%
 ($14,138)
Includes Typical Broker Commissions trade costs of $5.00
7/29/24 10:40 RBLX ROBLOX CORP LONG 7,870 40.68 8/5 10:40 36.76 1.97%
Trade id #148763567
Max drawdown($42,340)
Time8/5/24 9:43
Quant open7,870
Worst price35.30
Drawdown as % of equity-1.97%
 ($30,855)
Includes Typical Broker Commissions trade costs of $5.00
7/29/24 10:40 MSTR MICROSTRATEGY SHORT 140 1744.01 8/5 10:40 1302.00 0.06%
Trade id #148763564
Max drawdown($1,377)
Time7/29/24 10:43
Quant open140
Worst price1753.85
Drawdown as % of equity-0.06%
 $61,878
Includes Typical Broker Commissions trade costs of $2.80
7/29/24 10:40 GDDY GODADDY INC SHORT 2,760 144.93 8/5 10:40 147.17 0.94%
Trade id #148763555
Max drawdown($19,761)
Time8/2/24 0:00
Quant open2,760
Worst price152.09
Drawdown as % of equity-0.94%
 ($6,187)
Includes Typical Broker Commissions trade costs of $5.00
7/29/24 10:40 FRSH FRESHWORKS INC. CLASS A COMMON STOCK LONG 17,800 13.45 8/5 10:40 11.18 2.06%
Trade id #148763552
Max drawdown($44,322)
Time8/5/24 9:30
Quant open17,800
Worst price10.96
Drawdown as % of equity-2.06%
 ($40,411)
Includes Typical Broker Commissions trade costs of $5.00
7/29/24 10:40 EBAY EBAY SHORT 4,430 54.61 8/5 10:40 55.12 0.64%
Trade id #148763546
Max drawdown($13,600)
Time8/1/24 0:00
Quant open4,430
Worst price57.68
Drawdown as % of equity-0.64%
 ($2,264)
Includes Typical Broker Commissions trade costs of $5.00
7/22/24 10:40 NOW SERVICENOW LONG 740 759.24 8/5 10:40 777.59 1.09%
Trade id #148709359
Max drawdown($22,207)
Time7/24/24 0:00
Quant open740
Worst price729.23
Drawdown as % of equity-1.09%
 $13,574
Includes Typical Broker Commissions trade costs of $5.00
7/22/24 10:40 STM STMICROELECTRONICS SHORT 5,850 41.34 7/29 10:40 34.08 0.22%
Trade id #148709365
Max drawdown($4,563)
Time7/22/24 15:59
Quant open5,850
Worst price42.12
Drawdown as % of equity-0.22%
 $42,466
Includes Typical Broker Commissions trade costs of $5.00
7/22/24 10:40 SPOT SPOTIFY TECHNOLOGY SA SHORT 1,350 295.62 7/29 10:40 323.41 3.36%
Trade id #148709362
Max drawdown($68,323)
Time7/24/24 0:00
Quant open1,350
Worst price346.23
Drawdown as % of equity-3.36%
 ($37,522)
Includes Typical Broker Commissions trade costs of $5.00
6/10/24 13:40 ADBE ADOBE INC SHORT 1,070 457.91 6/17 15:40 521.47 3.83%
Trade id #148373746
Max drawdown($81,897)
Time6/14/24 0:00
Quant open1,070
Worst price534.45
Drawdown as % of equity-3.83%
 ($68,014)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    12/27/2022
  • Suggested Minimum Cap
    $2,140,000
  • Strategy Age (days)
    629.39
  • Age
    21 months ago
  • What it trades
    Stocks
  • # Trades
    152
  • # Profitable
    85
  • % Profitable
    55.90%
  • Avg trade duration
    7.2 days
  • Max peak-to-valley drawdown
    17.63%
  • drawdown period
    May 25, 2023 - June 07, 2023
  • Annual Return (Compounded)
    55.4%
  • Avg win
    $36,760
  • Avg loss
    $28,910
  • Model Account Values (Raw)
  • Cash
    $2,187,650
  • Margin Used
    $0
  • Buying Power
    $2,187,650
  • Ratios
  • W:L ratio
    1.61:1
  • Sharpe Ratio
    1.69
  • Sortino Ratio
    2.85
  • Calmar Ratio
    4.922
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    67.84%
  • Correlation to SP500
    -0.03190
  • Return Percent SP500 (cumu) during strategy life
    46.78%
  • Return Statistics
  • Ann Return (w trading costs)
    55.4%
  • Slump
  • Current Slump as Pcnt Equity
    5.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.554%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    57.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    21.50%
  • Chance of 20% account loss
    3.00%
  • 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
    71.43%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    927
  • Popularity (Last 6 weeks)
    982
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    997
  • Popularity (7 days, Percentile 1000 scale)
    960
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $28,911
  • Avg Win
    $36,761
  • Sum Trade PL (losers)
