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

AI Algorthims 13
(114100880)

Created by: KevinSingh KevinSingh
Started: 10/2017
Forex
Last trade: 1,696 days ago
Trading style: Futures Short Term Currencies

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 $39.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
Currencies
Category: Equity

Currencies

Focuses on currency futures.
-
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.

(100.0%)
Max Drawdown
575
Num Trades
60.3%
Win Trades
0.9 : 1
Profit Factor
25.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                               (4.9%)+56.0%+27.1%+88.6%
2018+9.3%+9.4%(27.8%)(4.1%)+23.9%+12.5%+24.6%+2.8%+12.7%(55.3%)+50.1%+54.7%+72.7%
2019+4.1%(35.1%)+15.2%+55.3%(13.7%)(26.2%)(14.7%)(101.7%)(31.8%)(137.8%)(32.5%)(34.7%)(101.7%)
2020(16%)(18.6%)(122.8%)(74.5%)(33.6%)(85.9%)(123.7%)(4.9%)(17.1%)(2.8%)(22.6%)(22.1%)(299.6%)
2021(16.5%)(8.4%)(23.8%)(43.6%)(13.3%)(23.2%)(4%)(7.2%)(24.3%)(7.8%)(29.7%)(18.2%)-
2022(5.4%)(17.7%)(103%)+5200.0%(42.6%)+37.4%+103.9%+26.2%+20.0%(31.6%)(57.3%)(0.2%)(198.4%)
2023(71.4%)+116.3%(135.8%)(322.6%)(93.1%)(723.1%)(78.2%)(71.9%)(274.5%)(48.8%)(423.6%)(57.1%)(133.2%)
2024(19%)(15.1%)(10.2%)                                                      (23%)

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 1,144 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1731 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/8/19 22:51 USD/CHF USD/CHF LONG 30 1.02085 8/6 23:04 0.97820 45.4%
Trade id #123582474
Max drawdown($15,829)
Time5/8/19 22:51
Quant open30
Worst price0.96938
Drawdown as % of equity-45.40%
($13,112)
5/3/19 5:59 AUD/JPY AUD/JPY LONG 30 77.977 8/5 0:10 74.333 121.88%
Trade id #123517542
Max drawdown($10,306)
Time8/5/19 0:10
Quant open3
Worst price71.929
Drawdown as % of equity-121.88%
($10,306)
7/3/19 8:28 GBP/USD GBP/USD LONG 15 1.25809 8/4 21:56 1.21501 26.28%
Trade id #124322811
Max drawdown($7,522)
Time7/3/19 8:28
Quant open15
Worst price1.20794
Drawdown as % of equity-26.28%
($6,463)
7/3/19 8:28 EUR/USD EUR/USD LONG 15 1.12944 8/1 14:33 1.11266 10.12%
Trade id #124322806
Max drawdown($2,896)
Time7/3/19 8:28
Quant open15
Worst price1.11013
Drawdown as % of equity-10.12%
($2,517)
5/8/19 7:10 AUD/USD AUD/USD LONG 30 0.70025 6/12 1:30 0.69664 4.99%
Trade id #123569993
Max drawdown($1,653)
Time5/17/19 15:12
Quant open12
Worst price0.68647
Drawdown as % of equity-4.99%
($1,082)
5/22/19 23:36 GBP/NZD GBP/NZD SHORT 30 1.94877 6/4 22:57 1.91649 1.38%
Trade id #123788234
Max drawdown($455)
Time5/23/19 6:55
Quant open-30
Worst price1.95106
Drawdown as % of equity-1.38%
$6,420
5/15/19 10:05 EUR/USD EUR/USD SHORT 30 1.11853 5/22 23:35 1.11513 3.64%
Trade id #123679165
Max drawdown($1,182)
Time5/15/19 10:15
Quant open-30
Worst price1.12247
Drawdown as % of equity-3.64%
$1,020
5/9/19 13:38 GBP/NZD GBP/NZD SHORT 30 1.97668 5/15 10:05 1.95848 2.04%
Trade id #123595799
Max drawdown($635)
Time5/13/19 7:17
Quant open-30
Worst price1.97991
Drawdown as % of equity-2.04%
$3,579
5/2/19 7:45 GBP/AUD GBP/AUD SHORT 30 1.85855 5/8 22:42 1.86502 18.19%
Trade id #123502609
Max drawdown($6,217)
Time5/5/19 21:01
Quant open-30
Worst price1.88827
Drawdown as % of equity-18.19%
($1,354)
5/1/19 17:08 NZD/USD NZD/USD LONG 40 0.66202 5/8 7:10 0.65846 9.74%
Trade id #123498582
Max drawdown($3,808)
Time5/7/19 22:01
Quant open40
Worst price0.65250
Drawdown as % of equity-9.74%
($1,425)
5/1/19 17:08 EUR/CHF EUR/CHF SHORT 30 1.13919 5/5 17:48 1.13670 2.59%
Trade id #123498578
Max drawdown($1,048)
Time5/2/19 4:20
Quant open-30
Worst price1.14274
