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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 03/07/2024
Most recent certification approved 3/8/24 11:18 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 260%
# trading signals issued by system since certification 128
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 122
Percent signals followed since 03/07/2024 95.3%
This information was last updated 9/27/24 13:37 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 03/07/2024, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Dimension
(141257511)

Created by: Dimension Dimension
Started: 08/2022
Stocks
Last trade: 6 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 $169.00 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).
16.8%
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.

(37.0%)
Max Drawdown
167
Num Trades
83.8%
Win Trades
2.4 : 1
Profit Factor
55.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                 +1.2%(4.5%)+12.5%+10.0%(9.6%)+8.1%
2023+10.2%+1.9%+9.1%+5.4%+6.0%+7.0%+4.7%(1.2%)(12.9%)(7.3%)+22.8%+1.3%+52.1%
2024+2.9%+8.1%(0.2%)+3.7%(3.6%)(5.6%)(1%)(14.2%)(0.3%)(3.9%)            (14.7%)

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 332 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/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/1/24 10:11 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 425 46.42 9/19 9:38 44.92 8.49%
Trade id #148795378
Max drawdown($6,143)
Time8/5/24 0:00
Quant open425
Worst price31.96
Drawdown as % of equity-8.49%
($643)
Includes Typical Broker Commissions trade costs of $8.50
9/6/24 13:29 SPXL DIREXION DAILY S&P500 BULL 3X LONG 150 137.50 9/9 9:34 140.43 0.28%
Trade id #149309797
Max drawdown($186)
Time9/6/24 14:21
Quant open150
Worst price136.26
Drawdown as % of equity-0.28%
$437
Includes Typical Broker Commissions trade costs of $3.00
9/4/24 12:40 SPXL DIREXION DAILY S&P500 BULL 3X LONG 140 146.99 9/5 10:08 147.28 0.52%
Trade id #149251988
Max drawdown($361)
Time9/4/24 15:10
Quant open140
Worst price144.41
Drawdown as % of equity-0.52%
$37
Includes Typical Broker Commissions trade costs of $2.80
7/24/24 10:51 TQQQ PROSHARES ULTRAPRO QQQ LONG 375 67.41 7/31 10:32 68.00 2.56%
Trade id #148728440
Max drawdown($2,275)
Time7/30/24 0:00
Quant open375
Worst price61.34
Drawdown as % of equity-2.56%
$215
Includes Typical Broker Commissions trade costs of $7.50
7/15/24 13:37 TLT ISHARES 20+ YEAR TREASURY BOND LONG 125 92.81 7/16 11:34 93.79 0%
Trade id #148652735
Max drawdown($3)
Time7/15/24 15:20
Quant open125
Worst price92.78
Drawdown as % of equity-0.00%
$121
Includes Typical Broker Commissions trade costs of $2.50
7/12/24 15:43 TQQQ PROSHARES ULTRAPRO QQQ LONG 220 80.99 7/15 9:41 82.10 0.18%
Trade id #148638287
Max drawdown($158)
Time7/12/24 15:51
Quant open220
Worst price80.27
Drawdown as % of equity-0.18%
$240
Includes Typical Broker Commissions trade costs of $4.40
6/28/24 10:53 TLT ISHARES 20+ YEAR TREASURY BOND LONG 170 92.80 7/10 15:56 92.61 0.59%
Trade id #148530695
Max drawdown($506)
Time7/1/24 0:00
Quant open170
Worst price89.82
Drawdown as % of equity-0.59%
($34)
Includes Typical Broker Commissions trade costs of $3.40
6/20/24 9:31 SOXL DIREXION DAILY SEMICONDCT BULL LONG 750 57.47 7/10 9:30 58.53 3.35%
Trade id #148454002
Max drawdown($2,962)
Time6/24/24 0:00
Quant open250
Worst price53.03
Drawdown as % of equity-3.35%
$781
Includes Typical Broker Commissions trade costs of $15.00
6/17/24 9:50 SOXL DIREXION DAILY SEMICONDCT BULL LONG 600 59.50 6/17 12:18 60.60 0.36%
Trade id #148426818
Max drawdown($330)
Time6/17/24 10:29
Quant open600
Worst price58.95
Drawdown as % of equity-0.36%
$655
Includes Typical Broker Commissions trade costs of $5.00
6/3/24 10:48 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 800 38.33 6/12 9:42 39.00 3.1%
Trade id #148315523
Max drawdown($2,822)
Time6/11/24 0:00
Quant open800
Worst price34.80
Drawdown as % of equity-3.10%
