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

BreadKrump
(139066115)

Created by: Breadkrump Breadkrump
Started: 01/2022
Forex
Last trade: 2 days ago
Trading style: Futures Macro / Fundamental Currencies

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $63.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Futures
Macro / Fundamental
Category: Equity

Macro / Fundamental

Predicts large-scale events related to national economies, history, and international relations. The strategy typically employs forecasts and analysis of interest rate trends, international trade and payments, political changes, government policies, inter-government relations, and other broad systemic factors.
Currencies
Category: Equity

Currencies

Focuses on currency futures.
51.9%
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.

(29.8%)
Max Drawdown
164
Num Trades
47.6%
Win Trades
1.2 : 1
Profit Factor
61.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022+19.2%+1.5%+11.3%+2.3%+3.0%(3.6%)  -  (16%)+10.9%(3.8%)+18.4%+9.7%+59.0%
2023(3.9%)                                                                  (3.9%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/23/23 4:10 AUD/JPY AUD/JPY SHORT 13 90.931 1/23 10:57 91.685 2.18%
Trade id #143297306
Max drawdown($862)
Time1/23/23 10:57
Quant open13
Worst price91.796
Drawdown as % of equity-2.18%
($751)
1/18/23 2:24 EUR/USD EUR/USD LONG 12 1.08092 1/20 0:01 1.08289 0.82%
Trade id #143247117
Max drawdown($325)
Time1/19/23 0:00
Quant open12
Worst price1.07821
Drawdown as % of equity-0.82%
$236
1/16/23 2:23 AUD/JPY AUD/JPY LONG 13 89.375 1/17 21:40 90.701 0.45%
Trade id #143223468
Max drawdown($174)
Time1/16/23 3:02
Quant open13
Worst price89.200
Drawdown as % of equity-0.45%
$1,321
1/13/23 8:10 GBP/USD GBP/USD SHORT 13 1.21681 1/15 21:16 1.22827 3.86%
Trade id #143207773
Max drawdown($1,508)
Time1/15/23 21:16
Quant open13
Worst price1.22841
Drawdown as % of equity-3.86%
($1,490)
1/12/23 8:09 EUR/USD EUR/USD SHORT 13 1.07691 1/12 8:55 1.08362 2.22%
Trade id #143189863
Max drawdown($902)
Time1/12/23 8:55
Quant open13
Worst price1.08385
Drawdown as % of equity-2.22%
($872)
1/10/23 2:58 AUD/JPY AUD/JPY SHORT 12 91.149 1/10 23:27 91.427 0.72%
Trade id #143156598
Max drawdown($293)
Time1/10/23 23:02
Quant open12
Worst price91.474
Drawdown as % of equity-0.72%
($252)
1/9/23 7:33 AUD/JPY AUD/JPY SHORT 13 91.475 1/9 23:31 91.093 0.61%
Trade id #143143192
Max drawdown($246)
Time1/9/23 10:32
Quant open13
Worst price91.726
Drawdown as % of equity-0.61%
$376
1/9/23 3:45 EUR/USD EUR/USD SHORT 13 1.06958 1/9 10:17 1.07445 1.59%
Trade id #143141299
Max drawdown($647)
Time1/9/23 10:17
Quant open13
Worst price1.07456
Drawdown as % of equity-1.59%
($633)
1/6/23 0:25 GBP/JPY GBP/JPY SHORT 10 159.496 1/9 3:20 160.523 2.17%
Trade id #143117794
Max drawdown($915)
Time1/9/23 3:12
Quant open10
Worst price160.706
Drawdown as % of equity-2.17%
($777)
1/5/23 21:49 EUR/JPY EUR/JPY SHORT 12 140.686 1/9 3:20 141.187 1.63%
Trade id #143116662
Max drawdown($689)
Time1/6/23 0:00
Quant open12
Worst price141.446
Drawdown as % of equity-1.63%
($455)
1/5/23 3:09 EUR/USD EUR/USD SHORT 10 1.06087 1/5 18:46 1.05219 0.49%
Trade id #143101803
Max drawdown($203)
Time1/5/23 4:43
Quant open10
Worst price1.06290
Drawdown as % of equity-0.49%
$868
1/5/23 3:43 AUD/JPY AUD/JPY SHORT 12 90.436 1/5 10:16 90.490 1.18%
Trade id #143102006
Max drawdown($492)
Time1/5/23 8:16
Quant open12
Worst price90.984
Drawdown as % of equity-1.18%
($48)
