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

Premium Scalping
(116811782)

Created by: PremiumScalping PremiumScalping
Started: 03/2018
Options
Last trade: 72 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 $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.

87.7%
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.

(53.8%)
Max Drawdown
167
Num Trades
89.8%
Win Trades
2.2 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018              +12.5%+17.3%+21.1%+10.2%+6.2%+11.3%+14.1%+0.5%+3.2%+3.9%+155.7%
2019+3.7%+5.0%+10.0%+2.3%+9.8%+7.7%(18.2%)+11.8%(15%)+14.7%+12.7%(17.3%)+20.6%
2020+11.3%+24.1%(2.3%)  -    -    -                                      +34.8%

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

This strategy has placed 281 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/19/20 15:03 UVXY2020O50 UVXY Mar20'20 50 put SHORT 630 0.10 3/21 9:36 0.00 8.14%
Trade id #128145004
Max drawdown($15,750)
Time3/19/20 15:35
Quant open630
Worst price0.35
Drawdown as % of equity-8.14%
$5,859
Includes Typical Broker Commissions trade costs of $441.00
3/17/20 14:21 UVXY2020C185 UVXY Mar20'20 185 call SHORT 280 0.35 3/21 9:35 0.72 70.02%
Trade id #128093972
Max drawdown($145,600)
Time3/18/20 0:00
Quant open280
Worst price5.55
Drawdown as % of equity-70.02%
($10,644)
Includes Typical Broker Commissions trade costs of $248.50
2/24/20 13:53 VIXW2026B32.5 VIXW Feb26'20 32.5 call SHORT 490 0.20 2/27 8:05 0.00 18.25%
Trade id #127683073
Max drawdown($29,400)
Time2/25/20 0:00
Quant open490
Worst price0.80
Drawdown as % of equity-18.25%
$9,457
Includes Typical Broker Commissions trade costs of $343.00
2/24/20 9:40 VIXW2026B30 VIXW Feb26'20 30 call SHORT 1,400 0.05 2/27 8:05 0.00 117.32%
Trade id #127677057
Max drawdown($189,000)
Time2/25/20 0:00
Quant open1,400
Worst price1.40
Drawdown as % of equity-117.32%
$6,020
Includes Typical Broker Commissions trade costs of $980.00
2/13/20 10:49 UVXY2014B13.5 UVXY Feb14'20 13.5 call SHORT 1,960 0.03 2/15 9:35 0.00 n/a $4,508
Includes Typical Broker Commissions trade costs of $1,372.00
2/11/20 12:27 VIXW2012B15 VIXW Feb12'20 15 call SHORT 280 0.25 2/13 8:05 0.00 6.12%
Trade id #127460512
Max drawdown($11,200)
Time2/11/20 15:15
Quant open280
Worst price0.65
Drawdown as % of equity-6.12%
$6,804
Includes Typical Broker Commissions trade costs of $196.00
2/10/20 13:25 VIXW2012B19 VIXW Feb12'20 19 call SHORT 980 0.10 2/13 8:05 0.00 3.03%
Trade id #127441900
Max drawdown($4,900)
Time2/10/20 14:04
Quant open980
Worst price0.15
Drawdown as % of equity-3.03%
$9,114
Includes Typical Broker Commissions trade costs of $686.00
2/7/20 13:30 UVXY2007B12 UVXY Feb7'20 12 call SHORT 210 0.03 2/8 9:35 0.10 1.85%
Trade id #127416679
Max drawdown($3,360)
Time2/7/20 14:14
Quant open210
Worst price0.19
Drawdown as % of equity-1.85%
($1,805)
Includes Typical Broker Commissions trade costs of $263.90
2/7/20 9:49 UVXY2007B12.5 UVXY Feb7'20 12.5 call SHORT 1,190 0.05 2/8 9:35 0.00 2.04%
Trade id #127411480
Max drawdown($3,570)
Time2/7/20 10:05
Quant open1,190
Worst price0.08
Drawdown as % of equity-2.04%
$5,117
Includes Typical Broker Commissions trade costs of $833.00
2/7/20 9:44 UVXY2007N11.5 UVXY Feb7'20 11.5 put LONG 490 0.08 2/7 14:16 0.01 1.87%
Trade id #127411297
Max drawdown($3,430)
Time2/7/20 14:15
Quant open490
Worst price0.01
Drawdown as % of equity-1.87%
($4,116)
Includes Typical Broker Commissions trade costs of $686.00
2/4/20 11:36 VIXW2005B18 VIXW Feb5'20 18 call SHORT 1,190 0.05 2/6 8:05 0.00 3.46%
Trade id #127357239
Max drawdown($5,950)
Time2/4/20 13:19
Quant open1,190
Worst price0.10
Drawdown as % of equity-3.46%
$5,117
Includes Typical Broker Commissions trade costs of $833.00
1/30/20 11:13 UVXY2031A16 UVXY Jan31'20 16 call SHORT 1,260 0.05 2/1 9:35 0.00 2.27%