$532
Includes Typical Broker Commissions trade costs of $5.00
5/29/24 9:36 SOXL DIREXION DAILY SEMICONDCT BULL LONG 600 50.99 6/5 10:34 52.05 4.29%
Trade id #148278245
Max drawdown($3,966)
Time5/31/24 0:00
Quant open600
Worst price44.38
Drawdown as % of equity-4.29%
$631
Includes Typical Broker Commissions trade costs of $5.00
5/29/24 9:36 TLT ISHARES 20+ YEAR TREASURY BOND LONG 350 89.25 6/3 10:00 91.25 0.21%
Trade id #148278251
Max drawdown($197)
Time5/29/24 13:04
Quant open350
Worst price88.68
Drawdown as % of equity-0.21%
$695
Includes Typical Broker Commissions trade costs of $7.00
5/28/24 14:34 SOXL DIREXION DAILY SEMICONDCT BULL LONG 500 53.30 5/28 15:59 53.89 0.36%
Trade id #148273376
Max drawdown($327)
Time5/28/24 14:50
Quant open500
Worst price52.65
Drawdown as % of equity-0.36%
$286
Includes Typical Broker Commissions trade costs of $10.00
5/23/24 13:38 TQQQ PROSHARES ULTRAPRO QQQ LONG 475 64.50 5/24 11:04 65.50 0.89%
Trade id #148237944
Max drawdown($806)
Time5/23/24 15:06
Quant open475
Worst price62.80
Drawdown as % of equity-0.89%
$466
Includes Typical Broker Commissions trade costs of $9.50
5/22/24 12:39 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 650 46.48 5/22 15:59 46.33 0.57%
Trade id #148227208
Max drawdown($519)
Time5/22/24 14:41
Quant open650
Worst price45.68
Drawdown as % of equity-0.57%
($104)
Includes Typical Broker Commissions trade costs of $5.00
5/20/24 14:08 SOXL DIREXION DAILY SEMICONDCT BULL LONG 650 47.99 5/22 9:30 49.26 1.13%
Trade id #148210416
Max drawdown($1,027)
Time5/21/24 0:00
Quant open650
Worst price46.41
Drawdown as % of equity-1.13%
$821
Includes Typical Broker Commissions trade costs of $5.00
5/17/24 13:53 SOXL DIREXION DAILY SEMICONDCT BULL LONG 650 45.24 5/20 9:33 46.69 0.66%
Trade id #148196705
Max drawdown($589)
Time5/17/24 14:23
Quant open650
Worst price44.33
Drawdown as % of equity-0.66%
$941
Includes Typical Broker Commissions trade costs of $5.00
5/13/24 13:41 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 800 38.51 5/14 9:30 39.80 0.07%
Trade id #148156701
Max drawdown($65)
Time5/13/24 15:50
Quant open800
Worst price38.43
Drawdown as % of equity-0.07%
$1,026
Includes Typical Broker Commissions trade costs of $5.00
5/2/24 10:53 SPXL DIREXION DAILY S&P500 BULL 3X LONG 250 116.22 5/2 15:10 119.00 0.07%
Trade id #148073670
Max drawdown($65)
Time5/2/24 12:36
Quant open250
Worst price115.96
Drawdown as % of equity-0.07%
$689
Includes Typical Broker Commissions trade costs of $5.00
4/25/24 14:34 SPXL DIREXION DAILY S&P500 BULL 3X LONG 250 116.92 4/26 15:58 121.56 0.09%
Trade id #148013397
Max drawdown($83)
Time4/25/24 14:55
Quant open250
Worst price116.58
Drawdown as % of equity-0.09%
$1,157
Includes Typical Broker Commissions trade costs of $5.00
4/25/24 13:20 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,000 38.25 4/25 14:09 38.76 0.05%
Trade id #148012339
Max drawdown($48)
Time4/25/24 13:24
Quant open1,000
Worst price38.20
Drawdown as % of equity-0.05%
$509
Includes Typical Broker Commissions trade costs of $5.00
4/25/24 9:32 SVIX VS TR -1X SHORT VIX FUTURES ETF SHORT 1,000 37.14 4/25 11:36 37.88 0.92%
Trade id #148007393
Max drawdown($856)
Time4/25/24 11:30
Quant open1,000
Worst price38.00
Drawdown as % of equity-0.92%
($739)
Includes Typical Broker Commissions trade costs of $5.00
4/24/24 9:33 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 3,000 9.73 4/25 9:30 10.14 0.29%
Trade id #147995724
Max drawdown($257)
Time4/24/24 9:51
Quant open3,000
Worst price9.64
Drawdown as % of equity-0.29%
$1,249
Includes Typical Broker Commissions trade costs of $5.00
4/18/24 14:51 SOXL DIREXION DAILY SEMICONDCT BULL LONG 800 34.75 4/24 9:30 37.00 4.04%
Trade id #147949308
Max drawdown($3,640)
Time4/19/24 0:00
Quant open800
Worst price30.20
Drawdown as % of equity-4.04%
$1,795
Includes Typical Broker Commissions trade costs of $5.00
4/22/24 10:32 SPXL DIREXION DAILY S&P500 BULL 3X LONG 250 113.42 4/22 14:15 116.89 0.24%
