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Quant Models Volatility
(109610406)

Created by: QuantitativeModels QuantitativeModels
Started: 02/2017
Stocks, Options
Last trade: 29 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 $77.00 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.

198.6%
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.

(23.9%)
Max Drawdown
129
Num Trades
51.2%
Win Trades
2.4 : 1
Profit Factor
44.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Standard commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017       (6.9%)+467.3%+154.0%+7.8%  -  +7.0%(15.1%)+3.2%+2.1%(6.5%)+10.3%+1325.4%
2018  -    -  (2.2%)(0.3%)(1.8%)(1.5%)(0.8%)+0.8%+1.0%(4.8%)(0.3%)(1.4%)(10.9%)
2019+2.4%+4.4%+1.4%+5.0%(7.7%)(0.2%)                                    +4.7%

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 206 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/27/19 11:20 SQQQ PROSHARES ULTRAPRO SHORT QQQ SHORT 1,000 10.50 4/3 11:28 9.38 0.61%
Trade id #123098753
Max drawdown($200)
Time3/27/19 11:46
Quant open-1,000
Worst price10.70
Drawdown as % of equity-0.61%
$1,120
Includes Typical Broker Commissions trade costs of $5.00
2/20/19 15:16 SQQQ PROSHARES ULTRAPRO SHORT QQQ SHORT 1,400 11.52 3/27 11:19 10.96 1.94%
Trade id #122607877
Max drawdown($625)
Time3/8/19 9:09
Quant open-800
Worst price12.32
Drawdown as % of equity-1.94%
$764
Includes Typical Broker Commissions trade costs of $15.00
1/11/19 13:29 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 400 45.78 3/7 10:27 50.40 2.23%
Trade id #121926698
Max drawdown($676)
Time1/23/19 12:19
Quant open400
Worst price44.09
Drawdown as % of equity-2.23%
$1,841
Includes Typical Broker Commissions trade costs of $8.00
1/2/19 14:43 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 400 42.66 1/3 13:16 42.12 1.55%
Trade id #121750983
Max drawdown($468)
Time1/3/19 10:51
Quant open400
Worst price41.49
Drawdown as % of equity-1.55%
($224)
Includes Typical Broker Commissions trade costs of $8.00
12/13/18 15:52 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 200 46.66 12/19 10:18 45.07 1.8%
Trade id #121490373
Max drawdown($550)
Time12/18/18 15:10
Quant open200
Worst price43.91
Drawdown as % of equity-1.80%
($322)
Includes Typical Broker Commissions trade costs of $4.00
10/25/18 15:37 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 200 48.69 10/26 10:21 46.55 1.55%
Trade id #120546860
Max drawdown($480)
Time10/26/18 10:09
Quant open200
Worst price46.29
Drawdown as % of equity-1.55%
($432)
Includes Typical Broker Commissions trade costs of $4.00
10/12/18 15:04 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 200 50.11 10/16 14:56 52.60 0.04%
Trade id #120331308
Max drawdown($9)
Time10/12/18 15:04
Quant open200
Worst price50.06
Drawdown as % of equity-0.04%
$494
Includes Typical Broker Commissions trade costs of $4.00
10/1/18 14:19 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 400 59.59 10/5 13:57 56.15 5.4%
Trade id #120122058
Max drawdown($1,667)
Time10/5/18 13:37
Quant open400
Worst price55.42
Drawdown as % of equity-5.40%
($1,383)
Includes Typical Broker Commissions trade costs of $8.00
9/21/18 14:58 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 400 59.05 9/24 11:23 58.58 0.99%
Trade id #119983078
Max drawdown($320)
Time9/24/18 10:50
Quant open400
Worst price58.25
Drawdown as % of equity-0.99%
($196)
Includes Typical Broker Commissions trade costs of $8.00
9/18/18 15:14 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 500 57.63 9/20 15:59 59.02 0.44%
Trade id #119916726
Max drawdown($140)
Time9/18/18 16:01
Quant open500
Worst price57.35
Drawdown as % of equity-0.44%
$685
Includes Typical Broker Commissions trade costs of $10.00
9/17/18 15:33 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 300 27.94 9/18 14:14 27.82 0.44%
Trade id #119896652
Max drawdown($141)
Time9/18/18 9:36
Quant open300
Worst price27.47
Drawdown as % of equity-0.44%
($42)
Includes Typical Broker Commissions trade costs of $6.00
9/14/18 14:33 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 500 14.55 9/17 15:31 14.41 0.24%
Trade id #119871437
Max drawdown($75)
Time9/17/18 15:23
Quant open500
Worst price14.40
Drawdown as % of equity-0.24%
($80)
Includes Typical Broker Commissions trade costs of $10.00
8/28/18 15:48 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,000 14.23 8/29 15:56 14.26 0.19%
Trade id #119633543
Max drawdown($61)
Time8/29/18 10:05
Quant open1,000
Worst price14.16
Drawdown as % of equity-0.19%
$28
Includes Typical Broker Commissions trade costs of $5.00
