Welcome to Collective2 AutoTrade Systems

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

Volatility and Options
(122871087)

Created by: PremiumScalping PremiumScalping
Started: 03/2019
Options
Last trade: 77 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.

-112.0%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(100.0%)
Max Drawdown
37
Num Trades
83.8%
Win Trades
0.5 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Standard commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019              +2.2%+11.4%+19.8%+8.2%(8.9%)(108.8%)(0.8%)(0.8%)            (112%)

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/3/19 9:35 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 25,700 29.00 8/5 15:27 34.60 267.8%
Trade id #124751998
Max drawdown($150,345)
Time8/3/19 9:35
Quant open25,700
Worst price34.85
Drawdown as % of equity-267.80%
($143,970)
Includes Typical Broker Commissions trade costs of $10.00
7/31/19 15:08 UVXY1902H29 UVXY Aug2'19 29 call SHORT 400 0.43 8/3 9:35 0.65 67.41%
Trade id #124703646
Max drawdown($94,800)
Time7/31/19 15:08
Quant open400
Worst price2.80
Drawdown as % of equity-67.41%
($9,206)
Includes Typical Broker Commissions trade costs of $380.10
7/30/19 11:50 VIXW1931G15 VIXW Jul31'19 15 call SHORT 800 0.05 7/31 8:05 0.00 5.84%
Trade id #124679671
Max drawdown($8,000)
Time7/30/19 11:50
Quant open800
Worst price0.15
Drawdown as % of equity-5.84%
$3,440
Includes Typical Broker Commissions trade costs of $560.00
7/26/19 15:24 UVXY1926G24 UVXY Jul26'19 24 call SHORT 100 0.04 7/27 9:35 0.00 0.22%
Trade id #124640344
Max drawdown($300)
Time7/26/19 15:24
Quant open100
Worst price0.07
Drawdown as % of equity-0.22%
$330
Includes Typical Broker Commissions trade costs of $70.00
7/24/19 14:07 UVXY1926G25 UVXY Jul26'19 25 call SHORT 150 0.29 7/27 9:35 0.15 5.94%
Trade id #124599247
Max drawdown($7,500)
Time7/24/19 14:07
Quant open150
Worst price0.79
Drawdown as % of equity-5.94%
$1,975
Includes Typical Broker Commissions trade costs of $135.10
7/23/19 10:14 UVXY1926G26 UVXY Jul26'19 26 call SHORT 200 0.68 7/27 9:35 0.00 2.3%
Trade id #124577967
Max drawdown($2,800)
Time7/23/19 10:14
Quant open200
Worst price0.82
Drawdown as % of equity-2.30%
$13,460
Includes Typical Broker Commissions trade costs of $140.00
7/17/19 11:04 UVXY1919G27 UVXY Jul19'19 27 call SHORT 250 0.48 7/20 9:35 0.06 6.07%
Trade id #124498030
Max drawdown($6,750)
Time7/17/19 11:04
Quant open250
Worst price0.75
Drawdown as % of equity-6.07%
$10,284
Includes Typical Broker Commissions trade costs of $196.00
7/16/19 13:33 VIX1917G13 VIX Jul17'19 13 call SHORT 500 0.20 7/17 8:05 0.02 9.77%
Trade id #124482003
Max drawdown($10,000)
Time7/16/19 13:33
Quant open500
Worst price0.40
Drawdown as % of equity-9.77%
$8,729
Includes Typical Broker Commissions trade costs of $371.00
7/10/19 14:01 UVXY1912G26.5 UVXY Jul12'19 26.5 call SHORT 200 0.76 7/13 9:35 0.11 3.8%
Trade id #124406982
Max drawdown($3,401)
Time7/10/19 14:01
Quant open179
Worst price0.95
Drawdown as % of equity-3.80%
$12,924
Includes Typical Broker Commissions trade costs of $154.70
6/29/19 9:35 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 25,000 31.50 7/1 9:32 28.89 43.96%
Trade id #124274983
Max drawdown($67,750)
Time6/29/19 9:35
Quant open25,000
Worst price28.79
Drawdown as % of equity-43.96%
($65,255)
Includes Typical Broker Commissions trade costs of $5.00
6/28/19 13:57 UVXY1928R31.5 UVXY Jun28'19 31.5 put SHORT 250 0.10 6/29 9:35 0.00 2.46%
Trade id #124271023
Max drawdown($3,750)
Time6/28/19 13:57
Quant open250
Worst price0.25
Drawdown as % of equity-2.46%
$2,325
Includes Typical Broker Commissions trade costs of $175.00
6/20/19 13:38 UVXY1921F40 UVXY Jun21'19 40 call SHORT 500 0.06 6/22 9:35 0.00 n/a $2,650
Includes Typical Broker Commissions trade costs of $350.00
6/18/19 11:20 VIX1919R14.5 VIX Jun19'19 14.5 put SHORT 700 0.05 6/19 8:05 0.00 4.77%
Trade id #124127283
Max drawdown($7,000)
Time6/18/19 11:20
Quant open700
Worst price0.15
Drawdown as % of equity-4.77%
$3,010
Includes Typical Broker Commissions trade costs of $490.00
6/13/19 15:19 UVXY1914F39 UVXY Jun14'19 39 call SHORT 400 0.08 6/15 9:35 0.00 0%
