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Albertson Portfolio
(115195169)

Created by: AlexBeast AlexBeast
Started: 09/2016
Stocks, Options
Last trade: 6 days ago
Trading style: Equity Hedged Equity

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 $99.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
134.7%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(47.1%)
Max Drawdown
678
Num Trades
69.0%
Win Trades
2.2 : 1
Profit Factor
58.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Standard commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                        +1.1%(1.3%)+0.6%+1.1%+1.5%
2017+0.2%+4.6%(3.8%)+0.8%(4.4%)+3.6%(0.6%)+127.0%+1.8%(3.2%)+22.0%(10.9%)+143.3%
2018+246.2%(11%)+15.9%(29.7%)+59.0%+25.7%(5.5%)+1.8%(0.2%)(4.3%)+0.8%(4.2%)+345.5%
2019+2.0%+0.7%+1.8%  -  (6%)+1.8%                                    0.0

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 96 hours.

Trading Record

This strategy has placed 472 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/17/19 12:58 NFLX1912S325 NFLX Jul12'19 325 put SHORT 2 3.80 6/20 10:57 1.14 n/a $529
Includes Typical Broker Commissions trade costs of $2.80
6/10/19 13:31 NRZ NEW RESIDENTIAL INVESTMENT LONG 300 15.29 6/13 14:26 15.57 0%
Trade id #124014326
Max drawdown($4)
Time6/10/19 13:48
Quant open300
Worst price15.28
Drawdown as % of equity-0.00%
$78
Includes Typical Broker Commissions trade costs of $6.00
5/29/19 12:49 TSLA1921R165 TSLA Jun21'19 165 put SHORT 1 4.85 6/6 10:42 0.82 0.01%
Trade id #123863298
Max drawdown($100)
Time6/3/19 13:02
Quant open-1
Worst price5.85
Drawdown as % of equity-0.01%
$401
Includes Typical Broker Commissions trade costs of $2.00
6/3/19 11:44 TSLA1914F195 TSLA Jun14'19 195 call SHORT 12 2.87 6/6 10:40 16.25 1.32%
Trade id #123914702
Max drawdown($16,631)
Time6/6/19 10:36
Quant open-12
Worst price16.73
Drawdown as % of equity-1.32%
($16,072)
Includes Typical Broker Commissions trade costs of $17.10
5/15/19 9:30 GOOGL ALPHABET INC CLASS A LONG 125 1122.55 6/3 13:53 1054.69 0.68%
Trade id #123677725
Max drawdown($8,589)
Time6/3/19 9:49
Quant open95
Worst price1032.13
Drawdown as % of equity-0.68%
($8,485)
Includes Typical Broker Commissions trade costs of $2.50
5/28/19 11:09 TSLA1907F205 TSLA Jun7'19 205 call SHORT 12 3.20 6/3 10:02 0.28 0.03%
Trade id #123845387
Max drawdown($420)
Time5/28/19 11:45
Quant open-12
Worst price3.55
Drawdown as % of equity-0.03%
$3,482
Includes Typical Broker Commissions trade costs of $17.10
5/31/19 11:05 GOOGL1907F1145 GOOGL Jun7'19 1145 call SHORT 1 3.40 6/3 9:32 0.24 0%
Trade id #123890190
Max drawdown$0
Time5/31/19 11:13
Quant open-1
Worst price3.40
Drawdown as % of equity0.00%
$314
Includes Typical Broker Commissions trade costs of $2.00
5/22/19 9:31 NVDA NVIDIA LONG 1,000 151.38 5/31 9:54 144.74 0.53%
Trade id #123766834
Max drawdown($6,637)
Time5/31/19 9:54
Quant open800
Worst price137.77
Drawdown as % of equity-0.53%
($6,657)
Includes Typical Broker Commissions trade costs of $20.00
5/30/19 11:56 NVDA1907F145 NVDA Jun7'19 145 call SHORT 3 1.36 5/31 9:54 0.85 0%
Trade id #123876840
Max drawdown($15)
Time5/30/19 12:01
Quant open-3
Worst price1.41
Drawdown as % of equity-0.00%
$150
Includes Typical Broker Commissions trade costs of $4.50
5/28/19 11:11 NVDA1907F152.5 NVDA Jun7'19 152.5 call SHORT 3 1.02 5/29 9:34 0.53 0%
Trade id #123845427
Max drawdown($30)
Time5/28/19 11:18
Quant open-3
Worst price1.12
Drawdown as % of equity-0.00%
$143
Includes Typical Broker Commissions trade costs of $4.20
5/28/19 11:10 GOOGL1907F1190 GOOGL Jun7'19 1190 call SHORT 1 2.90 5/29 9:33 1.30 0.01%
Trade id #123845404
Max drawdown($75)
Time5/28/19 12:23
Quant open-1