8/23/18 15:53 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,400 14.19 8/24 14:59 14.26 0.13%
Trade id #119576212
Max drawdown($42)
Time8/23/18 16:15
Quant open1,400
Worst price14.16
Drawdown as % of equity-0.13%
$93
Includes Typical Broker Commissions trade costs of $5.00
8/16/18 15:58 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,000 13.91 8/17 15:54 14.09 0.44%
Trade id #119477073
Max drawdown($140)
Time8/17/18 8:27
Quant open1,000
Worst price13.77
Drawdown as % of equity-0.44%
$175
Includes Typical Broker Commissions trade costs of $5.00
7/20/18 12:08 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,200 13.84 7/27 15:43 13.71 1.09%
Trade id #119038673
Max drawdown($347)
Time7/27/18 13:03
Quant open1,200
Worst price13.55
Drawdown as % of equity-1.09%
($160)
Includes Typical Broker Commissions trade costs of $5.00
6/15/18 15:58 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,500 13.93 6/19 15:59 13.68 2.78%
Trade id #118463986
Max drawdown($897)
Time6/19/18 4:36
Quant open1,500
Worst price13.33
Drawdown as % of equity-2.78%
($377)
Includes Typical Broker Commissions trade costs of $5.00
5/14/18 15:59 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 800 13.47 5/15 15:57 12.97 1.42%
Trade id #117926901
Max drawdown($455)
Time5/15/18 15:25
Quant open800
Worst price12.90
Drawdown as % of equity-1.42%
($404)
Includes Typical Broker Commissions trade costs of $5.00
5/4/18 15:54 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 700 12.50 5/7 15:59 12.57 0.02%
Trade id #117806750
Max drawdown($7)
Time5/4/18 15:56
Quant open700
Worst price12.49
Drawdown as % of equity-0.02%
$44
Includes Typical Broker Commissions trade costs of $5.00
4/27/18 13:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,100 12.37 5/3 9:36 12.30 0.22%
Trade id #117699576
Max drawdown($73)
Time5/3/18 9:36
Quant open0
Worst price12.30
Drawdown as % of equity-0.22%
($83)
Includes Typical Broker Commissions trade costs of $10.00
3/27/18 10:17 VXX1820D75 VXX Apr20'18 75 call LONG 1 0.64 4/21 9:35 0.00 0.2%
Trade id #117253353
Max drawdown($64)
Time4/21/18 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.20%
($65)
Includes Typical Broker Commissions trade costs of $1.00
3/26/18 15:59 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 700 11.82 3/27 15:51 11.41 1.12%
Trade id #117240286
Max drawdown($364)
Time3/27/18 15:46
Quant open700
Worst price11.30
Drawdown as % of equity-1.12%
($292)
Includes Typical Broker Commissions trade costs of $5.00
3/8/18 11:31 VXX1816C60 VXX Mar16'18 60 call LONG 2 0.13 3/17 9:35 0.00 0.08%
Trade id #116932596
Max drawdown($26)
Time3/17/18 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.08%
($27)
Includes Typical Broker Commissions trade costs of $1.40
3/7/18 15:59 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,400 12.79 3/13 15:53 12.83 0.11%
Trade id #116914464
Max drawdown($37)
Time3/7/18 18:27
Quant open700
Worst price12.36
Drawdown as % of equity-0.11%
$46
Includes Typical Broker Commissions trade costs of $10.00
2/20/18 14:37 VXX1802C75 VXX Mar2'18 75 call LONG 3 0.18 3/3 9:35 0.00 0.16%
Trade id #116621660
Max drawdown($54)
Time3/3/18 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.16%
($56)
Includes Typical Broker Commissions trade costs of $2.10
2/28/18 15:59 VMIN REX INVERSE VIX WEEKLY FUT STRAT LONG 1,500 2.82 3/1 10:02 2.66 0.75%
Trade id #116785423
Max drawdown($249)
Time2/28/18 17:05
Quant open1,500
Worst price2.65
Drawdown as % of equity-0.75%
($240)
Includes Typical Broker Commissions trade costs of $5.00
2/28/18 15:59 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 600 12.30 3/1 10:01 12.17 0.4%
Trade id #116785387
Max drawdown($132)
Time3/1/18 6:52
Quant open600
Worst price12.08
Drawdown as % of equity-0.40%
($83)
Includes Typical Broker Commissions trade costs of $5.00
12/20/17 12:00 VIX1816E25 VIX May16'18 25 call LONG 8 1.05 2/28/18 10:36 2.02 0.57%
Trade id #115446477
Max drawdown($200)
Time1/12/18 9:39
Quant open8
Worst price0.80
Drawdown as % of equity-0.57%
$767
Includes Typical Broker Commissions trade costs of $11.20
2/20/18 14:01 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,100 12.48 2/26 15:58 13.65 0.74%
Trade id #116620693
Max drawdown($236)
Time2/22/18 4:02
Quant open700
Worst price11.75
Drawdown as % of equity-0.74%
$1,280
Includes Typical Broker Commissions trade costs of $10.00
2/9/18 10:49 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 36 53.03 2/12 9:35 48.26 0.67%
Trade id #116417759
Max drawdown($219)
Time2/12/18 4:07
Quant open36
Worst price46.94
Drawdown as % of equity-0.67%
($173)
Includes Typical Broker Commissions trade costs of $0.72

