Collective2 Collective2
Featured Strategy SILVER ETF TRADER +12.5% Annual Return (Compounded) since May 2, 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: 3 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.

48.3%
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
184
Num Trades
55.4%
Win Trades
1.5 : 1
Profit Factor
59.1%
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%)(5.3%)+3.9%      +42.8%

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 59 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/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/4/24 12:12 RNG RINGCENTRAL INC. LONG 9,660 36.46 11/11 10:41 36.78 0.42%
Trade id #149961137
Max drawdown($8,504)
Time11/5/24 0:00
Quant open9,660
Worst price35.58
Drawdown as % of equity-0.42%
 $3,108
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 12:12 MTTR MATTERPORT INC LONG 70,330 4.51 11/11 10:41 4.78 0.12%
Trade id #149961131
Max drawdown($2,444)
Time11/4/24 15:51
Quant open70,330
Worst price4.48
Drawdown as % of equity-0.12%
 $18,519
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 12:12 FRSH FRESHWORKS INC. CLASS A COMMON STOCK LONG 31,870 12.16 11/11 10:41 16.44 0.09%
Trade id #149961128
Max drawdown($1,740)
Time11/4/24 13:07
Quant open31,870
Worst price12.11
Drawdown as % of equity-0.09%
 $136,265
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 9:40 TRIP TRIPADVISOR LONG 11,900 16.04 11/4 10:01 16.18 0.03%
Trade id #149957517
Max drawdown($519)
Time11/4/24 9:50
Quant open11,900
Worst price16.00
Drawdown as % of equity-0.03%
 $1,677
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 9:40 FRSH FRESHWORKS INC. CLASS A COMMON STOCK LONG 31,870 12.00 11/4 10:01 12.09 0.03%
Trade id #149957492
Max drawdown($590)
Time11/4/24 9:43
Quant open31,870
Worst price11.98
Drawdown as % of equity-0.03%
 $2,949
Includes Typical Broker Commissions trade costs of $5.00
10/28/24 11:40 CFLT CONFLUENT INC. CLASS A COMMON STOCK SHORT 13,940 22.73 11/4 10:01 26.67 3.91%
Trade id #149865211
Max drawdown($86,670)
Time10/31/24 0:00
Quant open13,940
Worst price28.95
Drawdown as % of equity-3.91%
 ($54,835)
Includes Typical Broker Commissions trade costs of $7.50
11/4/24 9:40 U UNITY SOFTWARE INC SHORT 12,280 19.93 11/4 10:01 20.16 0.19%
Trade id #149957522
Max drawdown($3,827)
Time11/4/24 9:45
Quant open12,280
Worst price20.24
Drawdown as % of equity-0.19%
 ($2,809)
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 9:40 RNG RINGCENTRAL INC. LONG 9,660 35.98 11/4 10:01 36.23 0.02%
Trade id #149957509
Max drawdown($430)
Time11/4/24 9:52
Quant open9,660
Worst price35.94
Drawdown as % of equity-0.02%
 $2,398
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 9:40 PAYO PAYONEER GLOBAL INC. COMMON STOCK SHORT 18,910 8.47 11/4 10:01 8.54 0.08%
Trade id #149957504
Max drawdown($1,566)
Time11/4/24 9:57
Quant open18,910
Worst price8.55
Drawdown as % of equity-0.08%
 ($1,302)
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 9:40 MTTR MATTERPORT INC LONG 70,330 4.51 11/4 10:01 4.52 0.02%
Trade id #149957501
Max drawdown($470)
Time11/4/24 9:46
Quant open70,330
Worst price4.50
Drawdown as % of equity-0.02%
 $641
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 9:40 DBX DROPBOX INC. CLASS A COMMON STOCK SHORT 17,240 25.91 11/4 10:01 26.21 0.27%
Trade id #149957487
Max drawdown($5,603)
Time11/4/24 10:01
Quant open17,240
Worst price26.24
Drawdown as % of equity-0.27%
 ($5,093)
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 9:40 ABNB AIRBNB INC. CLASS A COMMON STOCK LONG 1,880 135.92 11/4 10:01 136.81 0.03%
Trade id #149957482
Max drawdown($543)
Time11/4/24 9:51
Quant open1,880
Worst price135.63
Drawdown as % of equity-0.03%
 $1,679
Includes Typical Broker Commissions trade costs of $5.00
10/28/24 11:40 TWLO TWILIO INC SHORT 6,780 70.45 11/4 10:01 86.80 5.25%
Trade id #149865238
Max drawdown($107,828)
Time11/4/24 9:40
Quant open6,780
Worst price86.35
Drawdown as % of equity-5.25%
 ($110,853)