    $1,937,010.000
  • Age
  • Num Months filled monthly returns table
    20
  • Win / Loss
  • Sum Trade PL (winners)
    $3,124,650.000
  • # Winners
    85
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    67
  • % Winners
    55.9%
  • Frequency
  • Avg Position Time (mins)
    10349.00
  • Avg Position Time (hrs)
    172.48
  • Avg Trade Length
    7.2 days
  • Last Trade Ago
    7
  • Leverage
  • Daily leverage (average)
    0.66
  • Daily leverage (max)
    2.30
  • Regression
  • Alpha
    0.14
  • Beta
    -0.06
  • Treynor Index
    -2.27
  • 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)
    -0.64
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    2.773
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.198
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.351
  • Hold-and-Hope Ratio
    0.361
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62074
  • SD
    0.38009
  • Sharpe ratio (Glass type estimate)
    1.63315
  • Sharpe ratio (Hedges UMVUE)
    1.54987
  • df
    15.00000
  • t
    1.88580
  • p
    0.23048
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18455
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.40249
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.23581
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.33556
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.58826
  • Upside Potential Ratio
    8.64989
  • Upside part of mean
    0.81498
  • Downside part of mean
    -0.19425
  • Upside SD
    0.39833
  • Downside SD
    0.09422
  • N nonnegative terms
    7.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.19797
  • Mean of criterion
    0.62074
  • SD of predictor
    0.10512
  • SD of criterion
    0.38009
  • Covariance
    0.00431
  • r
    0.10783
  • b (slope, estimate of beta)
    0.38987
  • a (intercept, estimate of alpha)
    0.54356
  • Mean Square Error
    0.15299
  • DF error
    14.00000
  • t(b)
    0.40583
  • p(b)
    0.44609
  • t(a)
    1.39922
  • p(a)
    0.32487
  • Lowerbound of 95% confidence interval for beta
    -1.67056
  • Upperbound of 95% confidence interval for beta
    2.45030
  • Lowerbound of 95% confidence interval for alpha
    -0.28963
  • Upperbound of 95% confidence interval for alpha
    1.37674
  • Treynor index (mean / b)
    1.59217
  • Jensen alpha (a)
    0.54356
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54536
  • SD
    0.34960
  • Sharpe ratio (Glass type estimate)
    1.55998
  • Sharpe ratio (Hedges UMVUE)
    1.48043
  • df
    15.00000
  • t
    1.80131
  • p
    0.23971
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.24865
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.32197
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29770
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.25856
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.63492
  • Upside Potential Ratio
    7.68473
  • Upside part of mean
    0.74375
  • Downside part of mean
    -0.19839
  • Upside SD
    0.36055
  • Downside SD
    0.09678
  • N nonnegative terms
    7.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.19085
  • Mean of criterion
    0.54536
  • SD of predictor
    0.10411
  • SD of criterion
    0.34960
  • Covariance
    0.00334
  • r
    0.09189
  • b (slope, estimate of beta)
    0.30858
  • a (intercept, estimate of alpha)
    0.48647
  • Mean Square Error
    0.12984
  • DF error
    14.00000
  • t(b)
    0.34529
  • p(b)
    0.45405
  • t(a)
    1.36790
  • p(a)
    0.32832
  • Lowerbound of 95% confidence interval for beta
    -1.60821
  • Upperbound of 95% confidence interval for beta
    2.22538
  • Lowerbound of 95% confidence interval for alpha
    -0.27629
  • Upperbound of 95% confidence interval for alpha
    1.24922
  • Treynor index (mean / b)
    1.76731
  • Jensen alpha (a)
    0.48647
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11357
  • Expected Shortfall on VaR
    0.14958
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04036