1/5/23 3:08 EUR/USD EUR/USD LONG 10 1.06087 1/5 3:08 1.06086 0%
Trade id #143101796
Max drawdown($1)
Time1/5/23 3:08
Quant open10
Worst price1.06086
Drawdown as % of equity-0.00%
($1)
1/4/23 9:15 USD/CHF USD/CHF LONG 10 0.92700 1/4 23:38 0.92961 0.08%
Trade id #143085576
Max drawdown($32)
Time1/4/23 9:21
Quant open10
Worst price0.92670
Drawdown as % of equity-0.08%
$281
1/3/23 22:14 USD/CHF USD/CHF SHORT 12 0.93387 1/4 3:22 0.92595 0.09%
Trade id #143082105
Max drawdown($34)
Time1/4/23 1:03
Quant open12
Worst price0.93414
Drawdown as % of equity-0.09%
$1,025
1/2/23 4:25 EUR/USD EUR/USD SHORT 13 1.06804 1/3 2:50 1.06333 0.3%
Trade id #143059566
Max drawdown($118)
Time1/2/23 5:28
Quant open13
Worst price1.06895
Drawdown as % of equity-0.30%
$612
12/30/22 9:31 EUR/USD EUR/USD SHORT 14 1.06759 12/30 12:40 1.07078 1.13%
Trade id #143043816
Max drawdown($452)
Time12/30/22 12:40
Quant open14
Worst price1.07082
Drawdown as % of equity-1.13%
($447)
12/30/22 1:56 EUR/GBP EUR/GBP SHORT 12 0.88368 12/30 9:29 0.88362 1.42%
Trade id #143041291
Max drawdown($564)
Time12/30/22 7:55
Quant open12
Worst price0.88757
Drawdown as % of equity-1.42%
$9
12/29/22 18:56 AUD/JPY AUD/JPY SHORT 12 89.936 12/30 1:53 89.828 0.12%
Trade id #143039935
Max drawdown($47)
Time12/29/22 19:03
Quant open12
Worst price89.988
Drawdown as % of equity-0.12%
$98
12/28/22 23:06 EUR/USD EUR/USD SHORT 14 1.06204 12/29 12:53 1.06791 2.09%
Trade id #143026897
Max drawdown($841)
Time12/29/22 12:53
Quant open14
Worst price1.06805
Drawdown as % of equity-2.09%
($822)
12/28/22 9:45 AUD/JPY AUD/JPY SHORT 14 90.865 12/28 20:08 90.282 0.49%
Trade id #143017736
Max drawdown($200)
Time12/28/22 9:59
Quant open14
Worst price91.056
Drawdown as % of equity-0.49%
$610
12/27/22 22:32 EUR/USD EUR/USD SHORT 12 1.06364 12/28 9:36 1.06672 1.1%
Trade id #143013740
Max drawdown($447)
Time12/28/22 9:36
Quant open12
Worst price1.06737
Drawdown as % of equity-1.10%
($370)
12/26/22 22:32 GBP/CHF GBP/CHF SHORT 12 1.12529 12/27 4:38 1.12094 0.31%
Trade id #143000729
Max drawdown($125)
Time12/27/22 1:55
Quant open12
Worst price1.12626
Drawdown as % of equity-0.31%
$562
12/21/22 23:36 AUD/JPY AUD/JPY LONG 12 89.112 12/23 10:57 88.984 2.34%
Trade id #142961626
Max drawdown($941)
Time12/22/22 0:00
Quant open12
Worst price88.070
Drawdown as % of equity-2.34%
($116)
12/21/22 0:14 EUR/USD EUR/USD LONG 12 1.06104 12/21 8:23 1.06451 0.18%
Trade id #142948111
Max drawdown($73)
Time12/21/22 6:59
Quant open12
Worst price1.06043
Drawdown as % of equity-0.18%
$416
12/19/22 3:31 AUD/JPY AUD/JPY SHORT 12 91.346 12/19 22:05 90.327 1.59%
Trade id #142920253
Max drawdown($611)
Time12/19/22 20:21
Quant open12
Worst price92.022
Drawdown as % of equity-1.59%
$910
12/18/22 18:00 EUR/USD EUR/USD LONG 13 1.05927 12/19 1:24 1.06098 0.36%
Trade id #142917665
Max drawdown($137)
Time12/18/22 19:01
Quant open13
Worst price1.05821
Drawdown as % of equity-0.36%
$222
12/16/22 9:30 EUR/USD EUR/USD SHORT 13 1.06234 12/16 16:42 1.05855 0.87%
Trade id #142901894
Max drawdown($331)
Time12/16/22 9:59
Quant open13
Worst price1.06489
Drawdown as % of equity-0.87%
$493
12/15/22 18:52 AUD/JPY AUD/JPY SHORT 13 92.364 12/16 9:25 91.659 0.1%
Trade id #142896937
Max drawdown($36)
Time12/15/22 19:16
Quant open13
Worst price92.402
Drawdown as % of equity-0.10%
$670
12/15/22 9:30 EUR/USD EUR/USD SHORT 12 1.07059 12/15 18:47 1.06347 0.22%
Trade id #142887509
Max drawdown($84)
Time12/15/22 9:34
Quant open12
Worst price1.07129
Drawdown as % of equity-0.22%
$854