Includes Typical Broker Commissions trade costs of $7.50
10/28/24 11:40 SSTK SHUTTERSTOCK LONG 6,000 29.82 11/4 10:01 32.17 0.14%
Trade id #149865232
Max drawdown($2,926)
Time10/28/24 13:51
Quant open6,000
Worst price29.33
Drawdown as % of equity-0.14%
 $14,135
Includes Typical Broker Commissions trade costs of $5.00
10/28/24 11:40 ROKU ROKU INC. CLASS A COMMON STOCK LONG 2,080 76.81 11/4 10:01 67.80 1.57%
Trade id #149865229
Max drawdown($34,869)
Time10/31/24 0:00
Quant open2,080
Worst price60.05
Drawdown as % of equity-1.57%
 ($18,763)
Includes Typical Broker Commissions trade costs of $5.00
10/28/24 11:40 PYPL PAYPAL HOLDINGS CORP SHORT 4,790 83.06 11/4 10:01 78.20 0.16%
Trade id #149865226
Max drawdown($3,324)
Time10/28/24 16:00
Quant open4,790
Worst price83.75
Drawdown as % of equity-0.16%
 $23,269
Includes Typical Broker Commissions trade costs of $7.50
10/28/24 11:40 ETSY ETSY INC. COMMON STOCK LONG 11,200 49.53 11/4 10:01 51.91 1.24%
Trade id #149865214
Max drawdown($27,242)
Time10/30/24 0:00
Quant open11,200
Worst price47.10
Drawdown as % of equity-1.24%
 $26,657
Includes Typical Broker Commissions trade costs of $7.50
10/28/24 11:40 CDNS CADENCE DESIGN SYSTEMS LONG 1,260 253.41 11/4 10:01 286.70 0.09%
Trade id #149865208
Max drawdown($2,015)
Time10/28/24 15:20
Quant open1,260
Worst price251.81
Drawdown as % of equity-0.09%
 $41,947
Includes Typical Broker Commissions trade costs of $5.00
10/28/24 11:40 TENB TENABLE HOLDINGS INC. COMMON STOCK LONG 7,680 41.54 11/4 9:40 38.64 1.19%
Trade id #149865235
Max drawdown($24,495)
Time11/4/24 9:33
Quant open7,680
Worst price38.35
Drawdown as % of equity-1.19%
 ($22,295)
Includes Typical Broker Commissions trade costs of $5.00
10/28/24 11:40 INFA INFORMATICA INC SHORT 7,490 26.51 11/4 9:40 25.86 0.55%
Trade id #149865223
Max drawdown($12,209)
Time10/31/24 0:00
Quant open7,490
Worst price28.14
Drawdown as % of equity-0.55%
 $4,852
Includes Typical Broker Commissions trade costs of $5.00
10/28/24 11:40 GEN GEN DIGITAL INC. SHORT 8,900 27.15 11/4 9:40 28.32 1.16%
Trade id #149865220
Max drawdown($25,668)
Time10/31/24 0:00
Quant open8,900
Worst price30.03
Drawdown as % of equity-1.16%
 ($10,475)
Includes Typical Broker Commissions trade costs of $5.00
10/28/24 11:40 GDDY GODADDY INC SHORT 2,980 160.43 11/4 9:40 161.84 1.55%
Trade id #149865217
Max drawdown($34,263)
Time10/31/24 0:00
Quant open2,980
Worst price171.93
Drawdown as % of equity-1.55%
 ($4,207)
Includes Typical Broker Commissions trade costs of $5.00
10/21/24 11:40 SAP SAP AE LONG 1,390 228.39 11/4 9:40 231.80 0.01%
Trade id #149740100
Max drawdown($117)
Time10/21/24 11:44
Quant open1,390
Worst price228.31
Drawdown as % of equity-0.01%
 $4,730
Includes Typical Broker Commissions trade costs of $5.00
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
Next

Statistics

  • Strategy began
    12/27/2022
  • Suggested Minimum Cap
    $2,140,000
  • Strategy Age (days)
    687.9
  • Age
    23 months ago
  • What it trades
    Stocks
  • # Trades
    184
  • # Profitable
    102
  • % Profitable
    55.40%
  • Avg trade duration
    6.9 days
  • Max peak-to-valley drawdown
    17.63%
  • drawdown period
    May 25, 2023 - June 07, 2023
  • Annual Return (Compounded)
    48.3%
  • Avg win
    $33,739
  • Avg loss
    $27,889
  • Model Account Values (Raw)
  • Cash
    $3,069,530
  • Margin Used
    $1,890,710
  • Buying Power
    $1,093,368
  • Ratios
  • W:L ratio
    1.50:1
  • Sharpe Ratio
    1.51
  • Sortino Ratio
    2.49
  • Calmar Ratio
    4.321
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    54.58%
  • Correlation to SP500
    -0.00110
  • Return Percent SP500 (cumu) during strategy life
    56.31%
  • Return Statistics
  • Ann Return (w trading costs)
    48.3%
  • Slump
  • Current Slump as Pcnt Equity
    7.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.11%
  • 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)
