Collective2 Collective2
Featured Strategy S2Prox0 +62.8% Annual Return (Compounded) since Dec 23, 2022 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 05/18/2018
Most recent certification approved 5/18/18 14:06 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 94
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 90
Percent signals followed since 05/18/2018 95.7%
This information was last updated 4/25/24 23:31 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 05/18/2018, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Opening Range Trader
(118000353)

Created by: TraderRod TraderRod
Started: 05/2018
Options
Last trade: 2,105 days ago
Trading style: Options Directional Bets

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $49.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Options
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
8.7%
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.

(100.0%)
Max Drawdown
24
Num Trades
62.5%
Win Trades
3.7 : 1
Profit Factor
44.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                            (4.9%)(3.3%)+9.4%(6.1%)(19.8%)(53.5%)+26.0%(116.6%)(107.4%)
2019(886.7%)+15.8%(33.3%)+81.7%+12.5%(21.1%)  -  (53.3%)+111.2%+57.3%+14.9%+27.3%(2320.4%)
2020(18.1%)(27.5%)(176.1%)(77.1%)(88.4%)(918.5%)(93.2%)(1646.1%)(136.1%)(107.5%)(513.3%)(7.3%)(62.7%)
2021+31.7%+108.8%+25.8%+9.6%+18.7%(9.8%)(16.7%)+30.0%+3.3%+26.4%(17.6%)+4.9%+396.2%
2022+10.6%(15%)+0.7%(36.1%)(0.9%)(36.3%)+13.1%+8.1%(40.6%)+97.5%+10.9%(36.1%)(61.2%)
2023+37.2%(10.1%)(73.7%)+40.2%(4.2%)+6.7%+100.6%(39.5%)(31.2%)(22.4%)+117.5%+80.9%+18.5%
2024(3.6%)+0.7%+47.8%(18%)                                                +17.7%

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 89 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/15/18 9:32 GLD1820G122 GLD Jul20'18 122 call LONG 3 1.26 7/21 9:36 0.00 4.42%
Trade id #118453376
Max drawdown($379)
Time7/21/18 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-4.42%
 ($382)
Includes Typical Broker Commissions trade costs of $3.00
6/14/18 9:41 BAC1820G30 BAC Jul20'18 30 call LONG 15 0.55 7/21 9:36 0.00 9.6%
Trade id #118433813
Max drawdown($822)
Time7/21/18 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-9.60%
 ($833)
Includes Typical Broker Commissions trade costs of $10.50
7/6/18 10:45 QQQ1820S172.5 QQQ Jul20'18 172.5 put LONG 4 1.62 7/21 9:36 0.00 7.59%
Trade id #118803061
Max drawdown($650)
Time7/21/18 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-7.59%
 ($653)
Includes Typical Broker Commissions trade costs of $2.80
6/13/18 9:50 T1820G33 T Jul20'18 33 call LONG 17 0.53 7/6 10:05 0.40 5%
Trade id #118409530
Max drawdown($463)
Time7/2/18 15:03
Quant open10
Worst price0.07
Drawdown as % of equity-5.00%
 ($252)
Includes Typical Broker Commissions trade costs of $23.80
6/21/18 11:20 SBUX1820G52.5 SBUX Jul20'18 52.5 call LONG 6 0.39 6/28 15:49 0.19 1.66%
Trade id #118566101
Max drawdown($158)
Time6/28/18 12:18
Quant open5
Worst price0.07
Drawdown as % of equity-1.66%
 ($129)
Includes Typical Broker Commissions trade costs of $8.70
6/27/18 10:35 SPY1829R274 SPY Jun29'18 274 put LONG 2 1.44 6/27 12:44 2.17 0.59%
Trade id #118671834
Max drawdown($56)
Time6/27/18 10:41
Quant open2
Worst price1.16
Drawdown as % of equity-0.59%
 $143
Includes Typical Broker Commissions trade costs of $3.40
6/22/18 10:09 MSFT1820G100 MSFT Jul20'18 100 call LONG 2 2.77 6/27 9:31 2.78 1.04%
Trade id #118591414
Max drawdown($99)
Time6/25/18 14:53
Quant open1
Worst price1.77
Drawdown as % of equity-1.04%
 ($1)
Includes Typical Broker Commissions trade costs of $4.00
6/20/18 12:48 IWM1820S165 IWM Jul20'18 165 put LONG 2 1.11 6/21 9:57 1.30 0.04%
Trade id #118542302
Max drawdown($4)
Time6/20/18 13:43
Quant open2
Worst price1.09
Drawdown as % of equity-0.04%
 $36
Includes Typical Broker Commissions trade costs of $3.40
6/20/18 12:45 QQQ1820S175 QQQ Jul20'18 175 put LONG 1 1.98 6/21 9:46 2.15 0.08%
Trade id #118542241
Max drawdown($8)
Time6/20/18 14:17
Quant open1
Worst price1.90
Drawdown as % of equity-0.08%
 $15
Includes Typical Broker Commissions trade costs of $2.00
6/19/18 10:35 INTC1820G52 INTC Jul20'18 52 call LONG 1 1.62 6/19 14:11 1.99 0.04%
Trade id #118509393
