Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

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

divertssement stocks
(139513190)

Created by: MohammedAmineHOUM MohammedAmineHOUM
Started: 02/2022
Stocks
Last trade: 38 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $400.00 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.

285.7%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(89.4%)
Max Drawdown
64
Num Trades
53.1%
Win Trades
8.5 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022       +4.6%(5.1%)(11.3%)+0.6%(24%)+0.9%+32.6%+26.8%+119.9%+46.1%(17.8%)+201.7%
2023+27.9%                                                                  +27.9%

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/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/4/22 11:14 META META PLATFORMS INC. CLASS A LONG 1,500 112.20 12/19 10:43 116.14 4.08%
Trade id #142030817
Max drawdown($5,325)
Time11/4/22 0:00
Quant open100
Worst price88.09
Drawdown as % of equity-4.08%
$5,894
Includes Typical Broker Commissions trade costs of $17.50
11/22/22 10:06 TSLA TESLA INC. LONG 100 169.88 12/7 11:28 173.32 0.15%
Trade id #142645512
Max drawdown($246)
Time11/22/22 14:14
Quant open100
Worst price167.42
Drawdown as % of equity-0.15%
$342
Includes Typical Broker Commissions trade costs of $2.00
11/3/22 6:51 EUR/USD EUR/USD LONG 200 0.97358 11/4 10:33 0.99288 0.45%
Trade id #142422186
Max drawdown($560)
Time11/3/22 8:00
Quant open200
Worst price0.97330
Drawdown as % of equity-0.45%
$38,600
10/12/22 10:42 EUR/USD EUR/USD LONG 250 0.96779 10/13 15:03 0.97840 9.74%
Trade id #142140329
Max drawdown($11,600)
Time10/13/22 8:35
Quant open250
Worst price0.96315
Drawdown as % of equity-9.74%
$26,525
10/10/22 10:03 EUR/USD EUR/USD LONG 250 0.96960 10/11 13:12 0.97622 7.62%
Trade id #142104363
Max drawdown($6,550)
Time10/11/22 0:00
Quant open250
Worst price0.96698
Drawdown as % of equity-7.62%
$16,550
9/16/22 4:16 EUR/USD EUR/USD LONG 600 0.99464 10/4 11:12 0.99760 703.58%
Trade id #141825938
Max drawdown($82,937)
Time9/28/22 0:00
Quant open202
Worst price0.95358
Drawdown as % of equity-703.58%
$17,763
9/7/22 15:19 PYPL PAYPAL HOLDINGS CORP LONG 40 93.41 9/26 12:54 85.16 0.98%
Trade id #141694443
Max drawdown($344)
Time9/26/22 12:43
Quant open40
Worst price84.79
Drawdown as % of equity-0.98%
($331)
Includes Typical Broker Commissions trade costs of $0.80
9/7/22 15:20 GOOGL ALPHABET INC CLASS A LONG 30 105.64 9/26 12:54 98.29 0.36%
Trade id #141694461
Max drawdown($245)
Time9/23/22 0:00
Quant open30
Worst price97.47
Drawdown as % of equity-0.36%
($222)
Includes Typical Broker Commissions trade costs of $0.60
9/7/22 15:19 AAPL APPLE LONG 10 156.31 9/26 12:53 151.14 0.11%
Trade id #141694450
Max drawdown($79)
Time9/16/22 0:00
Quant open10
Worst price148.37
Drawdown as % of equity-0.11%
($52)
Includes Typical Broker Commissions trade costs of $0.20
9/19/22 12:39 COIN COINBASE GLOBAL INC. CLASS A LONG 100 67.98 9/23 15:06 60.80 1.66%
Trade id #141853536
Max drawdown($854)
Time9/23/22 10:08
Quant open100
Worst price59.43
Drawdown as % of equity-1.66%
($720)
Includes Typical Broker Commissions trade costs of $2.00
9/7/22 15:22 TSLA TESLA INC. LONG 5 282.95 9/23 15:06 274.07 0.14%
Trade id #141694492
Max drawdown($50)
Time9/23/22 14:56
Quant open5
Worst price272.82
Drawdown as % of equity-0.14%
($44)
Includes Typical Broker Commissions trade costs of $0.10
9/6/22 10:58 EUR/USD EUR/USD LONG 180 0.99041 9/7 13:02 0.99772 8.84%
Trade id #141671154
Max drawdown($5,184)
Time9/7/22 8:03
Quant open180
Worst price0.98753
Drawdown as % of equity-8.84%
$13,157
9/5/22 6:33 EUR/USD EUR/USD LONG 160 0.99351 9/6 3:44 0.99782 7.32%
Trade id #141656339
Max drawdown($3,648)
Time9/5/22 7:30
Quant open160