Drawdown as % of equity-2.59%
$735
5/2/19 7:48 EUR/USD EUR/USD SHORT 30 1.12047 5/3 5:59 1.11541 0.53%
Trade id #123502621
Max drawdown($213)
Time5/2/19 8:15
Quant open-30
Worst price1.12118
Drawdown as % of equity-0.53%
$1,518
4/30/19 7:10 USD/CHF USD/CHF SHORT 33 1.01960 4/30 22:35 1.01902 0.68%
Trade id #123473630
Max drawdown($265)
Time4/30/19 10:54
Quant open-33
Worst price1.02042
Drawdown as % of equity-0.68%
$188
4/23/19 9:35 GBP/JPY GBP/JPY LONG 11 145.076 4/30 22:35 145.388 3.89%
Trade id #123399500
Max drawdown($1,310)
Time4/25/19 10:31
Quant open11
Worst price143.748
Drawdown as % of equity-3.89%
$308
4/23/19 7:58 USD/CAD USD/CAD SHORT 30 1.33748 4/30 22:35 1.33839 9.08%
Trade id #123397920
Max drawdown($3,286)
Time4/24/19 10:02
Quant open-30
Worst price1.35214
Drawdown as % of equity-9.08%
($204)
4/24/19 21:26 EUR/JPY EUR/JPY LONG 11 125.022 4/30 22:35 125.055 2.77%
Trade id #123419932
Max drawdown($920)
Time4/25/19 20:48
Quant open11
Worst price124.089
Drawdown as % of equity-2.77%
$33
4/24/19 8:46 EUR/USD EUR/USD LONG 30 1.12058 4/30 7:09 1.12120 8.52%
Trade id #123410784
Max drawdown($2,883)
Time4/26/19 8:31
Quant open30
Worst price1.11097
Drawdown as % of equity-8.52%
$186
4/26/19 6:39 USD/JPY USD/JPY SHORT 11 111.742 4/30 7:09 111.278 0.84%
Trade id #123438767
Max drawdown($284)
Time4/26/19 8:31
Quant open-11
Worst price112.030
Drawdown as % of equity-0.84%
$459
4/10/19 8:13 AUD/NZD AUD/NZD SHORT 25 1.05790 4/25 22:13 1.05805 7.85%
Trade id #123265249
Max drawdown($2,496)
Time4/16/19 18:47
Quant open-25
Worst price1.07294
Drawdown as % of equity-7.85%
($25)
4/24/19 5:23 GBP/USD GBP/USD LONG 21 1.29383 4/24 9:13 1.29366 0.13%
Trade id #123409896
Max drawdown($48)
Time4/24/19 5:36
Quant open10
Worst price1.29274
Drawdown as % of equity-0.13%
($36)
4/23/19 18:16 USD/JPY USD/JPY LONG 30 111.873 4/24 8:45 111.816 0.91%
Trade id #123406652
Max drawdown($335)
Time4/24/19 2:28
Quant open30
Worst price111.748
Drawdown as % of equity-0.91%
($153)
4/23/19 10:50 CAD/JPY CAD/JPY SHORT 15 83.502 4/24 6:42 83.141 n/a $484
4/23/19 9:21 USD/CHF USD/CHF SHORT 30 1.02270 4/23 18:15 1.02027 0.28%
Trade id #123398659
Max drawdown($102)
Time4/23/19 9:28
Quant open-30
Worst price1.02305
Drawdown as % of equity-0.28%
$715
4/23/19 10:23 EUR/GBP EUR/GBP SHORT 10 0.86492 4/23 16:43 0.86800 1.09%
Trade id #123400593
Max drawdown($398)
Time4/23/19 16:43
Quant open0
Worst price0.86800
Drawdown as % of equity-1.09%
($398)
4/14/19 21:54 AUD/CAD AUD/CAD SHORT 15 0.95582 4/23 10:49 0.95042 1.99%
Trade id #123308997
Max drawdown($633)
Time4/16/19 22:07
Quant open-15
Worst price0.96148
Drawdown as % of equity-1.99%
$604
3/29/19 10:50 AUD/USD AUD/USD SHORT 10 0.70882 4/23 10:49 0.70880 3.69%
Trade id #123127557
Max drawdown($1,176)
Time4/16/19 22:07
Quant open-10
Worst price0.72058
Drawdown as % of equity-3.69%
$2
4/23/19 8:36 EUR/USD EUR/USD SHORT 20 1.12399 4/23 9:18 1.12106 n/a $586
4/17/19 9:22 GBP/AUD GBP/AUD LONG 30 1.81517 4/23 7:05 1.82945 0.48%
Trade id #123340340
Max drawdown($158)
Time4/17/19 21:31
Quant open15
Worst price1.81133
Drawdown as % of equity-0.48%
$3,046
4/18/19 11:40 USD/JPY USD/JPY LONG 30 111.945 4/22 8:11 111.912 0.89%
Trade id #123360410
Max drawdown($289)
Time4/21/19 17:19
Quant open30
Worst price111.837
Drawdown as % of equity-0.89%
($88)
4/16/19 14:47 AUD/JPY AUD/JPY LONG 15 80.349 4/17 9:08 80.529 1.05%
Trade id #123332193
Max drawdown($333)
Time4/16/19 18:47
Quant open15
Worst price80.100
Drawdown as % of equity-1.05%
$241

Statistics

  • Strategy began
    10/8/2017