    0.483%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    50.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    22.50%
  • Chance of 20% account loss
    1.50%
  • Chance of 30% account loss
    0.50%
  • 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)
    703
  • Popularity (Last 6 weeks)
    953
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    989
  • Popularity (7 days, Percentile 1000 scale)
    891
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $27,889
  • Avg Win
    $33,740
  • Sum Trade PL (losers)
    $2,286,920.000
  • Age
  • Num Months filled monthly returns table
    22
  • Win / Loss
  • Sum Trade PL (winners)
    $3,441,430.000
  • # Winners
    102
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    82
  • % Winners
    55.4%
  • Frequency
  • Avg Position Time (mins)
    9875.77
  • Avg Position Time (hrs)
    164.60
  • Avg Trade Length
    6.9 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    0.67
  • Daily leverage (max)
    2.30
  • Regression
  • Alpha
    0.12
  • Beta
    -0.00
  • Treynor Index
    -59.21
  • 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)
    -0.59
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    3.513
  • 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
    0.210
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.336
  • Hold-and-Hope Ratio
    0.295
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.59579
  • SD
    0.36921
  • Sharpe ratio (Glass type estimate)
    1.61368
  • Sharpe ratio (Hedges UMVUE)
    1.53663
  • df
    16.00000
  • t
    1.92066
  • p
    0.28357
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14636
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.32880
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19400
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.26726
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.51810
  • Upside Potential Ratio
    8.51818
  • Upside part of mean
    0.77861
  • Downside part of mean
    -0.18282
  • Upside SD
    0.38669
  • Downside SD
    0.09141
  • N nonnegative terms
    8.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.22804
  • Mean of criterion
    0.59579
  • SD of predictor
    0.10790
  • SD of criterion
    0.36921
  • Covariance
    0.00298
  • r
    0.07472
  • b (slope, estimate of beta)
    0.25568
  • a (intercept, estimate of alpha)
    0.53749
  • Mean Square Error
    0.14460
  • DF error
    15.00000
  • t(b)
    0.29019
  • p(b)
    0.45248
  • t(a)
    1.42415
  • p(a)
    0.28473
  • Lowerbound of 95% confidence interval for beta
    -1.62227
  • Upperbound of 95% confidence interval for beta
    2.13363
  • Lowerbound of 95% confidence interval for alpha
    -0.26694
  • Upperbound of 95% confidence interval for alpha
    1.34191
  • Treynor index (mean / b)
    2.33025
  • Jensen alpha (a)
    0.53749
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52473
  • SD
    0.33938
  • Sharpe ratio (Glass type estimate)
    1.54612
  • Sharpe ratio (Hedges UMVUE)
    1.47230
  • df
    16.00000
  • t
    1.84025
  • p
    0.29102
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20588
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.25474
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.25160
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.19620
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.58859
  • Upside Potential Ratio
    7.57720
  • Upside part of mean
    0.71145
  • Downside part of mean
    -0.18672
  • Upside SD
    0.35005
  • Downside SD
    0.09389
  • N nonnegative terms
    8.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.22007
  • Mean of criterion
    0.52473
  • SD of predictor
    0.10663
  • SD of criterion
    0.33938
  • Covariance
    0.00228
  • r
    0.06304
  • b (slope, estimate of beta)
    0.20067
  • a (intercept, estimate of alpha)
    0.48057
  • Mean Square Error
    0.12237
  • DF error
    15.00000
  • t(b)