Max drawdown($4)
Time6/19/18 10:38
Quant open1
Worst price1.58
Drawdown as % of equity-0.04%
 $35
Includes Typical Broker Commissions trade costs of $2.00
6/18/18 14:09 IWM1820S167 IWM Jul20'18 167 put LONG 2 1.94 6/19 10:34 2.78 0.27%
Trade id #118488772
Max drawdown($27)
Time6/18/18 16:14
Quant open2
Worst price1.80
Drawdown as % of equity-0.27%
 $164
Includes Typical Broker Commissions trade costs of $4.00
6/14/18 9:41 QQQ1820S175 QQQ Jul20'18 175 put LONG 2 2.36 6/15 9:37 2.54 0.41%
Trade id #118433760
Max drawdown($42)
Time6/14/18 13:36
Quant open2
Worst price2.15
Drawdown as % of equity-0.41%
 $32
Includes Typical Broker Commissions trade costs of $4.00
6/12/18 14:46 BAC1820G30 BAC Jul20'18 30 call SHORT 3 0.75 6/13 9:38 0.84 0.29%
Trade id #118398170
Max drawdown($30)
Time6/13/18 9:31
Quant open-3
Worst price0.85
Drawdown as % of equity-0.29%
 ($31)
Includes Typical Broker Commissions trade costs of $4.20
5/23/18 10:29 BAC1815F30 BAC Jun15'18 30 call LONG 20 0.37 6/8 15:11 0.32 4.88%
Trade id #118069488
Max drawdown($466)
Time5/31/18 10:10
Quant open20
Worst price0.14
Drawdown as % of equity-4.88%
 ($134)
Includes Typical Broker Commissions trade costs of $28.30
6/1/18 10:21 QQQ1815R170 QQQ Jun15'18 170 put LONG 6 0.67 6/7 13:59 0.57 2.02%
Trade id #118211691
Max drawdown($201)
Time6/7/18 9:31
Quant open5
Worst price0.27
Drawdown as % of equity-2.02%
 ($70)
Includes Typical Broker Commissions trade costs of $8.70
6/6/18 14:52 SPY1815R275 SPY Jun15'18 275 put LONG 4 1.09 6/7 13:44 1.41 0.76%
Trade id #118296150
Max drawdown($76)
Time6/7/18 9:51
Quant open2
Worst price0.89
Drawdown as % of equity-0.76%
 $120
Includes Typical Broker Commissions trade costs of $6.20
5/25/18 13:58 TLT1815R120 TLT Jun15'18 120 put LONG 10 0.70 6/4 13:12 0.80 3%
Trade id #118119817
Max drawdown($280)
Time5/29/18 14:39
Quant open5
Worst price0.40
Drawdown as % of equity-3.00%
 $83
Includes Typical Broker Commissions trade costs of $14.90
5/31/18 12:19 GE1815F14 GE Jun15'18 14 call LONG 3 0.33 6/1 9:32 0.35 0.06%
Trade id #118194396
Max drawdown($6)
Time5/31/18 12:40
Quant open3
Worst price0.31
Drawdown as % of equity-0.06%
 $2
Includes Typical Broker Commissions trade costs of $4.20
5/30/18 11:28 IWM1815R162 IWM Jun15'18 162 put LONG 1 1.15 5/31 12:18 1.22 0.17%
Trade id #118170013
Max drawdown($17)
Time5/31/18 9:36
Quant open1
Worst price0.98
Drawdown as % of equity-0.17%
 $5
Includes Typical Broker Commissions trade costs of $2.00
5/24/18 9:40 TGT1815F72.5 TGT Jun15'18 72.5 call LONG 4 0.91 5/30 9:45 1.18 0.58%
Trade id #118090084
Max drawdown($57)
Time5/24/18 10:59
Quant open2
Worst price0.70
Drawdown as % of equity-0.58%
 $100
Includes Typical Broker Commissions trade costs of $6.80
5/24/18 14:10 QQQ1815R167 QQQ Jun15'18 167 put LONG 3 1.36 5/29 9:51 1.55 0.62%
Trade id #118098995
Max drawdown($61)
Time5/25/18 11:46
Quant open3
Worst price1.16
Drawdown as % of equity-0.62%
 $50
Includes Typical Broker Commissions trade costs of $4.80
5/24/18 9:42 GE1825E14 GE May25'18 14 call LONG 5 0.56 5/24 10:19 0.44 0.61%
Trade id #118090112
Max drawdown($60)
Time5/24/18 10:14
Quant open5
Worst price0.44
Drawdown as % of equity-0.61%
 ($67)
Includes Typical Broker Commissions trade costs of $7.00
5/18/18 14:06 BAC1815F30 BAC Jun15'18 30 call LONG 2 0.78 5/22 10:20 0.95 0.1%
Trade id #118001451
Max drawdown($10)
Time5/18/18 15:37
Quant open2
Worst price0.73
Drawdown as % of equity-0.10%
 $31
Includes Typical Broker Commissions trade costs of $3.40
Next

Statistics

  • Strategy began
    5/18/2018
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    2161.85
  • Age
    72 months ago
  • What it trades
    Options
  • # Trades
    24
  • # Profitable
    15
  • % Profitable
    62.50%
  • Avg trade duration
    94.8 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Oct 28, 2020 - Oct 30, 2020
  • Annual Return (Compounded)
    8.7%
  • Avg win
    $610.60
  • Avg loss
    $272.56
  • Model Account Values (Raw)
  • Cash
    ($14,074)
  • Margin Used
    $0
  • Buying Power
    ($5,794)
  • Ratios
  • W:L ratio
    3.73:1
  • Sharpe Ratio
    0.33
  • Sortino Ratio
    4.54
  • Calmar Ratio
    0.739
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -21.34%
