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

Argonaut
(141009565)

Created by: EricArgo EricArgo
Started: 07/2022
Stocks
Last trade: 2 days ago
Trading style: Equity Momentum

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 $175.00 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: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
14.4%
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.

(6.0%)
Max Drawdown
50
Num Trades
54.0%
Win Trades
1.9 : 1
Profit Factor
85.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          +2.6%(0.7%)+3.4%+3.5%+0.2%+1.6%+10.9%
2023+3.1%                                                                  +3.1%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/23/23 15:44 T AT&T SHORT 1,636 19.04 1/24 9:30 19.16 10.9%
Trade id #143309227
Max drawdown($6,224)
Time1/24/23 9:30
Quant open1,636
Worst price22.84
Drawdown as % of equity-10.90%
($203)
Includes Typical Broker Commissions trade costs of $5.00
1/17/23 15:20 AIG AMERICAN INTERNATIONAL SHORT 1,096 63.87 1/18 14:37 62.74 0.31%
Trade id #143242836
Max drawdown($175)
Time1/18/23 10:08
Quant open1,096
Worst price64.03
Drawdown as % of equity-0.31%
$1,234
Includes Typical Broker Commissions trade costs of $5.00
1/16/23 15:45 EQT EQT LONG 640 35.47 1/17 9:55 35.47 0.56%
Trade id #143229333
Max drawdown($313)
Time1/17/23 9:39
Quant open640
Worst price34.98
Drawdown as % of equity-0.56%
($4)
Includes Typical Broker Commissions trade costs of $5.00
1/10/23 15:46 MRVL MARVELL TECHNOLOGY LONG 543 37.05 1/12 12:34 39.50 0.1%
Trade id #143167869
Max drawdown($53)
Time1/10/23 15:55
Quant open543
Worst price36.95
Drawdown as % of equity-0.10%
$1,326
Includes Typical Broker Commissions trade costs of $5.00
1/3/23 15:50 MRNA MODERNA INC. COMMON STOCK SHORT 105 179.03 1/9 11:01 184.43 1.03%
Trade id #143079690
Max drawdown($567)
Time1/9/23 11:01
Quant open105
Worst price184.43
Drawdown as % of equity-1.03%
($569)
Includes Typical Broker Commissions trade costs of $2.10
12/12/22 15:53 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A LONG 179 73.30 12/13 9:30 77.41 n/a $732
Includes Typical Broker Commissions trade costs of $3.58
12/5/22 15:51 DB DEUTSCHE BANK AG SHORT 2,454 10.59 12/12 10:53 10.54 0.59%
Trade id #142774792
Max drawdown($319)
Time12/9/22 0:00
Quant open2,454
Worst price10.72
Drawdown as % of equity-0.59%
$118
Includes Typical Broker Commissions trade costs of $5.00
12/6/22 15:32 GE GENERAL ELECTRIC SHORT 230 84.91 12/9 15:56 81.41 0.54%
Trade id #142789027
Max drawdown($294)
Time12/8/22 0:00
Quant open230
Worst price86.19
Drawdown as % of equity-0.54%
$800
Includes Typical Broker Commissions trade costs of $4.60
12/6/22 15:32 GE GENERAL ELECTRIC SHORT 230 84.88 12/6 15:32 84.86 n/a ($2)
Includes Typical Broker Commissions trade costs of $4.60
11/30/22 15:18 OPEN OPENDOOR TECHNOLOGIES INC LONG 3,055 1.86 12/5 10:00 1.67 1.07%
Trade id #142724576
Max drawdown($580)
Time12/5/22 10:00
Quant open3,055
Worst price1.67
Drawdown as % of equity-1.07%
($585)
Includes Typical Broker Commissions trade costs of $5.00
11/22/22 15:57 META META PLATFORMS INC. CLASS A LONG 175 111.49 11/30 15:04 116.53 0.99%
Trade id #142651166
Max drawdown($544)
Time11/28/22 0:00
Quant open175
Worst price108.38
Drawdown as % of equity-0.99%
$879
Includes Typical Broker Commissions trade costs of $3.50
11/23/22 15:45 GT THE GOODYEAR TIRE & RUBBER COM LONG 3,928 11.28 11/28 11:58 11.14 1%
Trade id #142665119
Max drawdown($549)
Time11/28/22 11:58
Quant open3,928
Worst price11.14
Drawdown as % of equity-1.00%
($555)
Includes Typical Broker Commissions trade costs of $5.00
11/14/22 15:49 T AT&T SHORT 1,896 19.07 11/15 9:46 19.37 1.11%
Trade id #142561134
Max drawdown($606)
Time11/15/22 0:00
Quant open1,896
Worst price19.39
Drawdown as % of equity-1.11%
($574)
Includes Typical Broker Commissions trade costs of $5.00
11/8/22 15:47 ZI ZOOMINFO TECHNOLOGIES INC LONG 275 29.50 11/11 10:28 32.73 0.77%
Trade id #142490338
Max drawdown($419)
Time11/9/22 0:00
Quant open275
Worst price27.98
Drawdown as % of equity-0.77%
$883
Includes Typical Broker Commissions trade costs of $5.50