  • Expected Shortfall on VaR
    0.06832
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.93108
  • Quartile 1
    0.97830
  • Median
    0.99526
  • Quartile 3
    1.13210
  • Maximum
    1.26279
  • Mean of quarter 1
    0.95319
  • Mean of quarter 2
    0.98762
  • Mean of quarter 3
    1.06152
  • Mean of quarter 4
    1.21390
  • Inter Quartile Range
    0.15380
  • 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)
    -1.10709
  • VaR(95%) (moments method)
    0.05206
  • Expected Shortfall (moments method)
    0.05610
  • Extreme Value Index (regression method)
    -0.79086
  • VaR(95%) (regression method)
    0.06348
  • Expected Shortfall (regression method)
    0.07027
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01059
  • Quartile 1
    0.01190
  • Median
    0.03450
  • Quartile 3
    0.08763
  • Maximum
    0.08985
  • Mean of quarter 1
    0.01125
  • Mean of quarter 2
    0.03450
  • Mean of quarter 3
    0.08763
  • Mean of quarter 4
    0.08985
  • Inter Quartile Range
    0.07573
  • 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)
    0.86071
  • Compounded annual return (geometric extrapolation)
    0.77406
  • Calmar ratio (compounded annual return / max draw down)
    8.61495
  • Compounded annual return / average of 25% largest draw downs
    8.61495
  • Compounded annual return / Expected Shortfall lognormal
    5.17469
  • 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
    0.58150
  • SD
    0.25656
  • Sharpe ratio (Glass type estimate)
    2.26654
  • Sharpe ratio (Hedges UMVUE)
    2.26175
  • df
    355.00000
  • t
    2.64203
  • p
    0.00430
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.57532
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.95463
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.57213
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.95137
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.87519
  • Upside Potential Ratio
    8.64912
  • Upside part of mean
    1.29785
  • Downside part of mean
    -0.71636
  • Upside SD
    0.21074
  • Downside SD
    0.15006
  • N nonnegative terms
    157.00000
  • N negative terms
    199.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    356.00000
  • Mean of predictor
    0.21229
  • Mean of criterion
    0.58150
  • SD of predictor
    0.14099
  • SD of criterion
    0.25656
  • Covariance
    -0.00153
  • r
    -0.04236
  • b (slope, estimate of beta)
    -0.07708
  • a (intercept, estimate of alpha)
    0.59800
  • Mean Square Error
    0.06589
  • DF error
    354.00000
  • t(b)
    -0.79772
  • p(b)
    0.78721
  • t(a)
    2.70328
  • p(a)
    0.00360
  • Lowerbound of 95% confidence interval for beta
    -0.26711
  • Upperbound of 95% confidence interval for beta
    0.11295
  • Lowerbound of 95% confidence interval for alpha
    0.16290
  • Upperbound of 95% confidence interval for alpha
    1.03281
  • Treynor index (mean / b)
    -7.54408
  • Jensen alpha (a)
    0.59786
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54827
  • SD
    0.25513
  • Sharpe ratio (Glass type estimate)
    2.14898
  • Sharpe ratio (Hedges UMVUE)
    2.14444
  • df
    355.00000
  • t
    2.50500
  • p
    0.00635
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45869
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.83633
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45565
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.83323
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.55839
  • Upside Potential Ratio
    8.28287
  • Upside part of mean
    1.27622
  • Downside part of mean
    -0.72794
  • Upside SD
    0.20571
  • Downside SD
    0.15408
  • N nonnegative terms
    157.00000
  • N negative terms
    199.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    356.00000
  • Mean of predictor
    0.20225
  • Mean of criterion
    0.54827
  • SD of predictor
    0.14122
  • SD of criterion
    0.25513
  • Covariance
    -0.00157
  • r
    -0.04346
  • b (slope, estimate of beta)