Trade id #127289811
Max drawdown($3,780)
Time1/30/20 12:51
Quant open1,260
Worst price0.08
Drawdown as % of equity-2.27%
$5,418
Includes Typical Broker Commissions trade costs of $882.00
1/21/20 11:43 VIX2022A13.5 VIX Jan22'20 13.5 call SHORT 1,260 0.10 1/22 8:05 0.05 11.81%
Trade id #127122127
Max drawdown($18,900)
Time1/21/20 13:55
Quant open1,260
Worst price0.25
Drawdown as % of equity-11.81%
$4,985
Includes Typical Broker Commissions trade costs of $1,065.40
1/13/20 11:54 VIXW2015A16 VIXW Jan15'20 16 call SHORT 1,120 0.05 1/16 8:05 0.00 n/a $4,816
Includes Typical Broker Commissions trade costs of $784.00
12/28/19 9:35 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 92,500 13.00 1/9/20 11:34 13.53 44.36%
Trade id #126777799
Max drawdown($90,650)
Time12/30/19 0:00
Quant open92,500
Worst price13.98
Drawdown as % of equity-44.36%
($49,463)
Includes Typical Broker Commissions trade costs of $18.17
12/26/19 13:03 UVXY1927L13 UVXY Dec27'19 13 call SHORT 1,050 0.09 12/28 9:35 0.02 8.43%
Trade id #126758313
Max drawdown($16,800)
Time12/27/19 0:00
Quant open1,050
Worst price0.25
Drawdown as % of equity-8.43%
$7,025
Includes Typical Broker Commissions trade costs of $822.50
12/10/19 11:53 VIXW1911L18 VIXW Dec11'19 18 call SHORT 1,820 0.05 12/12 8:05 0.00 8.08%
Trade id #126562654
Max drawdown($14,560)
Time12/10/19 14:50
Quant open1,820
Worst price0.13
Drawdown as % of equity-8.08%
$7,826
Includes Typical Broker Commissions trade costs of $1,274.00
12/3/19 10:34 VIXW1904L21 VIXW Dec4'19 21 call SHORT 1,400 0.05 12/5 8:05 0.00 3.78%
Trade id #126459308
Max drawdown($7,000)
Time12/3/19 10:52
Quant open1,400
Worst price0.10
Drawdown as % of equity-3.78%
$6,020
Includes Typical Broker Commissions trade costs of $980.00
11/19/19 14:18 VIX1920K14 VIX Nov20'19 14 call SHORT 1,540 0.05 11/20 8:05 0.00 4.31%
Trade id #126273786
Max drawdown($7,700)
Time11/19/19 14:57
Quant open1,540
Worst price0.10
Drawdown as % of equity-4.31%
$6,622
Includes Typical Broker Commissions trade costs of $1,078.00
11/12/19 12:38 VIXW1913K14 VIXW Nov13'19 14 call SHORT 280 0.04 11/14 8:05 0.00 n/a $924
Includes Typical Broker Commissions trade costs of $196.00
11/7/19 12:22 UVXY1908K19.5 UVXY Nov8'19 19.5 call SHORT 140 0.09 11/9 9:35 0.11 0.44%
Trade id #126115796
Max drawdown($770)
Time11/7/19 15:22
Quant open140
Worst price0.14
Drawdown as % of equity-0.44%
($593)
Includes Typical Broker Commissions trade costs of $184.10
11/7/19 12:25 UVXY1908K20 UVXY Nov8'19 20 call SHORT 910 0.06 11/9 9:35 0.00 1.05%
Trade id #126115912
Max drawdown($1,820)
Time11/7/19 15:19
Quant open910
Worst price0.08
Drawdown as % of equity-1.05%
$4,823
Includes Typical Broker Commissions trade costs of $637.00
11/5/19 15:29 VIXW1906K14 VIXW Nov6'19 14 call SHORT 1,400 0.05 11/7 8:05 0.00 n/a $6,020
Includes Typical Broker Commissions trade costs of $980.00
11/1/19 9:45 UVXY1901K19.5 UVXY Nov1'19 19.5 call SHORT 630 0.06 11/2 9:37 0.00 46.24%
Trade id #126037696
Max drawdown($76,230)
Time11/1/19 10:01
Quant open630
Worst price1.27
Drawdown as % of equity-46.24%
$3,339
Includes Typical Broker Commissions trade costs of $441.00
10/28/19 13:32 VIXW1930J16 VIXW Oct30'19 16 call SHORT 1,330 0.05 10/31 8:05 0.00 4.28%
Trade id #125977103
Max drawdown($6,650)
Time10/28/19 15:32
Quant open1,330
Worst price0.10
Drawdown as % of equity-4.28%
$5,719
Includes Typical Broker Commissions trade costs of $931.00
10/29/19 11:42 VIXW1930J14.5 VIXW Oct30'19 14.5 call SHORT 350 0.10 10/31 8:05 0.00 1.1%
Trade id #125989517
Max drawdown($1,750)
Time10/29/19 12:06
Quant open350
Worst price0.15
Drawdown as % of equity-1.10%
$3,255
Includes Typical Broker Commissions trade costs of $245.00
10/22/19 9:51 VIXW1923J16 VIXW Oct23'19 16 call SHORT 1,120 0.05 10/24 8:05 0.00 1.49%
