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These are hypothetical performance results that have certain inherent limitations. Learn more
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High Frequency Algo
(140022552)

Created by: High-Frequency-Algo High-Frequency-Algo
Started: 04/2022
Options
Last trade: Yesterday
Trading style: Equity Momentum

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $225.00 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).
768.3%
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.

(47.7%)
Max Drawdown
537
Num Trades
57.7%
Win Trades
1.6 : 1
Profit Factor
61.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                     +496.0%+33.5%+77.6%(20.8%)(5.2%)+48.5%+8.8%(0.3%)+4.5%+1685.9%
2023+26.7%+1.1%(3.2%)(12.4%)+52.4%+17.0%+29.6%(20.1%)+0.6%(8.1%)(10.9%)+30.7%+115.8%

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 2,064 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/27/23 12:59 AAPL2405A195 AAPL Jan5'24 195 call LONG 80 2.03 12/5 9:36 3.06 2.5%
Trade id #146545768
Max drawdown($3,547)
Time11/30/23 0:00
Quant open40
Worst price1.47
Drawdown as % of equity-2.50%
 $8,099
Includes Typical Broker Commissions trade costs of $112.00
11/24/23 10:52 IWM2315L181 IWM Dec15'23 181 call LONG 40 2.60 12/5 9:36 5.84 2.79%
Trade id #146527460
Max drawdown($4,080)
Time11/28/23 0:00
Quant open40
Worst price1.58
Drawdown as % of equity-2.79%
 $12,887
Includes Typical Broker Commissions trade costs of $56.00
11/15/23 11:25 AAPL2322L190 AAPL Dec22'23 190 call LONG 60 3.29 12/5 9:36 4.98 3.95%
Trade id #146448994
Max drawdown($5,604)
Time11/30/23 0:00
Quant open30
Worst price2.49
Drawdown as % of equity-3.95%
 $10,024
Includes Typical Broker Commissions trade costs of $84.00
11/14/23 10:38 AAPL2322L195 AAPL Dec22'23 195 call LONG 90 1.73 12/5 9:36 2.05 5.9%
Trade id #146431806
Max drawdown($8,368)
Time11/30/23 0:00
Quant open90
Worst price0.80
Drawdown as % of equity-5.90%
 $2,774
Includes Typical Broker Commissions trade costs of $126.00
11/14/23 10:35 AAPL2315L190 AAPL Dec15'23 190 call LONG 40 3.21 12/5 9:36 4.16 3.7%
Trade id #146431572
Max drawdown($5,239)
Time11/30/23 0:00
Quant open40
Worst price1.90
Drawdown as % of equity-3.70%
 $3,734
Includes Typical Broker Commissions trade costs of $56.00
11/14/23 10:39 AAPL2301L187.5 AAPL Dec1'23 187.5 call LONG 30 2.91 11/27 9:37 2.84 0.82%
Trade id #146431868
Max drawdown($1,280)
Time11/14/23 11:37
Quant open30
Worst price2.48
Drawdown as % of equity-0.82%
 ($240)
Includes Typical Broker Commissions trade costs of $42.00
11/15/23 14:41 @ESZ3 E-MINI S&P 500 LONG 1 4528.00 11/15 14:41 4528.00 n/a ($8)
Includes Typical Broker Commissions trade costs of $8.00
11/13/23 11:59 SPY2301L441 SPY Dec1'23 441 call LONG 20 5.54 11/14 10:07 10.19 0.79%
Trade id #146421375
Max drawdown($1,080)
Time11/13/23 13:35
Quant open20
Worst price5.00
Drawdown as % of equity-0.79%
 $9,279
Includes Typical Broker Commissions trade costs of $28.00
11/13/23 12:04 SPY2327K441 SPY Nov27'23 441 call LONG 27 4.42 11/14 10:07 9.25 0.93%
Trade id #146421470
Max drawdown($1,281)
Time11/13/23 13:33
Quant open27
Worst price3.95
Drawdown as % of equity-0.93%
 $13,000
Includes Typical Broker Commissions trade costs of $37.80
10/30/23 11:43 SPY2324W408 SPY Nov24'23 408 put LONG 18 5.40 11/13 12:00 0.12 6.91%
Trade id #146277334
Max drawdown($9,503)
Time11/13/23 12:00
Quant open18
Worst price0.12
Drawdown as % of equity-6.91%
 ($9,528)
Includes Typical Broker Commissions trade costs of $25.20
11/7/23 12:15 SPY2301X430 SPY Dec1'23 430 put LONG 30 3.13 11/13 11:59 1.38 3.87%
Trade id #146358329
Max drawdown($5,330)
Time11/13/23 11:47
Quant open30
Worst price1.35
Drawdown as % of equity-3.87%
 ($5,282)
Includes Typical Broker Commissions trade costs of $42.00
11/7/23 12:30 SPY2308X425 SPY Dec8'23 425 put LONG 40 2.75 11/13 11:59 1.39 4%
Trade id #146358515
Max drawdown($5,497)
Time11/13/23 11:47
Quant open40