Statistics

  • Strategy began
    2/16/2017
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    860.08
  • Age
    29 months ago
  • What it trades
    Stocks, Options
  • # Trades
    129
  • # Profitable
    66
  • % Profitable
    51.20%
  • Avg trade duration
    9.0 days
  • Max peak-to-valley drawdown
    23.9%
  • drawdown period
    July 26, 2017 - Dec 01, 2017
  • Annual Return (Compounded)
    198.6%
  • Avg win
    $833.08
  • Avg loss
    $366.41
  • Model Account Values (Raw)
  • Cash
    $34,380
  • Margin Used
    $4,488
  • Buying Power
    $28,246
  • Ratios
  • W:L ratio
    2.39:1
  • Sharpe Ratio
    1.78
  • Sortino Ratio
    8.08
  • Calmar Ratio
    11.793
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.06610
  • Return Statistics
  • Ann Return (w trading costs)
    198.6%
  • Ann Return (Compnd, No Fees)
    215.3%
  • 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 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    460
  • Popularity (Last 6 weeks)
    830
  • C2 Score
    65.5
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $391
  • Avg Win
    $833
  • # Winners
    66
  • # Losers
    63
  • % Winners
    51.2%
  • Frequency
  • Avg Position Time (mins)
    12891.80
  • Avg Position Time (hrs)
    214.86
  • Avg Trade Length
    9.0 days
  • Last Trade Ago
    29
  • Leverage
  • Daily leverage (average)
    1.92
  • Daily leverage (max)
    9.45
  • Unknown
  • Alpha
    0.33
  • Beta
    0.29
  • Treynor Index
    1.18
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    4.50593
  • SD
    6.52614
  • Sharpe ratio (Glass type estimate)
    0.69044
  • Sharpe ratio (Hedges UMVUE)
    0.67030
  • df
    26.00000
  • t
    1.03567
  • p
    0.15495
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63594
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00391
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64898
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98958
  • Statistics related to Sortino ratio
  • Sortino ratio
    35.69160
  • Upside Potential Ratio
    37.36660
  • Upside part of mean
    4.71739
  • Downside part of mean
    -0.21146
  • Upside SD
    6.53369
  • Downside SD
    0.12625
  • N nonnegative terms
    13.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.07102
  • Mean of criterion
    4.50593
  • SD of predictor
    0.11239
  • SD of criterion
    6.52614
  • Covariance
    -0.09368
  • r
    -0.12771
  • b (slope, estimate of beta)
    -7.41575
  • a (intercept, estimate of alpha)
    5.03260
  • Mean Square Error
    43.57170
  • DF error
    25.00000
  • t(b)
    -0.64384
  • p(b)
    0.73723
  • t(a)
    1.12436
  • p(a)
    0.13577
  • Lowerbound of 95% confidence interval for beta
    -31.13760
  • Upperbound of 95% confidence interval for beta
    16.30610
  • Lowerbound of 95% confidence interval for alpha
    -4.18584
  • Upperbound of 95% confidence interval for alpha
    14.25100
  • Treynor index (mean / b)
    -0.60762
  • Jensen alpha (a)
    5.03260
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.17861
  • SD
    1.59621
  • Sharpe ratio (Glass type estimate)
    0.73838
  • Sharpe ratio (Hedges UMVUE)
    0.71684
  • df
    26.00000
  • t
    1.10757
  • p
    0.13909
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59030
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05331
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60425
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03793
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.90565
  • Upside Potential Ratio
    10.56370
  • Upside part of mean
    1.39805
  • Downside part of mean
    -0.21944
  • Upside SD
    1.59742
  • Downside SD
    0.13234
  • N nonnegative terms
    13.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.06450
  • Mean of criterion
    1.17861
  • SD of predictor
    0.11380
  • SD of criterion
    1.59621
  • Covariance
    -0.01397
  • r
    -0.07690
  • b (slope, estimate of beta)
    -1.07860
  • a (intercept, estimate of alpha)
    1.24818
  • Mean Square Error
    2.63412
  • DF error
    25.00000
  • t(b)
    -0.38564
  • p(b)
    0.64849
  • t(a)
    1.13788
  • p(a)
    0.13298
  • Lowerbound of 95% confidence interval for beta
    -6.83896