  • Correlation to SP500
    0.42990
  • Return Percent SP500 (cumu) during strategy life
    86.08%
  • Return Statistics
  • Ann Return (w trading costs)
    8.7%
  • Slump
  • Current Slump as Pcnt Equity
    126.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.37%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.087%
  • Instruments
  • Percent Trades Options
    0.99%
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    9.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $273
  • Avg Win
    $611
  • Sum Trade PL (losers)
    $2,453.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $9,159.000
  • # Winners
    15
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    9
  • % Winners
    62.5%
  • Frequency
  • Avg Position Time (mins)
    136538.00
  • Avg Position Time (hrs)
    2275.63
  • Avg Trade Length
    94.8 days
  • Last Trade Ago
    2098
  • Leverage
  • Daily leverage (average)
    6.94
  • Daily leverage (max)
    10.80
  • Regression
  • Alpha
    0.00
  • Beta
    9.03
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    81.79
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    44.63
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.28
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    3.973
  • 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
    0.08
  • Avg(MAE) / Avg(PL) - Winning trades
    2.352
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.317
  • Hold-and-Hope Ratio
    -0.396
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    6.72681
  • SD
    6.15611
  • Sharpe ratio (Glass type estimate)
    1.09271
  • Sharpe ratio (Hedges UMVUE)
    1.00829
  • df
    10.00000
  • t
    1.04619
  • p
    0.16005
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.03376
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.16816
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08598
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.10255
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.00372
  • Upside Potential Ratio
    7.92156
  • Upside part of mean
    8.87563
  • Downside part of mean
    -2.14882
  • Upside SD
    6.08012
  • Downside SD
    1.12044
  • N nonnegative terms
    6.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.76006
  • Mean of criterion
    6.72681
  • SD of predictor
    0.40679
  • SD of criterion
    6.15611
  • Covariance
    0.69904
  • r
    0.27914
  • b (slope, estimate of beta)
    4.22446
  • a (intercept, estimate of alpha)
    3.51598
  • Mean Square Error
    38.82730
  • DF error
    9.00000
  • t(b)
    0.87210
  • p(b)
    0.20291
  • t(a)
    0.47021
  • p(a)
    0.32470
  • Lowerbound of 95% confidence interval for beta
    -6.73342
  • Upperbound of 95% confidence interval for beta
    15.18230
  • Lowerbound of 95% confidence interval for alpha
    -13.39920
  • Upperbound of 95% confidence interval for alpha
    20.43110
  • Treynor index (mean / b)
    1.59235
  • Jensen alpha (a)
    3.51598
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53313
  • SD
    3.13868
  • Sharpe ratio (Glass type estimate)
    0.16986
  • Sharpe ratio (Hedges UMVUE)
    0.15674
  • df
    10.00000
  • t
    0.16263
  • p
    0.43703
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.88269
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21417
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.89153
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20500
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.27284
  • Upside Potential Ratio
    2.03698
  • Upside part of mean
    3.98018
  • Downside part of mean
    -3.44705
  • Upside SD
    2.27188
  • Downside SD
    1.95396
  • N nonnegative terms
    6.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.66169
  • Mean of criterion
    0.53313
  • SD of predictor
    0.41375
  • SD of criterion
    3.13868
  • Covariance
    0.63984
  • r
    0.49270
  • b (slope, estimate of beta)
    3.73757
  • a (intercept, estimate of alpha)
    -1.93998
  • Mean Square Error
    8.28870
  • DF error
    9.00000
  • t(b)
    1.69859
  • p(b)
    0.06181
  • t(a)
    -0.58066
  • p(a)
    0.71214
  • Lowerbound of 95% confidence interval for beta