Trade id #124073937
Max drawdown$0
Time6/13/19 15:21
Quant open-400
Worst price0.08
Drawdown as % of equity0.00%
$2,920
Includes Typical Broker Commissions trade costs of $280.00
6/8/19 9:35 SPY SPDR S&P 500 SHORT 1,000 287.00 6/10 13:34 289.95 2.52%
Trade id #123988905
Max drawdown($3,820)
Time6/10/19 11:56
Quant open-1,000
Worst price290.82
Drawdown as % of equity-2.52%
($2,955)
Includes Typical Broker Commissions trade costs of $5.00
6/5/19 10:40 UVXY1907F45 UVXY Jun7'19 45 call SHORT 200 0.13 6/8 9:35 0.00 0.27%
Trade id #123948677
Max drawdown($400)
Time6/5/19 11:02
Quant open-200
Worst price0.15
Drawdown as % of equity-0.27%
$2,460
Includes Typical Broker Commissions trade costs of $140.00
6/6/19 9:59 SPY1907F287 SPY Jun7'19 287 call SHORT 10 0.07 6/8 9:35 0.00 1.27%
Trade id #123962507
Max drawdown($1,920)
Time6/7/19 11:03
Quant open-10
Worst price1.99
Drawdown as % of equity-1.27%
$63
Includes Typical Broker Commissions trade costs of $7.00
5/30/19 13:40 UVXY1931E41.5 UVXY May31'19 41.5 call SHORT 340 0.24 6/1 9:35 0.09 10.68%
Trade id #123878568
Max drawdown($15,600)
Time5/31/19 9:42
Quant open-300
Worst price0.76
Drawdown as % of equity-10.68%
$4,762
Includes Typical Broker Commissions trade costs of $319.20
5/23/19 10:37 UVXY1924E42 UVXY May24'19 42 call SHORT 350 0.15 5/25 9:35 0.00 5.15%
Trade id #123795890
Max drawdown($7,000)
Time5/23/19 13:00
Quant open-350
Worst price0.35
Drawdown as % of equity-5.15%
$5,005
Includes Typical Broker Commissions trade costs of $245.00
5/21/19 10:44 VIX1922E16 VIX May22'19 16 call SHORT 650 0.15 5/22 8:05 0.01 2.56%
Trade id #123753453
Max drawdown($3,250)
Time5/21/19 10:47
Quant open-650
Worst price0.20
Drawdown as % of equity-2.56%
$8,635
Includes Typical Broker Commissions trade costs of $490.00
5/17/19 12:42 UVXY1917E37 UVXY May17'19 37 call SHORT 45 0.17 5/18 9:35 0.00 0.14%
Trade id #123715173
Max drawdown($180)
Time5/17/19 15:11
Quant open-45
Worst price0.21
Drawdown as % of equity-0.14%
$734
Includes Typical Broker Commissions trade costs of $31.50
5/15/19 14:19 UVXY1917E41 UVXY May17'19 41 call SHORT 250 0.66 5/18 9:35 0.05 0.88%
Trade id #123684661
Max drawdown($1,000)
Time5/15/19 14:59
Quant open-250
Worst price0.70
Drawdown as % of equity-0.88%
$15,178
Includes Typical Broker Commissions trade costs of $187.60
5/8/19 12:55 UVXY1910E58 UVXY May10'19 58 call SHORT 250 0.08 5/11 9:35 0.00 3.83%
Trade id #123576672
Max drawdown($4,250)
Time5/9/19 9:32
Quant open-250
Worst price0.25
Drawdown as % of equity-3.83%
$1,825
Includes Typical Broker Commissions trade costs of $175.00
5/6/19 15:08 VIXW1908E20 VIXW May8'19 20 call SHORT 500 0.06 5/8 8:05 0.36 108.86%
Trade id #123547147
Max drawdown($80,032)
Time5/7/19 15:41
Quant open-328
Worst price2.50
Drawdown as % of equity-108.86%
($15,574)
Includes Typical Broker Commissions trade costs of $470.40
4/30/19 15:16 VIXW1901E13.5 VIXW May1'19 13.5 call SHORT 300 0.10 5/1 8:05 0.00 1.96%
Trade id #123481901
Max drawdown($2,400)
Time4/30/19 15:54
Quant open-300
Worst price0.18
Drawdown as % of equity-1.96%
$2,790
Includes Typical Broker Commissions trade costs of $210.00
4/30/19 15:05 VIXW1901E14 VIXW May1'19 14 call SHORT 300 0.05 5/1 8:05 0.00 0.49%
Trade id #123481817
Max drawdown($600)
Time4/30/19 15:50
Quant open-300
Worst price0.07
Drawdown as % of equity-0.49%
$1,290
Includes Typical Broker Commissions trade costs of $210.00
4/27/19 9:35 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 5,000 26.00 4/30 15:13 25.61 1.68%
Trade id #123451209
Max drawdown($2,050)
Time4/30/19 11:14
Quant open-5,000
Worst price26.41
Drawdown as % of equity-1.68%
$1,945
Includes Typical Broker Commissions trade costs of $5.00
4/26/19 9:57 VXXB1926P26 VXXB Apr26'19 26 put LONG 50 0.24 4/27 9:35 0.00 0.97%
Trade id #123441511
Max drawdown($1,200)
Time4/27/19 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.97%
($1,235)
Includes Typical Broker Commissions trade costs of $35.00
4/25/19 9:50 VXXB1926D30 VXXB Apr26'19 30 call SHORT 400 0.08 4/27 9:35 0.00 0.67%
Trade id #123426471
Max drawdown($800)
Time4/25/19 9:53
Quant open-400
Worst price0.10
Drawdown as % of equity-0.67%
$2,920