Worst price0.99123
Drawdown as % of equity-7.32%
$6,896
9/1/22 14:08 EUR/USD EUR/USD LONG 160 0.99553 9/2 8:53 1.00034 4.73%
Trade id #141627423
Max drawdown($2,112)
Time9/1/22 15:52
Quant open160
Worst price0.99421
Drawdown as % of equity-4.73%
$7,696
8/22/22 13:53 EUR/USD EUR/USD LONG 124 0.99351 8/29 10:17 1.00230 12.39%
Trade id #141498385
Max drawdown($4,359)
Time8/23/22 0:00
Quant open124
Worst price0.98999
Drawdown as % of equity-12.39%
$10,905
2/25/22 11:07 JVTSF JUVENTUS FOOTBALL CLUB SPA TORINO LONG 2,000 0.40 8/22 13:53 0.36 0.56%
Trade id #139550323
Max drawdown($246)
Time5/2/22 0:00
Quant open2,000
Worst price0.28
Drawdown as % of equity-0.56%
($95)
Includes Typical Broker Commissions trade costs of $7.50
2/28/22 9:55 EUR/CHF EUR/CHF LONG 18 1.03025 8/22 13:53 0.99122 16.8%
Trade id #139572300
Max drawdown($6,292)
Time6/29/22 0:00
Quant open18
Worst price0.99654
Drawdown as % of equity-16.80%
($7,281)
2/25/22 11:09 ADBE ADOBE INC LONG 10 464.50 8/22 13:52 411.64 3.19%
Trade id #139550351
Max drawdown($1,265)
Time6/17/22 0:00
Quant open10
Worst price338.00
Drawdown as % of equity-3.19%
($529)
Includes Typical Broker Commissions trade costs of $0.20
2/25/22 10:27 TWTR TWITTER INC LONG 100 34.78 8/22 13:52 43.03 0.74%
Trade id #139547053
Max drawdown($283)
Time3/8/22 0:00
Quant open100
Worst price31.95
Drawdown as % of equity-0.74%
$823
Includes Typical Broker Commissions trade costs of $2.00
2/25/22 10:26 DOYU DOUYU INTERNATIONAL HOLDINGS ADR LONG 1,000 2.13 8/22 13:52 1.24 3%
Trade id #139547038
Max drawdown($1,020)
Time7/29/22 0:00
Quant open1,000
Worst price1.11
Drawdown as % of equity-3.00%
($895)
Includes Typical Broker Commissions trade costs of $5.00
2/25/22 10:26 MSFT MICROSOFT LONG 22 295.44 8/22 13:52 278.24 2.99%
Trade id #139547022
Max drawdown($1,186)
Time6/14/22 0:00
Quant open22
Worst price241.51
Drawdown as % of equity-2.99%
($378)
Includes Typical Broker Commissions trade costs of $0.44
2/25/22 10:26 SPOT SPOTIFY TECHNOLOGY SA LONG 24 148.56 8/22 13:52 109.16 3.25%
Trade id #139547013
Max drawdown($1,428)
Time5/12/22 0:00
Quant open24
Worst price89.03
Drawdown as % of equity-3.25%
($946)
Includes Typical Broker Commissions trade costs of $0.48
2/25/22 10:25 GOOGL ALPHABET INC CLASS A LONG 60 133.39 8/22 13:52 114.32 4.53%
Trade id #139547004
Max drawdown($1,890)
Time5/24/22 0:00
Quant open60
Worst price101.89
Drawdown as % of equity-4.53%
($1,145)
Includes Typical Broker Commissions trade costs of $1.20
2/25/22 10:24 WIX WIX.COM LTD. ORDINARY SHARES LONG 30 86.11 8/22 13:52 66.92 2.27%
Trade id #139546957
Max drawdown($989)
Time6/13/22 0:00
Quant open30
Worst price53.12
Drawdown as % of equity-2.27%
($577)
Includes Typical Broker Commissions trade costs of $0.60
2/25/22 10:24 UDMY UDEMY INC. COMMON STOCK LONG 200 12.73 8/22 13:52 14.51 1.94%
Trade id #139546944
Max drawdown($653)
Time7/5/22 0:00
Quant open200
Worst price9.46
Drawdown as % of equity-1.94%
$352
Includes Typical Broker Commissions trade costs of $4.00
2/25/22 10:23 DUOL DUOLINGO INC. CLASS A COMMON STOCK LONG 30 83.35 8/22 13:52 94.50 1.48%
Trade id #139546905
Max drawdown($685)
Time5/11/22 0:00
Quant open30
Worst price60.50
Drawdown as % of equity-1.48%
$334
Includes Typical Broker Commissions trade costs of $0.60
2/25/22 10:23 DKNG DRAFTKINGS INC. CLASS A COMMON STOCK LONG 100 20.91 8/22 13:52 17.20 2.54%
Trade id #139546890
Max drawdown($1,114)
Time5/12/22 0:00
Quant open100
Worst price9.77
Drawdown as % of equity-2.54%
($373)
Includes Typical Broker Commissions trade costs of $2.00
2/25/22 10:22 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A LONG 30 122.47 8/22 13:52 97.25 2.97%
Trade id #139546877
Max drawdown($1,303)
Time5/12/22 0:00
Quant open30
Worst price79.03
