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

Empire Diversified
(141188947)

Created by: FJ_Trader FJ_Trader
Started: 07/2022
Stocks, Options
Last trade: 10 days ago
Trading style: Equity Momentum Event-driven

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 $139.00 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).
Event-driven
Category: Equity

Event-driven

Seeks to exploit pricing inefficiencies that may occur before or after a corporate event, such as an earnings call, bankruptcy, merger, acquisition, or spinoff.
-140.3%
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.

(100.0%)
Max Drawdown
689
Num Trades
63.6%
Win Trades
0.9 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          +19.4%+20.0%(3.3%)+14.5%+94.4%+13.9%+251.3%
2023(111.5%)                                                                  (111.5%)

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 1,390 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
1/13/23 9:33 SPY2313M392 SPY Jan13'23 392 put LONG 85 0.87 1/17 8:05 0.00 38.49%
Trade id #143209287
Max drawdown($7,310)
Time1/13/23 13:15
Quant open85
Worst price0.01
Drawdown as % of equity38.49%
($7,455)
Includes Typical Broker Commissions trade costs of $59.50
1/6/23 11:57 TSLA2313M102 TSLA Jan13'23 102 put LONG 450 1.23 1/17 8:05 0.00 304.72%
Trade id #143127245
Max drawdown($55,098)
Time1/12/23 0:00
Quant open450
Worst price0.01
Drawdown as % of equity-304.72%
($55,864)
Includes Typical Broker Commissions trade costs of $315.00
1/12/23 9:54 SPY2312M391 SPY Jan12'23 391 put LONG 490 0.74 1/12 14:46 0.01 832.56%
Trade id #143192958
Max drawdown($35,700)
Time1/12/23 12:36
Quant open490
Worst price0.01
Drawdown as % of equity832.56%
($36,386)
Includes Typical Broker Commissions trade costs of $686.00
1/12/23 9:42 SPY2312M393 SPY Jan12'23 393 put LONG 210 1.52 1/12 9:51 2.01 n/a $9,926
Includes Typical Broker Commissions trade costs of $294.00
1/9/23 15:44 SPY2311M381 SPY Jan11'23 381 put LONG 380 0.33 1/12 8:05 0.00 47.6%
Trade id #143152287
Max drawdown($12,020)
Time1/11/23 0:00
Quant open330
Worst price0.01
Drawdown as % of equity-47.60%
($12,716)
Includes Typical Broker Commissions trade costs of $266.00
1/11/23 10:58 SPY2311M388 SPY Jan11'23 388 put LONG 140 0.15 1/12 8:05 0.00 9.56%
Trade id #143178529
Max drawdown($1,960)
Time1/11/23 14:07
Quant open140
Worst price0.01
Drawdown as % of equity-9.56%
($2,198)
Includes Typical Broker Commissions trade costs of $98.00
1/6/23 14:17 SPY2309M382 SPY Jan9'23 382 put LONG 140 0.40 1/10 8:05 0.00 6.24%
Trade id #143128872
Max drawdown($5,460)
Time1/9/23 0:00
Quant open140
Worst price0.01
Drawdown as % of equity-6.24%
($5,698)
Includes Typical Broker Commissions trade costs of $98.00
1/6/23 11:30 SPY2309M381 SPY Jan9'23 381 put LONG 520 0.62 1/9 15:46 0.01 36.04%
Trade id #143126281
Max drawdown($31,530)
Time1/9/23 9:54
Quant open520
Worst price0.01
Drawdown as % of equity-36.04%
($32,258)
Includes Typical Broker Commissions trade costs of $728.00
1/6/23 12:33 SPY2306M385 SPY Jan6'23 385 put LONG 420 0.56 1/7 9:35 0.00 20.34%
Trade id #143127698
Max drawdown($23,170)
Time1/6/23 14:58
Quant open420
Worst price0.01
Drawdown as % of equity-20.34%
($23,884)
Includes Typical Broker Commissions trade costs of $294.00
1/6/23 9:52 SPY2306M379 SPY Jan6'23 379 put LONG 470 0.39 1/6 14:11 0.01 11.65%
Trade id #143123549
Max drawdown($17,708)
Time1/6/23 13:57
Quant open470
Worst price0.01
Drawdown as % of equity-11.65%
($18,366)
Includes Typical Broker Commissions trade costs of $658.00
1/6/23 9:38 TSLA TESLA INC. SHORT 600 103.43 1/6 9:51 105.47 0.88%
Trade id #143122649
Max drawdown($1,449)
Time1/6/23 9:51
Quant open600
Worst price105.85
Drawdown as % of equity-0.88%
($1,230)
Includes Typical Broker Commissions trade costs of $8.50
1/6/23 9:38 SPY2306M381 SPY Jan6'23 381 put LONG 20 1.67 1/6 9:45 2.55 0.13%