Trade id #125892904
Max drawdown($2,240)
Time10/22/19 10:23
Quant open1,120
Worst price0.07
Drawdown as % of equity-1.49%
$4,816
Includes Typical Broker Commissions trade costs of $784.00
10/15/19 15:48 VIX1916J15 VIX Oct16'19 15 call SHORT 1,050 0.05 10/16 8:05 0.00 3.59%
Trade id #125800500
Max drawdown($5,250)
Time10/15/19 15:55
Quant open1,050
Worst price0.10
Drawdown as % of equity-3.59%
$4,515
Includes Typical Broker Commissions trade costs of $735.00
10/11/19 10:13 UVXY1911J28 UVXY Oct11'19 28 call SHORT 700 0.05 10/12 9:35 0.00 1.95%
Trade id #125741060
Max drawdown($2,800)
Time10/11/19 12:17
Quant open700
Worst price0.09
Drawdown as % of equity-1.95%
$3,010
Includes Typical Broker Commissions trade costs of $490.00
9/24/19 14:17 VIXW1925I19 VIXW Sep25'19 19 call SHORT 70 0.05 9/26 8:05 0.00 0.51%
Trade id #125487300
Max drawdown($727)
Time9/24/19 15:39
Quant open70
Worst price0.15
Drawdown as % of equity-0.51%
$274
Includes Typical Broker Commissions trade costs of $49.00

Statistics

  • Strategy began
    3/1/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    822.44
  • Age
    27 months ago
  • What it trades
    Options
  • # Trades
    167
  • # Profitable
    150
  • % Profitable
    89.80%
  • Avg trade duration
    5.1 days
  • Max peak-to-valley drawdown
    53.75%
  • drawdown period
    March 18, 2020 - March 18, 2020
  • Annual Return (Compounded)
    87.7%
  • Avg win
    $2,551
  • Avg loss
    $10,204
  • Model Account Values (Raw)
  • Cash
    $259,305
  • Margin Used
    $0
  • Buying Power
    $259,305
  • Ratios
  • W:L ratio
    2.21:1
  • Sharpe Ratio
    1.25
  • Sortino Ratio
    1.82
  • Calmar Ratio
    4.466
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    301.93%
  • Correlation to SP500
    0.03910
  • Return Percent SP500 (cumu) during strategy life
    13.69%
  • Return Statistics
  • Ann Return (w trading costs)
    87.7%
  • Slump
  • Current Slump as Pcnt Equity
    0.03%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.09%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.877%
  • Instruments
  • Percent Trades Options
    0.98%
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    107.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    29.00%
  • Chance of 20% account loss
    17.00%
  • Chance of 30% account loss
    4.50%
  • Chance of 40% account loss
    1.00%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    908
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    245
  • Popularity (7 days, Percentile 1000 scale)
    726
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $10,205
  • Avg Win
    $2,552
  • Sum Trade PL (losers)
    $173,483.000
  • Age
  • Num Months filled monthly returns table
    27
  • Win / Loss
  • Sum Trade PL (winners)
    $382,788.000
  • # Winners
    150
  • Num Months Winners
    21
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    17
  • % Winners
    89.8%
  • Frequency
  • Avg Position Time (mins)
    7317.30
  • Avg Position Time (hrs)
    121.95
  • Avg Trade Length
    5.1 days
  • Last Trade Ago
    72
  • Leverage
  • Daily leverage (average)
    10.68
  • Daily leverage (max)
    92.32
  • Regression
  • Alpha
    0.20
  • Beta
    0.08
  • Treynor Index
    2.42
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    19.22
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    22.78
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.15
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.14
  • Avg(MAE) / Avg(PL) - All trades
    6.530
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    1.918
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.404
  • Hold-and-Hope Ratio
    0.153
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.82258
