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

Dr.Pogi options group
(133339943)

Created by: FrancisTan3 FrancisTan3
Started: 01/2021
Options
Last trade: 1,125 days ago
Trading style: Equity Trend-following 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 $99.00 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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
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).
-32.5%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(76.9%)
Max Drawdown
98
Num Trades
38.8%
Win Trades
0.6 : 1
Profit Factor
2.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021+11.4%(74.6%)  -    -    -    -    -    -    -    -    -    -  (71.7%)
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

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 139 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
3/30/21 6:58: Rescaled downward to 50% of previous Model Account size
2/25/21 10:04 GME2126N80 GME Feb26'21 80 put LONG 1 8.45 2/27 9:35 0.00 10.13%
Trade id #134279377
Max drawdown($422)
Time2/26/21 0:00
Quant open0
Worst price0.01
Drawdown as % of equity-10.13%
($846)
Includes Typical Broker Commissions trade costs of $1.00
2/24/21 11:42 TSLA2126B740 TSLA Feb26'21 740 call LONG 1 10.71 2/26 12:12 0.25 13.62%
Trade id #134256639
Max drawdown($527)
Time2/26/21 11:55
Quant open0
Worst price0.17
Drawdown as % of equity-13.62%
($1,048)
Includes Typical Broker Commissions trade costs of $2.00
2/24/21 11:42 AMZN2126B3210 AMZN Feb26'21 3210 call LONG 1 12.31 2/26 12:12 0.21 16.25%
Trade id #134256652
Max drawdown($607)
Time2/26/21 10:15
Quant open0
Worst price0.16
Drawdown as % of equity-16.25%
($1,212)
Includes Typical Broker Commissions trade costs of $2.00
2/23/21 10:00 TSLA2126N600 TSLA Feb26'21 600 put LONG 1 10.47 2/24 11:18 0.59 7.36%
Trade id #134225175
Max drawdown($498)
Time2/24/21 11:17
Quant open0
Worst price0.50
Drawdown as % of equity-7.36%
($990)
Includes Typical Broker Commissions trade costs of $2.00
2/23/21 15:31 TSLA2126B730 TSLA Feb26'21 730 call LONG 1 11.98 2/24 10:06 8.93 3.27%
Trade id #134236709
Max drawdown($231)
Time2/24/21 0:00
Quant open0
Worst price7.35
Drawdown as % of equity-3.27%
($307)
Includes Typical Broker Commissions trade costs of $2.00
2/22/21 15:30 QS2126B70 QS Feb26'21 70 call LONG 1.500000000 3.24 2/23 9:43 0.73 3.05%
Trade id #134202473
Max drawdown($209)
Time2/23/21 0:00
Quant open1
Worst price0.45
Drawdown as % of equity-3.05%
($379)
Includes Typical Broker Commissions trade costs of $2.10
2/18/21 10:21 SPY2119O380 SPY Mar19'21 380 put LONG 2.500000000 5.89 2/23 9:37 7.12 4.18%
Trade id #134133595
Max drawdown($228)
Time2/19/21 0:00
Quant open1
Worst price4.06
Drawdown as % of equity-4.18%
$306
Includes Typical Broker Commissions trade costs of $3.50
2/22/21 9:34 RIOT2126N60 RIOT Feb26'21 60 put LONG 1.500000000 5.83 2/23 9:37 10.33 3.12%
Trade id #134190917
Max drawdown($212)
Time2/22/21 11:35
Quant open1
Worst price3.00
Drawdown as % of equity-3.12%
$673
Includes Typical Broker Commissions trade costs of $2.10
2/22/21 13:47 ZM2126N390 ZM Feb26'21 390 put LONG 1.500000000 5.88 2/22 15:31 7.36 1.3%
Trade id #134200542
Max drawdown($73)
Time2/22/21 14:22
Quant open1
Worst price4.90
Drawdown as % of equity-1.30%
$220
Includes Typical Broker Commissions trade costs of $2.10
2/19/21 10:36 TSLA2126N760 TSLA Feb26'21 760 put LONG 1.500000000 10.81 2/22 9:31 20.65 2.11%
Trade id #134160584
Max drawdown($109)
Time2/19/21 11:39
Quant open1
Worst price9.35
Drawdown as % of equity-2.11%
$1,474
Includes Typical Broker Commissions trade costs of $2.10
2/17/21 10:13 NVDA2119B610 NVDA Feb19'21 610 call LONG 2 4.79 2/18 10:20 1.04 7.53%
Trade id #134108783
Max drawdown($444)
Time2/18/21 0:00
Quant open1
Worst price0.35
Drawdown as % of equity-7.53%
($754)
Includes Typical Broker Commissions trade costs of $3.40
2/16/21 11:21 AMZN2119B3320 AMZN Feb19'21 3320 call LONG 0.500000000 12.59 2/17 9:48 13.39 2.07%
Trade id #134087127
Max drawdown($122)
Time2/17/21 0:00
Quant open0
Worst price7.70
Drawdown as % of equity-2.07%
$38