Includes Typical Broker Commissions trade costs of $280.00
4/23/19 15:14 VIXW1924D13 VIXW Apr24'19 13 call SHORT 500 0.05 4/24 8:05 0.00 2.15%
Trade id #123405083
Max drawdown($2,500)
Time4/23/19 15:57
Quant open-500
Worst price0.10
Drawdown as % of equity-2.15%
$2,150
Includes Typical Broker Commissions trade costs of $350.00

Statistics

  • Strategy began
    3/11/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    223.22
  • Age
    7 months ago
  • What it trades
    Options
  • # Trades
    37
  • # Profitable
    31
  • % Profitable
    83.80%
  • Avg trade duration
    2.1 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Aug 02, 2019 - Oct 08, 2019
  • Cumul. Return
    -112.0%
  • Avg win
    $4,142
  • Avg loss
    $39,548
  • Model Account Values (Raw)
  • Cash
    ($3,864)
  • Margin Used
    $0
  • Buying Power
    ($3,864)
  • Ratios
  • W:L ratio
    0.54:1
  • Sharpe Ratio
    -1.35
  • Sortino Ratio
    -1.42
  • Calmar Ratio
    -1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -119.26%
  • Correlation to SP500
    -0.01730
  • Return Percent SP500 (cumu) during strategy life
    7.29%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.50%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -1.120%
  • Instruments
  • Percent Trades Options
    0.90%
  • Percent Trades Stocks
    0.10%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • 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 100% 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 60% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    635
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    320
  • Popularity (7 days, Percentile 1000 scale)
    0
  • 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
    $39,548
  • Avg Win
    $4,143
  • Sum Trade PL (losers)
    $237,290.000
  • Age
  • Num Months (Age strategy)
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $128,426.000
  • # Winners
    31
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    6
  • % Winners
    83.8%
  • Frequency
  • Avg Position Time (mins)
    2986.62
  • Avg Position Time (hrs)
    49.78
  • Avg Trade Length
    2.1 days
  • Last Trade Ago
    76
  • Leverage
  • Daily leverage (average)
    5.23
  • Daily leverage (max)
    26.55
  • Regression
  • Alpha
    -41429500.00
  • Beta
    -1477160.00
  • Treynor Index
    28.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.16
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    42.93
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    26.82
  • 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
    0.78
  • Avg(MAE) / Avg(PL) - All trades
    -4.298
  • 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
    2.68
  • Avg(MAE) / Avg(PL) - Winning trades
    0.798
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.677
  • Hold-and-Hope Ratio
    -0.233
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.57289
  • SD
    1.46552
  • Sharpe ratio (Glass type estimate)
    -1.07326
  • Sharpe ratio (Hedges UMVUE)
    -0.93227
  • df
    6.00000
  • t
    -0.81972
  • p
    0.77814
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.66600
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60192
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.55211
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68758
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.14888
  • Upside Potential Ratio
    0.48494
  • Upside part of mean
    0.66390
  • Downside part of mean
    -2.23679
  • Upside SD
    0.41565
  • Downside SD
    1.36906
  • N nonnegative terms
    3.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.08542
  • Mean of criterion
    -1.57289
  • SD of predictor
    0.09442
  • SD of criterion
    1.46552
  • Covariance
    0.05732
  • r
    0.41423
  • b (slope, estimate of beta)
    6.42944
  • a (intercept, estimate of alpha)
    -2.12212
  • Mean Square Error
    2.13506
  • DF error
    5.00000
  • t(b)
    1.01767
  • p(b)
    0.17776
  • t(a)
    -1.06757
  • p(a)
    0.83274
  • Lowerbound of 95% confidence interval for beta
    -9.81174
  • Upperbound of 95% confidence interval for beta
    22.67060