Worst price1.38
Drawdown as % of equity-4.00%
 ($5,513)
Includes Typical Broker Commissions trade costs of $56.00
11/7/23 12:41 SPY2308X427.5 SPY Dec8'23 427.5 put LONG 20 3.22 11/13 11:59 1.67 2.25%
Trade id #146358623
Max drawdown($3,100)
Time11/13/23 11:47
Quant open20
Worst price1.67
Drawdown as % of equity-2.25%
 ($3,128)
Includes Typical Broker Commissions trade costs of $28.00
11/7/23 12:44 SPY2301X427 SPY Dec1'23 427 put LONG 20 2.42 11/13 11:59 1.02 2.03%
Trade id #146358649
Max drawdown($2,791)
Time11/13/23 11:48
Quant open20
Worst price1.02
Drawdown as % of equity-2.03%
 ($2,820)
Includes Typical Broker Commissions trade costs of $28.00
10/20/23 14:44 MSFT2310W320 MSFT Nov10'23 320 put LONG 13 7.31 11/11 9:35 0.00 6.22%
Trade id #146190508
Max drawdown($9,484)
Time11/8/23 0:00
Quant open13
Worst price0.01
Drawdown as % of equity-6.22%
 ($9,508)
Includes Typical Broker Commissions trade costs of $10.60
10/23/23 10:18 NFLX2310W375 NFLX Nov10'23 375 put LONG 12 4.29 11/11 9:35 0.00 3.37%
Trade id #146205251
Max drawdown($5,140)
Time11/8/23 0:00
Quant open12
Worst price0.01
Drawdown as % of equity-3.37%
 ($5,161)
Includes Typical Broker Commissions trade costs of $8.40
10/27/23 14:05 QQQ2308W339 QQQ Nov8'23 339 put LONG 30 3.94 11/9 8:05 0.00 7.73%
Trade id #146261624
Max drawdown($11,792)
Time11/7/23 0:00
Quant open30
Worst price0.01
Drawdown as % of equity-7.73%
 ($11,843)
Includes Typical Broker Commissions trade costs of $21.00
10/23/23 10:15 NFLX2324W365 NFLX Nov24'23 365 put LONG 12 4.59 10/27 14:16 4.46 1.7%
Trade id #146205171
Max drawdown($2,697)
Time10/25/23 0:00
Quant open12
Worst price2.34
Drawdown as % of equity-1.70%
 ($166)
Includes Typical Broker Commissions trade costs of $18.00
10/23/23 10:26 NFLX2317W380 NFLX Nov17'23 380 put LONG 14 6.64 10/27 14:16 6.77 3.6%
Trade id #146205508
Max drawdown($5,695)
Time10/25/23 0:00
Quant open14
Worst price2.57
Drawdown as % of equity-3.60%
 $160
Includes Typical Broker Commissions trade costs of $23.80
10/23/23 9:55 SPY2324W415 SPY Nov24'23 415 put LONG 16 6.47 10/27 14:10 10.08 1.89%
Trade id #146204597
Max drawdown($3,184)
Time10/24/23 0:00
Quant open16
Worst price4.48
Drawdown as % of equity-1.89%
 $5,754
Includes Typical Broker Commissions trade costs of $22.40
10/23/23 9:58 SPY2317W417 SPY Nov17'23 417 put LONG 16 6.34 10/27 13:27 9.86 2.23%
Trade id #146204726
Max drawdown($3,770)
Time10/24/23 0:00
Quant open16
Worst price3.98
Drawdown as % of equity-2.23%
 $5,620
Includes Typical Broker Commissions trade costs of $22.40
10/12/23 13:37 AAPL2317K185 AAPL Nov17'23 185 call LONG 39 3.36 10/23 9:40 0.82 5.62%
Trade id #146113938
Max drawdown($10,215)
Time10/23/23 9:30
Quant open39
Worst price0.74
Drawdown as % of equity-5.62%
 ($9,955)
Includes Typical Broker Commissions trade costs of $54.60
10/11/23 9:41 AAPL2310K185 AAPL Nov10'23 185 call LONG 39 2.60 10/23 9:40 0.57 4.36%
Trade id #146098530
Max drawdown($7,927)
Time10/23/23 9:40
Quant open39
Worst price0.57
Drawdown as % of equity-4.36%
 ($7,972)
Includes Typical Broker Commissions trade costs of $54.60
10/11/23 9:39 AAPL2317K180 AAPL Nov17'23 180 call LONG 29 5.17 10/23 9:40 1.81 5.38%
Trade id #146098443
Max drawdown($9,783)
Time10/23/23 9:39
Quant open29
Worst price1.80
Drawdown as % of equity-5.38%
 ($9,796)
Includes Typical Broker Commissions trade costs of $40.60
10/19/23 14:44 META2303W310 META Nov3'23 310 put LONG 4 14.74 10/20 11:24 16.59 0.2%
Trade id #146178193
Max drawdown($373)
Time10/20/23 9:43
Quant open4
Worst price13.81
Drawdown as % of equity-0.20%
 $732
Includes Typical Broker Commissions trade costs of $6.80
10/19/23 12:55 SPY2317K435 SPY Nov17'23 435 call LONG 15 6.88 10/19 14:37 5.33 1.19%
Trade id #146176759
Max drawdown($2,338)
Time10/19/23 14:37
Quant open15
Worst price5.32
Drawdown as % of equity-1.19%
 ($2,339)
Includes Typical Broker Commissions trade costs of $21.00
10/19/23 12:17 SPY2317K434 SPY Nov17'23 434 call LONG 14 8.18 10/19 12:34 6.24 1.38%