Worst price3.65
Drawdown as % of equity-0.01%
$158
Includes Typical Broker Commissions trade costs of $2.00
5/16/19 13:00 TSLA1907R245 TSLA Jun7'19 245 put SHORT 1 18.55 5/28 10:13 55.50 0.29%
Trade id #123698010
Max drawdown($3,745)
Time5/23/19 9:36
Quant open-1
Worst price56.00
Drawdown as % of equity-0.29%
($3,697)
Includes Typical Broker Commissions trade costs of $2.00
5/16/19 11:03 GOOGL1924E1215 GOOGL May24'19 1215 call SHORT 1 3.90 5/25 9:35 0.00 0.01%
Trade id #123695889
Max drawdown($90)
Time5/16/19 11:49
Quant open-1
Worst price4.80
Drawdown as % of equity-0.01%
$389
Includes Typical Broker Commissions trade costs of $1.00
4/22/19 12:18 NVDA1924Q195 NVDA May24'19 195 put LONG 4 13.02 5/23 9:39 48.10 0.03%
Trade id #123388758
Max drawdown($390)
Time4/24/19 9:34
Quant open4
Worst price12.05
Drawdown as % of equity-0.03%
$14,024
Includes Typical Broker Commissions trade costs of $5.60
4/22/19 12:16 NVDA1924Q175 NVDA May24'19 175 put SHORT 16 4.18 5/23 9:33 21.73 2.2%
Trade id #123388735
Max drawdown($28,085)
Time5/23/19 9:33
Quant open11
Worst price27.20
Drawdown as % of equity-2.20%
($28,108)
Includes Typical Broker Commissions trade costs of $22.70
5/16/19 11:13 TSLA1924Q210 TSLA May24'19 210 put SHORT 1 1.27 5/22 12:28 14.70 0.12%
Trade id #123696034
Max drawdown($1,564)
Time5/20/19 9:37
Quant open-1
Worst price16.91
Drawdown as % of equity-0.12%
($1,345)
Includes Typical Broker Commissions trade costs of $2.00
4/22/19 13:32 NFLX1924Q350 NFLX May24'19 350 put SHORT 1 4.90 5/22 10:00 0.71 0.06%
Trade id #123391560
Max drawdown($863)
Time5/13/19 10:08
Quant open-1
Worst price13.53
Drawdown as % of equity-0.06%
$417
Includes Typical Broker Commissions trade costs of $2.00
5/17/19 14:17 TSLA1924E230 TSLA May24'19 230 call SHORT 2 1.37 5/21 10:14 0.18 0.01%
Trade id #123718309
Max drawdown($66)
Time5/17/19 14:37
Quant open-2
Worst price1.70
Drawdown as % of equity-0.01%
$235
Includes Typical Broker Commissions trade costs of $2.80
5/16/19 11:02 TSLA1924E242.5 TSLA May24'19 242.5 call SHORT 10 1.39 5/21 10:05 0.07 0.01%
Trade id #123695867
Max drawdown($115)
Time5/16/19 12:59
Quant open-10
Worst price1.50
Drawdown as % of equity-0.01%
$1,301
Includes Typical Broker Commissions trade costs of $14.00
5/7/19 13:55 NVDA1917Q155 NVDA May17'19 155 put SHORT 10 2.26 5/17 14:13 0.03 0.29%
Trade id #123562260
Max drawdown($3,744)
Time5/13/19 15:39
Quant open-10
Worst price6.00
Drawdown as % of equity-0.29%
$2,212
Includes Typical Broker Commissions trade costs of $14.00
5/7/19 14:08 TSLA1917Q245 TSLA May17'19 245 put SHORT 1 6.80 5/16 9:57 17.70 0.11%
Trade id #123562546
Max drawdown($1,425)
Time5/13/19 10:11
Quant open-1
Worst price21.05
Drawdown as % of equity-0.11%
($1,092)
Includes Typical Broker Commissions trade costs of $2.00
4/25/19 12:29 TSLA1924E265 TSLA May24'19 265 call SHORT 10 6.97 5/16 9:38 0.15 0%
Trade id #123431174
Max drawdown$0
Time4/25/19 14:34
Quant open-8
Worst price7.75
Drawdown as % of equity0.00%
$6,810
Includes Typical Broker Commissions trade costs of $14.60
4/29/19 10:52 GOOGL1924Q1215 GOOGL May24'19 1215 put SHORT 1 10.90 5/15 9:33 89.40 0.59%
Trade id #123463791
Max drawdown($7,850)
Time5/15/19 9:33
Quant open0
Worst price89.40
Drawdown as % of equity-0.59%
($7,852)
Includes Typical Broker Commissions trade costs of $2.00
4/29/19 11:05 INTC1924Q49 INTC May24'19 49 put SHORT 5 0.55 5/13 12:02 4.05 0.13%
Trade id #123464016
Max drawdown($1,750)
Time5/13/19 12:02
Quant open0
Worst price4.05
Drawdown as % of equity-0.13%
($1,757)
Includes Typical Broker Commissions trade costs of $7.00
4/29/19 10:37 TSLA1910Q242.5 TSLA May10'19 242.5 put SHORT 1 10.39 5/10 11:03 6.00 0.03%
Trade id #123463539
