Collective2 Collective2
C2Star Strategy Easy no Followed by live capital $468,000 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast More...

High Frequency Trading
(142246705)

Created by: High-Frequency-Algo High-Frequency-Algo
Started: 10/2022
Forex, Options
Last trade: Today
Trading style: Options Long Volatility Directional Bets

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 $595.00 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: Options
Long Volatility
Category: Equity

Long Volatility

This strategy employs one of the several ways that are available to construct a portfolio that will profit when volatility rises.
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
44.1%
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.

(86.8%)
Max Drawdown
172
Num Trades
42.4%
Win Trades
1.1 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                               (2.8%)+0.7%+0.5%(1.7%)
2023(6.8%)(26.4%)(19.8%)+55.4%+118.3%+103.9%+41.6%(69%)(24.1%)(15%)+42.3%      +53.3%

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
11/29/23 17:34 GBP/CAD GBP/CAD SHORT 190 1.72475 11/30 15:47 1.71188 3.62%
Trade id #146571330
Max drawdown($2,094)
Time11/30/23 3:23
Quant open190
Worst price1.72625
Drawdown as % of equity-3.62%
 $18,022
11/29/23 16:19 GBP/JPY GBP/JPY SHORT 208 186.951 11/29 17:31 186.823 0.92%
Trade id #146570398
Max drawdown($508)
Time11/29/23 16:33
Quant open208
Worst price186.987
Drawdown as % of equity-0.92%
 $1,804
11/28/23 3:06 GBP/AUD GBP/AUD SHORT 340 1.91094 11/29 16:19 1.91806 22.5%
Trade id #146551160
Max drawdown($14,483)
Time11/29/23 8:30
Quant open210
Worst price1.91888
Drawdown as % of equity-22.50%
 ($16,037)
11/29/23 8:49 CAD/JPY CAD/JPY LONG 150 108.788 11/29 10:02 108.382 6.8%
Trade id #146563362
Max drawdown($4,379)
Time11/29/23 10:02
Quant open150
Worst price108.357
Drawdown as % of equity-6.80%
 ($4,137)
11/28/23 3:02 CAD/JPY CAD/JPY LONG 200 109.265 11/28 11:29 109.032 4.5%
Trade id #146551145
Max drawdown($3,379)
Time11/28/23 10:48
Quant open84
Worst price108.673
Drawdown as % of equity-4.50%
 ($3,155)
11/27/23 19:07 GBP/AUD GBP/AUD SHORT 200 1.91014 11/28 3:02 1.90976 3.32%
Trade id #146549664
Max drawdown($2,679)
Time11/27/23 19:36
Quant open200
Worst price1.91216
Drawdown as % of equity-3.32%
 $502
11/27/23 10:20 CAD/JPY CAD/JPY LONG 300 109.083 11/27 19:06 109.018 1.8%
Trade id #146542841
Max drawdown($1,452)
Time11/27/23 19:06
Quant open233
Worst price108.991
Drawdown as % of equity-1.80%
 ($1,314)
11/27/23 9:23 USD/CAD USD/CAD LONG 337 1.36444 11/27 10:20 1.36389 2.11%
Trade id #146540953
Max drawdown($1,708)
Time11/27/23 10:16
Quant open337
Worst price1.36375
Drawdown as % of equity-2.11%
 ($1,358)
11/27/23 0:43 CAD/JPY CAD/JPY LONG 250 109.234 11/27 9:23 109.128 3.54%
Trade id #146538944
Max drawdown($2,947)
Time11/27/23 8:58
Quant open237
Worst price109.049
Drawdown as % of equity-3.54%
 ($1,784)
11/27/23 0:15 USD/CAD USD/CAD LONG 200 1.36546 11/27 0:43 1.36489 1.13%
Trade id #146538882
Max drawdown($937)
Time11/27/23 0:41
Quant open200
Worst price1.36482
Drawdown as % of equity-1.13%
 ($835)
11/27/23 0:06 CAD/JPY CAD/JPY LONG 295 109.169 11/27 0:14 109.104 1.54%
Trade id #146538865
Max drawdown($1,367)
Time11/27/23 0:14
Quant open295
Worst price109.100
Drawdown as % of equity-1.54%
 ($1,287)
11/24/23 8:42 CAD/JPY CAD/JPY LONG 371 109.533 11/26 22:18 109.275 8.18%
Trade id #146525600
Max drawdown($7,603)
Time11/26/23 22:17
Quant open295
Worst price109.149
Drawdown as % of equity-8.18%
 ($6,430)
11/21/23 9:12 GBP/JPY GBP/JPY LONG 210 185.254 11/24 8:42 187.814 7.09%
Trade id #146497814
Max drawdown($4,051)
Time11/21/23 9:47
Quant open200
Worst price184.938
Drawdown as % of equity-7.09%
 $35,946