    0.24466
  • p(b)
    0.45989
  • t(a)
    1.39334
  • p(a)
    0.28868
  • Lowerbound of 95% confidence interval for beta
    -1.54753
  • Upperbound of 95% confidence interval for beta
    1.94886
  • Lowerbound of 95% confidence interval for alpha
    -0.25458
  • Upperbound of 95% confidence interval for alpha
    1.21572
  • Treynor index (mean / b)
    2.61495
  • Jensen alpha (a)
    0.48057
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11079
  • Expected Shortfall on VaR
    0.14590
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03674
  • Expected Shortfall on VaR
    0.06422
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.93108
  • Quartile 1
    0.97990
  • Median
    0.99873
  • Quartile 3
    1.12730
  • Maximum
    1.26279
  • Mean of quarter 1
    0.95853
  • Mean of quarter 2
    0.99232
  • Mean of quarter 3
    1.06651
  • Mean of quarter 4
    1.21390
  • Inter Quartile Range
    0.14739
  • 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)
    -0.67042
  • VaR(95%) (moments method)
    0.04504
  • Expected Shortfall (moments method)
    0.05053
  • Extreme Value Index (regression method)
    -0.53012
  • VaR(95%) (regression method)
    0.06001
  • Expected Shortfall (regression method)
    0.06934
  • 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)
    0.83845
  • Compounded annual return (geometric extrapolation)
    0.73783
  • Calmar ratio (compounded annual return / max draw down)
    8.21173
  • Compounded annual return / average of 25% largest draw downs
    8.21173
  • Compounded annual return / Expected Shortfall lognormal
    5.05700
  • 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
    0.52596
  • SD
    0.25448
  • Sharpe ratio (Glass type estimate)
    2.06686
  • Sharpe ratio (Hedges UMVUE)
    2.06287
  • df
    389.00000
  • t
    2.52170
  • p
    0.00604
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45256
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.67856
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44990
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.67585
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.44085
  • Upside Potential Ratio
    8.16754
  • Upside part of mean
    1.24848
  • Downside part of mean
    -0.72252
  • Upside SD
    0.20562
  • Downside SD
    0.15286
  • N nonnegative terms
    168.00000
  • N negative terms
    222.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    390.00000
  • Mean of predictor
    0.23430
  • Mean of criterion
    0.52596
  • SD of predictor
    0.13960
  • SD of criterion
    0.25448
  • Covariance
    -0.00041
  • r
    -0.01149
  • b (slope, estimate of beta)
    -0.02095
  • a (intercept, estimate of alpha)
    0.53100
  • Mean Square Error
    0.06492
  • DF error
    388.00000
  • t(b)
    -0.22640
  • p(b)
    0.58949
  • t(a)
    2.52854
  • p(a)
    0.00592
  • Lowerbound of 95% confidence interval for beta
    -0.20288
  • Upperbound of 95% confidence interval for beta
    0.16098
  • Lowerbound of 95% confidence interval for alpha
    0.11808
  • Upperbound of 95% confidence interval for alpha
    0.94366
  • Treynor index (mean / b)
    -25.10570
  • Jensen alpha (a)
    0.53087
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49333
  • SD
    0.25336
  • Sharpe ratio (Glass type estimate)
    1.94712
  • Sharpe ratio (Hedges UMVUE)
    1.94337
  • df
    389.00000
  • t
    2.37561
  • p
    0.00900
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33364
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.55817
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33113
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.55561
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.14193
  • Upside Potential Ratio
    7.82013
  • Upside part of mean
    1.22787
  • Downside part of mean
    -0.73455
  • Upside SD
    0.20076
  • Downside SD
    0.15701
  • N nonnegative terms
    168.00000