Max drawdown($360)
Time5/1/19 12:14
Quant open-1
Worst price14.00
Drawdown as % of equity-0.03%
$438
Includes Typical Broker Commissions trade costs of $2.00
4/26/19 13:52 TSLA1910Q247.5 TSLA May10'19 247.5 put SHORT 1 17.15 5/7 14:07 5.10 0.02%
Trade id #123446371
Max drawdown($270)
Time4/26/19 15:19
Quant open-1
Worst price19.85
Drawdown as % of equity-0.02%
$1,203
Includes Typical Broker Commissions trade costs of $2.00
5/6/19 10:45 AMZN1910Q1875 AMZN May10'19 1875 put SHORT 1 4.90 5/6 15:25 2.08 n/a $280
Includes Typical Broker Commissions trade costs of $2.00
4/26/19 13:50 TSLA1903Q232.5 TSLA May3'19 232.5 put SHORT 10 6.40 5/4 9:35 0.00 0.14%
Trade id #123446346
Max drawdown($1,899)
Time4/26/19 15:19
Quant open-10
Worst price8.30
Drawdown as % of equity-0.14%
$6,394
Includes Typical Broker Commissions trade costs of $7.00
4/15/19 9:40 GOOGL1926P1170 GOOGL Apr26'19 1170 put SHORT 2 2.10 4/27 9:35 0.00 0.01%
Trade id #123313251
Max drawdown($160)
Time4/15/19 10:34
Quant open-2
Worst price2.90
Drawdown as % of equity-0.01%
$419
Includes Typical Broker Commissions trade costs of $1.40
4/5/19 11:54 NVDA1926P172.5 NVDA Apr26'19 172.5 put SHORT 1 1.04 4/26 13:50 0.04 0.01%
Trade id #123221445
Max drawdown($83)
Time4/26/19 9:43
Quant open-1
Worst price1.87
Drawdown as % of equity-0.01%
$98
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    9/7/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1022.81
  • Age
    34 months ago
  • What it trades
    Stocks, Options
  • # Trades
    678
  • # Profitable
    468
  • % Profitable
    69.00%
  • Avg trade duration
    26.6 days
  • Max peak-to-valley drawdown
    47.07%
  • drawdown period
    March 21, 2018 - April 04, 2018
  • Annual Return (Compounded)
    134.7%
  • Avg win
    $4,929
  • Avg loss
    $5,158
  • Model Account Values (Raw)
  • Cash
    $1,159,990
  • Margin Used
    $15,180
  • Buying Power
    $1,075,237
  • Ratios
  • W:L ratio
    2.18:1
  • Sharpe Ratio
    0.99
  • Sortino Ratio
    2.98
  • Calmar Ratio
    8.738
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.09650
  • Return Statistics
  • Ann Return (w trading costs)
    134.7%
  • Ann Return (Compnd, No Fees)
    136.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    38.00%
  • Chance of 20% account loss
    27.00%
  • Chance of 30% account loss
    18.50%
  • Chance of 40% account loss
    13.00%
  • Chance of 50% account loss
    4.50%
  • Popularity
  • Popularity (Today)
    341
  • Popularity (Last 6 weeks)
    888
  • C2 Score
    22.0
  • Trades-Own-System Certification
  • Trades Own System?
    184451
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $5,280
  • Avg Win
    $4,930
  • # Winners
    468
  • # Losers
    210
  • % Winners
    69.0%
  • Frequency
  • Avg Position Time (mins)
    38316.60
  • Avg Position Time (hrs)
    638.61
  • Avg Trade Length
    26.6 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    9.91
  • Daily leverage (max)
    46.44
  • Unknown
  • Alpha
    0.31
  • Beta
    0.85
  • Treynor Index
    0.39
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.54708
  • SD
    1.61664
  • Sharpe ratio (Glass type estimate)
    1.57554
  • Sharpe ratio (Hedges UMVUE)
    1.50031
  • df
    16.00000
  • t
    1.87526
  • p
    0.28776
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17994
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.28693
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22649
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22711
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.85570
  • Upside Potential Ratio
    14.29440
  • Upside part of mean
    2.83213
  • Downside part of mean
    -0.28505