    -0.07851
  • a (intercept, estimate of alpha)
    0.56415
  • Mean Square Error
    0.06515
  • DF error
    354.00000
  • t(b)
    -0.81839
  • p(b)
    0.79316
  • t(a)
    2.56629
  • p(a)
    0.00535
  • Lowerbound of 95% confidence interval for beta
    -0.26717
  • Upperbound of 95% confidence interval for beta
    0.11016
  • Lowerbound of 95% confidence interval for alpha
    0.13181
  • Upperbound of 95% confidence interval for alpha
    0.99649
  • Treynor index (mean / b)
    -6.98363
  • Jensen alpha (a)
    0.56415
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02355
  • Expected Shortfall on VaR
    0.02995
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00656
  • Expected Shortfall on VaR
    0.01470
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    356.00000
  • Minimum
    0.92365
  • Quartile 1
    0.99952
  • Median
    1.00000
  • Quartile 3
    1.00413
  • Maximum
    1.07307
  • Mean of quarter 1
    0.98934
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00114
  • Mean of quarter 4
    1.01886
  • Inter Quartile Range
    0.00462
  • Number outliers low
    33.00000
  • Percentage of outliers low
    0.09270
  • Mean of outliers low
    0.97637
  • Number of outliers high
    41.00000
  • Percentage of outliers high
    0.11517
  • Mean of outliers high
    1.03286
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.76452
  • VaR(95%) (moments method)
    0.00610
  • Expected Shortfall (moments method)
    0.03086
  • Extreme Value Index (regression method)
    0.41461
  • VaR(95%) (regression method)
    0.00894
  • Expected Shortfall (regression method)
    0.02132
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00198
  • Median
    0.01306
  • Quartile 3
    0.05267
  • Maximum
    0.15833
  • Mean of quarter 1
    0.00089
  • Mean of quarter 2
    0.00879
  • Mean of quarter 3
    0.02590
  • Mean of quarter 4
    0.08878
  • Inter Quartile Range
    0.05069
  • 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
    0.04348
  • Mean of outliers high
    0.15833
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.07773
  • VaR(95%) (moments method)
    0.09727
  • Expected Shortfall (moments method)
    0.12747
  • Extreme Value Index (regression method)
    1.87810
  • VaR(95%) (regression method)
    0.08309
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.87418
  • Compounded annual return (geometric extrapolation)
    0.77923
  • Calmar ratio (compounded annual return / max draw down)
    4.92151
  • Compounded annual return / average of 25% largest draw downs
    8.77697
  • Compounded annual return / Expected Shortfall lognormal
    26.02170
  • 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
    0.58412
  • SD
    0.19732
  • Sharpe ratio (Glass type estimate)
    2.96026
  • Sharpe ratio (Hedges UMVUE)
    2.94314
  • df
    130.00000
  • t
    2.09322
  • p
    0.40971
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15971
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.74972
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14835
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.73794
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.10675
  • Upside Potential Ratio
    10.65560
  • Upside part of mean
    1.21882
  • Downside part of mean
    -0.63470
  • Upside SD
    0.16388
  • Downside SD
    0.11438
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20773
  • Mean of criterion
    0.58412
  • SD of predictor
    0.14377
  • SD of criterion
    0.19732
  • Covariance
    -0.00149
  • r
    -0.05246
  • b (slope, estimate of beta)
    -0.07200
  • a (intercept, estimate of alpha)
    0.59908
  • Mean Square Error
    0.03913
  • DF error
    129.00000
  • t(b)
    -0.59670
  • p(b)
    0.53338
  • t(a)
    2.13295
  • p(a)
    0.38317
  • Lowerbound of 95% confidence interval for beta
    -0.31075
  • Upperbound of 95% confidence interval for beta
    0.16675
  • Lowerbound of 95% confidence interval for alpha