Statistics

  • Strategy began
    1/24/2022
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    367.86
  • Age
    12 months ago
  • What it trades
    Forex
  • # Trades
    164
  • # Profitable
    78
  • % Profitable
    47.60%
  • Avg trade duration
    2.6 days
  • Max peak-to-valley drawdown
    29.77%
  • drawdown period
    May 20, 2022 - Sept 01, 2022
  • Annual Return (Compounded)
    51.9%
  • Avg win
    $1,044
  • Avg loss
    $780.10
  • Model Account Values (Raw)
  • Cash
    $40,349
  • Margin Used
    $2,772
  • Buying Power
    $36,587
  • Ratios
  • W:L ratio
    1.21:1
  • Sharpe Ratio
    1.05
  • Sortino Ratio
    1.77
  • Calmar Ratio
    2.212
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    60.78%
  • Correlation to SP500
    -0.10950
  • Return Percent SP500 (cumu) during strategy life
    -7.93%
  • Return Statistics
  • Ann Return (w trading costs)
    51.9%
  • Slump
  • Current Slump as Pcnt Equity
    11.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.06%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.519%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    57.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    51.50%
  • Chance of 20% account loss
    23.50%
  • Chance of 30% account loss
    8.00%
  • Chance of 40% account loss
    2.00%
  • 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)
    0
  • Popularity (Last 6 weeks)
    917
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    40
  • Popularity (7 days, Percentile 1000 scale)
    655
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $779
  • Avg Win
    $1,044
  • Sum Trade PL (losers)
    $66,990.000
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $81,449.000
  • # Winners
    78
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    86
  • % Winners
    47.6%
  • Frequency
  • Avg Position Time (mins)
    3805.82
  • Avg Position Time (hrs)
    63.43
  • Avg Trade Length
    2.6 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    5.28
  • Daily leverage (max)
    30.67
  • Regression
  • Alpha
    0.13
  • Beta
    -0.17
  • Treynor Index
    -0.76
  • 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)
    -1.27
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    7.878
  • 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
    0.352
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.101
  • Hold-and-Hope Ratio
    0.131
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52571
  • SD
    0.43569
  • Sharpe ratio (Glass type estimate)
    1.20661
  • Sharpe ratio (Hedges UMVUE)
    1.12210
  • df
    11.00000
  • t
    1.20661
  • p
    0.12645
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84111
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.20353
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89317
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.13736
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.79130
  • Upside Potential Ratio
    4.58403
  • Upside part of mean
    0.86334
  • Downside part of mean
    -0.33764
  • Upside SD
    0.40195
  • Downside SD
    0.18834
  • N nonnegative terms
    7.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    -0.09714
  • Mean of criterion
    0.52571
  • SD of predictor
    0.22610
  • SD of criterion
    0.43569
  • Covariance
    -0.01882
  • r
    -0.19109
  • b (slope, estimate of beta)
    -0.36822
  • a (intercept, estimate of alpha)
    0.48994
  • Mean Square Error
    0.20118
  • DF error
    10.00000
  • t(b)
    -0.61561
  • p(b)
    0.72405
  • t(a)
    1.08326
  • p(a)
    0.15206
  • Lowerbound of 95% confidence interval for beta
    -1.70094
  • Upperbound of 95% confidence interval for beta
    0.96450
  • Lowerbound of 95% confidence interval for alpha
    -0.51781
  • Upperbound of 95% confidence interval for alpha
    1.49768
  • Treynor index (mean / b)
    -1.42770
  • Jensen alpha (a)
    0.48994
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43460
  • SD
    0.41393
  • Sharpe ratio (Glass type estimate)
    1.04993
  • Sharpe ratio (Hedges UMVUE)
    0.97640
  • df
    11.00000
  • t
    1.04993
  • p
    0.15813
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97984
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.03486
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02558
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.97837
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.14224
  • Upside Potential Ratio
    3.89901
  • Upside part of mean
    0.79100