Trade id #143122678
Max drawdown($220)
Time1/6/23 9:41
Quant open20
Worst price1.56
Drawdown as % of equity-0.13%
$1,732
Includes Typical Broker Commissions trade costs of $28.00
1/5/23 10:33 SPY2305M379 SPY Jan5'23 379 put LONG 50 0.79 1/5 10:53 0.90 0.63%
Trade id #143108709
Max drawdown($1,025)
Time1/5/23 10:46
Quant open50
Worst price0.58
Drawdown as % of equity-0.63%
$505
Includes Typical Broker Commissions trade costs of $70.00
1/5/23 10:17 SPY2305M379 SPY Jan5'23 379 put LONG 15 0.85 1/5 10:24 1.00 0.07%
Trade id #143108278
Max drawdown($120)
Time1/5/23 10:21
Quant open15
Worst price0.77
Drawdown as % of equity-0.07%
$204
Includes Typical Broker Commissions trade costs of $21.00
1/5/23 9:42 SPY2305M378 SPY Jan5'23 378 put LONG 40 0.92 1/5 9:45 1.10 0.19%
Trade id #143107099
Max drawdown($309)
Time1/5/23 9:45
Quant open40
Worst price0.84
Drawdown as % of equity-0.19%
$674
Includes Typical Broker Commissions trade costs of $56.00
1/5/23 9:36 TSLA TESLA INC. SHORT 200 108.95 1/5 9:40 108.14 0.01%
Trade id #143106894
Max drawdown($20)
Time1/5/23 9:39
Quant open200
Worst price109.05
Drawdown as % of equity-0.01%
$157
Includes Typical Broker Commissions trade costs of $4.00
1/5/23 9:38 SPY2305M380 SPY Jan5'23 380 put LONG 20 1.39 1/5 9:40 1.76 n/a $714
Includes Typical Broker Commissions trade costs of $28.00
1/4/23 10:08 SPY2304M380 SPY Jan4'23 380 put LONG 400 0.47 1/5 8:05 0.00 10.98%
Trade id #143087345
Max drawdown($18,307)
Time1/4/23 15:49
Quant open400
Worst price0.01
Drawdown as % of equity-10.98%
($18,988)
Includes Typical Broker Commissions trade costs of $280.00
1/4/23 15:08 SPY2304M383 SPY Jan4'23 383 put LONG 140 0.56 1/4 15:23 0.75 2.05%
Trade id #143094494
Max drawdown($3,430)
Time1/4/23 15:18
Quant open140
Worst price0.32
Drawdown as % of equity-2.05%
$2,394
Includes Typical Broker Commissions trade costs of $196.00
1/4/23 13:45 SPY2304M384 SPY Jan4'23 384 put LONG 70 0.95 1/4 13:59 1.25 0.13%
Trade id #143092825
Max drawdown($210)
Time1/4/23 13:50
Quant open70
Worst price0.92
Drawdown as % of equity-0.13%
$2,002
Includes Typical Broker Commissions trade costs of $98.00
1/4/23 10:04 SPY2304M381 SPY Jan4'23 381 put LONG 5 1.23 1/4 10:06 1.91 n/a $333
Includes Typical Broker Commissions trade costs of $7.00
1/3/23 9:56 TSLA TESLA INC. SHORT 200 112.27 1/3 9:58 112.00 n/a $51
Includes Typical Broker Commissions trade costs of $4.00
1/3/23 9:57 SPY2303M382 SPY Jan3'23 382 put LONG 20 1.33 1/3 9:58 1.45 n/a $214
Includes Typical Broker Commissions trade costs of $28.00
1/3/23 9:52 TSLA TESLA INC. SHORT 100 113.19 1/3 9:55 112.91 0%
Trade id #143072303
Max drawdown($3)
Time1/3/23 9:55
Quant open100
Worst price113.23
Drawdown as % of equity-0.00%
$26
Includes Typical Broker Commissions trade costs of $2.00
1/3/23 9:53 SPY2303M382 SPY Jan3'23 382 put LONG 30 1.11 1/3 9:55 1.30 n/a $531
Includes Typical Broker Commissions trade costs of $42.00
12/30/22 9:40 SPY2230X380 SPY Dec30'22 380 put LONG 8 1.09 12/30 9:46 1.30 0.05%
Trade id #143044211
Max drawdown($85)
Time12/30/22 9:44
Quant open4
Worst price0.92
Drawdown as % of equity-0.05%
$160
Includes Typical Broker Commissions trade costs of $11.20
12/27/22 9:52 SPY2227X379 SPY Dec27'22 379 put LONG 20 0.71 12/27 10:00 0.82 0.09%
Trade id #143005558
Max drawdown($155)
Time12/27/22 9:56
Quant open20
Worst price0.63
Drawdown as % of equity-0.09%
$197
Includes Typical Broker Commissions trade costs of $28.00
12/27/22 9:31 COIN COINBASE GLOBAL INC. CLASS A SHORT 400 33.56 12/27 9:49 33.08 n/a $186
Includes Typical Broker Commissions trade costs of $8.00
12/27/22 9:32 NVDA NVIDIA SHORT 100 149.29 12/27 9:35 148.25 n/a $102
Includes Typical Broker Commissions trade costs of $2.00
12/22/22 10:42 SPY2222X378 SPY Dec22'22 378 put LONG 5 0.53 12/22 10:45 0.65 n/a $56
Includes Typical Broker Commissions trade costs of $7.00

