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

Steadily Growing
(148164805)

Created by: DisciplinedTrader DisciplinedTrader
Started: 05/2024
Stocks
Last trade: 54 days ago

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 $150.00 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.

9.8%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(10.2%)
Max Drawdown
171
Num Trades
62.6%
Win Trades
1.5 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                            (0.8%)+1.6%+11.0%(1.3%)(1.5%)+0.9%            +9.8%

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/6/24 11:02 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 58.45 9/6 11:39 57.44 0.47%
Trade id #149302432
Max drawdown($247)
Time9/6/24 11:19
Quant open200
Worst price57.21
Drawdown as % of equity-0.47%
 ($206)
Includes Typical Broker Commissions trade costs of $4.00
9/5/24 14:04 TQQQ PROSHARES ULTRAPRO QQQ LONG 400 62.34 9/5 15:56 61.68 0.8%
Trade id #149265424
Max drawdown($427)
Time9/5/24 15:51
Quant open400
Worst price61.27
Drawdown as % of equity-0.80%
 ($272)
Includes Typical Broker Commissions trade costs of $8.00
8/30/24 15:28 TQQQ PROSHARES ULTRAPRO QQQ LONG 400 68.13 8/30 15:43 67.79 0.26%
Trade id #149147223
Max drawdown($146)
Time8/30/24 15:43
Quant open400
Worst price67.77
Drawdown as % of equity-0.26%
 ($144)
Includes Typical Broker Commissions trade costs of $8.00
8/30/24 14:00 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,000 8.42 8/30 15:28 8.26 0.61%
Trade id #149145745
Max drawdown($340)
Time8/30/24 15:28
Quant open2,000
Worst price8.25
Drawdown as % of equity-0.61%
 ($325)
Includes Typical Broker Commissions trade costs of $5.00
8/30/24 13:17 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,000 8.38 8/30 13:51 8.39 0.1%
Trade id #149142198
Max drawdown($56)
Time8/30/24 13:36
Quant open2,000
Worst price8.35
Drawdown as % of equity-0.10%
 $15
Includes Typical Broker Commissions trade costs of $5.00
8/30/24 11:23 QQQ POWERSHARES QQQ LONG 30 472.54 8/30 13:16 473.03 0.11%
Trade id #149136096
Max drawdown($60)
Time8/30/24 12:37
Quant open30
Worst price470.51
Drawdown as % of equity-0.11%
 $14
Includes Typical Broker Commissions trade costs of $0.60
8/28/24 12:46 GLL PROSHARES ULTRASHORT GOLD LONG 5,000 19.00 8/30 13:03 18.97 1.41%
Trade id #149084767
Max drawdown($782)
Time8/29/24 0:00
Quant open2,000
Worst price18.60
Drawdown as % of equity-1.41%
 ($123)
Includes Typical Broker Commissions trade costs of $12.50
8/29/24 9:39 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,000 8.25 8/29 14:28 8.31 0.58%
Trade id #149094891
Max drawdown($320)
Time8/29/24 10:50
Quant open2,000
Worst price8.09
Drawdown as % of equity-0.58%
 $115
Includes Typical Broker Commissions trade costs of $5.00
8/29/24 9:38 SQQQ PROSHARES ULTRAPRO SHORT QQQ SHORT 3,000 8.20 8/29 9:38 8.22 0.11%
Trade id #149094878
Max drawdown($60)
Time8/29/24 9:38
Quant open3,000
Worst price8.22
Drawdown as % of equity-0.11%
 ($65)
Includes Typical Broker Commissions trade costs of $5.00
8/28/24 14:02 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 300 52.15 8/29 9:33 52.65 0.03%
Trade id #149085740
Max drawdown($17)
Time8/28/24 14:49
Quant open100
Worst price51.73
Drawdown as % of equity-0.03%
 $146
Includes Typical Broker Commissions trade costs of $6.00
8/28/24 15:51 TQQQ PROSHARES ULTRAPRO QQQ SHORT 200 67.18 8/28 15:52 67.26 0.03%
Trade id #149086898
Max drawdown($16)
Time8/28/24 15:52
Quant open200
Worst price67.26
Drawdown as % of equity-0.03%
 ($20)
Includes Typical Broker Commissions trade costs of $4.00
8/28/24 15:11 TQQQ PROSHARES ULTRAPRO QQQ LONG 400 66.77 8/28 15:51 67.03 0.16%
Trade id #149086686
Max drawdown($88)
Time8/28/24 15:14
Quant open400
Worst price66.55
Drawdown as % of equity-0.16%
 $98
Includes Typical Broker Commissions trade costs of $8.00
8/28/24 15:29 NVDU DIREXION DAILY NVDA BULL 1.5X SHARES LONG 200 105.72 8/28 15:51 106.12 0.16%
Trade id #149086769
Max drawdown($88)
Time8/28/24 15:41
Quant open200
Worst price105.28
Drawdown as % of equity-0.16%