Trade id #146175791
Max drawdown($2,726)
Time10/19/23 12:34
Quant open14
Worst price6.23
Drawdown as % of equity-1.38%
 ($2,740)
Includes Typical Broker Commissions trade costs of $19.60
10/18/23 13:59 SPY2317K435 SPY Nov17'23 435 call LONG 12 7.72 10/18 14:29 7.42 0.18%
Trade id #146164831
Max drawdown($362)
Time10/18/23 14:29
Quant open12
Worst price7.42
Drawdown as % of equity-0.18%
 ($378)
Includes Typical Broker Commissions trade costs of $16.80
10/18/23 10:39 SPY2310W432.5 SPY Nov10'23 432.5 put LONG 9 6.40 10/18 10:56 6.73 n/a $281
Includes Typical Broker Commissions trade costs of $12.60
10/17/23 10:36 SPY2310K435 SPY Nov10'23 435 call LONG 14 8.07 10/18 10:32 7.10 2%
Trade id #146151325
Max drawdown($4,018)
Time10/18/23 0:00
Quant open14
Worst price5.20
Drawdown as % of equity-2.00%
 ($1,375)
Includes Typical Broker Commissions trade costs of $20.20
Next

Statistics

  • Strategy began
    4/4/2022
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    613.71
  • Age
    20 months ago
  • What it trades
    Options
  • # Trades
    537
  • # Profitable
    310
  • % Profitable
    57.70%
  • Avg trade duration
    4.3 days
  • Max peak-to-valley drawdown
    47.71%
  • drawdown period
    Feb 16, 2023 - April 27, 2023
  • Annual Return (Compounded)
    768.3%
  • Avg win
    $1,744
  • Avg loss
    $1,511
  • Model Account Values (Raw)
  • Cash
    $181,370
  • Margin Used
    $0
  • Buying Power
    $181,370
  • Ratios
  • W:L ratio
    1.58:1
  • Sharpe Ratio
    2.15
  • Sortino Ratio
    5.67
  • Calmar Ratio
    21.116
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    3753.34%
  • Correlation to SP500
    -0.18060
  • Return Percent SP500 (cumu) during strategy life
    0.47%
  • Return Statistics
  • Ann Return (w trading costs)
    768.3%
  • Slump
  • Current Slump as Pcnt Equity
    17.00%
  • Instruments
  • Percent Trades Futures
    0.01%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.22%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    7.683%
  • Instruments
  • Percent Trades Options
    0.99%
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    0.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    806.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    65.50%
  • Chance of 20% account loss
    40.50%
  • Chance of 30% account loss
    28.50%
  • Chance of 40% account loss
    10.00%
  • Chance of 60% account loss (Monte Carlo)
    2.50%
  • Chance of 70% account loss (Monte Carlo)
    0.50%
  • 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
    5.50%
  • Popularity
  • Popularity (Today)
    910
  • Popularity (Last 6 weeks)
    976
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    1
  • Popularity (7 days, Percentile 1000 scale)
    957
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,511
  • Avg Win
    $1,745
  • Sum Trade PL (losers)
    $343,069.000
  • Age
  • Num Months filled monthly returns table
    21
  • Win / Loss
  • Sum Trade PL (winners)
    $540,838.000
  • # Winners
    310
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    879088
  • Win / Loss
  • # Losers
    227
  • % Winners
    57.7%
  • Frequency
  • Avg Position Time (mins)
    6214.33
  • Avg Position Time (hrs)
    103.57
  • Avg Trade Length
    4.3 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    6.51
  • Daily leverage (max)
    75.55
  • Regression
  • Alpha
    0.74
  • Beta
    -0.95
  • Treynor Index
    -0.77
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.00
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.706
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.325
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.883
  • Hold-and-Hope Ratio
    0.370
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    4.39289
  • SD
    3.47820
  • Sharpe ratio (Glass type estimate)
    1.26298
  • Sharpe ratio (Hedges UMVUE)
    1.20949
  • df
    18.00000