Statistics

  • Strategy began
    7/26/2022
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    184.45
  • Age
    6 months ago
  • What it trades
    Stocks, Options
  • # Trades
    689
  • # Profitable
    438
  • % Profitable
    63.60%
  • Avg trade duration
    1.3 hours
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Jan 12, 2023 - Jan 22, 2023
  • Cumul. Return
    -140.2%
  • Avg win
    $736.87
  • Avg loss
    $1,484
  • Model Account Values (Raw)
  • Cash
    $24
  • Margin Used
    $0
  • Buying Power
    $24
  • Ratios
  • W:L ratio
    0.87:1
  • Sharpe Ratio
    -0.49
  • Sortino Ratio
    -0.71
  • Calmar Ratio
    -1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -143.81%
  • Correlation to SP500
    -0.02480
  • Return Percent SP500 (cumu) during strategy life
    3.55%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.13%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -1.403%
  • Instruments
  • Percent Trades Options
    0.35%
  • Percent Trades Stocks
    0.65%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -100.0%
  • 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)
    100.00%
  • 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)
    963
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    190
  • Popularity (7 days, Percentile 1000 scale)
    716
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,485
  • Avg Win
    $737
  • Sum Trade PL (losers)
    $372,729.000
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $322,748.000
  • # Winners
    438
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    251
  • % Winners
    63.6%
  • Frequency
  • Avg Position Time (mins)
    79.82
  • Avg Position Time (hrs)
    1.33
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    10
  • Leverage
  • Daily leverage (average)
    31.97
  • Daily leverage (max)
    707.93
  • Regression
  • Alpha
    0.00
  • Beta
    -0.28
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.64
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -5.071
  • 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
    0.718
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.063
  • Hold-and-Hope Ratio
    -0.197
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.40077
  • SD
    2.22626
  • Sharpe ratio (Glass type estimate)
    0.62921
  • Sharpe ratio (Hedges UMVUE)
    0.52900
  • df
    5.00000
  • t
    0.44492
  • p
    0.33749
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.19830
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.39700
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.26213
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.32013
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.98832
  • Upside Potential Ratio
    2.40679
  • Upside part of mean
    3.41121
  • Downside part of mean
    -2.01044
  • Upside SD
    1.51158
  • Downside SD
    1.41733
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.07505
  • Mean of criterion
    1.40077
  • SD of predictor
    0.27502
  • SD of criterion
    2.22626
  • Covariance
    0.04062
  • r
    0.06634
  • b (slope, estimate of beta)
    0.53703
  • a (intercept, estimate of alpha)
    1.36047
  • Mean Square Error
    6.16801
  • DF error
    4.00000
  • t(b)
    0.13298
  • p(b)
    0.45032
  • t(a)
    0.38591
  • p(a)
    0.35960
  • Lowerbound of 95% confidence interval for beta
    -10.67780
  • Upperbound of 95% confidence interval for beta
    11.75190
  • Lowerbound of 95% confidence interval for alpha
    -8.42931
  • Upperbound of 95% confidence interval for alpha
    11.15020
  • Treynor index (mean / b)
    2.60835
  • Jensen alpha (a)
    1.36047
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -15.24150
  • SD
    13.04300
  • Sharpe ratio (Glass type estimate)
    -1.16856
  • Sharpe ratio (Hedges UMVUE)
    -0.98246
  • df
    5.00000
  • t
    -0.82629
  • p
    0.77687
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.97559
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74424
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.82037
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.85544
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.20538
  • Upside Potential Ratio
    0.20931
  • Upside part of mean
    2.64669
  • Downside part of mean