  • Downside part of mean
    -0.35640
  • Upside SD
    0.36283
  • Downside SD
    0.20287
  • N nonnegative terms
    7.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    -0.12147
  • Mean of criterion
    0.43460
  • SD of predictor
    0.23075
  • SD of criterion
    0.41393
  • Covariance
    -0.01877
  • r
    -0.19648
  • b (slope, estimate of beta)
    -0.35246
  • a (intercept, estimate of alpha)
    0.39179
  • Mean Square Error
    0.18120
  • DF error
    10.00000
  • t(b)
    -0.63368
  • p(b)
    0.72974
  • t(a)
    0.90902
  • p(a)
    0.19236
  • Lowerbound of 95% confidence interval for beta
    -1.59179
  • Upperbound of 95% confidence interval for beta
    0.88686
  • Lowerbound of 95% confidence interval for alpha
    -0.56854
  • Upperbound of 95% confidence interval for alpha
    1.35212
  • Treynor index (mean / b)
    -1.23304
  • Jensen alpha (a)
    0.39179
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14814
  • Expected Shortfall on VaR
    0.18884
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05810
  • Expected Shortfall on VaR
    0.11321
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.83487
  • Quartile 1
    0.96268
  • Median
    1.03273
  • Quartile 3
    1.10710
  • Maximum
    1.27617
  • Mean of quarter 1
    0.91479
  • Mean of quarter 2
    0.97875
  • Mean of quarter 3
    1.07661
  • Mean of quarter 4
    1.21439
  • Inter Quartile Range
    0.14442
  • 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)
    0.25330
  • VaR(95%) (moments method)
    0.08619
  • Expected Shortfall (moments method)
    0.14733
  • Extreme Value Index (regression method)
    2.14184
  • VaR(95%) (regression method)
    0.16706
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03882
  • Quartile 1
    0.08483
  • Median
    0.13084
  • Quartile 3
    0.17684
  • Maximum
    0.22285
  • Mean of quarter 1
    0.03882
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.22285
  • Inter Quartile Range
    0.09201
  • 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)
    0.58805
  • Compounded annual return (geometric extrapolation)
    0.58805
  • Calmar ratio (compounded annual return / max draw down)
    2.63877
  • Compounded annual return / average of 25% largest draw downs
    2.63877
  • Compounded annual return / Expected Shortfall lognormal
    3.11394
  • 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
    0.49176
  • SD
    0.36638
  • Sharpe ratio (Glass type estimate)
    1.34222
  • Sharpe ratio (Hedges UMVUE)
    1.33837
  • df
    262.00000
  • t
    1.34478
  • p
    0.08993
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61865
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.30056
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.62121
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.29796
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.27112
  • Upside Potential Ratio
    10.88710
  • Upside part of mean
    2.35737
  • Downside part of mean
    -1.86561
  • Upside SD
    0.29625
  • Downside SD
    0.21653
  • N nonnegative terms
    132.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    263.00000
  • Mean of predictor
    -0.08111
  • Mean of criterion
    0.49176
  • SD of predictor
    0.24155
  • SD of criterion
    0.36638
  • Covariance
    -0.00918
  • r
    -0.10370
  • b (slope, estimate of beta)
    -0.15728
  • a (intercept, estimate of alpha)
    0.47900
  • Mean Square Error
    0.13330
  • DF error
    261.00000
  • t(b)
    -1.68434
  • p(b)
    0.95334
  • t(a)
    1.31419
  • p(a)
    0.09497
  • Lowerbound of 95% confidence interval for beta
    -0.34116
  • Upperbound of 95% confidence interval for beta
    0.02659
  • Lowerbound of 95% confidence interval for alpha
    -0.23870
  • Upperbound of 95% confidence interval for alpha
    1.19671
  • Treynor index (mean / b)
    -3.12660
  • Jensen alpha (a)
    0.47901
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42544
  • SD
    0.36244
  • Sharpe ratio (Glass type estimate)
    1.17383
  • Sharpe ratio (Hedges UMVUE)
    1.17047
  • df
    262.00000
  • t
    1.17607
  • p
    0.12032
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78606
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.13157
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78833
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.12927
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.93395
  • Upside Potential Ratio
    10.52240
  • Upside part of mean
    2.31479
  • Downside part of mean