11/8/22 15:49 ASAN ASANA INC LONG 400 17.46 11/9 9:30 16.76 0.64%
Trade id #142490377
Max drawdown($348)
Time11/9/22 0:00
Quant open400
Worst price16.59
Drawdown as % of equity-0.64%
($288)
Includes Typical Broker Commissions trade costs of $8.00
10/17/22 15:41 AAPL APPLE LONG 120 142.61 10/25 10:50 151.22 0.46%
Trade id #142197223
Max drawdown($240)
Time10/18/22 0:00
Quant open120
Worst price140.61
Drawdown as % of equity-0.46%
$1,031
Includes Typical Broker Commissions trade costs of $2.40
10/10/22 15:48 HL HECLA MINING LONG 2,933 4.32 10/21 13:32 4.70 0.89%
Trade id #142111332
Max drawdown($469)
Time10/14/22 0:00
Quant open2,933
Worst price4.16
Drawdown as % of equity-0.89%
$1,110
Includes Typical Broker Commissions trade costs of $5.00
10/10/22 15:50 GT THE GOODYEAR TIRE & RUBBER COM LONG 1,963 11.08 10/13 9:30 10.80 1.06%
Trade id #142111349
Max drawdown($569)
Time10/13/22 9:30
Quant open1,963
Worst price10.79
Drawdown as % of equity-1.06%
($555)
Includes Typical Broker Commissions trade costs of $5.00
10/5/22 15:55 ELAN ELANCO ANIMAL HEALTH INC LONG 1,018 12.76 10/7 9:57 12.22 1.05%
Trade id #142056052
Max drawdown($570)
Time10/7/22 9:57
Quant open1,018
Worst price12.20
Drawdown as % of equity-1.05%
($555)
Includes Typical Broker Commissions trade costs of $5.00
10/6/22 15:50 FCX FREEPORT-MCMORAN INC LONG 964 29.82 10/7 9:32 29.22 1.12%
Trade id #142073355
Max drawdown($604)
Time10/7/22 9:32
Quant open964
Worst price29.19
Drawdown as % of equity-1.12%
($583)
Includes Typical Broker Commissions trade costs of $5.00
9/29/22 15:46 FITB FIFTH THIRD BANCORP LONG 536 32.13 10/4 9:32 33.54 0.35%
Trade id #141983463
Max drawdown($182)
Time10/3/22 0:00
Quant open536
Worst price31.79
Drawdown as % of equity-0.35%
$751
Includes Typical Broker Commissions trade costs of $5.00
9/26/22 15:48 MRK MERCK LONG 430 86.48 10/3 15:31 87.84 0.67%
Trade id #141935471
Max drawdown($348)
Time9/27/22 0:00
Quant open430
Worst price85.67
Drawdown as % of equity-0.67%
$576
Includes Typical Broker Commissions trade costs of $8.60
9/28/22 15:48 BB BLACKBERRY LIMITED COMMON STOC LONG 2,347 5.05 9/29 9:39 4.81 1.63%
Trade id #141967304
Max drawdown($868)
Time9/29/22 0:00
Quant open2,347
Worst price4.68
Drawdown as % of equity-1.63%
($568)
Includes Typical Broker Commissions trade costs of $5.00
9/26/22 9:30 ZI ZOOMINFO TECHNOLOGIES INC LONG 379 40.04 9/28 14:39 42.18 0.66%
Trade id #141927103
Max drawdown($348)
Time9/26/22 15:59
Quant open379
Worst price39.12
Drawdown as % of equity-0.66%
$803
Includes Typical Broker Commissions trade costs of $7.58
9/21/22 15:57 PYPL PAYPAL HOLDINGS CORP SHORT 121 91.36 9/22 15:11 87.85 0.03%
Trade id #141883397
Max drawdown($16)
Time9/22/22 0:00
Quant open121
Worst price91.50
Drawdown as % of equity-0.03%
$423
Includes Typical Broker Commissions trade costs of $2.42
9/21/22 15:56 PYPL PAYPAL HOLDINGS CORP SHORT 124 91.47 9/21 15:56 91.50 0.01%
Trade id #141883377
Max drawdown($4)
Time9/21/22 15:56
Quant open124
Worst price91.50
Drawdown as % of equity-0.01%
($6)
Includes Typical Broker Commissions trade costs of $2.48
9/15/22 9:30 AAL AMERICAN AIRLINES GROUP INC. C LONG 675 13.91 9/21 15:47 13.26 0.84%
Trade id #141813733
Max drawdown($438)
Time9/21/22 15:47
Quant open675
Worst price13.26
Drawdown as % of equity-0.84%
($444)
Includes Typical Broker Commissions trade costs of $5.00
9/19/22 15:56 ABT ABBOTT LABORATORIES LONG 310 103.98 9/20 9:38 102.22 1.33%
Trade id #141856240
Max drawdown($713)
Time9/20/22 0:00
Quant open310
Worst price101.68
Drawdown as % of equity-1.33%
($552)
Includes Typical Broker Commissions trade costs of $6.20
9/15/22 15:55 ABNB AIRBNB INC. CLASS A COMMON STOCK SHORT 122 125.06 9/16 11:16 119.05 0.02%
Trade id #141821856
Max drawdown($12)
Time9/15/22 15:58
Quant open122
Worst price125.16
Drawdown as % of equity-0.02%
$731
Includes Typical Broker Commissions trade costs of $2.44
9/12/22 15:57 XOM EXXON MOBIL SHORT 327 97.60 9/15 12:11 94.40 0.6%
Trade id #141753324
Max drawdown($313)
Time9/14/22 0:00
Quant open327
Worst price98.56
Drawdown as % of equity-0.60%
$1,039
Includes Typical Broker Commissions trade costs of $6.54