    -17.88820
  • Upside SD
    1.11337
  • Downside SD
    12.64460
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.04195
  • Mean of criterion
    -15.24150
  • SD of predictor
    0.28389
  • SD of criterion
    13.04300
  • Covariance
    -0.92664
  • r
    -0.25025
  • b (slope, estimate of beta)
    -11.49750
  • a (intercept, estimate of alpha)
    -14.75910
  • Mean Square Error
    199.33200
  • DF error
    4.00000
  • t(b)
    -0.51695
  • p(b)
    0.68377
  • t(a)
    -0.73839
  • p(a)
    0.74937
  • Lowerbound of 95% confidence interval for beta
    -73.25980
  • Upperbound of 95% confidence interval for beta
    50.26490
  • Lowerbound of 95% confidence interval for alpha
    -70.26660
  • Upperbound of 95% confidence interval for alpha
    40.74840
  • Treynor index (mean / b)
    1.32564
  • Jensen alpha (a)
    -14.75910
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99943
  • Expected Shortfall on VaR
    0.99979
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.28556
  • Expected Shortfall on VaR
    0.64289
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.00013
  • Quartile 1
    1.03412
  • Median
    1.15907
  • Quartile 3
    1.38234
  • Maximum
    1.94685
  • Mean of quarter 1
    0.49972
  • Mean of quarter 2
    1.13855
  • Mean of quarter 3
    1.17960
  • Mean of quarter 4
    1.69839
  • Inter Quartile Range
    0.34823
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.16667
  • Mean of outliers low
    0.00013
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    1.94685
  • 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
    2.00000
  • Minimum
    0.00069
  • Quartile 1
    0.25049
  • Median
    0.50028
  • Quartile 3
    0.75008
  • Maximum
    0.99987
  • Mean of quarter 1
    0.00069
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99987
  • Inter Quartile Range
    0.49959
  • 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)
    -1.99901
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00013
  • Compounded annual return / average of 25% largest draw downs
    -1.00013
  • Compounded annual return / Expected Shortfall lognormal
    -1.00021
  • 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
    -5.20924
  • SD
    3.05104
  • Sharpe ratio (Glass type estimate)
    -1.70736
  • Sharpe ratio (Hedges UMVUE)
    -1.69750
  • df
    130.00000
  • t
    -1.20729
  • p
    0.55265
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.48366
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.07535
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.47697
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.08198
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.06590
  • Upside Potential Ratio
    2.15313
  • Upside part of mean
    5.42918
  • Downside part of mean
    -10.63840
  • Upside SD
    1.72720
  • Downside SD
    2.52153
  • N nonnegative terms
    86.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06862
  • Mean of criterion
    -5.20924
  • SD of predictor
    0.23216
  • SD of criterion
    3.05104
  • Covariance
    0.01403
  • r
    0.01981
  • b (slope, estimate of beta)
    0.26034
  • a (intercept, estimate of alpha)
    -5.22700
  • Mean Square Error
    9.37732
  • DF error
    129.00000
  • t(b)
    0.22504
  • p(b)
    0.48739
  • t(a)
    -1.20680
  • p(a)
    0.56714
  • Lowerbound of 95% confidence interval for beta
    -2.02852
  • Upperbound of 95% confidence interval for beta
    2.54920
  • Lowerbound of 95% confidence interval for alpha
    -13.79690
  • Upperbound of 95% confidence interval for alpha
    3.34266
  • Treynor index (mean / b)
    -20.00930
  • Jensen alpha (a)
    -5.22710
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -15.24150
  • SD
    5.77362
  • Sharpe ratio (Glass type estimate)
    -2.63985
  • Sharpe ratio (Hedges UMVUE)
    -2.62459
  • df
    130.00000
  • t
    -1.86666
  • p
    0.58078
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.42519
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.15533
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.41469
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16551
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.67553
  • Upside Potential Ratio
    0.78705
  • Upside part of mean
    4.48351