  • t
    1.58921
  • p
    0.32461
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.36387
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.85727
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39746
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81643
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.32320
  • Upside Potential Ratio
    17.20880
  • Upside part of mean
    4.93345
  • Downside part of mean
    -0.54056
  • Upside SD
    3.60376
  • Downside SD
    0.28668
  • N nonnegative terms
    10.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    -0.01163
  • Mean of criterion
    4.39289
  • SD of predictor
    0.20378
  • SD of criterion
    3.47820
  • Covariance
    -0.32134
  • r
    -0.45337
  • b (slope, estimate of beta)
    -7.73851
  • a (intercept, estimate of alpha)
    4.30293
  • Mean Square Error
    10.17650
  • DF error
    17.00000
  • t(b)
    -2.09723
  • p(b)
    0.77841
  • t(a)
    1.69702
  • p(a)
    0.26368
  • Lowerbound of 95% confidence interval for beta
    -15.52340
  • Upperbound of 95% confidence interval for beta
    0.04643
  • Lowerbound of 95% confidence interval for alpha
    -1.04666
  • Upperbound of 95% confidence interval for alpha
    9.65252
  • Treynor index (mean / b)
    -0.56767
  • Jensen alpha (a)
    4.30293
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.24350
  • SD
    1.51177
  • Sharpe ratio (Glass type estimate)
    1.48403
  • Sharpe ratio (Hedges UMVUE)
    1.42117
  • df
    18.00000
  • t
    1.86736
  • p
    0.29858
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16496
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09562
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20416
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.04650
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.09491
  • Upside Potential Ratio
    8.94823
  • Upside part of mean
    2.82955
  • Downside part of mean
    -0.58604
  • Upside SD
    1.57627
  • Downside SD
    0.31621
  • N nonnegative terms
    10.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    -0.03150
  • Mean of criterion
    2.24350
  • SD of predictor
    0.20575
  • SD of criterion
    1.51177
  • Covariance
    -0.14564
  • r
    -0.46824
  • b (slope, estimate of beta)
    -3.44040
  • a (intercept, estimate of alpha)
    2.13512
  • Mean Square Error
    1.88933
  • DF error
    17.00000
  • t(b)
    -2.18491
  • p(b)
    0.78681
  • t(a)
    1.95257
  • p(a)
    0.23609
  • Lowerbound of 95% confidence interval for beta
    -6.76255
  • Upperbound of 95% confidence interval for beta
    -0.11825
  • Lowerbound of 95% confidence interval for alpha
    -0.17194
  • Upperbound of 95% confidence interval for alpha
    4.44219
  • Treynor index (mean / b)
    -0.65211
  • Jensen alpha (a)
    2.13512
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.41191
  • Expected Shortfall on VaR
    0.50394
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10142
  • Expected Shortfall on VaR
    0.18779
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.76833
  • Quartile 1
    0.93989
  • Median
    1.05892
  • Quartile 3
    1.48738
  • Maximum
    5.33106
  • Mean of quarter 1
    0.85400
  • Mean of quarter 2
    0.99080
  • Mean of quarter 3
    1.25861
  • Mean of quarter 4
    2.34824
  • Inter Quartile Range
    0.54749
  • 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
    0.05263
  • Mean of outliers high
    5.33106
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.83420
  • VaR(95%) (moments method)
    0.15982
  • Expected Shortfall (moments method)
    0.17589
  • Extreme Value Index (regression method)
    -0.62176
  • VaR(95%) (regression method)
    0.12028
  • Expected Shortfall (regression method)
    0.12972
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.11584
  • Quartile 1
    0.16299
  • Median
    0.20519
  • Quartile 3
    0.23388
  • Maximum
    0.24050