  • Lowerbound of 95% confidence interval for alpha
    -7.23214
  • Upperbound of 95% confidence interval for alpha
    2.98791
  • Treynor index (mean / b)
    -0.24464
  • Jensen alpha (a)
    -2.12212
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -19.84800
  • SD
    15.15280
  • Sharpe ratio (Glass type estimate)
    -1.30986
  • Sharpe ratio (Hedges UMVUE)
    -1.13778
  • df
    6.00000
  • t
    -1.00042
  • p
    0.82213
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.92723
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.40573
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.78348
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50793
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.31015
  • Upside Potential Ratio
    0.03897
  • Upside part of mean
    0.59035
  • Downside part of mean
    -20.43830
  • Upside SD
    0.36310
  • Downside SD
    15.14940
  • N nonnegative terms
    3.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.08117
  • Mean of criterion
    -19.84800
  • SD of predictor
    0.09365
  • SD of criterion
    15.15280
  • Covariance
    0.86884
  • r
    0.61226
  • b (slope, estimate of beta)
    99.06390
  • a (intercept, estimate of alpha)
    -27.88890
  • Mean Square Error
    172.24400
  • DF error
    5.00000
  • t(b)
    1.73153
  • p(b)
    0.07195
  • t(a)
    -1.56679
  • p(a)
    0.91103
  • Lowerbound of 95% confidence interval for beta
    -48.00940
  • Upperbound of 95% confidence interval for beta
    246.13700
  • Lowerbound of 95% confidence interval for alpha
    -73.64720
  • Upperbound of 95% confidence interval for alpha
    17.86940
  • Treynor index (mean / b)
    -0.20036
  • Jensen alpha (a)
    -27.88890
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99986
  • Expected Shortfall on VaR
    0.99995
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.46538
  • Expected Shortfall on VaR
    0.91012
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.00001
  • Quartile 1
    0.85225
  • Median
    1.00000
  • Quartile 3
    1.04069
  • Maximum
    1.31288
  • Mean of quarter 1
    0.35226
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.01424
  • Mean of quarter 4
    1.19001
  • Inter Quartile Range
    0.18844
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.00001
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99999
  • Quartile 1
    0.99999
  • Median
    0.99999
  • Quartile 3
    0.99999
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.71427
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00001
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.00005
  • 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
    -3.04177
  • SD
    1.75581
  • Sharpe ratio (Glass type estimate)
    -1.73241
  • Sharpe ratio (Hedges UMVUE)
    -1.72412
  • df
    157.00000
  • t
    -1.34533
  • p
    0.56783
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.26085
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.80145
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.25520
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80696
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.75956
  • Upside Potential Ratio
    1.20787
  • Upside part of mean
    2.08806
  • Downside part of mean
    -5.12983
  • Upside SD
    0.33200
  • Downside SD
    1.72871
  • N nonnegative terms
    55.00000
  • N negative terms
    103.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    158.00000
  • Mean of predictor
    0.09793
  • Mean of criterion
    -3.04177
  • SD of predictor
    0.13523
  • SD of criterion
    1.75581
  • Covariance
    0.02241
  • r
    0.09438
  • b (slope, estimate of beta)
    1.22544
  • a (intercept, estimate of alpha)
    -3.16200
  • Mean Square Error
    3.07498
  • DF error
    156.00000
  • t(b)
    1.18410
  • p(b)
    0.45281
  • t(a)
    -1.39878
  • p(a)
    0.55565
  • Lowerbound of 95% confidence interval for beta
    -0.81881
  • Upperbound of 95% confidence interval for beta
    3.26969
  • Lowerbound of 95% confidence interval for alpha
    -7.62666
  • Upperbound of 95% confidence interval for alpha
    1.30311
  • Treynor index (mean / b)