    -1.24007
  • Upperbound of 95% confidence interval for beta
    8.71521
  • Lowerbound of 95% confidence interval for alpha
    -9.49779
  • Upperbound of 95% confidence interval for alpha
    5.61783
  • Treynor index (mean / b)
    0.14264
  • Jensen alpha (a)
    -1.93998
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.76447
  • Expected Shortfall on VaR
    0.83067
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.39389
  • Expected Shortfall on VaR
    0.72539
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.23365
  • Quartile 1
    0.78135
  • Median
    1.00762
  • Quartile 3
    1.52097
  • Maximum
    6.57614
  • Mean of quarter 1
    0.44158
  • Mean of quarter 2
    0.90826
  • Mean of quarter 3
    1.25030
  • Mean of quarter 4
    3.54725
  • Inter Quartile Range
    0.73962
  • 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
    0.09091
  • Mean of outliers high
    6.57614
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -139.36800
  • VaR(95%) (moments method)
    0.50165
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.19868
  • VaR(95%) (regression method)
    1.22522
  • Expected Shortfall (regression method)
    1.22962
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.75912
  • Quartile 1
    0.77478
  • Median
    0.79045
  • Quartile 3
    0.80611
  • Maximum
    0.82178
  • Mean of quarter 1
    0.75912
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.82178
  • Inter Quartile Range
    0.03133
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.73357
  • Compounded annual return (geometric extrapolation)
    0.75248
  • Calmar ratio (compounded annual return / max draw down)
    0.91568
  • Compounded annual return / average of 25% largest draw downs
    0.91568
  • Compounded annual return / Expected Shortfall lognormal
    0.90587
  • 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
    4512.94000
  • SD
    2337.32000
  • Sharpe ratio (Glass type estimate)
    1.93082
  • Sharpe ratio (Hedges UMVUE)
    1.92483
  • df
    242.00000
  • t
    1.85949
  • p
    0.03209
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.11354
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.97127
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.11753
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.96719
  • Statistics related to Sortino ratio
  • Sortino ratio
    1368.00000
  • Upside Potential Ratio
    1374.49000
  • Upside part of mean
    4534.37000
  • Downside part of mean
    -21.42130
  • Upside SD
    2349.11000
  • Downside SD
    3.29894
  • N nonnegative terms
    116.00000
  • N negative terms
    127.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    243.00000
  • Mean of predictor
    0.78522
  • Mean of criterion
    4512.94000
  • SD of predictor
    0.46436
  • SD of criterion
    2337.32000
  • Covariance
    106.20200
  • r
    0.09785
  • b (slope, estimate of beta)
    492.52600
  • a (intercept, estimate of alpha)
    4126.20000
  • Mean Square Error
    5433200.00000
  • DF error
    241.00000
  • t(b)
    1.52637
  • p(b)
    0.06411
  • t(a)
    1.69554
  • p(a)
    0.04563
  • Lowerbound of 95% confidence interval for beta
    -143.10400
  • Upperbound of 95% confidence interval for beta
    1128.16000
  • Lowerbound of 95% confidence interval for alpha
    -667.56600
  • Upperbound of 95% confidence interval for alpha
    8919.97000
  • Treynor index (mean / b)
    9.16286
  • Jensen alpha (a)
    4126.20000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52562
  • SD
    25.65430
  • Sharpe ratio (Glass type estimate)
    0.02049
  • Sharpe ratio (Hedges UMVUE)
    0.02042
  • df
    242.00000
  • t
    0.01973
  • p
    0.49214
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.01466
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05564
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.01472
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05557
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02716
  • Upside Potential Ratio
    3.45829
  • Upside part of mean
    66.91860
  • Downside part of mean
    -66.39300
  • Upside SD
    16.76330
  • Downside SD
    19.35020
  • N nonnegative terms
    116.00000