Statistics

  • Strategy began
    7/9/2022
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    201.57
  • Age
    7 months ago
  • What it trades
    Stocks
  • # Trades
    50
  • # Profitable
    27
  • % Profitable
    54.00%
  • Avg trade duration
    3.0 days
  • Max peak-to-valley drawdown
    5.99%
  • drawdown period
    July 12, 2022 - July 14, 2022
  • Cumul. Return
    14.4%
  • Avg win
    $692.19
  • Avg loss
    $433.30
  • Model Account Values (Raw)
  • Cash
    $69,602
  • Margin Used
    $16,313
  • Buying Power
    $53,454
  • Ratios
  • W:L ratio
    1.91:1
  • Sharpe Ratio
    1.73
  • Sortino Ratio
    2.79
  • Calmar Ratio
    10.28
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    10.24%
  • Correlation to SP500
    0.25170
  • Return Percent SP500 (cumu) during strategy life
    4.13%
  • Return Statistics
  • Ann Return (w trading costs)
    27.1%
  • Slump
  • Current Slump as Pcnt Equity
    1.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.144%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    34.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    669
  • Popularity (Last 6 weeks)
    930
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    967
  • Popularity (7 days, Percentile 1000 scale)
    894
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $433
  • Avg Win
    $692
  • Sum Trade PL (losers)
    $9,966.000
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $18,689.000
  • # Winners
    27
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    170
  • AUM
  • AUM (AutoTrader live capital)
    43982
  • Win / Loss
  • # Losers
    23
  • % Winners
    54.0%
  • Frequency
  • Avg Position Time (mins)
    4370.38
  • Avg Position Time (hrs)
    72.84
  • Avg Trade Length
    3.0 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.54
  • Daily leverage (max)
    1.95
  • Regression
  • Alpha
    0.06
  • Beta
    0.13
  • Treynor Index
    0.51
  • 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)
    5.62
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    3.287
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.351
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.961
  • Hold-and-Hope Ratio
    0.302
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21594
  • SD
    0.07992
  • Sharpe ratio (Glass type estimate)
    2.70214
  • Sharpe ratio (Hedges UMVUE)
    2.27182
  • df
    5.00000
  • t
    1.91070
  • p
    0.05714
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60749
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.82205
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83713
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.38076
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.92920
  • Upside Potential Ratio
    13.34340
  • Upside part of mean
    0.24154
  • Downside part of mean
    -0.02560
  • Upside SD
    0.09424
  • Downside SD
    0.01810
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.03397
  • Mean of criterion
    0.21594
  • SD of predictor
    0.25834
  • SD of criterion
    0.07992
  • Covariance
    0.00249
  • r
    0.12046
  • b (slope, estimate of beta)
    0.03727
  • a (intercept, estimate of alpha)
    0.21468
  • Mean Square Error
    0.00787
  • DF error
    4.00000
  • t(b)
    0.24270
  • p(b)
    0.41009
  • t(a)
    1.70995
  • p(a)
    0.08123
  • Lowerbound of 95% confidence interval for beta
    -0.38913
  • Upperbound of 95% confidence interval for beta
    0.46366
  • Lowerbound of 95% confidence interval for alpha
    -0.13396
  • Upperbound of 95% confidence interval for alpha
    0.56331
  • Treynor index (mean / b)
    5.79475
  • Jensen alpha (a)
    0.21468
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21098
  • SD
    0.07814
  • Sharpe ratio (Glass type estimate)
    2.69993
  • Sharpe ratio (Hedges UMVUE)
    2.26996
  • df
    5.00000
  • t
    1.90914
  • p
    0.05726
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60898
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.81915
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83846
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.37838
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.60750