  • SD
    0.37191
  • Sharpe ratio (Glass type estimate)
    2.21176
  • Sharpe ratio (Hedges UMVUE)
    2.14463
  • df
    25.00000
  • t
    3.25563
  • p
    0.00162
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.72890
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.65806
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.68643
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.60283
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.47182
  • Upside Potential Ratio
    5.66915
  • Upside part of mean
    1.04283
  • Downside part of mean
    -0.22025
  • Upside SD
    0.39440
  • Downside SD
    0.18395
  • N nonnegative terms
    21.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.01919
  • Mean of criterion
    0.82258
  • SD of predictor
    0.17489
  • SD of criterion
    0.37191
  • Covariance
    -0.01018
  • r
    -0.15653
  • b (slope, estimate of beta)
    -0.33285
  • a (intercept, estimate of alpha)
    0.82897
  • Mean Square Error
    0.14055
  • DF error
    24.00000
  • t(b)
    -0.77638
  • p(b)
    0.77745
  • t(a)
    3.25304
  • p(a)
    0.00169
  • Lowerbound of 95% confidence interval for beta
    -1.21769
  • Upperbound of 95% confidence interval for beta
    0.55198
  • Lowerbound of 95% confidence interval for alpha
    0.30303
  • Upperbound of 95% confidence interval for alpha
    1.35491
  • Treynor index (mean / b)
    -2.47131
  • Jensen alpha (a)
    0.82897
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.73207
  • SD
    0.36451
  • Sharpe ratio (Glass type estimate)
    2.00837
  • Sharpe ratio (Hedges UMVUE)
    1.94741
  • df
    25.00000
  • t
    2.95625
  • p
    0.00335
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.54915
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.43340
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51063
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.38419
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.64413
  • Upside Potential Ratio
    4.83249
  • Upside part of mean
    0.97080
  • Downside part of mean
    -0.23873
  • Upside SD
    0.36340
  • Downside SD
    0.20089
  • N nonnegative terms
    21.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.00309
  • Mean of criterion
    0.73207
  • SD of predictor
    0.18712
  • SD of criterion
    0.36451
  • Covariance
    -0.01132
  • r
    -0.16602
  • b (slope, estimate of beta)
    -0.32340
  • a (intercept, estimate of alpha)
    0.73307
  • Mean Square Error
    0.13459
  • DF error
    24.00000
  • t(b)
    -0.82478
  • p(b)
    0.79119
  • t(a)
    2.94126
  • p(a)
    0.00357
  • Lowerbound of 95% confidence interval for beta
    -1.13267
  • Upperbound of 95% confidence interval for beta
    0.48587
  • Lowerbound of 95% confidence interval for alpha
    0.21867
  • Upperbound of 95% confidence interval for alpha
    1.24747
  • Treynor index (mean / b)
    -2.26365
  • Jensen alpha (a)
    0.73307
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10602
  • Expected Shortfall on VaR
    0.14383
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01905
  • Expected Shortfall on VaR
    0.05190
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.80292
  • Quartile 1
    1.02047
  • Median
    1.07324
  • Quartile 3
    1.14622
  • Maximum
    1.22996
  • Mean of quarter 1
    0.93824
  • Mean of quarter 2
    1.04917
  • Mean of quarter 3
    1.10896
  • Mean of quarter 4
    1.18948
  • Inter Quartile Range
    0.12575
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03846
  • Mean of outliers low
    0.80292
  • 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)
    -0.52483
  • VaR(95%) (regression method)
    0.10343
  • Expected Shortfall (regression method)