Trade id #147975142
Max drawdown($210)
Time4/22/24 11:15
Quant open250
Worst price112.57
Drawdown as % of equity-0.24%
$864
Includes Typical Broker Commissions trade costs of $5.00
4/15/24 10:29 SPXL DIREXION DAILY S&P500 BULL 3X LONG 600 125.01 4/15 12:31 123.27 1.16%
Trade id #147905535
Max drawdown($1,055)
Time4/15/24 12:31
Quant open600
Worst price123.25
Drawdown as % of equity-1.16%
($1,053)
Includes Typical Broker Commissions trade costs of $8.50
4/12/24 10:32 SPXL DIREXION DAILY S&P500 BULL 3X LONG 700 126.23 4/12 12:31 124.49 1.36%
Trade id #147885626
Max drawdown($1,257)
Time4/12/24 12:31
Quant open700
Worst price124.43
Drawdown as % of equity-1.36%
($1,221)
Includes Typical Broker Commissions trade costs of $5.50
4/4/24 14:14 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,600 40.02 4/11 15:59 39.95 3.15%
Trade id #147810541
Max drawdown($2,906)
Time4/4/24 15:41
Quant open1,100
Worst price38.11
Drawdown as % of equity-3.15%
($134)
Includes Typical Broker Commissions trade costs of $21.00
4/11/24 10:25 TQQQ PROSHARES ULTRAPRO QQQ LONG 500 59.05 4/11 12:45 59.81 0.05%
Trade id #147871947
Max drawdown($46)
Time4/11/24 10:28
Quant open500
Worst price58.95
Drawdown as % of equity-0.05%
$369
Includes Typical Broker Commissions trade costs of $10.00
4/8/24 10:25 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 5,000 8.95 4/8 10:31 8.93 0.11%
Trade id #147836692
Max drawdown($100)
Time4/8/24 10:30
Quant open5,000
Worst price8.93
Drawdown as % of equity-0.11%
($97)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    8/1/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    794.24
  • Age
    26 months ago
  • What it trades
    Stocks
  • # Trades
    167
  • # Profitable
    140
  • % Profitable
    83.80%
  • Avg trade duration
    7.5 days
  • Max peak-to-valley drawdown
    37.02%
  • drawdown period
    May 02, 2024 - Aug 07, 2024
  • Annual Return (Compounded)
    16.8%
  • Avg win
    $549.27
  • Avg loss
    $1,224
  • Model Account Values (Raw)
  • Cash
    $55,381
  • Margin Used
    $0
  • Buying Power
    $23,546
  • Ratios
  • W:L ratio
    2.39:1
  • Sharpe Ratio
    0.54
  • Sortino Ratio
    0.72
  • Calmar Ratio
    0.667
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1.90%
  • Correlation to SP500
    0.38360
  • Return Percent SP500 (cumu) during strategy life
    38.39%
  • Return Statistics
  • Ann Return (w trading costs)
    16.8%
  • Slump
  • Current Slump as Pcnt Equity
    35.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.19%
  • Return Statistics
  • Return Pcnt Since TOS Status
    -21.950%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.168%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    22.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    51.00%
  • Chance of 20% account loss
    24.50%
  • Chance of 30% account loss
    6.50%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    359
  • Popularity (Last 6 weeks)
    891
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    359
  • Popularity (7 days, Percentile 1000 scale)
    721
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    260%
  • Win / Loss
  • Avg Loss
    $1,887
  • Avg Win
    $549
  • Sum Trade PL (losers)
    $50,937.000
  • Age
  • Num Months filled monthly returns table
    27
  • Win / Loss
  • Sum Trade PL (winners)
    $76,898.000
  • # Winners
    140
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    1121
  • AUM
  • AUM (AutoTrader live capital)
    196551
  • Win / Loss
  • # Losers
    27
  • % Winners
    83.8%
  • Frequency
  • Avg Position Time (mins)
    10774.10
  • Avg Position Time (hrs)
    179.57
  • Avg Trade Length
    7.5 days
  • Last Trade Ago
    6
  • Leverage
  • Daily leverage (average)
    1.61
  • Daily leverage (max)
    3.22
  • Regression
  • Alpha
    0.02
  • Beta
    0.65
  • Treynor Index
    0.07
  • 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)
    2.45