Drawdown as % of equity-2.97%
($758)
Includes Typical Broker Commissions trade costs of $0.60
2/25/22 10:21 RBLX ROBLOX CORP LONG 60 48.52 8/22 13:52 41.40 3.5%
Trade id #139546844
Max drawdown($1,612)
Time5/10/22 0:00
Quant open60
Worst price21.65
Drawdown as % of equity-3.50%
($428)
Includes Typical Broker Commissions trade costs of $1.20
2/25/22 10:20 META META PLATFORMS INC. CLASS A LONG 80 208.67 8/22 13:52 162.78 11.63%
Trade id #139546768
Max drawdown($4,353)
Time6/23/22 0:00
Quant open80
Worst price154.25
Drawdown as % of equity-11.63%
($3,673)
Includes Typical Broker Commissions trade costs of $1.60

Statistics

  • Strategy began
    2/23/2022
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    336.86
  • Age
    11 months ago
  • What it trades
    Stocks, Forex
  • # Trades
    64
  • # Profitable
    34
  • % Profitable
    53.10%
  • Avg trade duration
    50.3 days
  • Max peak-to-valley drawdown
    89.41%
  • drawdown period
    Sept 20, 2022 - Sept 28, 2022
  • Cumul. Return
    285.7%
  • Avg win
    $5,012
  • Avg loss
    $669.33
  • Model Account Values (Raw)
  • Cash
    $103,029
  • Margin Used
    $0
  • Buying Power
    $123,156
  • Ratios
  • W:L ratio
    8.49:1
  • Sharpe Ratio
    1.47
  • Sortino Ratio
    2.69
  • Calmar Ratio
    6.932
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    290.68%
  • Correlation to SP500
    0.21680
  • Return Percent SP500 (cumu) during strategy life
    -3.91%
  • Return Statistics
  • Ann Return (w trading costs)
    326.6%
  • Slump
  • Current Slump as Pcnt Equity
    2.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    2.857%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.79%
  • Percent Trades Forex
    0.21%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    340.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    79.50%
  • Chance of 20% account loss
    63.00%
  • Chance of 30% account loss
    50.00%
  • Chance of 40% account loss
    30.50%
  • Chance of 60% account loss (Monte Carlo)
    7.50%
  • Chance of 70% account loss (Monte Carlo)
    3.50%
  • Chance of 80% account loss (Monte Carlo)
    1.50%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • 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
    22.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    910
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    270
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $669
  • Avg Win
    $4,923
  • Sum Trade PL (losers)
    $20,080.000
  • Age
  • Num Months filled monthly returns table
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $167,372.000
  • # Winners
    34
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    37
  • Win / Loss
  • # Losers
    30
  • % Winners
    53.1%
  • Frequency
  • Avg Position Time (mins)
    72354.60
  • Avg Position Time (hrs)
    1205.91
  • Avg Trade Length
    50.2 days
  • Last Trade Ago
    38
  • Leverage
  • Daily leverage (average)
    8.08
  • Daily leverage (max)
    170.61
  • Regression
  • Alpha
    0.61
  • Beta
    1.07
  • Treynor Index
    0.55
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.13
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.37
  • MAE:Equity, average, winning trades
    0.23
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.275
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.966
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.313
  • Hold-and-Hope Ratio
    0.779
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.50025
  • SD
    1.23523
  • Sharpe ratio (Glass type estimate)
    2.02412
  • Sharpe ratio (Hedges UMVUE)
    1.82718
  • df
    8.00000
  • t
    1.75294
  • p
    0.05885
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49239