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    2359.6
  • Age
    79 months ago
  • What it trades
    Forex
  • # Trades
    575
  • # Profitable
    347
  • % Profitable
    60.30%
  • Avg trade duration
    6.9 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    June 15, 2023 - June 30, 2023
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $366.45
  • Avg loss
    $595.27
  • Model Account Values (Raw)
  • Cash
    $17,799
  • Margin Used
    $650
  • Buying Power
    $16,331
  • Ratios
  • W:L ratio
    0.94:1
  • Sharpe Ratio
    -0.36
  • Sortino Ratio
    -0.39
  • Calmar Ratio
    -0.536
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -207.46%
  • Correlation to SP500
    0.03140
  • Return Percent SP500 (cumu) during strategy life
    106.11%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.76%
  • 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)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -25.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    75.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $595
  • Avg Win
    $366
  • Sum Trade PL (losers)
    $135,721.000
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $127,158.000
  • # Winners
    347
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    228
  • % Winners
    60.4%
  • Frequency
  • Avg Position Time (mins)
    9889.60
  • Avg Position Time (hrs)
    164.83
  • Avg Trade Length
    6.9 days
  • Last Trade Ago
    1692
  • Leverage
  • Daily leverage (average)
    26.93
  • Daily leverage (max)
    117.32
  • Regression
  • Alpha
    0.00
  • Beta
    0.21
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.12
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    82.87
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    70.05
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.00
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.28
  • Avg(MAE) / Avg(PL) - All trades
    -35.362
  • 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
    0.09
  • Avg(MAE) / Avg(PL) - Winning trades
    0.860
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.640
  • Hold-and-Hope Ratio
    -0.082
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    5.15212
  • SD
    6.68911
  • Sharpe ratio (Glass type estimate)
    0.77023
  • Sharpe ratio (Hedges UMVUE)
    0.75010
  • df
    29.00000
  • t
    1.21783
  • p
    0.11655
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49139
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01900
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50443
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00463
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.11988
  • Upside Potential Ratio
    6.75076
  • Upside part of mean
    6.79328
  • Downside part of mean
    -1.64115
  • Upside SD
    6.66724
  • Downside SD
    1.00630
  • N nonnegative terms
    17.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.27119
  • Mean of criterion
    5.15212
  • SD of predictor
    0.24153
  • SD of criterion
    6.68911
  • Covariance
    0.34797
  • r
    0.21538
  • b (slope, estimate of beta)
    5.96479
  • a (intercept, estimate of alpha)
    3.53454
  • Mean Square Error
    44.19250
  • DF error
    28.00000
  • t(b)
    1.16705
  • p(b)
    0.12652
  • t(a)
    0.79841
  • p(a)
    0.21568
  • Lowerbound of 95% confidence interval for beta
    -4.50458
  • Upperbound of 95% confidence interval for beta
    16.43420
  • Lowerbound of 95% confidence interval for alpha
    -5.53371
  • Upperbound of 95% confidence interval for alpha
    12.60280
  • Treynor index (mean / b)