11/20/23 13:39 USD/CAD USD/CAD LONG 200 1.37185 11/21 9:12 1.37033 5.91%
Trade id #146492178
Max drawdown($3,376)
Time11/21/23 8:30
Quant open200
Worst price1.36954
Drawdown as % of equity-5.91%
 ($2,220)
11/20/23 7:29 USD/CAD USD/CAD LONG 150 1.37239 11/20 13:32 1.37154 2.72%
Trade id #146486152
Max drawdown($1,684)
Time11/20/23 9:03
Quant open150
Worst price1.37085
Drawdown as % of equity-2.72%
 ($929)
11/17/23 9:18 CAD/JPY CAD/JPY LONG 200 109.124 11/20 6:40 108.019 23.02%
Trade id #146469373
Max drawdown($14,259)
Time11/20/23 6:36
Quant open186
Worst price107.987
Drawdown as % of equity-23.02%
 ($14,918)
11/16/23 22:23 CAD/JPY CAD/JPY LONG 250 109.469 11/17 4:07 108.967 11.36%
Trade id #146467098
Max drawdown($9,111)
Time11/17/23 4:06
Quant open235
Worst price108.889
Drawdown as % of equity-11.36%
 ($8,396)
11/16/23 20:52 CAD/JPY CAD/JPY LONG 150 109.547 11/16 21:52 109.423 2.05%
Trade id #146466839
Max drawdown($1,723)
Time11/16/23 21:48
Quant open150
Worst price109.374
Drawdown as % of equity-2.05%
 ($1,236)
11/16/23 20:40 CAD/JPY CAD/JPY LONG 150 109.584 11/16 20:50 109.499 1.01%
Trade id #146466813
Max drawdown($846)
Time11/16/23 20:50
Quant open150
Worst price109.499
Drawdown as % of equity-1.01%
 ($847)
11/16/23 12:12 CAD/JPY CAD/JPY LONG 300 109.465 11/16 20:29 109.547 2.23%
Trade id #146462497
Max drawdown($1,819)
Time11/16/23 13:20
Quant open200
Worst price109.282
Drawdown as % of equity-2.23%
 $1,630
11/14/23 15:29 AAPL2322L195 AAPL Dec22'23 195 call LONG 140 1.66 11/16 12:57 2.21 3.83%
Trade id #146437590
Max drawdown($2,940)
Time11/14/23 15:58
Quant open140
Worst price1.45
Drawdown as % of equity-3.83%
 $7,504
Includes Typical Broker Commissions trade costs of $196.00
11/16/23 10:57 CAD/JPY CAD/JPY LONG 200 109.460 11/16 11:03 109.405 1.01%
Trade id #146459690
Max drawdown($783)
Time11/16/23 11:03
Quant open200
Worst price109.401
Drawdown as % of equity-1.01%
 ($730)
11/16/23 10:44 CAD/JPY CAD/JPY LONG 200 109.472 11/16 10:54 109.428 0.98%
Trade id #146459473
Max drawdown($757)
Time11/16/23 10:54
Quant open200
Worst price109.415
Drawdown as % of equity-0.98%
 ($585)
11/14/23 15:45 CAD/JPY CAD/JPY LONG 200 109.760 11/16 9:57 109.679 1.62%
Trade id #146437824
Max drawdown($1,351)
Time11/16/23 9:57
Quant open171
Worst price109.641
Drawdown as % of equity-1.62%
 ($1,080)
11/14/23 9:29 CAD/JPY CAD/JPY LONG 200 109.786 11/14 15:39 109.708 1.73%
Trade id #146429480
Max drawdown($1,261)
Time11/14/23 10:12
Quant open200
Worst price109.691
Drawdown as % of equity-1.73%
 ($1,038)
11/14/23 12:20 AAPL2322L190 AAPL Dec22'23 190 call LONG 70 3.32 11/14 14:28 3.30 1.9%
Trade id #146435429
Max drawdown($1,550)
Time11/14/23 14:07
Quant open70
Worst price3.10
Drawdown as % of equity-1.90%
 ($248)
Includes Typical Broker Commissions trade costs of $98.00
11/14/23 10:37 AAPL2315L190 AAPL Dec15'23 190 call LONG 100 2.95 11/14 12:05 2.70 3.59%
Trade id #146431749
Max drawdown($2,928)
Time11/14/23 11:38
Quant open80
Worst price2.58
Drawdown as % of equity-3.59%
 ($2,560)
Includes Typical Broker Commissions trade costs of $140.00
11/7/23 2:27 GBP/JPY GBP/JPY LONG 200 185.325 11/14 8:55 186.935 15.91%
Trade id #146353356
Max drawdown($9,370)
Time11/8/23 0:00
Quant open181
Worst price184.545
Drawdown as % of equity-15.91%
 $21,334
11/6/23 19:36 GBP/JPY GBP/JPY LONG 200 185.235 11/6 19:39 185.208 0.77%
Trade id #146352245
Max drawdown($465)
Time11/6/23 19:39
Quant open200
Worst price185.200
Drawdown as % of equity-0.77%
 ($360)
11/6/23 9:36 GBP/JPY GBP/JPY LONG 200 185.612 11/6 14:04 185.328 6.58%
Trade id #146345664
Max drawdown($4,033)
Time11/6/23 14:01
Quant open200
Worst price185.309
Drawdown as % of equity-6.58%
 ($3,790)
Next

Statistics

  • Strategy began
    10/20/2022