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.43639
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60664
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.26100
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.61776
  • Upside Potential Ratio
    10.36230
  • Upside part of mean
    3.00639
  • Downside part of mean
    -0.50614
  • Upside SD
    1.33904
  • Downside SD
    0.29013
  • N nonnegative terms
    6.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    -0.03383
  • Mean of criterion
    2.50025
  • SD of predictor
    0.29941
  • SD of criterion
    1.23523
  • Covariance
    -0.05652
  • r
    -0.15283
  • b (slope, estimate of beta)
    -0.63050
  • a (intercept, estimate of alpha)
    2.47892
  • Mean Square Error
    1.70303
  • DF error
    7.00000
  • t(b)
    -0.40916
  • p(b)
    0.65267
  • t(a)
    1.64408
  • p(a)
    0.07208
  • Lowerbound of 95% confidence interval for beta
    -4.27436
  • Upperbound of 95% confidence interval for beta
    3.01336
  • Lowerbound of 95% confidence interval for alpha
    -1.08645
  • Upperbound of 95% confidence interval for alpha
    6.04429
  • Treynor index (mean / b)
    -3.96548
  • Jensen alpha (a)
    2.47892
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.82733
  • SD
    0.98984
  • Sharpe ratio (Glass type estimate)
    1.84608
  • Sharpe ratio (Hedges UMVUE)
    1.66646
  • df
    8.00000
  • t
    1.59875
  • p
    0.07427
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63448
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.22889
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73951
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07244
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.67374
  • Upside Potential Ratio
    7.39544
  • Upside part of mean
    2.38183
  • Downside part of mean
    -0.55450
  • Upside SD
    1.02248
  • Downside SD
    0.32207
  • N nonnegative terms
    6.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    -0.07343
  • Mean of criterion
    1.82733
  • SD of predictor
    0.29731
  • SD of criterion
    0.98984
  • Covariance
    -0.01566
  • r
    -0.05323
  • b (slope, estimate of beta)
    -0.17720
  • a (intercept, estimate of alpha)
    1.81432
  • Mean Square Error
    1.11659
  • DF error
    7.00000
  • t(b)
    -0.14102
  • p(b)
    0.55409
  • t(a)
    1.48272
  • p(a)
    0.09086
  • Lowerbound of 95% confidence interval for beta
    -3.14851
  • Upperbound of 95% confidence interval for beta
    2.79411
  • Lowerbound of 95% confidence interval for alpha
    -1.07914
  • Upperbound of 95% confidence interval for alpha
    4.70778
  • Treynor index (mean / b)
    -10.31220
  • Jensen alpha (a)
    1.81432
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.27220
  • Expected Shortfall on VaR
    0.35064
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07452
  • Expected Shortfall on VaR
    0.15341
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.78369
  • Quartile 1
    0.95712
  • Median
    1.21364
  • Quartile 3
    1.26998
  • Maximum
    1.78007
  • Mean of quarter 1
    0.87346
  • Mean of quarter 2
    1.11194
  • Mean of quarter 3
    1.24955
  • Mean of quarter 4
    1.76591
  • Inter Quartile Range
    0.31285
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.22222
  • Mean of outliers high
    1.76591
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -8.41659
  • VaR(95%) (moments method)
    0.10646
  • Expected Shortfall (moments method)
    0.10646
  • Extreme Value Index (regression method)
    -0.69355
  • VaR(95%) (regression method)
    0.25361
  • Expected Shortfall (regression method)
    0.28862
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04288
  • Quartile 1
    0.10983