Includes Typical Broker Commissions trade costs of $2.00
2/16/21 12:35 TSLA2119N780 TSLA Feb19'21 780 put LONG 0.500000000 10.79 2/17 9:46 17.76 2.2%
Trade id #134090006
Max drawdown($129)
Time2/17/21 0:00
Quant open0
Worst price5.61
Drawdown as % of equity-2.20%
$347
Includes Typical Broker Commissions trade costs of $2.00
2/11/21 9:47 SNDL2112B2.5 SNDL Feb12'21 2.5 call LONG 5 1.25 2/13 9:35 0.00 4.69%
Trade id #134006612
Max drawdown($309)
Time2/12/21 0:00
Quant open2
Worst price0.01
Drawdown as % of equity-4.69%
($629)
Includes Typical Broker Commissions trade costs of $3.50
2/10/21 15:39 OSTK2112N100 OSTK Feb12'21 100 put LONG 1.500000000 3.35 2/13 9:35 0.00 3.79%
Trade id #133994328
Max drawdown($250)
Time2/12/21 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-3.79%
($503)
Includes Typical Broker Commissions trade costs of $1.05
2/10/21 15:39 SPY2112N390 SPY Feb12'21 390 put LONG 2.500000000 2.05 2/12 11:39 0.29 3.41%
Trade id #133994325
Max drawdown($225)
Time2/12/21 11:35
Quant open1
Worst price0.25
Drawdown as % of equity-3.41%
($444)
Includes Typical Broker Commissions trade costs of $3.50
2/10/21 10:02 TLRY2112B60 TLRY Feb12'21 60 call LONG 0.500000000 8.95 2/11 11:12 1.48 2.69%
Trade id #133966637
Max drawdown($216)
Time2/11/21 0:00
Quant open0
Worst price0.30
Drawdown as % of equity-2.69%
($376)
Includes Typical Broker Commissions trade costs of $2.00
2/10/21 10:10 ZM2112B450 ZM Feb12'21 450 call LONG 0.500000000 6.16 2/10 11:41 2.80 1.57%
Trade id #133966982
Max drawdown($124)
Time2/10/21 10:48
Quant open0
Worst price1.20
Drawdown as % of equity-1.57%
($170)
Includes Typical Broker Commissions trade costs of $2.00
2/9/21 9:39 OSTK2112B105 OSTK Feb12'21 105 call LONG 1.500000000 4.24 2/10 9:35 5.43 2.76%
Trade id #133939193
Max drawdown($217)
Time2/10/21 0:00
Quant open1
Worst price1.34
Drawdown as % of equity-2.76%
$177
Includes Typical Broker Commissions trade costs of $2.10
2/5/21 9:57 ZM2112B420 ZM Feb12'21 420 call LONG 1 12.23 2/10 9:31 12.42 4.48%
Trade id #133873037
Max drawdown($336)
Time2/9/21 0:00
Quant open0
Worst price5.50
Drawdown as % of equity-4.48%
$15
Includes Typical Broker Commissions trade costs of $4.00
2/8/21 10:58 AMZN2119B3500 AMZN Feb19'21 3500 call LONG 0.500000000 13.39 2/9 15:31 8.21 1.93%
Trade id #133914559
Max drawdown($144)
Time2/9/21 0:00
Quant open0
Worst price7.60
Drawdown as % of equity-1.93%
($261)
Includes Typical Broker Commissions trade costs of $2.00
2/9/21 10:24 NIO2112B62 NIO Feb12'21 62 call LONG 2.500000000 1.27 2/9 15:17 2.39 0.52%
Trade id #133942166
Max drawdown($42)
Time2/9/21 11:19
Quant open1
Worst price0.93
Drawdown as % of equity-0.52%
$278
Includes Typical Broker Commissions trade costs of $3.50
2/8/21 15:47 NVDA2112B600 NVDA Feb12'21 600 call LONG 1 4.08 2/9 10:14 4.02 1.99%
Trade id #133926025
Max drawdown($149)
Time2/9/21 0:00
Quant open0
Worst price1.10
Drawdown as % of equity-1.99%
($9)
Includes Typical Broker Commissions trade costs of $2.00
2/9/21 9:48 FB2112B270 FB Feb12'21 270 call LONG 1.500000000 3.00 2/9 10:11 5.01 0.09%
Trade id #133940071
Max drawdown($7)
Time2/9/21 9:51
Quant open1
Worst price2.90
Drawdown as % of equity-0.09%
$300
Includes Typical Broker Commissions trade costs of $2.10
2/8/21 9:45 NVDA2112B575 NVDA Feb12'21 575 call LONG 1 4.94 2/9 9:54 8.61 0.4%
Trade id #133910445
Max drawdown($34)
Time2/8/21 10:23
Quant open0
Worst price4.25
Drawdown as % of equity-0.40%
$366
Includes Typical Broker Commissions trade costs of $2.00
2/8/21 13:21 SQ2119B270 SQ Feb19'21 270 call LONG 1.500000000 5.32 2/9 9:38 3.30 2.62%
Trade id #133920535
Max drawdown($196)
Time2/9/21 0:00
Quant open1
Worst price2.70
Drawdown as % of equity-2.62%
($306)
Includes Typical Broker Commissions trade costs of $3.05
2/5/21 12:50 AMZN2112B3450 AMZN Feb12'21 3450 call LONG 0.500000000 19.82 2/8 15:49 6.11 4.19%
Trade id #133882064
Max drawdown($361)
Time2/8/21 12:57
Quant open0
Worst price5.35
Drawdown as % of equity-4.19%
($688)
Includes Typical Broker Commissions trade costs of $2.00
2/5/21 9:58 GME2112B100 GME Feb12'21 100 call LONG 0.500000000 13.50 2/8 15:32 1.61 3.5%