    -1.88935
  • Upside SD
    0.28837
  • Downside SD
    0.21999
  • N nonnegative terms
    132.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    263.00000
  • Mean of predictor
    -0.11021
  • Mean of criterion
    0.42544
  • SD of predictor
    0.24170
  • SD of criterion
    0.36244
  • Covariance
    -0.00919
  • r
    -0.10487
  • b (slope, estimate of beta)
    -0.15725
  • a (intercept, estimate of alpha)
    0.40811
  • Mean Square Error
    0.13042
  • DF error
    261.00000
  • t(b)
    -1.70360
  • p(b)
    0.95518
  • t(a)
    1.13180
  • p(a)
    0.12938
  • Lowerbound of 95% confidence interval for beta
    -0.33901
  • Upperbound of 95% confidence interval for beta
    0.02451
  • Lowerbound of 95% confidence interval for alpha
    -0.30192
  • Upperbound of 95% confidence interval for alpha
    1.11814
  • Treynor index (mean / b)
    -2.70548
  • Jensen alpha (a)
    0.40811
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03459
  • Expected Shortfall on VaR
    0.04355
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01649
  • Expected Shortfall on VaR
    0.03076
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    263.00000
  • Minimum
    0.95030
  • Quartile 1
    0.98918
  • Median
    1.00012
  • Quartile 3
    1.01264
  • Maximum
    1.10933
  • Mean of quarter 1
    0.97603
  • Mean of quarter 2
    0.99581
  • Mean of quarter 3
    1.00561
  • Mean of quarter 4
    1.03055
  • Inter Quartile Range
    0.02346
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.00760
  • Mean of outliers low
    0.95153
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.03802
  • Mean of outliers high
    1.06884
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.25993
  • VaR(95%) (moments method)
    0.02374
  • Expected Shortfall (moments method)
    0.02884
  • Extreme Value Index (regression method)
    -0.43303
  • VaR(95%) (regression method)
    0.02214
  • Expected Shortfall (regression method)
    0.02549
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00124
  • Quartile 1
    0.02164
  • Median
    0.04477
  • Quartile 3
    0.10709
  • Maximum
    0.25935
  • Mean of quarter 1
    0.01160
  • Mean of quarter 2
    0.03015
  • Mean of quarter 3
    0.08263
  • Mean of quarter 4
    0.17664
  • Inter Quartile Range
    0.08545
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    0.25935
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.63979
  • VaR(95%) (moments method)
    0.20231
  • Expected Shortfall (moments method)
    0.22984
  • Extreme Value Index (regression method)
    0.87666
  • VaR(95%) (regression method)
    0.25459
  • Expected Shortfall (regression method)
    1.54615
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.57411
  • Compounded annual return (geometric extrapolation)
    0.57357
  • Calmar ratio (compounded annual return / max draw down)
    2.21158
  • Compounded annual return / average of 25% largest draw downs
    3.24708
  • Compounded annual return / Expected Shortfall lognormal
    13.16980
  • 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
    0.45357
  • SD
    0.33177
  • Sharpe ratio (Glass type estimate)
    1.36713
  • Sharpe ratio (Hedges UMVUE)
    1.35923
  • df
    130.00000
  • t
    0.96671
  • p
    0.45776
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.41219
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.14138
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.41749
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.13596
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.45408
  • Upside Potential Ratio
    10.78360
  • Upside part of mean
    1.99304
  • Downside part of mean
    -1.53947
  • Upside SD
    0.27542
  • Downside SD
    0.18482
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01631
  • Mean of criterion
    0.45357
  • SD of predictor
    0.22923
  • SD of criterion
    0.33177
  • Covariance
    0.00234
  • r
    0.03079
  • b (slope, estimate of beta)
    0.04457
  • a (intercept, estimate of alpha)
    0.45284
  • Mean Square Error
    0.11082
  • DF error
    129.00000
  • t(b)
    0.34993
  • p(b)
    0.48040
  • t(a)
    0.96189
  • p(a)
    0.44634
  • Lowerbound of 95% confidence interval for beta
    -0.20743
  • Upperbound of 95% confidence interval for beta
    0.29656
  • Lowerbound of 95% confidence interval for alpha
    -0.47862
  • Upperbound of 95% confidence interval for alpha
    1.38430
  • Treynor index (mean / b)
    10.17690
  • Jensen alpha (a)
    0.45284