  • N negative terms
    127.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    243.00000
  • Mean of predictor
    0.67563
  • Mean of criterion
    0.52562
  • SD of predictor
    0.46836
  • SD of criterion
    25.65430
  • Covariance
    4.86559
  • r
    0.40494
  • b (slope, estimate of beta)
    22.18050
  • a (intercept, estimate of alpha)
    -14.46020
  • Mean Square Error
    552.50600
  • DF error
    241.00000
  • t(b)
    6.87532
  • p(b)
    0.00000
  • t(a)
    -0.59011
  • p(a)
    0.72217
  • Lowerbound of 95% confidence interval for beta
    15.82550
  • Upperbound of 95% confidence interval for beta
    28.53540
  • Lowerbound of 95% confidence interval for alpha
    -62.73000
  • Upperbound of 95% confidence interval for alpha
    33.80960
  • Treynor index (mean / b)
    0.02370
  • Jensen alpha (a)
    -14.46020
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.92610
  • Expected Shortfall on VaR
    0.95641
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.19068
  • Expected Shortfall on VaR
    0.40174
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    243.00000
  • Minimum
    0.00013
  • Quartile 1
    0.92690
  • Median
    1.00000
  • Quartile 3
    1.08960
  • Maximum
    1961.00000
  • Mean of quarter 1
    0.69590
  • Mean of quarter 2
    0.97861
  • Mean of quarter 3
    1.03083
  • Mean of quarter 4
    69.91310
  • Inter Quartile Range
    0.16270
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.07819
  • Mean of outliers low
    0.37252
  • Number of outliers high
    29.00000
  • Percentage of outliers high
    0.11934
  • Mean of outliers high
    145.75700
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49116
  • VaR(95%) (moments method)
    0.27493
  • Expected Shortfall (moments method)
    0.63240
  • Extreme Value Index (regression method)
    -1.16905
  • VaR(95%) (regression method)
    0.28664
  • Expected Shortfall (regression method)
    0.30727
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.03134
  • Quartile 1
    0.08629
  • Median
    0.17659
  • Quartile 3
    0.76158
  • Maximum
    0.99994
  • Mean of quarter 1
    0.04782
  • Mean of quarter 2
    0.16772
  • Mean of quarter 3
    0.25200
  • Mean of quarter 4
    0.96892
  • Inter Quartile Range
    0.67529
  • 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)
    -14399100.00000
  • VaR(95%) (moments method)
    0.99546
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -12.31960
  • VaR(95%) (regression method)
    3.13636
  • Expected Shortfall (regression method)
    3.13636
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.72339
  • Compounded annual return (geometric extrapolation)
    0.73937
  • Calmar ratio (compounded annual return / max draw down)
    0.73942
  • Compounded annual return / average of 25% largest draw downs
    0.76309
  • Compounded annual return / Expected Shortfall lognormal
    0.77307
  • 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
    3653.74000
  • SD
    1540.93000
  • Sharpe ratio (Glass type estimate)
    2.37113
  • Sharpe ratio (Hedges UMVUE)
    2.35743
  • df
    130.00000
  • t
    1.67664
  • p
    0.42726
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41999
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.15339
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42915
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.14400
  • Statistics related to Sortino ratio
  • Sortino ratio
    1192.60000
  • Upside Potential Ratio
    1199.22000
  • Upside part of mean
    3674.03000
  • Downside part of mean
    -20.28380
  • Upside SD
    1551.54000
  • Downside SD
    3.06367
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.93449
  • Mean of criterion
    3653.74000
  • SD of predictor
    0.44499
  • SD of criterion
    1540.93000
  • Covariance
    54.69510
  • r
    0.07977
  • b (slope, estimate of beta)
    276.21300
  • a (intercept, estimate of alpha)
    3395.63000
  • Mean Square Error
    2377640.00000
  • DF error
    129.00000
  • t(b)
    0.90885
  • p(b)
    0.44927
  • t(a)
    1.54411
  • p(a)
    0.41450
  • Lowerbound of 95% confidence interval for beta
    -325.08700
  • Upperbound of 95% confidence interval for beta