  • Upperbound of 95% confidence interval for beta
    4.68176
  • Lowerbound of 95% confidence interval for alpha
    -1.01100
  • Upperbound of 95% confidence interval for alpha
    3.50736
  • Treynor index (mean / b)
    -1.09272
  • Jensen alpha (a)
    1.24818
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.48300
  • Expected Shortfall on VaR
    0.56774
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04150
  • Expected Shortfall on VaR
    0.08121
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    27.00000
  • Minimum
    0.89343
  • Quartile 1
    0.98666
  • Median
    1.00134
  • Quartile 3
    1.05058
  • Maximum
    10.79720
  • Mean of quarter 1
    0.94232
  • Mean of quarter 2
    0.99437
  • Mean of quarter 3
    1.02995
  • Mean of quarter 4
    2.49496
  • Inter Quartile Range
    0.06392
  • 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
    0.07407
  • Mean of outliers high
    6.03816
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.09600
  • VaR(95%) (moments method)
    0.04187
  • Expected Shortfall (moments method)
    0.05792
  • Extreme Value Index (regression method)
    -1.79286
  • VaR(95%) (regression method)
    0.07977
  • Expected Shortfall (regression method)
    0.08228
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.13083
  • Quartile 1
    0.13238
  • Median
    0.13393
  • Quartile 3
    0.13549
  • Maximum
    0.13704
  • Mean of quarter 1
    0.13083
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13704
  • Inter Quartile Range
    0.00310
  • 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)
    6.26646
  • Compounded annual return (geometric extrapolation)
    2.34182
  • Calmar ratio (compounded annual return / max draw down)
    17.08880
  • Compounded annual return / average of 25% largest draw downs
    17.08880
  • Compounded annual return / Expected Shortfall lognormal
    4.12481
  • 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
    1.30793
  • SD
    0.58335
  • Sharpe ratio (Glass type estimate)
    2.24210
  • Sharpe ratio (Hedges UMVUE)
    2.23928
  • df
    596.00000
  • t
    3.38448
  • p
    0.00038
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.93656
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.54583
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.93466
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.54389
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.82530
  • Upside Potential Ratio
    16.33050
  • Upside part of mean
    1.97306
  • Downside part of mean
    -0.66514
  • Upside SD
    0.57590
  • Downside SD
    0.12082
  • N nonnegative terms
    238.00000
  • N negative terms
    359.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    597.00000
  • Mean of predictor
    0.07552
  • Mean of criterion
    1.30793
  • SD of predictor
    0.13051
  • SD of criterion
    0.58335
  • Covariance
    0.00444
  • r
    0.05826
  • b (slope, estimate of beta)
    0.26041
  • a (intercept, estimate of alpha)
    1.28800
  • Mean Square Error
    0.33971
  • DF error
    595.00000
  • t(b)
    1.42352
  • p(b)
    0.07755
  • t(a)
    3.33432
  • p(a)
    0.00045
  • Lowerbound of 95% confidence interval for beta
    -0.09886
  • Upperbound of 95% confidence interval for beta
    0.61968
  • Lowerbound of 95% confidence interval for alpha
    0.52946
  • Upperbound of 95% confidence interval for alpha
    2.04707
  • Treynor index (mean / b)
    5.02257
  • Jensen alpha (a)
    1.28826
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.16357
  • SD
    0.50950
  • Sharpe ratio (Glass type estimate)
    2.28372
  • Sharpe ratio (Hedges UMVUE)
    2.28084
  • df
    596.00000
  • t
    3.44730
  • p
    0.00030
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.97795
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.58768
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.97600
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.58569
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.44208
  • Upside Potential Ratio
    14.89970
  • Upside part of mean
    1.83612
  • Downside part of mean
    -0.67256
  • Upside SD
    0.49914
  • Downside SD
    0.12323
  • N nonnegative terms
    238.00000
  • N negative terms