  • Upside SD
    1.72081
  • Downside SD
    0.19813
  • N nonnegative terms
    11.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.15103
  • Mean of criterion
    2.54708
  • SD of predictor
    0.18019
  • SD of criterion
    1.61664
  • Covariance
    0.07571
  • r
    0.25989
  • b (slope, estimate of beta)
    2.33166
  • a (intercept, estimate of alpha)
    2.19493
  • Mean Square Error
    2.59948
  • DF error
    15.00000
  • t(b)
    1.04237
  • p(b)
    0.33643
  • t(a)
    1.57220
  • p(a)
    0.26632
  • Lowerbound of 95% confidence interval for beta
    -2.43614
  • Upperbound of 95% confidence interval for beta
    7.09946
  • Lowerbound of 95% confidence interval for alpha
    -0.78076
  • Upperbound of 95% confidence interval for alpha
    5.17062
  • Treynor index (mean / b)
    1.09239
  • Jensen alpha (a)
    2.19493
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.66033
  • SD
    1.09821
  • Sharpe ratio (Glass type estimate)
    1.51185
  • Sharpe ratio (Hedges UMVUE)
    1.43966
  • df
    16.00000
  • t
    1.79946
  • p
    0.29487
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23620
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.21725
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28092
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.16025
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.56387
  • Upside Potential Ratio
    8.96172
  • Upside part of mean
    1.96717
  • Downside part of mean
    -0.30684
  • Upside SD
    1.14746
  • Downside SD
    0.21951
  • N nonnegative terms
    11.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.13459
  • Mean of criterion
    1.66033
  • SD of predictor
    0.18038
  • SD of criterion
    1.09821
  • Covariance
    0.05107
  • r
    0.25779
  • b (slope, estimate of beta)
    1.56951
  • a (intercept, estimate of alpha)
    1.44909
  • Mean Square Error
    1.20098
  • DF error
    15.00000
  • t(b)
    1.03336
  • p(b)
    0.33772
  • t(a)
    1.53643
  • p(a)
    0.27068
  • Lowerbound of 95% confidence interval for beta
    -1.66783
  • Upperbound of 95% confidence interval for beta
    4.80686
  • Lowerbound of 95% confidence interval for alpha
    -0.56120
  • Upperbound of 95% confidence interval for alpha
    3.45938
  • Treynor index (mean / b)
    1.05787
  • Jensen alpha (a)
    1.44909
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.31826
  • Expected Shortfall on VaR
    0.39891
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04233
  • Expected Shortfall on VaR
    0.09381
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.78677
  • Quartile 1
    0.97286
  • Median
    1.00731
  • Quartile 3
    1.09235
  • Maximum
    2.50161
  • Mean of quarter 1
    0.92323
  • Mean of quarter 2
    1.00275
  • Mean of quarter 3
    1.03668
  • Mean of quarter 4
    1.96852
  • Inter Quartile Range
    0.11948
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05882
  • Mean of outliers low
    0.78677
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.23529
  • Mean of outliers high
    1.96852
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.66474
  • VaR(95%) (moments method)
    0.09299
  • Expected Shortfall (moments method)
    0.29611
  • Extreme Value Index (regression method)
    2.83046
  • VaR(95%) (regression method)
    0.11678
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02734
  • Quartile 1
    0.08936
  • Median
    0.15139
  • Quartile 3
    0.21341
  • Maximum
    0.27544
  • Mean of quarter 1
    0.02734
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.27544
  • Inter Quartile Range
    0.12405
  • 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)