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    6.572
  • 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
    0.32
  • Avg(MAE) / Avg(PL) - Winning trades
    1.829
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.591
  • Hold-and-Hope Ratio
    0.090
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21444
  • SD
    0.30032
  • Sharpe ratio (Glass type estimate)
    0.71402
  • Sharpe ratio (Hedges UMVUE)
    0.69144
  • df
    24.00000
  • t
    1.03060
  • p
    0.15650
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66587
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07948
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68048
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06335
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.97652
  • Upside Potential Ratio
    2.34029
  • Upside part of mean
    0.51391
  • Downside part of mean
    -0.29947
  • Upside SD
    0.20542
  • Downside SD
    0.21959
  • N nonnegative terms
    16.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.12077
  • Mean of criterion
    0.21444
  • SD of predictor
    0.15517
  • SD of criterion
    0.30032
  • Covariance
    0.03165
  • r
    0.67913
  • b (slope, estimate of beta)
    1.31445
  • a (intercept, estimate of alpha)
    0.05569
  • Mean Square Error
    0.05071
  • DF error
    23.00000
  • t(b)
    4.43718
  • p(b)
    0.00009
  • t(a)
    0.34795
  • p(a)
    0.36552
  • Lowerbound of 95% confidence interval for beta
    0.70164
  • Upperbound of 95% confidence interval for beta
    1.92727
  • Lowerbound of 95% confidence interval for alpha
    -0.27542
  • Upperbound of 95% confidence interval for alpha
    0.38681
  • Treynor index (mean / b)
    0.16314
  • Jensen alpha (a)
    0.05569
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16627
  • SD
    0.31670
  • Sharpe ratio (Glass type estimate)
    0.52500
  • Sharpe ratio (Hedges UMVUE)
    0.50839
  • df
    24.00000
  • t
    0.75777
  • p
    0.22798
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84627
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.88556
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85710
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87389
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.67820
  • Upside Potential Ratio
    2.01058
  • Upside part of mean
    0.49291
  • Downside part of mean
    -0.32664
  • Upside SD
    0.19618
  • Downside SD
    0.24516
  • N nonnegative terms
    16.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.10839
  • Mean of criterion
    0.16627
  • SD of predictor
    0.15556
  • SD of criterion
    0.31670
  • Covariance
    0.03261
  • r
    0.66196
  • b (slope, estimate of beta)
    1.34766
  • a (intercept, estimate of alpha)
    0.02019
  • Mean Square Error
    0.05880
  • DF error
    23.00000
  • t(b)
    4.23547
  • p(b)
    0.00016
  • t(a)
    0.11775
  • p(a)
    0.45364
  • Lowerbound of 95% confidence interval for beta
    0.68944
  • Upperbound of 95% confidence interval for beta
    2.00587
  • Lowerbound of 95% confidence interval for alpha
    -0.33458
  • Upperbound of 95% confidence interval for alpha
    0.37497
  • Treynor index (mean / b)
    0.12337
  • Jensen alpha (a)
    0.02019
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12761
  • Expected Shortfall on VaR
    0.15983
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04481
  • Expected Shortfall on VaR
    0.10068
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.75427
  • Quartile 1
    0.99510
  • Median
    1.04416
  • Quartile 3
    1.07511
  • Maximum
    1.12755
  • Mean of quarter 1
    0.91409
  • Mean of quarter 2
    1.01789
  • Mean of quarter 3
    1.06516
  • Mean of quarter 4
    1.10134
  • Inter Quartile Range
    0.08001
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.08000
  • Mean of outliers low
    0.80249
  • 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)