 $76
Includes Typical Broker Commissions trade costs of $4.00
8/28/24 14:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 66.32 8/28 14:56 66.41 n/a $14
Includes Typical Broker Commissions trade costs of $4.00
8/28/24 14:02 QQQ POWERSHARES QQQ LONG 60 469.33 8/28 14:56 470.70 0.01%
Trade id #149085746
Max drawdown($4)
Time8/28/24 14:05
Quant open30
Worst price468.31
Drawdown as % of equity-0.01%
 $81
Includes Typical Broker Commissions trade costs of $1.20
8/28/24 10:06 GLL PROSHARES ULTRASHORT GOLD LONG 400 18.94 8/28 12:36 18.98 0.07%
Trade id #149081129
Max drawdown($36)
Time8/28/24 11:48
Quant open400
Worst price18.85
Drawdown as % of equity-0.07%
 $8
Includes Typical Broker Commissions trade costs of $8.00
8/28/24 10:07 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 900 7.22 8/28 10:52 7.25 0.05%
Trade id #149081156
Max drawdown($27)
Time8/28/24 10:26
Quant open900
Worst price7.19
Drawdown as % of equity-0.05%
 $22
Includes Typical Broker Commissions trade costs of $5.00
8/27/24 15:15 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,000 7.19 8/28 9:38 7.20 0.05%
Trade id #149076103
Max drawdown($30)
Time8/27/24 15:59
Quant open1,000
Worst price7.16
Drawdown as % of equity-0.05%
 $5
Includes Typical Broker Commissions trade costs of $5.00
8/27/24 15:14 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,000 8.16 8/28 9:38 8.20 0.05%
Trade id #149076100
Max drawdown($30)
Time8/27/24 15:48
Quant open1,000
Worst price8.13
Drawdown as % of equity-0.05%
 $35
Includes Typical Broker Commissions trade costs of $5.00
8/23/24 15:19 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 70.48 8/23 15:32 70.51 0.04%
Trade id #149025128
Max drawdown($21)
Time8/23/24 15:22
Quant open300
Worst price70.41
Drawdown as % of equity-0.04%
 $3
Includes Typical Broker Commissions trade costs of $6.00
8/15/24 12:14 TSLZ T-REX -2X TESLA DAILY TARGET ETF LONG 100 17.07 8/23 10:24 15.66 0.4%
Trade id #148928360
Max drawdown($224)
Time8/20/24 0:00
Quant open100
Worst price14.83
Drawdown as % of equity-0.40%
 ($143)
Includes Typical Broker Commissions trade costs of $2.00
8/15/24 13:15 GLL PROSHARES ULTRASHORT GOLD LONG 1,300 19.60 8/23 10:24 19.39 0.6%
Trade id #148929447
Max drawdown($331)
Time8/20/24 0:00
Quant open300
Worst price18.49
Drawdown as % of equity-0.60%
 ($282)
Includes Typical Broker Commissions trade costs of $11.00
8/23/24 10:17 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,000 7.96 8/23 10:23 7.89 0.29%
Trade id #149017461
Max drawdown($159)
Time8/23/24 10:23
Quant open2,000
Worst price7.88
Drawdown as % of equity-0.29%
 ($145)
Includes Typical Broker Commissions trade costs of $5.00
8/15/24 9:32 F FORD MOTOR LONG 200 10.46 8/23 10:11 11.01 0.03%
Trade id #148924715
Max drawdown($18)
Time8/16/24 0:00
Quant open200
Worst price10.37
Drawdown as % of equity-0.03%
 $106
Includes Typical Broker Commissions trade costs of $4.00
8/16/24 9:54 SCO PROSHARES ULTRASHORT BLOOMBERG LONG 600 16.93 8/16 14:17 16.90 0.04%
Trade id #148936821
Max drawdown($24)
Time8/16/24 14:17
Quant open600
Worst price16.89
Drawdown as % of equity-0.04%
 ($27)
Includes Typical Broker Commissions trade costs of $8.50
8/16/24 13:00 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 400 53.67 8/16 14:17 53.12 0.47%
Trade id #148940138
Max drawdown($264)
Time8/16/24 14:08
Quant open400
Worst price53.01
Drawdown as % of equity-0.47%
 ($228)
Includes Typical Broker Commissions trade costs of $8.00
8/15/24 9:34 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 600 7.58 8/16 12:58 7.41 0.18%
Trade id #148924785
Max drawdown($98)
Time8/16/24 12:58
Quant open600
Worst price7.41
Drawdown as % of equity-0.18%
 ($108)
Includes Typical Broker Commissions trade costs of $8.50
8/15/24 10:06 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 600 8.39 8/16 12:58 8.17 0.24%
Trade id #148925475
Max drawdown($132)
Time8/16/24 12:58
Quant open600
Worst price8.17
Drawdown as % of equity-0.24%
 ($141)
Includes Typical Broker Commissions trade costs of $8.50