    359.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    597.00000
  • Mean of predictor
    0.06698
  • Mean of criterion
    1.16357
  • SD of predictor
    0.13073
  • SD of criterion
    0.50950
  • Covariance
    0.00468
  • r
    0.07027
  • b (slope, estimate of beta)
    0.27389
  • a (intercept, estimate of alpha)
    1.14522
  • Mean Square Error
    0.25875
  • DF error
    595.00000
  • t(b)
    1.71838
  • p(b)
    0.04312
  • t(a)
    3.39680
  • p(a)
    0.00036
  • Lowerbound of 95% confidence interval for beta
    -0.03914
  • Upperbound of 95% confidence interval for beta
    0.58692
  • Lowerbound of 95% confidence interval for alpha
    0.48308
  • Upperbound of 95% confidence interval for alpha
    1.80736
  • Treynor index (mean / b)
    4.24832
  • Jensen alpha (a)
    1.14522
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04623
  • Expected Shortfall on VaR
    0.05863
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00643
  • Expected Shortfall on VaR
    0.01391
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    597.00000
  • Minimum
    0.92020
  • Quartile 1
    0.99879
  • Median
    1.00000
  • Quartile 3
    1.00339
  • Maximum
    1.54709
  • Mean of quarter 1
    0.99035
  • Mean of quarter 2
    0.99980
  • Mean of quarter 3
    1.00089
  • Mean of quarter 4
    1.02946
  • Inter Quartile Range
    0.00460
  • Number outliers low
    59.00000
  • Percentage of outliers low
    0.09883
  • Mean of outliers low
    0.98079
  • Number of outliers high
    67.00000
  • Percentage of outliers high
    0.11223
  • Mean of outliers high
    1.05824
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.72127
  • VaR(95%) (moments method)
    0.00707
  • Expected Shortfall (moments method)
    0.02916
  • Extreme Value Index (regression method)
    0.41270
  • VaR(95%) (regression method)
    0.00807
  • Expected Shortfall (regression method)
    0.01800
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00056
  • Quartile 1
    0.01291
  • Median
    0.02480
  • Quartile 3
    0.02620
  • Maximum
    0.19434
  • Mean of quarter 1
    0.00714
  • Mean of quarter 2
    0.02437
  • Mean of quarter 3
    0.02612
  • Mean of quarter 4
    0.14866
  • Inter Quartile Range
    0.01329
  • 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
    0.22222
  • Mean of outliers high
    0.14866
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -11.90960
  • VaR(95%) (moments method)
    0.07409
  • Expected Shortfall (moments method)
    0.07409
  • Extreme Value Index (regression method)
    -0.74884
  • VaR(95%) (regression method)
    0.23137
  • Expected Shortfall (regression method)
    0.26247
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    6.18945
  • Compounded annual return (geometric extrapolation)
    2.29193
  • Calmar ratio (compounded annual return / max draw down)
    11.79310
  • Compounded annual return / average of 25% largest draw downs
    15.41740
  • Compounded annual return / Expected Shortfall lognormal
    39.09100
  • 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
    0.09582
  • SD
    0.10023
  • Sharpe ratio (Glass type estimate)
    0.95600
  • Sharpe ratio (Hedges UMVUE)
    0.95048
  • df
    130.00000
  • t
    0.67600
  • p
    0.47041
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.82005
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.72844
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.82373
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.72469
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.27812
  • Upside Potential Ratio
    8.09434
  • Upside part of mean
    0.60680
  • Downside part of mean
    -0.51099
  • Upside SD
    0.06621
  • Downside SD
    0.07497
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28464
  • Mean of criterion
    0.09582
  • SD of predictor
    0.15342
  • SD of criterion
    0.10023
  • Covariance
    0.00668
  • r
    0.43457
  • b (slope, estimate of beta)
    0.28389
  • a (intercept, estimate of alpha)
    0.01501
  • Mean Square Error
    0.00821
  • DF error
    129.00000
  • t(b)
    5.48031
  • p(b)
    0.23232
  • t(a)
    0.11634
  • p(a)
    0.49348
  • Lowerbound of 95% confidence interval for beta
    0.18140