    -2.48218
  • Jensen alpha (a)
    -3.16177
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -19.19990
  • SD
    13.05910
  • Sharpe ratio (Glass type estimate)
    -1.47023
  • Sharpe ratio (Hedges UMVUE)
    -1.46320
  • df
    157.00000
  • t
    -1.14173
  • p
    0.55769
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.99705
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.06120
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.99227
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.06587
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.46926
  • Upside Potential Ratio
    0.15574
  • Upside part of mean
    2.03521
  • Downside part of mean
    -21.23510
  • Upside SD
    0.32074
  • Downside SD
    13.06770
  • N nonnegative terms
    55.00000
  • N negative terms
    103.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    158.00000
  • Mean of predictor
    0.08877
  • Mean of criterion
    -19.19990
  • SD of predictor
    0.13569
  • SD of criterion
    13.05910
  • Covariance
    -0.14451
  • r
    -0.08155
  • b (slope, estimate of beta)
    -7.84866
  • a (intercept, estimate of alpha)
    -18.50310
  • Mean Square Error
    170.49100
  • DF error
    156.00000
  • t(b)
    -1.02198
  • p(b)
    0.54078
  • t(a)
    -1.09955
  • p(a)
    0.54385
  • Lowerbound of 95% confidence interval for beta
    -23.01860
  • Upperbound of 95% confidence interval for beta
    7.32130
  • Lowerbound of 95% confidence interval for alpha
    -51.74300
  • Upperbound of 95% confidence interval for alpha
    14.73680
  • Treynor index (mean / b)
    2.44626
  • Jensen alpha (a)
    -18.50310
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.75349
  • Expected Shortfall on VaR
    0.81701
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05149
  • Expected Shortfall on VaR
    0.11910
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    158.00000
  • Minimum
    0.00004
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00447
  • Maximum
    1.11246
  • Mean of quarter 1
    0.92293
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00103
  • Mean of quarter 4
    1.03063
  • Inter Quartile Range
    0.00447
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.10759
  • Mean of outliers low
    0.81897
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.17089
  • Mean of outliers high
    1.04238
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.93126
  • VaR(95%) (moments method)
    0.00613
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.37545
  • VaR(95%) (regression method)
    0.02905
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00016
  • Quartile 1
    0.00204
  • Median
    0.01225
  • Quartile 3
    0.02012
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00092
  • Mean of quarter 2
    0.01006
  • Mean of quarter 3
    0.01677
  • Mean of quarter 4
    0.58598
  • Inter Quartile Range
    0.01808
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.22222
  • Mean of outliers high
    0.58598
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.38236
  • VaR(95%) (moments method)
    0.10409
  • Expected Shortfall (moments method)
    0.10583
  • Extreme Value Index (regression method)
    1.44706
  • VaR(95%) (regression method)
    1.46355
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.65821
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00001
  • Compounded annual return / average of 25% largest draw downs
    -1.70654
  • Compounded annual return / Expected Shortfall lognormal
    -1.22398
  • 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
    -3.85033
  • SD
    1.92532
  • Sharpe ratio (Glass type estimate)
    -1.99984
  • Sharpe ratio (Hedges UMVUE)
    -1.98828
  • df
    130.00000
  • t
    -1.41410
  • p
    0.56154
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.77853
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.78636
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.77060
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.79404
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.02807
  • Upside Potential Ratio
    1.22736