    -0.62611
  • VaR(95%) (moments method)
    0.02570
  • Expected Shortfall (moments method)
    0.03050
  • Extreme Value Index (regression method)
    0.21314
  • VaR(95%) (regression method)
    0.15351
  • Expected Shortfall (regression method)
    0.28702
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00196
  • Quartile 1
    0.01180
  • Median
    0.06955
  • Quartile 3
    0.13862
  • Maximum
    0.28167
  • Mean of quarter 1
    0.00343
  • Mean of quarter 2
    0.03251
  • Mean of quarter 3
    0.10658
  • Mean of quarter 4
    0.21549
  • Inter Quartile Range
    0.12682
  • 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)
    0.23932
  • Compounded annual return (geometric extrapolation)
    0.21431
  • Calmar ratio (compounded annual return / max draw down)
    0.76085
  • Compounded annual return / average of 25% largest draw downs
    0.99452
  • Compounded annual return / Expected Shortfall lognormal
    1.34081
  • 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
    0.20646
  • SD
    0.25579
  • Sharpe ratio (Glass type estimate)
    0.80713
  • Sharpe ratio (Hedges UMVUE)
    0.80606
  • df
    563.00000
  • t
    1.18422
  • p
    0.11841
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.52989
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14348
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53063
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14274
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.06686
  • Upside Potential Ratio
    7.50542
  • Upside part of mean
    1.45246
  • Downside part of mean
    -1.24600
  • Upside SD
    0.16741
  • Downside SD
    0.19352
  • N nonnegative terms
    309.00000
  • N negative terms
    255.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    564.00000
  • Mean of predictor
    0.13538
  • Mean of criterion
    0.20646
  • SD of predictor
    0.15706
  • SD of criterion
    0.25579
  • Covariance
    0.01472
  • r
    0.36646
  • b (slope, estimate of beta)
    0.59682
  • a (intercept, estimate of alpha)
    0.12600
  • Mean Square Error
    0.05675
  • DF error
    562.00000
  • t(b)
    9.33694
  • p(b)
    0.00000
  • t(a)
    0.77289
  • p(a)
    0.21996
  • Lowerbound of 95% confidence interval for beta
    0.47127
  • Upperbound of 95% confidence interval for beta
    0.72237
  • Lowerbound of 95% confidence interval for alpha
    -0.19369
  • Upperbound of 95% confidence interval for alpha
    0.44502
  • Treynor index (mean / b)
    0.34594
  • Jensen alpha (a)
    0.12566
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17309
  • SD
    0.25953
  • Sharpe ratio (Glass type estimate)
    0.66696
  • Sharpe ratio (Hedges UMVUE)
    0.66607
  • df
    563.00000
  • t
    0.97857
  • p
    0.16411
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66974
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00310
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67035
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00249
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.86496
  • Upside Potential Ratio
    7.18838
  • Upside part of mean
    1.43854
  • Downside part of mean
    -1.26544
  • Upside SD
    0.16523
  • Downside SD
    0.20012
  • N nonnegative terms
    309.00000
  • N negative terms
    255.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    564.00000
  • Mean of predictor
    0.12304
  • Mean of criterion
    0.17309
  • SD of predictor
    0.15693
  • SD of criterion
    0.25953
  • Covariance
    0.01471
  • r
    0.36128
  • b (slope, estimate of beta)
    0.59749
  • a (intercept, estimate of alpha)
    0.09958
  • Mean Square Error
    0.05867
  • DF error
    562.00000
  • t(b)
    9.18506
  • p(b)
    0.00000
  • t(a)
    0.60250
  • p(a)
    0.27354
  • Lowerbound of 95% confidence interval for beta
    0.46972
  • Upperbound of 95% confidence interval for beta
    0.72526
  • Lowerbound of 95% confidence interval for alpha