    0.13946
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01555
  • Quartile 1
    0.09502
  • Median
    0.12647
  • Quartile 3
    0.14783
  • Maximum
    0.19708
  • Mean of quarter 1
    0.01555
  • Mean of quarter 2
    0.12151
  • Mean of quarter 3
    0.13142
  • Mean of quarter 4
    0.19708
  • Inter Quartile Range
    0.05281
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.25000
  • Mean of outliers low
    0.01555
  • 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)
    1.93355
  • Compounded annual return (geometric extrapolation)
    1.13822
  • Calmar ratio (compounded annual return / max draw down)
    5.77557
  • Compounded annual return / average of 25% largest draw downs
    5.77557
  • Compounded annual return / Expected Shortfall lognormal
    7.91340
  • 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
    0.80716
  • SD
    0.41921
  • Sharpe ratio (Glass type estimate)
    1.92541
  • Sharpe ratio (Hedges UMVUE)
    1.92291
  • df
    578.00000
  • t
    2.86227
  • p
    0.00218
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.60149
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.24769
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.59982
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.24600
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.86193
  • Upside Potential Ratio
    6.08478
  • Upside part of mean
    1.71610
  • Downside part of mean
    -0.90895
  • Upside SD
    0.31366
  • Downside SD
    0.28203
  • N nonnegative terms
    233.00000
  • N negative terms
    346.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    579.00000
  • Mean of predictor
    0.05785
  • Mean of criterion
    0.80716
  • SD of predictor
    0.23546
  • SD of criterion
    0.41921
  • Covariance
    0.00351
  • r
    0.03554
  • b (slope, estimate of beta)
    0.06328
  • a (intercept, estimate of alpha)
    0.80300
  • Mean Square Error
    0.17582
  • DF error
    577.00000
  • t(b)
    0.85431
  • p(b)
    0.19664
  • t(a)
    2.84830
  • p(a)
    0.00228
  • Lowerbound of 95% confidence interval for beta
    -0.08220
  • Upperbound of 95% confidence interval for beta
    0.20877
  • Lowerbound of 95% confidence interval for alpha
    0.24943
  • Upperbound of 95% confidence interval for alpha
    1.35756
  • Treynor index (mean / b)
    12.75510
  • Jensen alpha (a)
    0.80349
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.71719
  • SD
    0.42386
  • Sharpe ratio (Glass type estimate)
    1.69204
  • Sharpe ratio (Hedges UMVUE)
    1.68985
  • df
    578.00000
  • t
    2.51536
  • p
    0.00608
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36929
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.01337
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36782
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.01188
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.35474
  • Upside Potential Ratio
    5.48335
  • Upside part of mean
    1.67009
  • Downside part of mean
    -0.95289
  • Upside SD
    0.29757
  • Downside SD
    0.30457
  • N nonnegative terms
    233.00000
  • N negative terms
    346.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    579.00000
  • Mean of predictor
    0.03016
  • Mean of criterion
    0.71719
  • SD of predictor
    0.23557
  • SD of criterion
    0.42386
  • Covariance
    0.00444
  • r
    0.04446
  • b (slope, estimate of beta)
    0.08000
  • a (intercept, estimate of alpha)
    0.71478
  • Mean Square Error
    0.17961
  • DF error
    577.00000
  • t(b)
    1.06905
  • p(b)
    0.14275
  • t(a)
    2.50713
  • p(a)
    0.00622
  • Lowerbound of 95% confidence interval for beta
    -0.06698
  • Upperbound of 95% confidence interval for beta
    0.22698