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39972
  • SD
    0.32660
  • Sharpe ratio (Glass type estimate)
    1.22389
  • Sharpe ratio (Hedges UMVUE)
    1.21681
  • df
    130.00000
  • t
    0.86542
  • p
    0.46216
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.55420
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.99739
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.55894
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.99256
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.13227
  • Upside Potential Ratio
    10.43640
  • Upside part of mean
    1.95644
  • Downside part of mean
    -1.55671
  • Upside SD
    0.26706
  • Downside SD
    0.18746
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.00969
  • Mean of criterion
    0.39972
  • SD of predictor
    0.22873
  • SD of criterion
    0.32660
  • Covariance
    0.00221
  • r
    0.02956
  • b (slope, estimate of beta)
    0.04221
  • a (intercept, estimate of alpha)
    0.40013
  • Mean Square Error
    0.10740
  • DF error
    129.00000
  • t(b)
    0.33594
  • p(b)
    0.48118
  • t(a)
    0.86334
  • p(a)
    0.45179
  • VAR (95 Confidence Intrvl)
    0.03500
  • Lowerbound of 95% confidence interval for beta
    -0.20641
  • Upperbound of 95% confidence interval for beta
    0.29084
  • Lowerbound of 95% confidence interval for alpha
    -0.51685
  • Upperbound of 95% confidence interval for alpha
    1.31712
  • Treynor index (mean / b)
    9.46879
  • Jensen alpha (a)
    0.40013
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03117
  • Expected Shortfall on VaR
    0.03927
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01315
  • Expected Shortfall on VaR
    0.02521
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95890
  • Quartile 1
    0.99135
  • Median
    1.00047
  • Quartile 3
    1.00853
  • Maximum
    1.10933
  • Mean of quarter 1
    0.97994
  • Mean of quarter 2
    0.99698
  • Mean of quarter 3
    1.00383
  • Mean of quarter 4
    1.02666
  • Inter Quartile Range
    0.01718
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.96006
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.05610
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.01991
  • VaR(95%) (moments method)
    0.01911
  • Expected Shortfall (moments method)
    0.02535
  • Extreme Value Index (regression method)
    -0.58194
  • VaR(95%) (regression method)
    0.01994
  • Expected Shortfall (regression method)
    0.02257
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.09388
  • Quartile 1
    0.09967
  • Median
    0.10213
  • Quartile 3
    0.11700
  • Maximum
    0.16006
  • Mean of quarter 1
    0.09388
  • Mean of quarter 2
    0.10161
  • Mean of quarter 3
    0.10265
  • Mean of quarter 4
    0.16006
  • Inter Quartile Range
    0.01733
  • 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
    0.16006
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -376452000
  • Max Equity Drawdown (num days)
    104
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.47679
  • Compounded annual return (geometric extrapolation)
    0.53362
  • Calmar ratio (compounded annual return / max draw down)
    3.33381
  • Compounded annual return / average of 25% largest draw downs
    3.33381
  • Compounded annual return / Expected Shortfall lognormal
    13.58690

Strategy Description

The mission of this strategy is to provide alternative means of supplementary income in the long run.

The present goal is to achieve 5% month-on-month for the next six months (Till June 2023) and to increase/decrease the goal based on performance. This allows the strategy to be continuously improved and tweaked based on market conditions.

We plan to achieve our goals by having periodic market studies and reviews before putting our plan into action as price hits our target range.

In the near future, we aspire to have our own community to share life-long learning tips on growing wealth and other miscellaneous areas such as health, family, and relationships.

The 5 pillars of the strategy that would be taken into consideration before placing a trade include the following:-
- Technical Analysis
- Sentiment Analysis
- Intermarket Analysis
- Fundamental Analysis
- Risk Management

Summary Statistics

Strategy began
2022-01-24
Suggested Minimum Capital
$40,000
# Trades
164
# Profitable
78
% Profitable
47.6%
Correlation S&P500
-0.110
Sharpe Ratio
1.05
Sortino Ratio
1.77
Beta
-0.17
Alpha
0.13
Leverage
5.28 Average
30.67 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.