  • Median
    0.17678
  • Quartile 3
    0.24373
  • Maximum
    0.31068
  • Mean of quarter 1
    0.04288
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.31068
  • Inter Quartile Range
    0.13390
  • 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)
    3.91642
  • Compounded annual return (geometric extrapolation)
    5.21727
  • Calmar ratio (compounded annual return / max draw down)
    16.79280
  • Compounded annual return / average of 25% largest draw downs
    16.79280
  • Compounded annual return / Expected Shortfall lognormal
    14.87920
  • 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
    2.57795
  • SD
    1.24336
  • Sharpe ratio (Glass type estimate)
    2.07338
  • Sharpe ratio (Hedges UMVUE)
    2.06551
  • df
    198.00000
  • t
    1.80698
  • p
    0.43632
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18734
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.32899
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19258
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.32360
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.50135
  • Upside Potential Ratio
    8.97420
  • Upside part of mean
    6.60747
  • Downside part of mean
    -4.02952
  • Upside SD
    1.01066
  • Downside SD
    0.73627
  • N nonnegative terms
    112.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    199.00000
  • Mean of predictor
    -0.03551
  • Mean of criterion
    2.57795
  • SD of predictor
    0.25085
  • SD of criterion
    1.24336
  • Covariance
    0.07067
  • r
    0.22659
  • b (slope, estimate of beta)
    1.12314
  • a (intercept, estimate of alpha)
    2.61800
  • Mean Square Error
    1.47401
  • DF error
    197.00000
  • t(b)
    3.26532
  • p(b)
    0.35699
  • t(a)
    1.87910
  • p(a)
    0.41577
  • Lowerbound of 95% confidence interval for beta
    0.44482
  • Upperbound of 95% confidence interval for beta
    1.80146
  • Lowerbound of 95% confidence interval for alpha
    -0.12953
  • Upperbound of 95% confidence interval for alpha
    5.36518
  • Treynor index (mean / b)
    2.29531
  • Jensen alpha (a)
    2.61783
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.81116
  • SD
    1.24109
  • Sharpe ratio (Glass type estimate)
    1.45932
  • Sharpe ratio (Hedges UMVUE)
    1.45379
  • df
    198.00000
  • t
    1.27182
  • p
    0.45499
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79601
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.71099
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79968
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.70725
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.08629
  • Upside Potential Ratio
    7.11589
  • Upside part of mean
    6.17746
  • Downside part of mean
    -4.36630
  • Upside SD
    0.88964
  • Downside SD
    0.86812
  • N nonnegative terms
    112.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    199.00000
  • Mean of predictor
    -0.06693
  • Mean of criterion
    1.81116
  • SD of predictor
    0.25155
  • SD of criterion
    1.24109
  • Covariance
    0.07353
  • r
    0.23552
  • b (slope, estimate of beta)
    1.16200
  • a (intercept, estimate of alpha)
    1.88893
  • Mean Square Error
    1.46226
  • DF error
    197.00000
  • t(b)
    3.40136
  • p(b)
    0.35146
  • t(a)
    1.36120
  • p(a)
    0.43864
  • Lowerbound of 95% confidence interval for beta
    0.48828
  • Upperbound of 95% confidence interval for beta
    1.83572
  • Lowerbound of 95% confidence interval for alpha
    -0.84772
  • Upperbound of 95% confidence interval for alpha
    4.62558
  • Treynor index (mean / b)
    1.55865
  • Jensen alpha (a)
    1.88893
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11238
  • Expected Shortfall on VaR