8/1/24 11:28 AMZN AMAZON.COM LONG 100 186.61 8/15 11:48 182.50 1.89%
Trade id #148796834
Max drawdown($1,050)
Time8/5/24 0:00
Quant open30
Worst price151.61
Drawdown as % of equity-1.89%
 ($413)
Includes Typical Broker Commissions trade costs of $2.00
8/15/24 9:32 RIVN RIVIAN AUTOMOTIVE INC. CLASS A LONG 100 13.10 8/15 10:04 13.65 n/a $53
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    5/14/2024
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    166.98
  • Age
    169 days ago
  • What it trades
    Stocks
  • # Trades
    171
  • # Profitable
    107
  • % Profitable
    62.60%
  • Avg trade duration
    5.4 days
  • Max peak-to-valley drawdown
    10.23%
  • drawdown period
    July 23, 2024 - Sept 10, 2024
  • Cumul. Return
    9.8%
  • Avg win
    $210.79
  • Avg loss
    $241.00
  • Model Account Values (Raw)
  • Cash
    $28,908
  • Margin Used
    ($21,248)
  • Buying Power
    $51,040
  • Ratios
  • W:L ratio
    1.49:1
  • Sharpe Ratio
    0.96
  • Sortino Ratio
    1.96
  • Calmar Ratio
    4.241
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -1.51%
  • Correlation to SP500
    0.24410
  • Return Percent SP500 (cumu) during strategy life
    11.30%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    22.2%
  • Slump
  • Current Slump as Pcnt Equity
    5.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.58%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.098%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    30.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    15.00%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    n/a
  • 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)
    0
  • Popularity (Last 6 weeks)
    453
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    944
  • Popularity (7 days, Percentile 1000 scale)
    365
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $253
  • Avg Win
    $211
  • Sum Trade PL (losers)
    $16,179.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $22,530.000
  • # Winners
    107
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    193
  • Win / Loss
  • # Losers
    64
  • % Winners
    62.6%
  • Frequency
  • Avg Position Time (mins)
    7733.20
  • Avg Position Time (hrs)
    128.89
  • Avg Trade Length
    5.4 days
  • Last Trade Ago
    52
  • Leverage
  • Daily leverage (average)
    1.13
  • Daily leverage (max)
    3.82
  • Regression
  • Alpha
    0.04
  • Beta
    0.38
  • Treynor Index
    0.17
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.39
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    5.341
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.579
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.461
  • Hold-and-Hope Ratio
    0.161
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30748
  • SD
    0.13301
  • Sharpe ratio (Glass type estimate)
    2.31171
  • Sharpe ratio (Hedges UMVUE)
    1.84447
  • df
    4.00000
  • t
    1.49220
  • p
    0.10496
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20278
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.61171
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.44993
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.13888
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.28497
  • Upside Potential Ratio
    6.83416
  • Upside part of mean
    0.39762
  • Downside part of mean
    -0.09013
  • Upside SD
    0.13656
  • Downside SD
    0.05818
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.27494
  • Mean of criterion
    0.30748
  • SD of predictor
    0.10841
  • SD of criterion
    0.13301
  • Covariance
    -0.00090
  • r
    -0.06243
  • b (slope, estimate of beta)
    -0.07660
  • a (intercept, estimate of alpha)
    0.32855
  • Mean Square Error
    0.02350
  • DF error
    3.00000
  • t(b)
    -0.10835
  • p(b)
    0.53972
  • t(a)
    1.07056
  • p(a)
    0.18142
  • Lowerbound of 95% confidence interval for beta
    -2.32664
  • Upperbound of 95% confidence interval for beta
    2.17344
  • Lowerbound of 95% confidence interval for alpha