  • Mean of quarter 1
    0.11584
  • Mean of quarter 2
    0.17871
  • Mean of quarter 3
    0.23167
  • Mean of quarter 4
    0.24050
  • Inter Quartile Range
    0.07089
  • 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)
    22.40010
  • Compounded annual return (geometric extrapolation)
    8.69307
  • Calmar ratio (compounded annual return / max draw down)
    36.14620
  • Compounded annual return / average of 25% largest draw downs
    36.14620
  • Compounded annual return / Expected Shortfall lognormal
    17.25030
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.74500
  • SD
    1.06737
  • Sharpe ratio (Glass type estimate)
    2.57174
  • Sharpe ratio (Hedges UMVUE)
    2.56720
  • df
    425.00000
  • t
    3.27930
  • p
    0.00056
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.02352
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.11701
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.02047
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.11393
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.62902
  • Upside Potential Ratio
    15.91980
  • Upside part of mean
    5.72811
  • Downside part of mean
    -2.98311
  • Upside SD
    1.01779
  • Downside SD
    0.35981
  • N nonnegative terms
    197.00000
  • N negative terms
    229.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    426.00000
  • Mean of predictor
    -0.00550
  • Mean of criterion
    2.74500
  • SD of predictor
    0.19762
  • SD of criterion
    1.06737
  • Covariance
    -0.03881
  • r
    -0.18400
  • b (slope, estimate of beta)
    -0.99378
  • a (intercept, estimate of alpha)
    2.74000
  • Mean Square Error
    1.10330
  • DF error
    424.00000
  • t(b)
    -3.85460
  • p(b)
    0.99993
  • t(a)
    3.32570
  • p(a)
    0.00048
  • Lowerbound of 95% confidence interval for beta
    -1.50054
  • Upperbound of 95% confidence interval for beta
    -0.48702
  • Lowerbound of 95% confidence interval for alpha
    1.12040
  • Upperbound of 95% confidence interval for alpha
    4.35867
  • Treynor index (mean / b)
    -2.76219
  • Jensen alpha (a)
    2.73953
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.25751
  • SD
    0.93881
  • Sharpe ratio (Glass type estimate)
    2.40464
  • Sharpe ratio (Hedges UMVUE)
    2.40039
  • df
    425.00000
  • t
    3.06622
  • p
    0.00115
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.85774
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.94880
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.85487
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.94591
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.07553
  • Upside Potential Ratio
    14.28480
  • Upside part of mean
    5.30785
  • Downside part of mean
    -3.05034
  • Upside SD
    0.87217
  • Downside SD
    0.37157
  • N nonnegative terms
    197.00000
  • N negative terms
    229.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    426.00000
  • Mean of predictor
    -0.02500
  • Mean of criterion
    2.25751
  • SD of predictor
    0.19775
  • SD of criterion
    0.93881
  • Covariance
    -0.03449
  • r
    -0.18576
  • b (slope, estimate of beta)
    -0.88190
  • a (intercept, estimate of alpha)
    2.23546
  • Mean Square Error
    0.85296
  • DF error
    424.00000
  • t(b)
    -3.89278
  • p(b)
    0.99994
  • t(a)
    3.08633
  • p(a)
    0.00108
  • Lowerbound of 95% confidence interval for beta
    -1.32719
  • Upperbound of 95% confidence interval for beta
    -0.43660
  • Lowerbound of 95% confidence interval for alpha
    0.81178
  • Upperbound of 95% confidence interval for alpha
    3.65915
  • Treynor index (mean / b)
    -2.55983
  • Jensen alpha (a)
    2.23546
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08313
  • Expected Shortfall on VaR
    0.10487
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02753
  • Expected Shortfall on VaR
    0.05200
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    426.00000