    0.14002
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03132
  • Expected Shortfall on VaR
    0.07086
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    199.00000
  • Minimum
    0.62521
  • Quartile 1
    0.98324
  • Median
    1.00244
  • Quartile 3
    1.02802
  • Maximum
    1.46477
  • Mean of quarter 1
    0.94406
  • Mean of quarter 2
    0.99501
  • Mean of quarter 3
    1.01427
  • Mean of quarter 4
    1.08610
  • Inter Quartile Range
    0.04478
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.04523
  • Mean of outliers low
    0.83512
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.05528
  • Mean of outliers high
    1.21056
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.68109
  • VaR(95%) (moments method)
    0.05863
  • Expected Shortfall (moments method)
    0.19107
  • Extreme Value Index (regression method)
    0.49472
  • VaR(95%) (regression method)
    0.04495
  • Expected Shortfall (regression method)
    0.09382
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00233
  • Quartile 1
    0.00994
  • Median
    0.03190
  • Quartile 3
    0.24219
  • Maximum
    0.73830
  • Mean of quarter 1
    0.00438
  • Mean of quarter 2
    0.01638
  • Mean of quarter 3
    0.10854
  • Mean of quarter 4
    0.45034
  • Inter Quartile Range
    0.23225
  • 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
    0.08333
  • Mean of outliers high
    0.73830
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.04329
  • VaR(95%) (moments method)
    0.50415
  • Expected Shortfall (moments method)
    0.55663
  • Extreme Value Index (regression method)
    0.62193
  • VaR(95%) (regression method)
    0.72532
  • Expected Shortfall (regression method)
    2.01008
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.89399
  • Compounded annual return (geometric extrapolation)
    5.11752
  • Calmar ratio (compounded annual return / max draw down)
    6.93154
  • Compounded annual return / average of 25% largest draw downs
    11.36370
  • Compounded annual return / Expected Shortfall lognormal
    36.54860
  • 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
    4.43418
  • SD
    1.46214
  • Sharpe ratio (Glass type estimate)
    3.03267
  • Sharpe ratio (Hedges UMVUE)
    3.01514
  • df
    130.00000
  • t
    2.14442
  • p
    0.40758
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23086
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.82316
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21921
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.81107
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.24239
  • Upside Potential Ratio
    9.85886
  • Upside part of mean
    8.33894
  • Downside part of mean
    -3.90476
  • Upside SD
    1.21702
  • Downside SD
    0.84583
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06604
  • Mean of criterion
    4.43418
  • SD of predictor
    0.22980
  • SD of criterion
    1.46214
  • Covariance
    0.06222
  • r
    0.18519
  • b (slope, estimate of beta)
    1.17833
  • a (intercept, estimate of alpha)
    4.35636
  • Mean Square Error
    2.08053
  • DF error
    129.00000
  • t(b)
    2.14041
  • p(b)
    0.38278
  • t(a)
    2.13527
  • p(a)
    0.38305
  • Lowerbound of 95% confidence interval for beta
    0.08912
  • Upperbound of 95% confidence interval for beta
    2.26754
  • Lowerbound of 95% confidence interval for alpha
    0.31979
  • Upperbound of 95% confidence interval for alpha
    8.39293
  • Treynor index (mean / b)
    3.76311
  • Jensen alpha (a)
    4.35636
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.35988
  • SD
    1.46218
  • Sharpe ratio (Glass type estimate)
    2.29786
  • Sharpe ratio (Hedges UMVUE)
    2.28457