  • Upside Potential Ratio
    13.02180
  • Upside part of mean
    0.23669
  • Downside part of mean
    -0.02570
  • Upside SD
    0.09202
  • Downside SD
    0.01818
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.00545
  • Mean of criterion
    0.21098
  • SD of predictor
    0.26318
  • SD of criterion
    0.07814
  • Covariance
    0.00183
  • r
    0.08893
  • b (slope, estimate of beta)
    0.02640
  • a (intercept, estimate of alpha)
    0.21084
  • Mean Square Error
    0.00757
  • DF error
    4.00000
  • t(b)
    0.17857
  • p(b)
    0.43348
  • t(a)
    1.71317
  • p(a)
    0.08092
  • Lowerbound of 95% confidence interval for beta
    -0.38423
  • Upperbound of 95% confidence interval for beta
    0.43704
  • Lowerbound of 95% confidence interval for alpha
    -0.13092
  • Upperbound of 95% confidence interval for alpha
    0.55260
  • Treynor index (mean / b)
    7.99020
  • Jensen alpha (a)
    0.21084
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01933
  • Expected Shortfall on VaR
    0.02850
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00198
  • Expected Shortfall on VaR
    0.00543
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.98953
  • Quartile 1
    1.01112
  • Median
    1.01351
  • Quartile 3
    1.03470
  • Maximum
    1.05332
  • Mean of quarter 1
    1.00019
  • Mean of quarter 2
    1.01189
  • Mean of quarter 3
    1.01513
  • Mean of quarter 4
    1.04727
  • Inter Quartile Range
    0.02358
  • 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)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.01047
  • Quartile 1
    0.01047
  • Median
    0.01047
  • Quartile 3
    0.01047
  • Maximum
    0.01047
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25374
  • Compounded annual return (geometric extrapolation)
    0.26984
  • Calmar ratio (compounded annual return / max draw down)
    25.76810
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    9.46796
  • 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
    0.27809
  • SD
    0.11075
  • Sharpe ratio (Glass type estimate)
    2.51100
  • Sharpe ratio (Hedges UMVUE)
    2.49771
  • df
    142.00000
  • t
    1.85508
  • p
    0.42309
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16233
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.17564
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17111
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.16652
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.15689
  • Upside Potential Ratio
    11.45060
  • Upside part of mean
    0.76603
  • Downside part of mean
    -0.48794
  • Upside SD
    0.08944
  • Downside SD
    0.06690
  • N nonnegative terms
    61.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    143.00000
  • Mean of predictor
    0.09343
  • Mean of criterion
    0.27809
  • SD of predictor
    0.22892
  • SD of criterion
    0.11075
  • Covariance
    0.00626
  • r
    0.24701
  • b (slope, estimate of beta)
    0.11950
  • a (intercept, estimate of alpha)
    0.26700
  • Mean Square Error
    0.01160
  • DF error
    141.00000
  • t(b)
    3.02689
  • p(b)
    0.34436
  • t(a)
    1.83047
  • p(a)
    0.40338
  • Lowerbound of 95% confidence interval for beta
    0.04145
  • Upperbound of 95% confidence interval for beta
    0.19755
  • Lowerbound of 95% confidence interval for alpha
    -0.02136
  • Upperbound of 95% confidence interval for alpha
    0.55520
  • Treynor index (mean / b)
    2.32705
  • Jensen alpha (a)
    0.26692
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27184
  • SD
    0.11058
  • Sharpe ratio (Glass type estimate)
    2.45829
  • Sharpe ratio (Hedges UMVUE)
    2.44528
  • df
    142.00000
  • t
    1.81614
  • p
    0.42467
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21426
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.12238
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22288
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.11344
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.03795
  • Upside Potential Ratio
    11.31860
  • Upside part of mean
    0.76198
  • Downside part of mean
    -0.49014
  • Upside SD
    0.08884
  • Downside SD
    0.06732
  • N nonnegative terms