    -0.22506
  • Upperbound of 95% confidence interval for alpha
    0.42422
  • Treynor index (mean / b)
    0.28970
  • Jensen alpha (a)
    0.09958
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02538
  • Expected Shortfall on VaR
    0.03188
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01005
  • Expected Shortfall on VaR
    0.02168
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    564.00000
  • Minimum
    0.86225
  • Quartile 1
    0.99566
  • Median
    1.00122
  • Quartile 3
    1.00812
  • Maximum
    1.04814
  • Mean of quarter 1
    0.98220
  • Mean of quarter 2
    0.99909
  • Mean of quarter 3
    1.00411
  • Mean of quarter 4
    1.01817
  • Inter Quartile Range
    0.01246
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.05496
  • Mean of outliers low
    0.96300
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.04255
  • Mean of outliers high
    1.03459
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.00943
  • VaR(95%) (moments method)
    0.01271
  • Expected Shortfall (moments method)
    0.01781
  • Extreme Value Index (regression method)
    -0.05905
  • VaR(95%) (regression method)
    0.01501
  • Expected Shortfall (regression method)
    0.02095
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    32.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00213
  • Median
    0.01933
  • Quartile 3
    0.04755
  • Maximum
    0.33367
  • Mean of quarter 1
    0.00121
  • Mean of quarter 2
    0.00798
  • Mean of quarter 3
    0.03447
  • Mean of quarter 4
    0.12734
  • Inter Quartile Range
    0.04542
  • 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
    0.09375
  • Mean of outliers high
    0.23776
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.65730
  • VaR(95%) (moments method)
    0.14703
  • Expected Shortfall (moments method)
    0.44035
  • Extreme Value Index (regression method)
    1.97235
  • VaR(95%) (regression method)
    0.11016
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25150
  • Compounded annual return (geometric extrapolation)
    0.22263
  • Calmar ratio (compounded annual return / max draw down)
    0.66720
  • Compounded annual return / average of 25% largest draw downs
    1.74823
  • Compounded annual return / Expected Shortfall lognormal
    6.98430
  • 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
    -0.44015
  • SD
    0.31530
  • Sharpe ratio (Glass type estimate)
    -1.39597
  • Sharpe ratio (Hedges UMVUE)
    -1.38790
  • df
    130.00000
  • t
    -0.98710
  • p
    0.54313
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.17031
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.38368
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.16484
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.38903
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.58078
  • Upside Potential Ratio
    4.41854
  • Upside part of mean
    1.23030
  • Downside part of mean
    -1.67045
  • Upside SD
    0.14788
  • Downside SD
    0.27844
  • 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
    0.16046
  • Mean of criterion
    -0.44015
  • SD of predictor
    0.13546
  • SD of criterion
    0.31530
  • Covariance
    0.01359
  • r
    0.31811
  • b (slope, estimate of beta)
    0.74045
  • a (intercept, estimate of alpha)
    -0.55897
  • Mean Square Error
    0.09005
  • DF error
    129.00000
  • t(b)
    3.81100
  • p(b)
    0.30095
  • t(a)
    -1.31361
  • p(a)
    0.57298
  • Lowerbound of 95% confidence interval for beta
    0.35604
  • Upperbound of 95% confidence interval for beta
    1.12486
  • Lowerbound of 95% confidence interval for alpha
    -1.40087
  • Upperbound of 95% confidence interval for alpha
    0.28294
  • Treynor index (mean / b)
    -0.59444
  • Jensen alpha (a)
    -0.55897
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.49242
  • SD
    0.32761
  • Sharpe ratio (Glass type estimate)
    -1.50304