  • Minimum
    0.87930
  • Quartile 1
    0.98242
  • Median
    1.00000
  • Quartile 3
    1.01646
  • Maximum
    1.76764
  • Mean of quarter 1
    0.96221
  • Mean of quarter 2
    0.99262
  • Mean of quarter 3
    1.00641
  • Mean of quarter 4
    1.08089
  • Inter Quartile Range
    0.03403
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.02113
  • Mean of outliers low
    0.90957
  • Number of outliers high
    37.00000
  • Percentage of outliers high
    0.08685
  • Mean of outliers high
    1.16631
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23064
  • VaR(95%) (moments method)
    0.03967
  • Expected Shortfall (moments method)
    0.06101
  • Extreme Value Index (regression method)
    -0.02262
  • VaR(95%) (regression method)
    0.03622
  • Expected Shortfall (regression method)
    0.04729
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    27.00000
  • Minimum
    0.00115
  • Quartile 1
    0.02457
  • Median
    0.06088
  • Quartile 3
    0.12755
  • Maximum
    0.41815
  • Mean of quarter 1
    0.00813
  • Mean of quarter 2
    0.04223
  • Mean of quarter 3
    0.08903
  • Mean of quarter 4
    0.24817
  • Inter Quartile Range
    0.10298
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.36282
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.30114
  • VaR(95%) (moments method)
    0.26223
  • Expected Shortfall (moments method)
    0.31621
  • Extreme Value Index (regression method)
    -0.16559
  • VaR(95%) (regression method)
    0.29355
  • Expected Shortfall (regression method)
    0.36964
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    24.66170
  • Compounded annual return (geometric extrapolation)
    8.82975
  • Calmar ratio (compounded annual return / max draw down)
    21.11610
  • Compounded annual return / average of 25% largest draw downs
    35.57890
  • Compounded annual return / Expected Shortfall lognormal
    84.19350
  • 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
    0.52346
  • SD
    0.60010
  • Sharpe ratio (Glass type estimate)
    0.87229
  • Sharpe ratio (Hedges UMVUE)
    0.86725
  • df
    130.00000
  • t
    0.61680
  • p
    0.47299
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.90311
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.64456
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.90656
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.64106
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.60116
  • Upside Potential Ratio
    11.01530
  • Upside part of mean
    3.60116
  • Downside part of mean
    -3.07771
  • Upside SD
    0.50153
  • Downside SD
    0.32692
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12397
  • Mean of criterion
    0.52346
  • SD of predictor
    0.11744
  • SD of criterion
    0.60010
  • Covariance
    0.01514
  • r
    0.21487
  • b (slope, estimate of beta)
    1.09799
  • a (intercept, estimate of alpha)
    0.38734
  • Mean Square Error
    0.34615
  • DF error
    129.00000
  • t(b)
    2.49884
  • p(b)
    0.36427
  • t(a)
    0.46453
  • p(a)
    0.47399
  • Lowerbound of 95% confidence interval for beta
    0.22863
  • Upperbound of 95% confidence interval for beta
    1.96735
  • Lowerbound of 95% confidence interval for alpha
    -1.26241
  • Upperbound of 95% confidence interval for alpha
    2.03708
  • Treynor index (mean / b)
    0.47674
  • Jensen alpha (a)
    0.38734
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35020
  • SD
    0.58567
  • Sharpe ratio (Glass type estimate)
    0.59795
  • Sharpe ratio (Hedges UMVUE)
    0.59449
  • df
    130.00000
  • t
    0.42281
  • p
    0.48147
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.17590
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.36962
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.17826
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.36724
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.04785