  • Lowerbound of 95% confidence interval for alpha
    0.15482
  • Upperbound of 95% confidence interval for alpha
    1.27474
  • Treynor index (mean / b)
    8.96502
  • Jensen alpha (a)
    0.71478
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03953
  • Expected Shortfall on VaR
    0.04994
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00861
  • Expected Shortfall on VaR
    0.02000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    579.00000
  • Minimum
    0.80284
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00505
  • Maximum
    1.19159
  • Mean of quarter 1
    0.98640
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00137
  • Mean of quarter 4
    1.02497
  • Inter Quartile Range
    0.00505
  • Number outliers low
    45.00000
  • Percentage of outliers low
    0.07772
  • Mean of outliers low
    0.95985
  • Number of outliers high
    89.00000
  • Percentage of outliers high
    0.15371
  • Mean of outliers high
    1.03578
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.19955
  • VaR(95%) (moments method)
    0.00540
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.62911
  • VaR(95%) (regression method)
    0.00953
  • Expected Shortfall (regression method)
    0.03884
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    52.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00145
  • Median
    0.00793
  • Quartile 3
    0.02604
  • Maximum
    0.24777
  • Mean of quarter 1
    0.00058
  • Mean of quarter 2
    0.00370
  • Mean of quarter 3
    0.01427
  • Mean of quarter 4
    0.10912
  • Inter Quartile Range
    0.02459
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.13462
  • Mean of outliers high
    0.16773
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.27924
  • VaR(95%) (moments method)
    0.08927
  • Expected Shortfall (moments method)
    0.15907
  • Extreme Value Index (regression method)
    -0.14411
  • VaR(95%) (regression method)
    0.11464
  • Expected Shortfall (regression method)
    0.15767
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.89570
  • Compounded annual return (geometric extrapolation)
    1.10665
  • Calmar ratio (compounded annual return / max draw down)
    4.46640
  • Compounded annual return / average of 25% largest draw downs
    10.14160
  • Compounded annual return / Expected Shortfall lognormal
    22.15950
  • 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
    0.41815
  • SD
    0.55876
  • Sharpe ratio (Glass type estimate)
    0.74834
  • Sharpe ratio (Hedges UMVUE)
    0.74402
  • df
    130.00000
  • t
    0.52916
  • p
    0.47682
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.02629
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.52031
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.02926
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.51730
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.07012
  • Upside Potential Ratio
    4.55651
  • Upside part of mean
    1.78045
  • Downside part of mean
    -1.36230
  • Upside SD
    0.39726
  • Downside SD
    0.39075
  • N nonnegative terms
    27.00000
  • N negative terms
    104.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.00567
  • Mean of criterion
    0.41815
  • SD of predictor
    0.41268
  • SD of criterion
    0.55876
  • Covariance
    -0.00552
  • r
    -0.02395
  • b (slope, estimate of beta)
    -0.03242
  • a (intercept, estimate of alpha)
    0.41796
  • Mean Square Error
    0.31446
  • DF error
    129.00000
  • t(b)
    -0.27207
  • p(b)
    0.51524
  • t(a)
    0.52704
  • p(a)
    0.47050
  • Lowerbound of 95% confidence interval for beta
    -0.26822
  • Upperbound of 95% confidence interval for beta
    0.20337
  • Lowerbound of 95% confidence interval for alpha