    0.86376
  • Jensen alpha (a)
    3.53454
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.78016
  • SD
    3.67508
  • Sharpe ratio (Glass type estimate)
    -0.21228
  • Sharpe ratio (Hedges UMVUE)
    -0.20674
  • df
    29.00000
  • t
    -0.33565
  • p
    0.63023
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.45127
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.03032
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.44747
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.03399
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.25021
  • Upside Potential Ratio
    0.95495
  • Upside part of mean
    2.97753
  • Downside part of mean
    -3.75769
  • Upside SD
    1.83977
  • Downside SD
    3.11800
  • N nonnegative terms
    17.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.24029
  • Mean of criterion
    -0.78016
  • SD of predictor
    0.23872
  • SD of criterion
    3.67508
  • Covariance
    0.03157
  • r
    0.03599
  • b (slope, estimate of beta)
    0.55400
  • a (intercept, estimate of alpha)
    -0.91328
  • Mean Square Error
    13.97040
  • DF error
    28.00000
  • t(b)
    0.19055
  • p(b)
    0.42513
  • t(a)
    -0.37050
  • p(a)
    0.64310
  • Lowerbound of 95% confidence interval for beta
    -5.40160
  • Upperbound of 95% confidence interval for beta
    6.50960
  • Lowerbound of 95% confidence interval for alpha
    -5.96263
  • Upperbound of 95% confidence interval for alpha
    4.13606
  • Treynor index (mean / b)
    -1.40823
  • Jensen alpha (a)
    -0.91328
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.83635
  • Expected Shortfall on VaR
    0.88789
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.28612
  • Expected Shortfall on VaR
    0.58217
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    30.00000
  • Minimum
    0.02229
  • Quartile 1
    0.82310
  • Median
    1.10135
  • Quartile 3
    1.28877
  • Maximum
    11.26790
  • Mean of quarter 1
    0.54003
  • Mean of quarter 2
    0.96745
  • Mean of quarter 3
    1.17391
  • Mean of quarter 4
    2.95505
  • Inter Quartile Range
    0.46567
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.06667
  • Mean of outliers low
    0.03751
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    7.00340
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48348
  • VaR(95%) (moments method)
    0.51898
  • Expected Shortfall (moments method)
    1.12098
  • Extreme Value Index (regression method)
    -0.14649
  • VaR(95%) (regression method)
    0.48669
  • Expected Shortfall (regression method)
    0.63030
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.02259
  • Quartile 1
    0.21729
  • Median
    0.30323
  • Quartile 3
    0.49301
  • Maximum
    0.99927
  • Mean of quarter 1
    0.02259
  • Mean of quarter 2
    0.28219
  • Mean of quarter 3
    0.32426
  • Mean of quarter 4
    0.99927
  • Inter Quartile Range
    0.27572
  • 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
    0.25000
  • Mean of outliers high
    0.99927
  • 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)
    -0.33900
  • Compounded annual return (geometric extrapolation)
    -0.52870
  • Calmar ratio (compounded annual return / max draw down)
    -0.52908
  • Compounded annual return / average of 25% largest draw downs
    -0.52908
  • Compounded annual return / Expected Shortfall lognormal
    -0.59545
  • 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
    99.23320
  • SD
    76.00340
  • Sharpe ratio (Glass type estimate)
    1.30564
  • Sharpe ratio (Hedges UMVUE)