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    406.37
  • Age
    14 months ago
  • What it trades
    Options, Forex
  • # Trades
    172
  • # Profitable
    73
  • % Profitable
    42.40%
  • Avg trade duration
    2.6 days
  • Max peak-to-valley drawdown
    86.84%
  • drawdown period
    Aug 08, 2023 - Nov 02, 2023
  • Annual Return (Compounded)
    44.1%
  • Avg win
    $8,642
  • Avg loss
    $5,962
  • Model Account Values (Raw)
  • Cash
    $90,657
  • Margin Used
    $0
  • Buying Power
    $90,657
  • Ratios
  • W:L ratio
    1.07:1
  • Sharpe Ratio
    0.74
  • Sortino Ratio
    1.27
  • Calmar Ratio
    0.68
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    26.13%
  • Correlation to SP500
    0.11520
  • Return Percent SP500 (cumu) during strategy life
    24.61%
  • Return Statistics
  • Ann Return (w trading costs)
    44.1%
  • Slump
  • Current Slump as Pcnt Equity
    271.00%
  • Instruments
  • Percent Trades Futures
    0.07%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.28%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.441%
  • Instruments
  • Percent Trades Options
    0.33%
  • Percent Trades Stocks
    0.17%
  • Percent Trades Forex
    0.43%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    70.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    96.50%
  • Chance of 20% account loss
    92.00%
  • Chance of 30% account loss
    87.00%
  • Chance of 40% account loss
    78.50%
  • Chance of 60% account loss (Monte Carlo)
    58.50%
  • Chance of 70% account loss (Monte Carlo)
    45.00%
  • Chance of 80% account loss (Monte Carlo)
    27.50%
  • Chance of 90% account loss (Monte Carlo)
    7.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    68.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    869
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    282
  • Popularity (7 days, Percentile 1000 scale)
    617
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $5,962
  • Avg Win
    $8,643
  • Sum Trade PL (losers)
    $590,247.000
  • Age
  • Num Months filled monthly returns table
    14
  • Win / Loss
  • Sum Trade PL (winners)
    $630,924.000
  • # Winners
    73
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    -12
  • Win / Loss
  • # Losers
    99
  • % Winners
    42.4%
  • Frequency
  • Avg Position Time (mins)
    3712.97
  • Avg Position Time (hrs)
    61.88
  • Avg Trade Length
    2.6 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    14.80
  • Daily leverage (max)
    92.63
  • Regression
  • Alpha
    0.32
  • Beta
    1.15
  • Treynor Index
    0.33
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.07
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.04
  • MAE:Equity, average, winning trades
    0.05
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    45.956
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.491
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.165
  • Hold-and-Hope Ratio
    0.022
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.60379
  • SD
    2.82829
  • Sharpe ratio (Glass type estimate)
    0.92062
  • Sharpe ratio (Hedges UMVUE)
    0.86165
  • df
    12.00000
  • t
    0.95822
  • p
    0.36670
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01563
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.82035
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.05272
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77601
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.41623
  • Upside Potential Ratio
    5.34830
  • Upside part of mean
    4.07639
  • Downside part of mean
    -1.47259
  • Upside SD
    2.71440
  • Downside SD
    0.76218
  • N nonnegative terms