    -0.64812
  • Upperbound of 95% confidence interval for alpha
    1.30521
  • Treynor index (mean / b)
    -4.01395
  • Jensen alpha (a)
    0.32855
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29674
  • SD
    0.13182
  • Sharpe ratio (Glass type estimate)
    2.25107
  • Sharpe ratio (Hedges UMVUE)
    1.79610
  • df
    4.00000
  • t
    1.45306
  • p
    0.10993
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24374
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.53443
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48545
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.07764
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.00384
  • Upside Potential Ratio
    6.55304
  • Upside part of mean
    0.38860
  • Downside part of mean
    -0.09187
  • Upside SD
    0.13312
  • Downside SD
    0.05930
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.26724
  • Mean of criterion
    0.29674
  • SD of predictor
    0.10789
  • SD of criterion
    0.13182
  • Covariance
    -0.00097
  • r
    -0.06847
  • b (slope, estimate of beta)
    -0.08365
  • a (intercept, estimate of alpha)
    0.31909
  • Mean Square Error
    0.02306
  • DF error
    3.00000
  • t(b)
    -0.11886
  • p(b)
    0.54355
  • t(a)
    1.05945
  • p(a)
    0.18357
  • Lowerbound of 95% confidence interval for beta
    -2.32320
  • Upperbound of 95% confidence interval for beta
    2.15591
  • Lowerbound of 95% confidence interval for alpha
    -0.63941
  • Upperbound of 95% confidence interval for alpha
    1.27759
  • Treynor index (mean / b)
    -3.54743
  • Jensen alpha (a)
    0.31909
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03716
  • Expected Shortfall on VaR
    0.05225
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00854
  • Expected Shortfall on VaR
    0.02117
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.96244
  • Quartile 1
    1.02455
  • Median
    1.03431
  • Quartile 3
    1.04147
  • Maximum
    1.06535
  • Mean of quarter 1
    0.99350
  • Mean of quarter 2
    1.03431
  • Mean of quarter 3
    1.04147
  • Mean of quarter 4
    1.06535
  • Inter Quartile Range
    0.01692
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.96244
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.03756
  • Quartile 1
    0.03756
  • Median
    0.03756
  • Quartile 3
    0.03756
  • Maximum
    0.03756
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31586
  • Compounded annual return (geometric extrapolation)
    0.34546
  • Calmar ratio (compounded annual return / max draw down)
    9.19862
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    6.61158
  • 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
    0.33309
  • SD
    0.20071
  • Sharpe ratio (Glass type estimate)
    1.65958
  • Sharpe ratio (Hedges UMVUE)
    1.64813
  • df
    109.00000
  • t
    1.07533
  • p
    0.43489
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.37702
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.68869
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.38461
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.68087
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.37845
  • Upside Potential Ratio
    11.35520
  • Upside part of mean
    1.11955
  • Downside part of mean
    -0.78646
  • Upside SD
    0.17499
  • Downside SD
    0.09859
  • N nonnegative terms
    53.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    110.00000
  • Mean of predictor
    0.26364
  • Mean of criterion
    0.33309
  • SD of predictor
    0.13587
  • SD of criterion
    0.20071
  • Covariance
    0.00638
  • r
    0.23405
  • b (slope, estimate of beta)
    0.34573
  • a (intercept, estimate of alpha)
    0.24200
  • Mean Square Error
    0.03843
  • DF error
    108.00000
  • t(b)
    2.50183
  • p(b)
    0.38297
  • t(a)
    0.79396
  • p(a)
    0.46191
  • Lowerbound of 95% confidence interval for beta
    0.07181
  • Upperbound of 95% confidence interval for beta
    0.61966