  • Upperbound of 95% confidence interval for beta
    0.38639
  • Lowerbound of 95% confidence interval for alpha
    -0.24021
  • Upperbound of 95% confidence interval for alpha
    0.27023
  • Treynor index (mean / b)
    0.33751
  • Jensen alpha (a)
    0.01501
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09079
  • SD
    0.10044
  • Sharpe ratio (Glass type estimate)
    0.90391
  • Sharpe ratio (Hedges UMVUE)
    0.89868
  • df
    130.00000
  • t
    0.63916
  • p
    0.47202
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.87177
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.67620
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.87527
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.67264
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.20253
  • Upside Potential Ratio
    8.00742
  • Upside part of mean
    0.60456
  • Downside part of mean
    -0.51377
  • Upside SD
    0.06590
  • Downside SD
    0.07550
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.27285
  • Mean of criterion
    0.09079
  • SD of predictor
    0.15279
  • SD of criterion
    0.10044
  • Covariance
    0.00672
  • r
    0.43786
  • b (slope, estimate of beta)
    0.28785
  • a (intercept, estimate of alpha)
    0.01225
  • Mean Square Error
    0.00822
  • DF error
    129.00000
  • t(b)
    5.53161
  • p(b)
    0.23043
  • t(a)
    0.09498
  • p(a)
    0.49468
  • Lowerbound of 95% confidence interval for beta
    0.18489
  • Upperbound of 95% confidence interval for beta
    0.39080
  • Lowerbound of 95% confidence interval for alpha
    -0.24295
  • Upperbound of 95% confidence interval for alpha
    0.26745
  • Treynor index (mean / b)
    0.31541
  • Jensen alpha (a)
    0.01225
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00981
  • Expected Shortfall on VaR
    0.01237
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00418
  • Expected Shortfall on VaR
    0.00883
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97827
  • Quartile 1
    0.99859
  • Median
    1.00031
  • Quartile 3
    1.00445
  • Maximum
    1.01672
  • Mean of quarter 1
    0.99265
  • Mean of quarter 2
    0.99983
  • Mean of quarter 3
    1.00198
  • Mean of quarter 4
    1.00747
  • Inter Quartile Range
    0.00585
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.98586
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.01672
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50819
  • VaR(95%) (moments method)
    0.00652
  • Expected Shortfall (moments method)
    0.01570
  • Extreme Value Index (regression method)
    0.06054
  • VaR(95%) (regression method)
    0.00581
  • Expected Shortfall (regression method)
    0.00873
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00033
  • Quartile 1
    0.00178
  • Median
    0.00503
  • Quartile 3
    0.01910
  • Maximum
    0.08370
  • Mean of quarter 1
    0.00103
  • Mean of quarter 2
    0.00314
  • Mean of quarter 3
    0.00880
  • Mean of quarter 4
    0.04022
  • Inter Quartile Range
    0.01732
  • 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
    0.07143
  • Mean of outliers high
    0.08370
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.46343
  • VaR(95%) (moments method)
    0.04903
  • Expected Shortfall (moments method)
    0.09784
  • Extreme Value Index (regression method)
    1.98792
  • VaR(95%) (regression method)
    0.07022
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12229
  • Compounded annual return (geometric extrapolation)
    0.12603
  • Calmar ratio (compounded annual return / max draw down)
    1.50569
  • Compounded annual return / average of 25% largest draw downs
    3.13378
  • Compounded annual return / Expected Shortfall lognormal
    10.18540

Strategy Description

Summary Statistics

Includes fees & commissions
Strategy began
2017-02-16
Suggested Minimum Capital
$35,000
# Trades
129
# Profitable
66
% Profitable
51.2%
Net Dividends
Correlation S&P500
0.066
Sharpe Ratio
1.78
Sortino Ratio
8.08
Beta
0.29
Alpha
0.33
Leverage
1.92 Average
9.45 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 AutoTrade Systems 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.

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.

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