  • Downside part of mean
    -19.72500
  • Upside SD
    1.23095
  • Downside SD
    5.69663
  • N nonnegative terms
    86.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04195
  • Mean of criterion
    -15.24150
  • SD of predictor
    0.23161
  • SD of criterion
    5.77362
  • Covariance
    0.04923
  • r
    0.03682
  • b (slope, estimate of beta)
    0.91777
  • a (intercept, estimate of alpha)
    -15.28000
  • Mean Square Error
    33.54750
  • DF error
    129.00000
  • t(b)
    0.41845
  • p(b)
    0.47657
  • t(a)
    -1.86531
  • p(a)
    0.60272
  • Lowerbound of 95% confidence interval for beta
    -3.42169
  • Upperbound of 95% confidence interval for beta
    5.25723
  • Lowerbound of 95% confidence interval for alpha
    -31.48740
  • Upperbound of 95% confidence interval for alpha
    0.92745
  • Treynor index (mean / b)
    -16.60710
  • Jensen alpha (a)
    -15.28000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.47528
  • Expected Shortfall on VaR
    0.54419
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06782
  • Expected Shortfall on VaR
    0.16703
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.08547
  • Quartile 1
    0.99996
  • Median
    1.00469
  • Quartile 3
    1.00973
  • Maximum
    2.10388
  • Mean of quarter 1
    0.83896
  • Mean of quarter 2
    1.00150
  • Mean of quarter 3
    1.00740
  • Mean of quarter 4
    1.07386
  • Inter Quartile Range
    0.00977
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.13740
  • Mean of outliers low
    0.70902
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.21043
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    2.54890
  • VaR(95%) (moments method)
    0.04188
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.94789
  • VaR(95%) (regression method)
    0.07896
  • Expected Shortfall (regression method)
    1.91848
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00137
  • Quartile 1
    0.00364
  • Median
    0.00754
  • Quartile 3
    0.04446
  • Maximum
    0.99987
  • Mean of quarter 1
    0.00230
  • Mean of quarter 2
    0.00565
  • Mean of quarter 3
    0.01586
  • Mean of quarter 4
    0.51434
  • Inter Quartile Range
    0.04083
  • 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
    0.20000
  • Mean of outliers high
    0.74560
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -23.76480
  • VaR(95%) (moments method)
    0.19251
  • Expected Shortfall (moments method)
    0.19251
  • Extreme Value Index (regression method)
    -0.78945
  • VaR(95%) (regression method)
    1.18346
  • Expected Shortfall (regression method)
    1.36073
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99901
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00013
  • Compounded annual return / average of 25% largest draw downs
    -1.94422
  • Compounded annual return / Expected Shortfall lognormal
    -1.83758
  • 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
    -5.20924
  • SD
    3.05104
  • Sharpe ratio (Glass type estimate)
    -1.70736
  • Sharpe ratio (Hedges UMVUE)
    -1.69750
  • df
    130.00000
  • t
    -1.20729
  • p
    0.55265
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.48366
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.07535
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.47697
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.08198
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.06590
  • Upside Potential Ratio
    2.15313
  • Upside part of mean
    5.42918
  • Downside part of mean
    -10.63840
  • Upside SD
    1.72720
  • Downside SD
    2.52153
  • N nonnegative terms
    86.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06862
  • Mean of criterion
    -5.20924
  • SD of predictor
    0.23216
  • SD of criterion
    3.05104
  • Covariance
    0.01403
  • r
    0.01981
  • b (slope, estimate of beta)
    0.26034
  • a (intercept, estimate of alpha)
    -5.22710
  • Mean Square Error
    9.37732
  • DF error
    129.00000
  • t(b)
    0.22504
  • p(b)
    0.48739
  • t(a)
    -1.20680
  • p(a)
    0.56714
  • Lowerbound of 95% confidence interval for beta
    -2.02852
  • Upperbound of 95% confidence interval for beta
    2.54920
  • Lowerbound of 95% confidence interval for alpha
    -13.79690
  • Upperbound of 95% confidence interval for alpha