  • Upside Potential Ratio
    10.42040
  • Upside part of mean
    3.48261
  • Downside part of mean
    -3.13241
  • Upside SD
    0.47871
  • Downside SD
    0.33421
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11709
  • Mean of criterion
    0.35020
  • SD of predictor
    0.11740
  • SD of criterion
    0.58567
  • Covariance
    0.01469
  • r
    0.21364
  • b (slope, estimate of beta)
    1.06579
  • a (intercept, estimate of alpha)
    0.22541
  • Mean Square Error
    0.32989
  • DF error
    129.00000
  • t(b)
    2.48377
  • p(b)
    0.36504
  • t(a)
    0.27697
  • p(a)
    0.48448
  • VAR (95 Confidence Intrvl)
    0.08300
  • Lowerbound of 95% confidence interval for beta
    0.21680
  • Upperbound of 95% confidence interval for beta
    1.91479
  • Lowerbound of 95% confidence interval for alpha
    -1.38477
  • Upperbound of 95% confidence interval for alpha
    1.83558
  • Treynor index (mean / b)
    0.32858
  • Jensen alpha (a)
    0.22541
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05652
  • Expected Shortfall on VaR
    0.07059
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02915
  • Expected Shortfall on VaR
    0.05033
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93265
  • Quartile 1
    0.97887
  • Median
    0.99870
  • Quartile 3
    1.01573
  • Maximum
    1.15084
  • Mean of quarter 1
    0.96406
  • Mean of quarter 2
    0.98958
  • Mean of quarter 3
    1.00574
  • Mean of quarter 4
    1.04915
  • Inter Quartile Range
    0.03686
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.10821
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.07068
  • VaR(95%) (moments method)
    0.03764
  • Expected Shortfall (moments method)
    0.04678
  • Extreme Value Index (regression method)
    -0.51328
  • VaR(95%) (regression method)
    0.03340
  • Expected Shortfall (regression method)
    0.03662
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00115
  • Quartile 1
    0.00202
  • Median
    0.05734
  • Quartile 3
    0.16143
  • Maximum
    0.36307
  • Mean of quarter 1
    0.00158
  • Mean of quarter 2
    0.05734
  • Mean of quarter 3
    0.16143
  • Mean of quarter 4
    0.36307
  • Inter Quartile Range
    0.15941
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -329107000
  • Max Equity Drawdown (num days)
    70
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41621
  • Compounded annual return (geometric extrapolation)
    0.45952
  • Calmar ratio (compounded annual return / max draw down)
    1.26565
  • Compounded annual return / average of 25% largest draw downs
    1.26565
  • Compounded annual return / Expected Shortfall lognormal
    6.50945

Strategy Description

I recently rescaled the account to $100k from $1.1M to allow traders with smaller accounts to follow me. The way I was able to reach such a large profit target is by using real time order flows from level 2 and depth of market/ volume profile to determine buy and sell trading decisions. I utilize order flows from a wide variety of markets that include futures, forex, options flows and real volume from level 2 to determine price targets. Some trades can last a few minutes, based on faster moving orders, while others may last up to 2-3 weeks. Typically, I utilize up to 15% of my total account and rarely make trades exceeding this amount = $15k-20k; I do this to protect risk. The goal is to keep myself underexposed to the market and make quality trading decisions versus using higher risk and over exposure.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-04-04
Suggested Minimum Capital
$100,000
# Trades
537
# Profitable
310
% Profitable
57.7%
Correlation S&P500
-0.181
Sharpe Ratio
2.15
Sortino Ratio
5.67
Beta
-0.95
Alpha
0.74
Leverage
6.51 Average
75.55 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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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.