    7.01066
  • Compounded annual return (geometric extrapolation)
    4.40995
  • Calmar ratio (compounded annual return / max draw down)
    16.01060
  • Compounded annual return / average of 25% largest draw downs
    16.01060
  • Compounded annual return / Expected Shortfall lognormal
    11.05490
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.26290
  • SD
    1.35978
  • Sharpe ratio (Glass type estimate)
    1.66417
  • Sharpe ratio (Hedges UMVUE)
    1.66095
  • df
    388.00000
  • t
    2.02778
  • p
    0.02163
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05034
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.27587
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04820
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.27370
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.94513
  • Upside Potential Ratio
    8.80616
  • Upside part of mean
    4.02972
  • Downside part of mean
    -1.76681
  • Upside SD
    1.28623
  • Downside SD
    0.45760
  • N nonnegative terms
    201.00000
  • N negative terms
    188.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    389.00000
  • Mean of predictor
    0.17824
  • Mean of criterion
    2.26290
  • SD of predictor
    0.15867
  • SD of criterion
    1.35978
  • Covariance
    0.02391
  • r
    0.11083
  • b (slope, estimate of beta)
    0.94981
  • a (intercept, estimate of alpha)
    2.09400
  • Mean Square Error
    1.83101
  • DF error
    387.00000
  • t(b)
    2.19379
  • p(b)
    0.01442
  • t(a)
    1.88073
  • p(a)
    0.03038
  • Lowerbound of 95% confidence interval for beta
    0.09858
  • Upperbound of 95% confidence interval for beta
    1.80105
  • Lowerbound of 95% confidence interval for alpha
    -0.09505
  • Upperbound of 95% confidence interval for alpha
    4.28225
  • Treynor index (mean / b)
    2.38247
  • Jensen alpha (a)
    2.09360
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.59473
  • SD
    1.08661
  • Sharpe ratio (Glass type estimate)
    1.46762
  • Sharpe ratio (Hedges UMVUE)
    1.46478
  • df
    388.00000
  • t
    1.78829
  • p
    0.03725
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14510
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07855
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14702
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07659
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.76383
  • Upside Potential Ratio
    6.07134
  • Upside part of mean
    3.50316
  • Downside part of mean
    -1.90843
  • Upside SD
    0.92437
  • Downside SD
    0.57700
  • N nonnegative terms
    201.00000
  • N negative terms
    188.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    389.00000
  • Mean of predictor
    0.16560
  • Mean of criterion
    1.59473
  • SD of predictor
    0.15880
  • SD of criterion
    1.08661
  • Covariance
    0.02655
  • r
    0.15388
  • b (slope, estimate of beta)
    1.05294
  • a (intercept, estimate of alpha)
    1.42036
  • Mean Square Error
    1.15574
  • DF error
    387.00000
  • t(b)
    3.06363
  • p(b)
    0.00117
  • t(a)
    1.60654
  • p(a)
    0.05449
  • Lowerbound of 95% confidence interval for beta
    0.37721
  • Upperbound of 95% confidence interval for beta
    1.72867
  • Lowerbound of 95% confidence interval for alpha
    -0.31790
  • Upperbound of 95% confidence interval for alpha
    3.15863
  • Treynor index (mean / b)
    1.51455
  • Jensen alpha (a)
    1.42036
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09908
  • Expected Shortfall on VaR
    0.12373
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01448
  • Expected Shortfall on VaR
    0.03406