    1.30415
  • df
    657.00000
  • t
    2.06912
  • p
    0.01946
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06638
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54393
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06538
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54292
  • Statistics related to Sortino ratio
  • Sortino ratio
    50.92080
  • Upside Potential Ratio
    55.72390
  • Upside part of mean
    108.59300
  • Downside part of mean
    -9.36001
  • Upside SD
    76.16780
  • Downside SD
    1.94877
  • N nonnegative terms
    336.00000
  • N negative terms
    322.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    658.00000
  • Mean of predictor
    0.30499
  • Mean of criterion
    99.23320
  • SD of predictor
    0.33262
  • SD of criterion
    76.00340
  • Covariance
    -0.60385
  • r
    -0.02389
  • b (slope, estimate of beta)
    -5.45798
  • a (intercept, estimate of alpha)
    100.89800
  • Mean Square Error
    5782.03000
  • DF error
    656.00000
  • t(b)
    -0.61196
  • p(b)
    0.72961
  • t(a)
    2.09946
  • p(a)
    0.01808
  • Lowerbound of 95% confidence interval for beta
    -22.97090
  • Upperbound of 95% confidence interval for beta
    12.05490
  • Lowerbound of 95% confidence interval for alpha
    6.52979
  • Upperbound of 95% confidence interval for alpha
    195.26600
  • Treynor index (mean / b)
    -18.18130
  • Jensen alpha (a)
    100.89800
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.79580
  • SD
    8.72716
  • Sharpe ratio (Glass type estimate)
    -0.09119
  • Sharpe ratio (Hedges UMVUE)
    -0.09108
  • df
    657.00000
  • t
    -0.14451
  • p
    0.55743
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.32796
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.14558
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.32785
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.14569
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.12254
  • Upside Potential Ratio
    2.60801
  • Upside part of mean
    16.93670
  • Downside part of mean
    -17.73250
  • Upside SD
    5.82035
  • Downside SD
    6.49412
  • N nonnegative terms
    336.00000
  • N negative terms
    322.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    658.00000
  • Mean of predictor
    0.25076
  • Mean of criterion
    -0.79580
  • SD of predictor
    0.32767
  • SD of criterion
    8.72716
  • Covariance
    -0.38386
  • r
    -0.13423
  • b (slope, estimate of beta)
    -3.57518
  • a (intercept, estimate of alpha)
    0.10071
  • Mean Square Error
    74.90500
  • DF error
    656.00000
  • t(b)
    -3.46946
  • p(b)
    0.99972
  • t(a)
    0.01842
  • p(a)
    0.49266
  • Lowerbound of 95% confidence interval for beta
    -5.59860
  • Upperbound of 95% confidence interval for beta
    -1.55176
  • Lowerbound of 95% confidence interval for alpha
    -10.63500
  • Upperbound of 95% confidence interval for alpha
    10.83640
  • Treynor index (mean / b)
    0.22259
  • Jensen alpha (a)
    0.10071
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.58930
  • Expected Shortfall on VaR
    0.66610
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07815
  • Expected Shortfall on VaR
    0.17826
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    658.00000
  • Minimum
    0.00372
  • Quartile 1
    0.97308
  • Median
    1.00206
  • Quartile 3
    1.03435
  • Maximum
    82.33330
  • Mean of quarter 1
    0.86716
  • Mean of quarter 2
    0.99058
  • Mean of quarter 3
    1.01616
  • Mean of quarter 4
    2.63699
  • Inter Quartile Range