Trade id #133873110
Max drawdown($302)
Time2/8/21 14:28
Quant open0
Worst price1.41
Drawdown as % of equity-3.50%
($596)
Includes Typical Broker Commissions trade costs of $2.00
2/5/21 11:33 TSLA2112B900 TSLA Feb12'21 900 call LONG 0.500000000 12.38 2/8 15:32 6.45 2.08%
Trade id #133878643
Max drawdown($180)
Time2/5/21 15:11
Quant open0
Worst price5.15
Drawdown as % of equity-2.08%
($299)
Includes Typical Broker Commissions trade costs of $2.00
2/2/21 12:13 NFLX2119C620 NFLX Mar19'21 620 call LONG 0.500000000 8.04 2/8 12:35 4.96 0.88%
Trade id #133798441
Max drawdown($84)
Time2/4/21 0:00
Quant open0
Worst price4.67
Drawdown as % of equity-0.88%
($156)
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    1/12/2021
  • Suggested Minimum Cap
    $12,500
  • Strategy Age (days)
    1167.02
  • Age
    39 months ago
  • What it trades
    Options
  • # Trades
    98
  • # Profitable
    38
  • % Profitable
    38.80%
  • Avg trade duration
    2.0 days
  • Max peak-to-valley drawdown
    76.91%
  • drawdown period
    Jan 29, 2021 - Feb 27, 2021
  • Annual Return (Compounded)
    -32.5%
  • Avg win
    $346.32
  • Avg loss
    $362.93
  • Model Account Values (Raw)
  • Cash
    $3,887
  • Margin Used
    $0
  • Buying Power
    $3,887
  • Ratios
  • W:L ratio
    0.60:1
  • Sharpe Ratio
    -0.82
  • Sortino Ratio
    -1
  • Calmar Ratio
    -1.145
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -109.38%
  • Correlation to SP500
    0.00570
  • Return Percent SP500 (cumu) during strategy life
    38.07%
  • Return Statistics
  • Ann Return (w trading costs)
    -32.5%
  • Slump
  • Current Slump as Pcnt Equity
    333.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.325%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -30.5%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $363
  • Avg Win
    $346
  • Sum Trade PL (losers)
    $21,776.000
  • Age
  • Num Months filled monthly returns table
    39
  • Win / Loss
  • Sum Trade PL (winners)
    $13,160.000
  • # Winners
    38
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    60
  • % Winners
    38.8%
  • Frequency
  • Avg Position Time (mins)
    2863.67
  • Avg Position Time (hrs)
    47.73
  • Avg Trade Length
    2.0 days
  • Last Trade Ago
    1122
  • Leverage
  • Daily leverage (average)
    15.17
  • Daily leverage (max)
    44.30
  • Regression
  • Alpha
    -0.10
  • Beta
    0.01
  • Treynor Index
    -7.68
  • 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)
    -0.31
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -1.361
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.240
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.564
  • Hold-and-Hope Ratio
    -0.735
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.54403
  • SD
    0.74773
  • Sharpe ratio (Glass type estimate)
    -2.06494
  • Sharpe ratio (Hedges UMVUE)
    -1.79366
  • df
    6.00000
  • t
    -1.57713
  • p
    0.91708
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.80440
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.81310
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.55324
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.96591
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.87530
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -1.54403
  • Upside SD
    0.00000
  • Downside SD
    0.82335
  • N nonnegative terms
    0.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.30054
  • Mean of criterion
    -1.54403
  • SD of predictor
    0.30631
  • SD of criterion
    0.74773
  • Covariance
    0.01010
  • r
    0.04410
  • b (slope, estimate of beta)
    0.10766
  • a (intercept, estimate of alpha)
    -1.57638
  • Mean Square Error
    0.66962
  • DF error
    5.00000
  • t(b)
    0.09871
  • p(b)
    0.46260
  • t(a)
    -1.40695
  • p(a)
    0.89077
  • Lowerbound of 95% confidence interval for beta
    -2.69601
  • Upperbound of 95% confidence interval for beta
    2.91132
  • Lowerbound of 95% confidence interval for alpha
    -4.45666
  • Upperbound of 95% confidence interval for alpha