    6.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.18332
  • Mean of criterion
    2.60379
  • SD of predictor
    0.13908
  • SD of criterion
    2.82829
  • Covariance
    0.04284
  • r
    0.10891
  • b (slope, estimate of beta)
    2.21465
  • a (intercept, estimate of alpha)
    2.19781
  • Mean Square Error
    8.62294
  • DF error
    11.00000
  • t(b)
    0.36336
  • p(b)
    0.36161
  • t(a)
    0.72428
  • p(a)
    0.24201
  • Lowerbound of 95% confidence interval for beta
    -11.20010
  • Upperbound of 95% confidence interval for beta
    15.62940
  • Lowerbound of 95% confidence interval for alpha
    -4.48100
  • Upperbound of 95% confidence interval for alpha
    8.87663
  • Treynor index (mean / b)
    1.17571
  • Jensen alpha (a)
    2.19781
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54120
  • SD
    1.89669
  • Sharpe ratio (Glass type estimate)
    0.28534
  • Sharpe ratio (Hedges UMVUE)
    0.26706
  • df
    12.00000
  • t
    0.29699
  • p
    0.45729
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.60692
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16601
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.61904
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15316
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.48698
  • Upside Potential Ratio
    2.23613
  • Upside part of mean
    2.48514
  • Downside part of mean
    -1.94394
  • Upside SD
    1.45258
  • Downside SD
    1.11136
  • N nonnegative terms
    6.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.17290
  • Mean of criterion
    0.54120
  • SD of predictor
    0.13656
  • SD of criterion
    1.89669
  • Covariance
    0.07554
  • r
    0.29165
  • b (slope, estimate of beta)
    4.05074
  • a (intercept, estimate of alpha)
    -0.15917
  • Mean Square Error
    3.59066
  • DF error
    11.00000
  • t(b)
    1.01125
  • p(b)
    0.16681
  • t(a)
    -0.08171
  • p(a)
    0.53183
  • Lowerbound of 95% confidence interval for beta
    -4.76573
  • Upperbound of 95% confidence interval for beta
    12.86720
  • Lowerbound of 95% confidence interval for alpha
    -4.44636
  • Upperbound of 95% confidence interval for alpha
    4.12803
  • Treynor index (mean / b)
    0.13361
  • Jensen alpha (a)
    -0.15917
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.57493
  • Expected Shortfall on VaR
    0.65544
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.29844
  • Expected Shortfall on VaR
    0.53393
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.36018
  • Quartile 1
    0.84335
  • Median
    0.97639
  • Quartile 3
    1.26950
  • Maximum
    3.60108
  • Mean of quarter 1
    0.65721
  • Mean of quarter 2
    0.93072
  • Mean of quarter 3
    1.15038
  • Mean of quarter 4
    2.32631
  • Inter Quartile Range
    0.42615
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    2.80211
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.25850
  • VaR(95%) (moments method)
    0.36617
  • Expected Shortfall (moments method)
    0.38612
  • Extreme Value Index (regression method)
    0.24541
  • VaR(95%) (regression method)
    0.49997
  • Expected Shortfall (regression method)
    0.82080
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.02361
  • Quartile 1
    0.25965
  • Median
    0.49569
  • Quartile 3
    0.62221
  • Maximum
    0.74872
  • Mean of quarter 1
    0.02361
  • Mean of quarter 2
    0.49569
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.74872
  • Inter Quartile Range
    0.36255
  • 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)
    0.78692
  • Compounded annual return (geometric extrapolation)
    0.76670
  • Calmar ratio (compounded annual return / max draw down)
    1.02401
  • Compounded annual return / average of 25% largest draw downs