    0.06128
  • Number outliers low
    42.00000
  • Percentage of outliers low
    0.06383
  • Mean of outliers low
    0.64435
  • Number of outliers high
    42.00000
  • Percentage of outliers high
    0.06383
  • Mean of outliers high
    7.23616
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.79369
  • VaR(95%) (moments method)
    0.12246
  • Expected Shortfall (moments method)
    0.63201
  • Extreme Value Index (regression method)
    0.44993
  • VaR(95%) (regression method)
    0.09388
  • Expected Shortfall (regression method)
    0.19994
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    27.00000
  • Minimum
    0.00355
  • Quartile 1
    0.02544
  • Median
    0.04028
  • Quartile 3
    0.08674
  • Maximum
    0.99998
  • Mean of quarter 1
    0.01058
  • Mean of quarter 2
    0.03353
  • Mean of quarter 3
    0.06142
  • Mean of quarter 4
    0.42917
  • Inter Quartile Range
    0.06130
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.18518
  • Mean of outliers high
    0.54984
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.45776
  • VaR(95%) (moments method)
    0.31588
  • Expected Shortfall (moments method)
    0.38557
  • Extreme Value Index (regression method)
    0.01416
  • VaR(95%) (regression method)
    0.57129
  • Expected Shortfall (regression method)
    0.87269
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.34030
  • Compounded annual return (geometric extrapolation)
    -0.53601
  • Calmar ratio (compounded annual return / max draw down)
    -0.53602
  • Compounded annual return / average of 25% largest draw downs
    -1.24894
  • Compounded annual return / Expected Shortfall lognormal
    -0.80470
  • 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
    379.43600
  • SD
    160.46700
  • Sharpe ratio (Glass type estimate)
    2.36457
  • Sharpe ratio (Hedges UMVUE)
    2.35090
  • df
    130.00000
  • t
    1.67200
  • p
    0.42745
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42647
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.14675
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43560
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.13740
  • Statistics related to Sortino ratio
  • Sortino ratio
    126.68200
  • Upside Potential Ratio
    132.52600
  • Upside part of mean
    396.93700
  • Downside part of mean
    -17.50150
  • Upside SD
    161.53500
  • Downside SD
    2.99517
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.96327
  • Mean of criterion
    379.43600
  • SD of predictor
    0.46997
  • SD of criterion
    160.46700
  • Covariance
    -2.64576
  • r
    -0.03508
  • b (slope, estimate of beta)
    -11.97890
  • a (intercept, estimate of alpha)
    390.97400
  • Mean Square Error
    25917.40000
  • DF error
    129.00000
  • t(b)
    -0.39871
  • p(b)
    0.52233
  • t(a)
    1.70356
  • p(a)
    0.40592
  • Lowerbound of 95% confidence interval for beta
    -71.42160
  • Upperbound of 95% confidence interval for beta
    47.46380
  • Lowerbound of 95% confidence interval for alpha
    -63.10580
  • Upperbound of 95% confidence interval for alpha
    845.05500
  • Treynor index (mean / b)
    -31.67530
  • Jensen alpha (a)
    390.97400
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.31912
  • SD
    15.65240
  • Sharpe ratio (Glass type estimate)
    0.21205
  • Sharpe ratio (Hedges UMVUE)
    0.21083
  • df
    130.00000
  • t
    0.14994
  • p
    0.49343
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.56024
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.98362