    877.51200
  • Lowerbound of 95% confidence interval for alpha
    -955.30600
  • Upperbound of 95% confidence interval for alpha
    7746.56000
  • Treynor index (mean / b)
    13.22800
  • Jensen alpha (a)
    3395.63000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    4.39937
  • SD
    23.60900
  • Sharpe ratio (Glass type estimate)
    0.18634
  • Sharpe ratio (Hedges UMVUE)
    0.18527
  • df
    130.00000
  • t
    0.13176
  • p
    0.49422
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.58580
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.95800
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.58663
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.95716
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.25716
  • Upside Potential Ratio
    3.64852
  • Upside part of mean
    62.41720
  • Downside part of mean
    -58.01790
  • Upside SD
    16.14120
  • Downside SD
    17.10750
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.83422
  • Mean of criterion
    4.39937
  • SD of predictor
    0.44674
  • SD of criterion
    23.60900
  • Covariance
    2.92716
  • r
    0.27753
  • b (slope, estimate of beta)
    14.66680
  • a (intercept, estimate of alpha)
    -7.83594
  • Mean Square Error
    518.44200
  • DF error
    129.00000
  • t(b)
    3.28105
  • p(b)
    0.32561
  • t(a)
    -0.24173
  • p(a)
    0.51355
  • VAR (95 Confidence Intrvl)
    0.92600
  • Lowerbound of 95% confidence interval for beta
    5.82246
  • Upperbound of 95% confidence interval for beta
    23.51110
  • Lowerbound of 95% confidence interval for alpha
    -71.97160
  • Upperbound of 95% confidence interval for alpha
    56.29970
  • Treynor index (mean / b)
    0.29996
  • Jensen alpha (a)
    -7.83594
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.90767
  • Expected Shortfall on VaR
    0.94364
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.17110
  • Expected Shortfall on VaR
    0.36236
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00055
  • Quartile 1
    0.90879
  • Median
    1.00654
  • Quartile 3
    1.11246
  • Maximum
    746.00000
  • Mean of quarter 1
    0.72567
  • Mean of quarter 2
    0.96762
  • Mean of quarter 3
    1.05424
  • Mean of quarter 4
    56.61430
  • Inter Quartile Range
    0.20367
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.19008
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    141.85800
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.60045
  • VaR(95%) (moments method)
    0.29713
  • Expected Shortfall (moments method)
    0.79265
  • Extreme Value Index (regression method)
    -0.79117
  • VaR(95%) (regression method)
    0.23862
  • Expected Shortfall (regression method)
    0.26334
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.03134
  • Quartile 1
    0.06427
  • Median
    0.17659
  • Quartile 3
    0.34653
  • Maximum
    0.99945
  • Mean of quarter 1
    0.04457
  • Mean of quarter 2
    0.12367
  • Mean of quarter 3
    0.25200
  • Mean of quarter 4
    0.75330
  • Inter Quartile Range
    0.28226
  • 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
    0.95319
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -206.48800
  • VaR(95%) (moments method)
    0.70545
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.58035
  • VaR(95%) (regression method)
    1.67060
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    1.67297
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -356674000
  • Max Equity Drawdown (num days)
    2
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    16.29790
  • Compounded annual return (geometric extrapolation)
    82.70350
  • Calmar ratio (compounded annual return / max draw down)
    82.74880
  • Compounded annual return / average of 25% largest draw downs
    109.78800
  • Compounded annual return / Expected Shortfall lognormal
    87.64290

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2018-05-18
Suggested Minimum Capital
$35,000
# Trades
24
# Profitable
15
% Profitable
62.5%
Correlation S&P500
0.430
Sharpe Ratio
0.33
Sortino Ratio
4.54
Beta
9.03
Alpha
0.00
Leverage
6.94 Average
10.80 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.