    1.02401
  • Compounded annual return / Expected Shortfall lognormal
    1.16975
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.33218
  • SD
    1.39243
  • Sharpe ratio (Glass type estimate)
    0.95673
  • Sharpe ratio (Hedges UMVUE)
    0.95424
  • df
    288.00000
  • t
    1.00482
  • p
    0.15791
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91189
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.82371
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91355
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.82203
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.61007
  • Upside Potential Ratio
    9.22998
  • Upside part of mean
    7.63692
  • Downside part of mean
    -6.30474
  • Upside SD
    1.11997
  • Downside SD
    0.82740
  • N nonnegative terms
    131.00000
  • N negative terms
    158.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    289.00000
  • Mean of predictor
    0.18376
  • Mean of criterion
    1.33218
  • SD of predictor
    0.15656
  • SD of criterion
    1.39243
  • Covariance
    0.02390
  • r
    0.10963
  • b (slope, estimate of beta)
    0.97508
  • a (intercept, estimate of alpha)
    1.15300
  • Mean Square Error
    1.92224
  • DF error
    287.00000
  • t(b)
    1.86859
  • p(b)
    0.03135
  • t(a)
    0.87113
  • p(a)
    0.19221
  • Lowerbound of 95% confidence interval for beta
    -0.05201
  • Upperbound of 95% confidence interval for beta
    2.00217
  • Lowerbound of 95% confidence interval for alpha
    -1.45214
  • Upperbound of 95% confidence interval for alpha
    3.75814
  • Treynor index (mean / b)
    1.36623
  • Jensen alpha (a)
    1.15300
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40809
  • SD
    1.35036
  • Sharpe ratio (Glass type estimate)
    0.30221
  • Sharpe ratio (Hedges UMVUE)
    0.30142
  • df
    288.00000
  • t
    0.31740
  • p
    0.37559
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.56434
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16832
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.56491
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16775
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.45390
  • Upside Potential Ratio
    7.89059
  • Upside part of mean
    7.09422
  • Downside part of mean
    -6.68613
  • Upside SD
    1.00473
  • Downside SD
    0.89907
  • N nonnegative terms
    131.00000
  • N negative terms
    158.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    289.00000
  • Mean of predictor
    0.17153
  • Mean of criterion
    0.40809
  • SD of predictor
    0.15598
  • SD of criterion
    1.35036
  • Covariance
    0.02121
  • r
    0.10069
  • b (slope, estimate of beta)
    0.87167
  • a (intercept, estimate of alpha)
    0.25857
  • Mean Square Error
    1.81129
  • DF error
    287.00000
  • t(b)
    1.71446
  • p(b)
    0.04376
  • t(a)
    0.20132
  • p(a)
    0.42030
  • Lowerbound of 95% confidence interval for beta
    -0.12904
  • Upperbound of 95% confidence interval for beta
    1.87238
  • Lowerbound of 95% confidence interval for alpha
    -2.26946
  • Upperbound of 95% confidence interval for alpha
    2.78660
  • Treynor index (mean / b)
    0.46817
  • Jensen alpha (a)
    0.25857
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12687
  • Expected Shortfall on VaR
    0.15638
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05845
  • Expected Shortfall on VaR
    0.11506
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    289.00000
  • Minimum
    0.70662
  • Quartile 1
    0.96972
  • Median
    1.00000
  • Quartile 3
    1.02585
  • Maximum
    1.49887
  • Mean of quarter 1
    0.91377
  • Mean of quarter 2
    0.99107
  • Mean of quarter 3