    1.30389
  • Treynor index (mean / b)
    -14.34210
  • Jensen alpha (a)
    -1.57638
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.02991
  • SD
    0.98771
  • Sharpe ratio (Glass type estimate)
    -2.05516
  • Sharpe ratio (Hedges UMVUE)
    -1.78517
  • df
    6.00000
  • t
    -1.56966
  • p
    0.91623
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.79266
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.82055
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.54298
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.97264
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.86901
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -2.02991
  • Upside SD
    0.00000
  • Downside SD
    1.08609
  • N nonnegative terms
    0.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.25662
  • Mean of criterion
    -2.02991
  • SD of predictor
    0.30686
  • SD of criterion
    0.98771
  • Covariance
    0.00557
  • r
    0.01836
  • b (slope, estimate of beta)
    0.05911
  • a (intercept, estimate of alpha)
    -2.04508
  • Mean Square Error
    1.17029
  • DF error
    5.00000
  • t(b)
    0.04107
  • p(b)
    0.48441
  • t(a)
    -1.39713
  • p(a)
    0.88939
  • Lowerbound of 95% confidence interval for beta
    -3.64073
  • Upperbound of 95% confidence interval for beta
    3.75895
  • Lowerbound of 95% confidence interval for alpha
    -5.80797
  • Upperbound of 95% confidence interval for alpha
    1.71782
  • Treynor index (mean / b)
    -34.34090
  • Jensen alpha (a)
    -2.04508
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.47173
  • Expected Shortfall on VaR
    0.52856
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.43633
  • Expected Shortfall on VaR
    0.74558
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.54736
  • Quartile 1
    0.78413
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    0.55781
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.21587
  • 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
    0.68896
  • Quartile 1
    0.68896
  • Median
    0.68896
  • Quartile 3
    0.68896
  • Maximum
    0.68896
  • 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)
    -1.18107
  • Compounded annual return (geometric extrapolation)
    -0.86494
  • Calmar ratio (compounded annual return / max draw down)
    -1.25542
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.63640
  • 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
    -1.52810
  • SD
    0.77164
  • Sharpe ratio (Glass type estimate)
    -1.98032
  • Sharpe ratio (Hedges UMVUE)
    -1.97141
  • df
    167.00000
  • t
    -1.58576
  • p
    0.57735
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.43421
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.47933
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.42814
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48532
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.41832
  • Upside Potential Ratio
    2.09239
  • Upside part of mean
    1.32214
  • Downside part of mean
    -2.85024
  • Upside SD
    0.44892
  • Downside SD
    0.63188
  • N nonnegative terms
    10.00000
  • N negative terms
    158.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    168.00000
  • Mean of predictor
    0.49528
  • Mean of criterion
    -1.52810
  • SD of predictor
    0.33969
  • SD of criterion
    0.77164
  • Covariance
    0.00126
  • r
    0.00482
  • b (slope, estimate of beta)
    0.01095
  • a (intercept, estimate of alpha)
    -1.53400
  • Mean Square Error
    0.59900
  • DF error
    166.00000
  • t(b)
    0.06209
  • p(b)
    0.49759
  • t(a)
    -1.58020
  • p(a)
    0.56087
  • Lowerbound of 95% confidence interval for beta
    -0.33715
  • Upperbound of 95% confidence interval for beta
    0.35905
  • Lowerbound of 95% confidence interval for alpha
    -3.44955
  • Upperbound of 95% confidence interval for alpha
    0.38251
  • Treynor index (mean / b)
    -139.59000
  • Jensen alpha (a)
    -1.53352
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.84917
  • SD