  • N negative terms
    222.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    390.00000
  • Mean of predictor
    0.22444
  • Mean of criterion
    0.49333
  • SD of predictor
    0.13978
  • SD of criterion
    0.25336
  • Covariance
    -0.00041
  • r
    -0.01161
  • b (slope, estimate of beta)
    -0.02105
  • a (intercept, estimate of alpha)
    0.49805
  • Mean Square Error
    0.06435
  • DF error
    388.00000
  • t(b)
    -0.22874
  • p(b)
    0.59040
  • t(a)
    2.38371
  • p(a)
    0.00881
  • Lowerbound of 95% confidence interval for beta
    -0.20196
  • Upperbound of 95% confidence interval for beta
    0.15987
  • Lowerbound of 95% confidence interval for alpha
    0.08726
  • Upperbound of 95% confidence interval for alpha
    0.90885
  • Treynor index (mean / b)
    -23.43860
  • Jensen alpha (a)
    0.49805
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02358
  • Expected Shortfall on VaR
    0.02993
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00669
  • Expected Shortfall on VaR
    0.01500
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    390.00000
  • Minimum
    0.92365
  • Quartile 1
    0.99955
  • Median
    1.00000
  • Quartile 3
    1.00356
  • Maximum
    1.07307
  • Mean of quarter 1
    0.98930
  • Mean of quarter 2
    0.99997
  • Mean of quarter 3
    1.00099
  • Mean of quarter 4
    1.01816
  • Inter Quartile Range
    0.00401
  • Number outliers low
    40.00000
  • Percentage of outliers low
    0.10256
  • Mean of outliers low
    0.97774
  • Number of outliers high
    49.00000
  • Percentage of outliers high
    0.12564
  • Mean of outliers high
    1.03003
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.75273
  • VaR(95%) (moments method)
    0.00605
  • Expected Shortfall (moments method)
    0.02925
  • Extreme Value Index (regression method)
    0.44202
  • VaR(95%) (regression method)
    0.00872
  • Expected Shortfall (regression method)
    0.02160
  • 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
    0.09577
  • 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)
    -0.43657
  • VaR(95%) (moments method)
    0.10599
  • Expected Shortfall (moments method)
    0.12200
  • Extreme Value Index (regression method)
    -0.03638
  • VaR(95%) (regression method)
    0.11261
  • Expected Shortfall (regression method)
    0.14406
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.78769
  • Compounded annual return (geometric extrapolation)
    0.68410
  • Calmar ratio (compounded annual return / max draw down)
    4.32072
  • Compounded annual return / average of 25% largest draw downs
    7.14323
  • Compounded annual return / Expected Shortfall lognormal
    22.85660
  • 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
    0.32517
  • SD
    0.20534
  • Sharpe ratio (Glass type estimate)
    1.58360
  • Sharpe ratio (Hedges UMVUE)
    1.57445
  • df
    130.00000
  • t
    1.11978
  • p
    0.45113
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.19778
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.35906
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20396
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.35285
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.31177
  • Upside Potential Ratio
    7.18088
  • Upside part of mean
    1.01005
  • Downside part of mean
    -0.68488
  • Upside SD
    0.14986
  • Downside SD
    0.14066
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24344
  • Mean of criterion
    0.32517
  • SD of predictor
    0.14661
  • SD of criterion
    0.20534
  • Covariance
    0.00129
  • r
    0.04272
  • b (slope, estimate of beta)
    0.05983
  • a (intercept, estimate of alpha)
    0.31061
  • Mean Square Error
    0.04241
  • DF error
    129.00000
  • t(b)
    0.48560
  • p(b)
    0.47281
  • t(a)
    1.06086
  • p(a)
    0.44088
  • Lowerbound of 95% confidence interval for beta
    -0.18393
  • Upperbound of 95% confidence interval for beta