  • df
    130.00000
  • t
    1.62483
  • p
    0.42946
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49223
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.07934
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50111
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.07026
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.31163
  • Upside Potential Ratio
    7.60893
  • Upside part of mean
    7.71977
  • Downside part of mean
    -4.35989
  • Upside SD
    1.06554
  • Downside SD
    1.01457
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03992
  • Mean of criterion
    3.35988
  • SD of predictor
    0.22926
  • SD of criterion
    1.46218
  • Covariance
    0.06622
  • r
    0.19755
  • b (slope, estimate of beta)
    1.25996
  • a (intercept, estimate of alpha)
    3.30958
  • Mean Square Error
    2.07046
  • DF error
    129.00000
  • t(b)
    2.28886
  • p(b)
    0.37506
  • t(a)
    1.62629
  • p(a)
    0.41007
  • VAR (95 Confidence Intrvl)
    0.11200
  • Lowerbound of 95% confidence interval for beta
    0.17083
  • Upperbound of 95% confidence interval for beta
    2.34908
  • Lowerbound of 95% confidence interval for alpha
    -0.71680
  • Upperbound of 95% confidence interval for alpha
    7.33596
  • Treynor index (mean / b)
    2.66666
  • Jensen alpha (a)
    3.30958
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12695
  • Expected Shortfall on VaR
    0.15882
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02796
  • Expected Shortfall on VaR
    0.06627
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.62521
  • Quartile 1
    0.99138
  • Median
    1.00376
  • Quartile 3
    1.03571
  • Maximum
    1.46477
  • Mean of quarter 1
    0.94314
  • Mean of quarter 2
    0.99834
  • Mean of quarter 3
    1.01783
  • Mean of quarter 4
    1.10842
  • Inter Quartile Range
    0.04433
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.79781
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.22190
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.92276
  • VaR(95%) (moments method)
    0.04992
  • Expected Shortfall (moments method)
    0.68468
  • Extreme Value Index (regression method)
    0.73824
  • VaR(95%) (regression method)
    0.04007
  • Expected Shortfall (regression method)
    0.16580
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00233
  • Quartile 1
    0.01116
  • Median
    0.02082
  • Quartile 3
    0.08610
  • Maximum
    0.73830
  • Mean of quarter 1
    0.00608
  • Mean of quarter 2
    0.01548
  • Mean of quarter 3
    0.03562
  • Mean of quarter 4
    0.29631
  • Inter Quartile Range
    0.07493
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.48961
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.72758
  • VaR(95%) (moments method)
    0.35344
  • Expected Shortfall (moments method)
    1.38796
  • Extreme Value Index (regression method)
    2.91322
  • VaR(95%) (regression method)
    0.67340
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -302697000
  • Max Equity Drawdown (num days)
    8
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    8.73045
  • Compounded annual return (geometric extrapolation)
    27.78560
  • Calmar ratio (compounded annual return / max draw down)
    37.63490
  • Compounded annual return / average of 25% largest draw downs
    93.77060
  • Compounded annual return / Expected Shortfall lognormal
    174.94600

Strategy Description

Summary Statistics

Strategy began
2022-02-23
Suggested Minimum Capital
$100,000
# Trades
64
# Profitable
34
% Profitable
53.1%
Net Dividends
Correlation S&P500
0.217
Sharpe Ratio
1.47
Sortino Ratio
2.69
Beta
1.07
Alpha
0.61
Leverage
8.08 Average
170.61 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.