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    389.00000
  • Minimum
    0.53463
  • Quartile 1
    0.99509
  • Median
    1.00030
  • Quartile 3
    1.00460
  • Maximum
    2.33013
  • Mean of quarter 1
    0.97498
  • Mean of quarter 2
    0.99846
  • Mean of quarter 3
    1.00209
  • Mean of quarter 4
    1.05980
  • Inter Quartile Range
    0.00951
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.07198
  • Mean of outliers low
    0.93629
  • Number of outliers high
    44.00000
  • Percentage of outliers high
    0.11311
  • Mean of outliers high
    1.11952
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.82654
  • VaR(95%) (moments method)
    0.02265
  • Expected Shortfall (moments method)
    0.13763
  • Extreme Value Index (regression method)
    0.68548
  • VaR(95%) (regression method)
    0.01713
  • Expected Shortfall (regression method)
    0.05690
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00185
  • Quartile 1
    0.01645
  • Median
    0.02830
  • Quartile 3
    0.10312
  • Maximum
    0.46537
  • Mean of quarter 1
    0.01049
  • Mean of quarter 2
    0.02343
  • Mean of quarter 3
    0.05841
  • Mean of quarter 4
    0.27777
  • Inter Quartile Range
    0.08668
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.21053
  • Mean of outliers high
    0.31862
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -7.01937
  • VaR(95%) (moments method)
    0.24413
  • Expected Shortfall (moments method)
    0.24414
  • Extreme Value Index (regression method)
    -0.56737
  • VaR(95%) (regression method)
    0.28639
  • Expected Shortfall (regression method)
    0.32812
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    6.81932
  • Compounded annual return (geometric extrapolation)
    4.06644
  • Calmar ratio (compounded annual return / max draw down)
    8.73809
  • Compounded annual return / average of 25% largest draw downs
    14.63970
  • Compounded annual return / Expected Shortfall lognormal
    32.86620
  • 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
    -0.05868
  • SD
    0.08340
  • Sharpe ratio (Glass type estimate)
    -0.70356
  • Sharpe ratio (Hedges UMVUE)
    -0.69949
  • df
    130.00000
  • t
    -0.49749
  • p
    0.52180
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.47536
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07090
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.47260
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07362
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.86181
  • Upside Potential Ratio
    6.31190
  • Upside part of mean
    0.42976
  • Downside part of mean
    -0.48844
  • Upside SD
    0.04775
  • Downside SD
    0.06809
  • 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
    0.25404
  • Mean of criterion
    -0.05868
  • SD of predictor
    0.15528
  • SD of criterion
    0.08340
  • Covariance
    0.00660
  • r
    0.50957
  • b (slope, estimate of beta)
    0.27370
  • a (intercept, estimate of alpha)
    -0.12821
  • Mean Square Error
    0.00519
  • DF error
    129.00000
  • t(b)
    6.72647
  • p(b)
    0.19024
  • t(a)
    -1.25201
  • p(a)
    0.56961
  • Lowerbound of 95% confidence interval for beta
    0.19319
  • Upperbound of 95% confidence interval for beta
    0.35420
  • Lowerbound of 95% confidence interval for alpha
    -0.33081
  • Upperbound of 95% confidence interval for alpha
    0.07440
  • Treynor index (mean / b)
    -0.21439
  • Jensen alpha (a)
    -0.12821
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06215
  • SD
    0.08369
  • Sharpe ratio (Glass type estimate)
    -0.74258
  • Sharpe ratio (Hedges UMVUE)
    -0.73828
  • df
    130.00000
  • t
    -0.52508
  • p
    0.52300