    0.04337
  • Upperbound of 95% confidence interval for alpha
    1.15479
  • Treynor index (mean / b)
    -8.11238
  • Jensen alpha (a)
    0.59908
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56422
  • SD
    0.19658
  • Sharpe ratio (Glass type estimate)
    2.87016
  • Sharpe ratio (Hedges UMVUE)
    2.85357
  • df
    130.00000
  • t
    2.02951
  • p
    0.41238
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.07114
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.65837
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06015
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.64700
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.85431
  • Upside Potential Ratio
    10.37190
  • Upside part of mean
    1.20553
  • Downside part of mean
    -0.64131
  • Upside SD
    0.16141
  • Downside SD
    0.11623
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19734
  • Mean of criterion
    0.56422
  • SD of predictor
    0.14409
  • SD of criterion
    0.19658
  • Covariance
    -0.00151
  • r
    -0.05343
  • b (slope, estimate of beta)
    -0.07289
  • a (intercept, estimate of alpha)
    0.57860
  • Mean Square Error
    0.03883
  • DF error
    129.00000
  • t(b)
    -0.60767
  • p(b)
    0.53400
  • t(a)
    2.06875
  • p(a)
    0.38654
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    -0.31021
  • Upperbound of 95% confidence interval for beta
    0.16443
  • Lowerbound of 95% confidence interval for alpha
    0.02523
  • Upperbound of 95% confidence interval for alpha
    1.13197
  • Treynor index (mean / b)
    -7.74094
  • Jensen alpha (a)
    0.57860
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01767
  • Expected Shortfall on VaR
    0.02263
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00551
  • Expected Shortfall on VaR
    0.01215
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95031
  • Quartile 1
    0.99913
  • Median
    1.00004
  • Quartile 3
    1.00547
  • Maximum
    1.05003
  • Mean of quarter 1
    0.99064
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00217
  • Mean of quarter 4
    1.01657
  • Inter Quartile Range
    0.00634
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.97677
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.02875
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.69335
  • VaR(95%) (moments method)
    0.00599
  • Expected Shortfall (moments method)
    0.02303
  • Extreme Value Index (regression method)
    0.50805
  • VaR(95%) (regression method)
    0.00783
  • Expected Shortfall (regression method)
    0.02052
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00106
  • Quartile 1
    0.00226
  • Median
    0.01306
  • Quartile 3
    0.04674
  • Maximum
    0.06890
  • Mean of quarter 1
    0.00167
  • Mean of quarter 2
    0.01247
  • Mean of quarter 3
    0.03025
  • Mean of quarter 4
    0.06889
  • Inter Quartile Range
    0.04448
  • 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)
    -2970710.00000
  • VaR(95%) (moments method)
    0.06487
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -10.97970
  • VaR(95%) (regression method)
    0.39268
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.39268
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -375410000
  • Max Equity Drawdown (num days)
    13
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.68911
  • Compounded annual return (geometric extrapolation)
    0.80783
  • Calmar ratio (compounded annual return / max draw down)
    11.72520
  • Compounded annual return / average of 25% largest draw downs
    11.72700
  • Compounded annual return / Expected Shortfall lognormal
    35.70100

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-12-27
Suggested Minimum Capital
$2,140,000
Rank at C2 %
Top 0.3%
Rank # 
#2
# Trades
152
# Profitable
85
% Profitable
55.9%
Correlation S&P500
-0.032
Sharpe Ratio
1.69
Sortino Ratio
2.85
Beta
-0.06
Alpha
0.14
Leverage
0.66 Average
2.30 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.