    3.34266
  • Treynor index (mean / b)
    -20.00930
  • Jensen alpha (a)
    -5.22710
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -15.24150
  • SD
    5.77362
  • Sharpe ratio (Glass type estimate)
    -2.63985
  • Sharpe ratio (Hedges UMVUE)
    -2.62459
  • df
    130.00000
  • t
    -1.86666
  • p
    0.58078
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.42519
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.15533
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.41469
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16551
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.67553
  • Upside Potential Ratio
    0.78705
  • Upside part of mean
    4.48351
  • Downside part of mean
    -19.72500
  • Upside SD
    1.23095
  • Downside SD
    5.69663
  • N nonnegative terms
    86.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04195
  • Mean of criterion
    -15.24150
  • SD of predictor
    0.23161
  • SD of criterion
    5.77362
  • Covariance
    0.04923
  • r
    0.03682
  • b (slope, estimate of beta)
    0.91777
  • a (intercept, estimate of alpha)
    -15.28000
  • Mean Square Error
    33.54750
  • DF error
    129.00000
  • t(b)
    0.41845
  • p(b)
    0.47657
  • t(a)
    -1.86531
  • p(a)
    0.60272
  • VAR (95 Confidence Intrvl)
    0.47500
  • Lowerbound of 95% confidence interval for beta
    -3.42169
  • Upperbound of 95% confidence interval for beta
    5.25723
  • Lowerbound of 95% confidence interval for alpha
    -31.48740
  • Upperbound of 95% confidence interval for alpha
    0.92745
  • Treynor index (mean / b)
    -16.60710
  • Jensen alpha (a)
    -15.28000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.47528
  • Expected Shortfall on VaR
    0.54419
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06782
  • Expected Shortfall on VaR
    0.16703
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.08547
  • Quartile 1
    0.99996
  • Median
    1.00469
  • Quartile 3
    1.00973
  • Maximum
    2.10388
  • Mean of quarter 1
    0.83896
  • Mean of quarter 2
    1.00150
  • Mean of quarter 3
    1.00740
  • Mean of quarter 4
    1.07386
  • Inter Quartile Range
    0.00977
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.13740
  • Mean of outliers low
    0.70902
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.21043
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    2.54890
  • VaR(95%) (moments method)
    0.04188
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.94789
  • VaR(95%) (regression method)
    0.07896
  • Expected Shortfall (regression method)
    1.91848
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00137
  • Quartile 1
    0.00364
  • Median
    0.00754
  • Quartile 3
    0.04446
  • Maximum
    0.99987
  • Mean of quarter 1
    0.00230
  • Mean of quarter 2
    0.00565
  • Mean of quarter 3
    0.01586
  • Mean of quarter 4
    0.51434
  • Inter Quartile Range
    0.04083
  • 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
    0.20000
  • Mean of outliers high
    0.74560
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -23.76480
  • VaR(95%) (moments method)
    0.19251
  • Expected Shortfall (moments method)
    0.19251
  • Extreme Value Index (regression method)
    -0.78945
  • VaR(95%) (regression method)
    1.18346
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    1.36073
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -321232000
  • Max Equity Drawdown (num days)
    10
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99901
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00013
  • Compounded annual return / average of 25% largest draw downs
    -1.94422
  • Compounded annual return / Expected Shortfall lognormal
    -1.83758

Strategy Description

I have rescued this account from the situation I had. It will now go back to normal trading. I do not trade with emotions, I trade a system. I am not a therapist, so please seek one if you want to talk about emotions.

Summary Statistics

Strategy began
2022-07-26
Suggested Minimum Capital
$25,000
# Trades
689
# Profitable
438
% Profitable
63.6%
Correlation S&P500
-0.025
Sharpe Ratio
-0.49
Sortino Ratio
-0.71
Beta
-0.28
Alpha
0.00
Leverage
31.97 Average
707.93 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.