  • Sharpe ratio (Hedges UMVUE)
    -1.49435
  • df
    130.00000
  • t
    -1.06281
  • p
    0.54641
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.27808
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.27756
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.27211
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.28340
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.67812
  • Upside Potential Ratio
    4.15566
  • Upside part of mean
    1.21941
  • Downside part of mean
    -1.71183
  • Upside SD
    0.14606
  • Downside SD
    0.29343
  • 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
    0.15127
  • Mean of criterion
    -0.49242
  • SD of predictor
    0.13571
  • SD of criterion
    0.32761
  • Covariance
    0.01362
  • r
    0.30631
  • b (slope, estimate of beta)
    0.73944
  • a (intercept, estimate of alpha)
    -0.60427
  • Mean Square Error
    0.09801
  • DF error
    129.00000
  • t(b)
    3.65471
  • p(b)
    0.30809
  • t(a)
    -1.36157
  • p(a)
    0.57560
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    0.33914
  • Upperbound of 95% confidence interval for beta
    1.13975
  • Lowerbound of 95% confidence interval for alpha
    -1.48236
  • Upperbound of 95% confidence interval for alpha
    0.27381
  • Treynor index (mean / b)
    -0.66593
  • Jensen alpha (a)
    -0.60427
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03456
  • Expected Shortfall on VaR
    0.04266
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01382
  • Expected Shortfall on VaR
    0.03023
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.86225
  • Quartile 1
    0.99220
  • Median
    1.00067
  • Quartile 3
    1.00677
  • Maximum
    1.04475
  • Mean of quarter 1
    0.97770
  • Mean of quarter 2
    0.99724
  • Mean of quarter 3
    1.00290
  • Mean of quarter 4
    1.01600
  • Inter Quartile Range
    0.01457
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.91011
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.03637
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48824
  • VaR(95%) (moments method)
    0.02276
  • Expected Shortfall (moments method)
    0.04896
  • Extreme Value Index (regression method)
    0.55587
  • VaR(95%) (regression method)
    0.01638
  • Expected Shortfall (regression method)
    0.03419
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00195
  • Quartile 1
    0.02131
  • Median
    0.04068
  • Quartile 3
    0.18718
  • Maximum
    0.33367
  • Mean of quarter 1
    0.00195
  • Mean of quarter 2
    0.04068
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.33367
  • Inter Quartile Range
    0.16587
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -363861000
  • Max Equity Drawdown (num days)
    97
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.41451
  • Compounded annual return (geometric extrapolation)
    -0.37156
  • Calmar ratio (compounded annual return / max draw down)
    -1.11353
  • Compounded annual return / average of 25% largest draw downs
    -1.11353
  • Compounded annual return / Expected Shortfall lognormal
    -8.70896

Strategy Description

Dimension uses a combination of different active trading systems with the potential to produce attractive returns with managed downside risk. The correlation to underlying markets has been historically low. This combination provides subscribers with access to investment opportunities in almost any market environment.

UPDATE 11/1/23: All new trades will be actively managed using stops and targets.

Summary Statistics

Strategy began
2022-08-01
Suggested Minimum Capital
$15,000
# Trades
167
# Profitable
140
% Profitable
83.8%
Net Dividends
Correlation S&P500
0.384
Sharpe Ratio
0.54
Sortino Ratio
0.72
Beta
0.65
Alpha
0.02
Leverage
1.61 Average
3.22 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.

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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.