    0.30359
  • Lowerbound of 95% confidence interval for alpha
    -0.26868
  • Upperbound of 95% confidence interval for alpha
    0.88989
  • Treynor index (mean / b)
    5.43507
  • Jensen alpha (a)
    0.31061
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30396
  • SD
    0.20588
  • Sharpe ratio (Glass type estimate)
    1.47637
  • Sharpe ratio (Hedges UMVUE)
    1.46784
  • df
    130.00000
  • t
    1.04395
  • p
    0.45441
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.30402
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.25120
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.30970
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.24538
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.11285
  • Upside Potential Ratio
    6.94383
  • Upside part of mean
    0.99896
  • Downside part of mean
    -0.69500
  • Upside SD
    0.14738
  • Downside SD
    0.14386
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23262
  • Mean of criterion
    0.30396
  • SD of predictor
    0.14688
  • SD of criterion
    0.20588
  • Covariance
    0.00136
  • r
    0.04501
  • b (slope, estimate of beta)
    0.06310
  • a (intercept, estimate of alpha)
    0.28928
  • Mean Square Error
    0.04263
  • DF error
    129.00000
  • t(b)
    0.51176
  • p(b)
    0.47135
  • t(a)
    0.98598
  • p(a)
    0.44501
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    -0.18084
  • Upperbound of 95% confidence interval for beta
    0.30703
  • Lowerbound of 95% confidence interval for alpha
    -0.29121
  • Upperbound of 95% confidence interval for alpha
    0.86978
  • Treynor index (mean / b)
    4.81743
  • Jensen alpha (a)
    0.28928
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01957
  • Expected Shortfall on VaR
    0.02475
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00608
  • Expected Shortfall on VaR
    0.01368
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93824
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00463
  • Maximum
    1.05003
  • Mean of quarter 1
    0.98985
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00150
  • Mean of quarter 4
    1.01405
  • Inter Quartile Range
    0.00463
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.97376
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.02529
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.91558
  • VaR(95%) (moments method)
    0.00668
  • Expected Shortfall (moments method)
    0.08989
  • Extreme Value Index (regression method)
    0.54283
  • VaR(95%) (regression method)
    0.00764
  • Expected Shortfall (regression method)
    0.02177
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00170
  • Median
    0.00663
  • Quartile 3
    0.04674
  • Maximum
    0.11083
  • Mean of quarter 1
    0.00098
  • Mean of quarter 2
    0.00563
  • Mean of quarter 3
    0.03025
  • Mean of quarter 4
    0.08398
  • Inter Quartile Range
    0.04503
  • 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)
    -0.25860
  • VaR(95%) (moments method)
    0.08548
  • Expected Shortfall (moments method)
    0.10240
  • Extreme Value Index (regression method)
    1.36754
  • VaR(95%) (regression method)
    0.13930
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -367277000
  • Max Equity Drawdown (num days)
    13
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.36099
  • Compounded annual return (geometric extrapolation)
    0.39357
  • Calmar ratio (compounded annual return / max draw down)
    3.55116
  • Compounded annual return / average of 25% largest draw downs
    4.68622
  • Compounded annual return / Expected Shortfall lognormal
    15.89930

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 1.1%
Rank # 
#8
# Trades
184
# Profitable
102
% Profitable
55.4%
Correlation S&P500
-0.001
Sharpe Ratio
1.51
Sortino Ratio
2.49
Beta
-0.00
Alpha
0.12
Leverage
0.67 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.