    1.00801
  • Mean of quarter 4
    1.10918
  • Inter Quartile Range
    0.05613
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.06574
  • Mean of outliers low
    0.84168
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.07958
  • Mean of outliers high
    1.20868
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13743
  • VaR(95%) (moments method)
    0.07891
  • Expected Shortfall (moments method)
    0.11804
  • Extreme Value Index (regression method)
    0.14907
  • VaR(95%) (regression method)
    0.08306
  • Expected Shortfall (regression method)
    0.12624
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00171
  • Quartile 1
    0.04749
  • Median
    0.11967
  • Quartile 3
    0.25152
  • Maximum
    0.80321
  • Mean of quarter 1
    0.01662
  • Mean of quarter 2
    0.07499
  • Mean of quarter 3
    0.16884
  • Mean of quarter 4
    0.46126
  • Inter Quartile Range
    0.20403
  • 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
    0.06250
  • Mean of outliers high
    0.80321
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.24940
  • VaR(95%) (moments method)
    0.51164
  • Expected Shortfall (moments method)
    0.79565
  • Extreme Value Index (regression method)
    3.69785
  • VaR(95%) (regression method)
    0.60440
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.55988
  • Compounded annual return (geometric extrapolation)
    0.54651
  • Calmar ratio (compounded annual return / max draw down)
    0.68040
  • Compounded annual return / average of 25% largest draw downs
    1.18481
  • Compounded annual return / Expected Shortfall lognormal
    3.49474
  • 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
    0.86805
  • SD
    1.60866
  • Sharpe ratio (Glass type estimate)
    0.53961
  • Sharpe ratio (Hedges UMVUE)
    0.53649
  • df
    130.00000
  • t
    0.38156
  • p
    0.48328
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.23394
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.31123
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.23608
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30906
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.80448
  • Upside Potential Ratio
    9.47561
  • Upside part of mean
    10.22440
  • Downside part of mean
    -9.35633
  • Upside SD
    1.18602
  • Downside SD
    1.07902
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14442
  • Mean of criterion
    0.86805
  • SD of predictor
    0.11892
  • SD of criterion
    1.60866
  • Covariance
    0.03127
  • r
    0.16345
  • b (slope, estimate of beta)
    2.21112
  • a (intercept, estimate of alpha)
    0.54871
  • Mean Square Error
    2.53819
  • DF error
    129.00000
  • t(b)
    1.88174
  • p(b)
    0.39641
  • t(a)
    0.24285
  • p(a)
    0.48639
  • Lowerbound of 95% confidence interval for beta
    -0.11373
  • Upperbound of 95% confidence interval for beta
    4.53598
  • Lowerbound of 95% confidence interval for alpha
    -3.92170
  • Upperbound of 95% confidence interval for alpha
    5.01912
  • Treynor index (mean / b)
    0.39258
  • Jensen alpha (a)
    0.54871
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.41736
  • SD
    1.61425
  • Sharpe ratio (Glass type estimate)
    -0.25855
  • Sharpe ratio (Hedges UMVUE)
    -0.25705
  • df
    130.00000
  • t
    -0.18282
  • p
    0.50802
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.03005
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51392
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.02904
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.51493
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.35313
  • Upside Potential Ratio
    8.11814
  • Upside part of mean
    9.59466