    -1.15109
  • Upperbound of 95% confidence interval for alpha
    1.98702
  • Treynor index (mean / b)
    -12.89590
  • Jensen alpha (a)
    0.41796
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26001
  • SD
    0.56803
  • Sharpe ratio (Glass type estimate)
    0.45774
  • Sharpe ratio (Hedges UMVUE)
    0.45509
  • df
    130.00000
  • t
    0.32367
  • p
    0.48581
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.31548
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.22926
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.31727
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22745
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.61047
  • Upside Potential Ratio
    4.00965
  • Upside part of mean
    1.70777
  • Downside part of mean
    -1.44776
  • Upside SD
    0.37290
  • Downside SD
    0.42591
  • N nonnegative terms
    27.00000
  • N negative terms
    104.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.09014
  • Mean of criterion
    0.26001
  • SD of predictor
    0.41268
  • SD of criterion
    0.56803
  • Covariance
    -0.00181
  • r
    -0.00771
  • b (slope, estimate of beta)
    -0.01062
  • a (intercept, estimate of alpha)
    0.25905
  • Mean Square Error
    0.32514
  • DF error
    129.00000
  • t(b)
    -0.08762
  • p(b)
    0.50491
  • t(a)
    0.32121
  • p(a)
    0.48201
  • VAR (95 Confidence Intrvl)
    0.04000
  • Lowerbound of 95% confidence interval for beta
    -0.25038
  • Upperbound of 95% confidence interval for beta
    0.22915
  • Lowerbound of 95% confidence interval for alpha
    -1.33658
  • Upperbound of 95% confidence interval for alpha
    1.85468
  • Treynor index (mean / b)
    -24.48800
  • Jensen alpha (a)
    0.25905
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05515
  • Expected Shortfall on VaR
    0.06883
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01562
  • Expected Shortfall on VaR
    0.03499
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.80284
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.19159
  • Mean of quarter 1
    0.97969
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02706
  • Inter Quartile Range
    0.00000
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.13740
  • Mean of outliers low
    0.96277
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.20611
  • Mean of outliers high
    1.03308
  • 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)
    0.78234
  • VaR(95%) (regression method)
    0.01930
  • Expected Shortfall (regression method)
    0.14260
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00175
  • Quartile 1
    0.01194
  • Median
    0.08286
  • Quartile 3
    0.15801
  • Maximum
    0.20597
  • Mean of quarter 1
    0.00503
  • Mean of quarter 2
    0.02283
  • Mean of quarter 3
    0.14290
  • Mean of quarter 4
    0.18451
  • Inter Quartile Range
    0.14607
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -253573000
  • Max Equity Drawdown (num days)
    60
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30967
  • Compounded annual return (geometric extrapolation)
    0.33364
  • Calmar ratio (compounded annual return / max draw down)
    1.61986
  • Compounded annual return / average of 25% largest draw downs
    1.80826
  • Compounded annual return / Expected Shortfall lognormal
    4.84757

Strategy Description

Summary Statistics

Strategy began
2018-03-01
Suggested Minimum Capital
$35,000
# Trades
167
# Profitable
150
% Profitable
89.8%
Correlation S&P500
0.039
Sharpe Ratio
1.25
Sortino Ratio
1.82
Beta
0.08
Alpha
0.20
Leverage
10.68 Average
92.32 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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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.