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.51452
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.03203
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.51154
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03498
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.90638
  • Upside Potential Ratio
    6.25073
  • Upside part of mean
    0.42858
  • Downside part of mean
    -0.49073
  • Upside SD
    0.04758
  • Downside SD
    0.06856
  • 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
    0.24200
  • Mean of criterion
    -0.06215
  • SD of predictor
    0.15467
  • SD of criterion
    0.08369
  • Covariance
    0.00662
  • r
    0.51168
  • b (slope, estimate of beta)
    0.27687
  • a (intercept, estimate of alpha)
    -0.12915
  • Mean Square Error
    0.00521
  • DF error
    129.00000
  • t(b)
    6.76414
  • p(b)
    0.18909
  • t(a)
    -1.25922
  • p(a)
    0.57001
  • Lowerbound of 95% confidence interval for beta
    0.19588
  • Upperbound of 95% confidence interval for beta
    0.35785
  • Lowerbound of 95% confidence interval for alpha
    -0.33206
  • Upperbound of 95% confidence interval for alpha
    0.07377
  • Treynor index (mean / b)
    -0.22446
  • Jensen alpha (a)
    -0.12915
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00870
  • Expected Shortfall on VaR
    0.01084
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00402
  • Expected Shortfall on VaR
    0.00832
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97766
  • Quartile 1
    0.99832
  • Median
    1.00045
  • Quartile 3
    1.00270
  • Maximum
    1.01055
  • Mean of quarter 1
    0.99331
  • Mean of quarter 2
    0.99953
  • Mean of quarter 3
    1.00139
  • Mean of quarter 4
    1.00535
  • Inter Quartile Range
    0.00438
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98537
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.01014
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.42035
  • VaR(95%) (moments method)
    0.00508
  • Expected Shortfall (moments method)
    0.00613
  • Extreme Value Index (regression method)
    0.17501
  • VaR(95%) (regression method)
    0.00665
  • Expected Shortfall (regression method)
    0.01091
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00016
  • Quartile 1
    0.00384
  • Median
    0.00752
  • Quartile 3
    0.01447
  • Maximum
    0.08303
  • Mean of quarter 1
    0.00134
  • Mean of quarter 2
    0.00571
  • Mean of quarter 3
    0.00962
  • Mean of quarter 4
    0.04453
  • Inter Quartile Range
    0.01063
  • 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
    0.20000
  • Mean of outliers high
    0.05896
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.31440
  • VaR(95%) (moments method)
    0.04226
  • Expected Shortfall (moments method)
    0.04304
  • Extreme Value Index (regression method)
    0.32511
  • VaR(95%) (regression method)
    0.09191
  • Expected Shortfall (regression method)
    0.17854
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.03395
  • Compounded annual return (geometric extrapolation)
    -0.03366
  • Calmar ratio (compounded annual return / max draw down)
    -0.40540
  • Compounded annual return / average of 25% largest draw downs
    -0.75582
  • Compounded annual return / Expected Shortfall lognormal
    -3.10480

Strategy Description

Summary Statistics

Includes fees & commissions
Strategy began
2016-09-07
Suggested Minimum Capital
$35,000
# Trades
678
# Profitable
468
% Profitable
69.0%
Net Dividends
Correlation S&P500
0.097
Sharpe Ratio
0.99
Sortino Ratio
2.98
Beta
0.85
Alpha
0.31
Leverage
9.91 Average
46.44 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.

0