  • Downside part of mean
    -10.01200
  • Upside SD
    1.09074
  • Downside SD
    1.18188
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13736
  • Mean of criterion
    -0.41736
  • SD of predictor
    0.11885
  • SD of criterion
    1.61425
  • Covariance
    0.02885
  • r
    0.15038
  • b (slope, estimate of beta)
    2.04245
  • a (intercept, estimate of alpha)
    -0.69791
  • Mean Square Error
    2.56660
  • DF error
    129.00000
  • t(b)
    1.72766
  • p(b)
    0.40463
  • t(a)
    -0.30725
  • p(a)
    0.51721
  • VAR (95 Confidence Intrvl)
    0.12700
  • Lowerbound of 95% confidence interval for beta
    -0.29658
  • Upperbound of 95% confidence interval for beta
    4.38147
  • Lowerbound of 95% confidence interval for alpha
    -5.19207
  • Upperbound of 95% confidence interval for alpha
    3.79625
  • Treynor index (mean / b)
    -0.20434
  • Jensen alpha (a)
    -0.69791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15264
  • Expected Shortfall on VaR
    0.18668
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08408
  • Expected Shortfall on VaR
    0.15561
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.70662
  • Quartile 1
    0.94007
  • Median
    1.00000
  • Quartile 3
    1.06328
  • Maximum
    1.29929
  • Mean of quarter 1
    0.88158
  • Mean of quarter 2
    0.97687
  • Mean of quarter 3
    1.02739
  • Mean of quarter 4
    1.12857
  • Inter Quartile Range
    0.12320
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.70662
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.29563
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.09374
  • VaR(95%) (moments method)
    0.11930
  • Expected Shortfall (moments method)
    0.15100
  • Extreme Value Index (regression method)
    0.13775
  • VaR(95%) (regression method)
    0.12132
  • Expected Shortfall (regression method)
    0.17059
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.05046
  • Quartile 1
    0.06794
  • Median
    0.12975
  • Quartile 3
    0.19435
  • Maximum
    0.80321
  • Mean of quarter 1
    0.05590
  • Mean of quarter 2
    0.09453
  • Mean of quarter 3
    0.15459
  • Mean of quarter 4
    0.53741
  • Inter Quartile Range
    0.12641
  • 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
    0.12500
  • Mean of outliers high
    0.80321
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -333319000
  • Max Equity Drawdown (num days)
    86
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.35388
  • Compounded annual return (geometric extrapolation)
    -0.32257
  • Calmar ratio (compounded annual return / max draw down)
    -0.40160
  • Compounded annual return / average of 25% largest draw downs
    -0.60024
  • Compounded annual return / Expected Shortfall lognormal
    -1.72795

Strategy Description

This strategy is differs from High Frequency Options in that it primarily uses very large order flow from Sierra charts DOM/Footprint and TOS by think or swim and Metatrader4 software to determine trade executions for those who can only trade equity based only trades. Some trades will be day trades and others are swing trades. Members will be notified of order flow profit targets/trade sequences via broadcast messages so they can follow along. I typically release a market recap end of day on my twitter profile so you can watch the video analysis. This strategy does not trade options. Equity trades only.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-10-20
Suggested Minimum Capital
$60,000
# Trades
172
# Profitable
73
% Profitable
42.4%
Net Dividends
($12)
Correlation S&P500
0.115
Sharpe Ratio
0.74
Sortino Ratio
1.27
Beta
1.15
Alpha
0.32
Leverage
14.80 Average
92.63 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.