    0.81236
  • Sharpe ratio (Glass type estimate)
    -2.27629
  • Sharpe ratio (Hedges UMVUE)
    -2.26605
  • df
    167.00000
  • t
    -1.82277
  • p
    0.58862
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.73275
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.18678
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.72571
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19360
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.61768
  • Upside Potential Ratio
    1.74410
  • Upside part of mean
    1.23206
  • Downside part of mean
    -3.08124
  • Upside SD
    0.41235
  • Downside SD
    0.70642
  • N nonnegative terms
    10.00000
  • N negative terms
    158.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    168.00000
  • Mean of predictor
    0.43771
  • Mean of criterion
    -1.84917
  • SD of predictor
    0.33877
  • SD of criterion
    0.81236
  • Covariance
    0.00285
  • r
    0.01034
  • b (slope, estimate of beta)
    0.02480
  • a (intercept, estimate of alpha)
    -1.86002
  • Mean Square Error
    0.66383
  • DF error
    166.00000
  • t(b)
    0.13323
  • p(b)
    0.49483
  • t(a)
    -1.82224
  • p(a)
    0.57002
  • Lowerbound of 95% confidence interval for beta
    -0.34265
  • Upperbound of 95% confidence interval for beta
    0.39224
  • Lowerbound of 95% confidence interval for alpha
    -3.87532
  • Upperbound of 95% confidence interval for alpha
    0.15527
  • Treynor index (mean / b)
    -74.57800
  • Jensen alpha (a)
    -1.86002
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08571
  • Expected Shortfall on VaR
    0.10453
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03649
  • Expected Shortfall on VaR
    0.07819
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    168.00000
  • Minimum
    0.69497
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.23877
  • Mean of quarter 1
    0.95689
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02021
  • Inter Quartile Range
    0.00000
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.13690
  • Mean of outliers low
    0.92127
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.05952
  • Mean of outliers high
    1.08489
  • 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)
    0.12285
  • VaR(95%) (regression method)
    0.04555
  • Expected Shortfall (regression method)
    0.09854
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.07268
  • Quartile 1
    0.07303
  • Median
    0.09172
  • Quartile 3
    0.26579
  • Maximum
    0.73229
  • Mean of quarter 1
    0.07268
  • Mean of quarter 2
    0.07315
  • Mean of quarter 3
    0.11029
  • Mean of quarter 4
    0.73229
  • Inter Quartile Range
    0.19276
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.73229
  • 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)
    -1.07445
  • Compounded annual return (geometric extrapolation)
    -0.83818
  • Calmar ratio (compounded annual return / max draw down)
    -1.14460
  • Compounded annual return / average of 25% largest draw downs
    -1.14460
  • Compounded annual return / Expected Shortfall lognormal
    -8.01840
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.65636
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.37387
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.58651
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.37285
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6834170000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.08600
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -409390000000000039555988713373696.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -315828000
  • Max Equity Drawdown (num days)
    29
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Summary Statistics

Strategy began
2021-01-12
Suggested Minimum Capital
$25,000
# Trades
98
# Profitable
38
% Profitable
38.8%
Correlation S&P500
0.006
Sharpe Ratio
-0.82
Sortino Ratio
-1.00
Beta
0.01
Alpha
-0.10
Leverage
15.17 Average
44.30 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#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.