    61.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    143.00000
  • Mean of predictor
    0.06749
  • Mean of criterion
    0.27184
  • SD of predictor
    0.22832
  • SD of criterion
    0.11058
  • Covariance
    0.00623
  • r
    0.24691
  • b (slope, estimate of beta)
    0.11958
  • a (intercept, estimate of alpha)
    0.26377
  • Mean Square Error
    0.01156
  • DF error
    141.00000
  • t(b)
    3.02557
  • p(b)
    0.34442
  • t(a)
    1.81181
  • p(a)
    0.40434
  • Lowerbound of 95% confidence interval for beta
    0.04145
  • Upperbound of 95% confidence interval for beta
    0.19772
  • Lowerbound of 95% confidence interval for alpha
    -0.02404
  • Upperbound of 95% confidence interval for alpha
    0.55158
  • Treynor index (mean / b)
    2.27320
  • Jensen alpha (a)
    0.26377
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01015
  • Expected Shortfall on VaR
    0.01297
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00465
  • Expected Shortfall on VaR
    0.00927
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    143.00000
  • Minimum
    0.97905
  • Quartile 1
    0.99813
  • Median
    1.00000
  • Quartile 3
    1.00501
  • Maximum
    1.02302
  • Mean of quarter 1
    0.99318
  • Mean of quarter 2
    0.99966
  • Mean of quarter 3
    1.00179
  • Mean of quarter 4
    1.01005
  • Inter Quartile Range
    0.00688
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.02797
  • Mean of outliers low
    0.98356
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02098
  • Mean of outliers high
    1.02045
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.21991
  • VaR(95%) (moments method)
    0.00541
  • Expected Shortfall (moments method)
    0.00691
  • Extreme Value Index (regression method)
    0.02071
  • VaR(95%) (regression method)
    0.00659
  • Expected Shortfall (regression method)
    0.00960
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00122
  • Quartile 1
    0.00300
  • Median
    0.01653
  • Quartile 3
    0.02373
  • Maximum
    0.03400
  • Mean of quarter 1
    0.00207
  • Mean of quarter 2
    0.01323
  • Mean of quarter 3
    0.02069
  • Mean of quarter 4
    0.03077
  • Inter Quartile Range
    0.02073
  • 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)
    -1.49276
  • VaR(95%) (moments method)
    0.03273
  • Expected Shortfall (moments method)
    0.03335
  • Extreme Value Index (regression method)
    -1.48944
  • VaR(95%) (regression method)
    0.03394
  • Expected Shortfall (regression method)
    0.03443
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.32566
  • Compounded annual return (geometric extrapolation)
    0.34952
  • Calmar ratio (compounded annual return / max draw down)
    10.27980
  • Compounded annual return / average of 25% largest draw downs
    11.35760
  • Compounded annual return / Expected Shortfall lognormal
    26.95580
  • 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
    0.24699
  • SD
    0.10154
  • Sharpe ratio (Glass type estimate)
    2.43238
  • Sharpe ratio (Hedges UMVUE)
    2.41832
  • df
    130.00000
  • t
    1.71995
  • p
    0.42542
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35964
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.21530
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36903
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.20567
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.82008
  • Upside Potential Ratio
    10.88470
  • Upside part of mean
    0.70375
  • Downside part of mean
    -0.45677
  • Upside SD
    0.07928
  • Downside SD
    0.06466
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01631
  • Mean of criterion
    0.24699
  • SD of predictor
    0.22923
  • SD of criterion
    0.10154
  • Covariance
    0.00607
  • r
    0.26093
  • b (slope, estimate of beta)
    0.11558
  • a (intercept, estimate of alpha)
    0.24510
  • Mean Square Error
    0.00968
  • DF error
    129.00000
  • t(b)
    3.07000
  • p(b)
    0.33579
  • t(a)
    1.76125
  • p(a)
    0.40283
  • Lowerbound of 95% confidence interval for beta
    0.04109
  • Upperbound of 95% confidence interval for beta
    0.19007
  • Lowerbound of 95% confidence interval for alpha
    -0.03024