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.56110
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98275
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29144
  • Upside Potential Ratio
    3.88752
  • Upside part of mean
    44.27350
  • Downside part of mean
    -40.95430
  • Upside SD
    10.65210
  • Downside SD
    11.38860
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.85293
  • Mean of criterion
    3.31912
  • SD of predictor
    0.46732
  • SD of criterion
    15.65240
  • Covariance
    -1.15273
  • r
    -0.15759
  • b (slope, estimate of beta)
    -5.27842
  • a (intercept, estimate of alpha)
    7.82125
  • Mean Square Error
    240.76400
  • DF error
    129.00000
  • t(b)
    -1.81256
  • p(b)
    0.59991
  • t(a)
    0.35416
  • p(a)
    0.48016
  • VAR (95 Confidence Intrvl)
    0.58900
  • Lowerbound of 95% confidence interval for beta
    -11.04010
  • Upperbound of 95% confidence interval for beta
    0.48331
  • Lowerbound of 95% confidence interval for alpha
    -35.87220
  • Upperbound of 95% confidence interval for alpha
    51.51470
  • Treynor index (mean / b)
    -0.62881
  • Jensen alpha (a)
    7.82125
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.79360
  • Expected Shortfall on VaR
    0.85444
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.17142
  • Expected Shortfall on VaR
    0.36495
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00372
  • Quartile 1
    0.93873
  • Median
    1.00000
  • Quartile 3
    1.09899
  • Maximum
    82.33330
  • Mean of quarter 1
    0.75378
  • Mean of quarter 2
    0.98130
  • Mean of quarter 3
    1.02745
  • Mean of quarter 4
    6.98774
  • Inter Quartile Range
    0.16026
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.17587
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    22.47580
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.76223
  • VaR(95%) (moments method)
    0.25644
  • Expected Shortfall (moments method)
    1.13480
  • Extreme Value Index (regression method)
    0.14267
  • VaR(95%) (regression method)
    0.20555
  • Expected Shortfall (regression method)
    0.32018
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00243
  • Quartile 1
    0.05614
  • Median
    0.10204
  • Quartile 3
    0.64370
  • Maximum
    0.99683
  • Mean of quarter 1
    0.03277
  • Mean of quarter 2
    0.08460
  • Mean of quarter 3
    0.23226
  • Mean of quarter 4
    0.91053
  • Inter Quartile Range
    0.58757
  • 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)
    -594325.00000
  • VaR(95%) (moments method)
    0.95981
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -9.87812
  • VaR(95%) (regression method)
    3.60324
  • Last 4 Months - Pcnt Negative
    1.00%
  • Expected Shortfall (regression method)
    3.60324
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -351193000
  • Max Equity Drawdown (num days)
    15
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    8.66171
  • Compounded annual return (geometric extrapolation)
    27.41800
  • Calmar ratio (compounded annual return / max draw down)
    27.50520
  • Compounded annual return / average of 25% largest draw downs
    30.11210
  • Compounded annual return / Expected Shortfall lognormal
    32.08890

Strategy Description

Summary Statistics

Strategy began
2017-10-08
Suggested Minimum Capital
$10,000
# Trades
575
# Profitable
347
% Profitable
60.3%
Correlation S&P500
0.031
Sharpe Ratio
-0.36
Sortino Ratio
-0.39
Beta
0.21
Alpha
0.00
Leverage
26.93 Average
117.32 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.