  • Lowerbound of 95% confidence interval for alpha
    -0.36208
  • Upperbound of 95% confidence interval for alpha
    0.84597
  • Treynor index (mean / b)
    0.96344
  • Jensen alpha (a)
    0.24194
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31331
  • SD
    0.19791
  • Sharpe ratio (Glass type estimate)
    1.58307
  • Sharpe ratio (Hedges UMVUE)
    1.57215
  • df
    109.00000
  • t
    1.02576
  • p
    0.43785
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.45266
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.61160
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.45988
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.60418
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.15018
  • Upside Potential Ratio
    11.10700
  • Upside part of mean
    1.10468
  • Downside part of mean
    -0.79137
  • Upside SD
    0.17116
  • Downside SD
    0.09946
  • N nonnegative terms
    53.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    110.00000
  • Mean of predictor
    0.25434
  • Mean of criterion
    0.31331
  • SD of predictor
    0.13613
  • SD of criterion
    0.19791
  • Covariance
    0.00636
  • r
    0.23611
  • b (slope, estimate of beta)
    0.34328
  • a (intercept, estimate of alpha)
    0.22600
  • Mean Square Error
    0.03733
  • DF error
    108.00000
  • t(b)
    2.52508
  • p(b)
    0.38195
  • t(a)
    0.75289
  • p(a)
    0.46387
  • Lowerbound of 95% confidence interval for beta
    0.07381
  • Upperbound of 95% confidence interval for beta
    0.61275
  • Lowerbound of 95% confidence interval for alpha
    -0.36900
  • Upperbound of 95% confidence interval for alpha
    0.82100
  • Treynor index (mean / b)
    0.91271
  • Jensen alpha (a)
    0.22600
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01874
  • Expected Shortfall on VaR
    0.02373
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00708
  • Expected Shortfall on VaR
    0.01372
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    110.00000
  • Minimum
    0.97272
  • Quartile 1
    0.99574
  • Median
    0.99982
  • Quartile 3
    1.00388
  • Maximum
    1.06327
  • Mean of quarter 1
    0.98982
  • Mean of quarter 2
    0.99834
  • Mean of quarter 3
    1.00177
  • Mean of quarter 4
    1.01507
  • Inter Quartile Range
    0.00814
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.05455
  • Mean of outliers low
    0.97916
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.05455
  • Mean of outliers high
    1.03917
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31057
  • VaR(95%) (moments method)
    0.01077
  • Expected Shortfall (moments method)
    0.01821
  • Extreme Value Index (regression method)
    0.14235
  • VaR(95%) (regression method)
    0.00934
  • Expected Shortfall (regression method)
    0.01337
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00018
  • Quartile 1
    0.00227
  • Median
    0.00687
  • Quartile 3
    0.04428
  • Maximum
    0.08675
  • Mean of quarter 1
    0.00029
  • Mean of quarter 2
    0.00550
  • Mean of quarter 3
    0.03874
  • Mean of quarter 4
    0.06829
  • Inter Quartile Range
    0.04200
  • 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)
    0.33485
  • Compounded annual return (geometric extrapolation)
    0.36795
  • Calmar ratio (compounded annual return / max draw down)
    4.24121
  • Compounded annual return / average of 25% largest draw downs
    5.38835
  • Compounded annual return / Expected Shortfall lognormal
    15.50630
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.01900
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -349609000
  • Max Equity Drawdown (num days)
    49

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2024-05-14
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 5.6%
Rank # 
#285
# Trades
171
# Profitable
107
% Profitable
62.6%
Net Dividends
$192
Correlation S&P500
0.244
Sharpe Ratio
0.96
Sortino Ratio
1.96
Beta
0.38
Alpha
0.04
Leverage
1.13 Average
3.82 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.