  • Upperbound of 95% confidence interval for alpha
    0.52044
  • Treynor index (mean / b)
    2.13688
  • Jensen alpha (a)
    0.24510
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24173
  • SD
    0.10152
  • Sharpe ratio (Glass type estimate)
    2.38110
  • Sharpe ratio (Hedges UMVUE)
    2.36734
  • df
    130.00000
  • t
    1.68369
  • p
    0.42696
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41026
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.16349
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41936
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.15404
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.71484
  • Upside Potential Ratio
    10.76580
  • Upside part of mean
    0.70056
  • Downside part of mean
    -0.45882
  • Upside SD
    0.07885
  • Downside SD
    0.06507
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.00969
  • Mean of criterion
    0.24173
  • SD of predictor
    0.22873
  • SD of criterion
    0.10152
  • Covariance
    0.00606
  • r
    0.26080
  • b (slope, estimate of beta)
    0.11575
  • a (intercept, estimate of alpha)
    0.24285
  • Mean Square Error
    0.00968
  • DF error
    129.00000
  • t(b)
    3.06828
  • p(b)
    0.33587
  • t(a)
    1.74538
  • p(a)
    0.40368
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    0.04111
  • Upperbound of 95% confidence interval for beta
    0.19040
  • Lowerbound of 95% confidence interval for alpha
    -0.03244
  • Upperbound of 95% confidence interval for alpha
    0.51815
  • Treynor index (mean / b)
    2.08834
  • Jensen alpha (a)
    0.24285
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00935
  • Expected Shortfall on VaR
    0.01194
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00430
  • Expected Shortfall on VaR
    0.00871
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97905
  • Quartile 1
    0.99844
  • Median
    1.00000
  • Quartile 3
    1.00498
  • Maximum
    1.01681
  • Mean of quarter 1
    0.99354
  • Mean of quarter 2
    0.99978
  • Mean of quarter 3
    1.00181
  • Mean of quarter 4
    1.00910
  • Inter Quartile Range
    0.00654
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98403
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.01554
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.29712
  • VaR(95%) (moments method)
    0.00482
  • Expected Shortfall (moments method)
    0.00605
  • Extreme Value Index (regression method)
    0.00367
  • VaR(95%) (regression method)
    0.00600
  • Expected Shortfall (regression method)
    0.00876
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00122
  • Quartile 1
    0.00277
  • Median
    0.01653
  • Quartile 3
    0.02267
  • Maximum
    0.03400
  • Mean of quarter 1
    0.00176
  • Mean of quarter 2
    0.00985
  • Mean of quarter 3
    0.01917
  • Mean of quarter 4
    0.03077
  • Inter Quartile Range
    0.01989
  • 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)
    -57.03260
  • VaR(95%) (moments method)
    0.03245
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.09117
  • VaR(95%) (regression method)
    0.04069
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.04077
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -359541000
  • Max Equity Drawdown (num days)
    2
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28866
  • Compounded annual return (geometric extrapolation)
    0.30949
  • Calmar ratio (compounded annual return / max draw down)
    9.10269
  • Compounded annual return / average of 25% largest draw downs
    10.05700
  • Compounded annual return / Expected Shortfall lognormal
    25.92040

Strategy Description

Welcome to Argonaut. Below are some of the principles we use when trading:

1% of capital is risked per trade
Clear stop orders are placed with each trade
High liquidity stocks for fast entries and exits
Orders place shortly prior to the close

Summary Statistics

Strategy began
2022-07-09
Suggested Minimum Capital
$5,000
Rank at C2 %
Top 3.3%
Rank # 
#26
# Trades
50
# Profitable
27
% Profitable
54.0%
Net Dividends
Correlation S&P500
0.252
Sharpe Ratio
1.73
Sortino Ratio
2.79
Beta
0.13
Alpha
0.06
Leverage
0.54 Average
1.95 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.