  • Upside part of mean
    2.33016
  • Downside part of mean
    -6.18048
  • Upside SD
    0.36163
  • Downside SD
    1.89852
  • N nonnegative terms
    40.00000
  • N negative terms
    91.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04042
  • Mean of criterion
    -3.85033
  • SD of predictor
    0.14201
  • SD of criterion
    1.92532
  • Covariance
    0.02568
  • r
    0.09393
  • b (slope, estimate of beta)
    1.27351
  • a (intercept, estimate of alpha)
    -3.90181
  • Mean Square Error
    3.70263
  • DF error
    129.00000
  • t(b)
    1.07163
  • p(b)
    0.44029
  • t(a)
    -1.43360
  • p(a)
    0.57951
  • Lowerbound of 95% confidence interval for beta
    -1.07773
  • Upperbound of 95% confidence interval for beta
    3.62475
  • Lowerbound of 95% confidence interval for alpha
    -9.28673
  • Upperbound of 95% confidence interval for alpha
    1.48311
  • Treynor index (mean / b)
    -3.02341
  • Jensen alpha (a)
    -3.90181
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -23.33760
  • SD
    14.33780
  • Sharpe ratio (Glass type estimate)
    -1.62770
  • Sharpe ratio (Hedges UMVUE)
    -1.61829
  • df
    130.00000
  • t
    -1.15096
  • p
    0.55022
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.40354
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.15418
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.39707
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.16048
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.62617
  • Upside Potential Ratio
    0.15800
  • Upside part of mean
    2.26751
  • Downside part of mean
    -25.60510
  • Upside SD
    0.34921
  • Downside SD
    14.35130
  • N nonnegative terms
    40.00000
  • N negative terms
    91.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03036
  • Mean of criterion
    -23.33760
  • SD of predictor
    0.14250
  • SD of criterion
    14.33780
  • Covariance
    -0.18029
  • r
    -0.08824
  • b (slope, estimate of beta)
    -8.87799
  • a (intercept, estimate of alpha)
    -23.06800
  • Mean Square Error
    205.55300
  • DF error
    129.00000
  • t(b)
    -1.00613
  • p(b)
    0.55610
  • t(a)
    -1.13762
  • p(a)
    0.56334
  • VAR (95 Confidence Intrvl)
    0.75300
  • Lowerbound of 95% confidence interval for beta
    -26.33630
  • Upperbound of 95% confidence interval for beta
    8.58037
  • Lowerbound of 95% confidence interval for alpha
    -63.18760
  • Upperbound of 95% confidence interval for alpha
    17.05150
  • Treynor index (mean / b)
    2.62871
  • Jensen alpha (a)
    -23.06800
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.78692
  • Expected Shortfall on VaR
    0.84582
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06484
  • Expected Shortfall on VaR
    0.14802
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00004
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00346
  • Maximum
    1.11246
  • Mean of quarter 1
    0.90665
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00058
  • Mean of quarter 4
    1.03487
  • Inter Quartile Range
    0.00346
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.12977
  • Mean of outliers low
    0.81897
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.19847
  • Mean of outliers high
    1.04269
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.50931
  • VaR(95%) (moments method)
    0.00656
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.25699
  • VaR(95%) (regression method)
    0.04467
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00016
  • Quartile 1
    0.00605
  • Median
    0.01284
  • Quartile 3
    0.05808
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00036
  • Mean of quarter 2
    0.01006
  • Mean of quarter 3
    0.01677
  • Mean of quarter 4
    0.58598
  • Inter Quartile Range
    0.05203
  • 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
    0.25000
  • Mean of outliers high
    0.58598
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -99
  • Max Equity Drawdown (num days)
    67
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99998
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00001
  • Compounded annual return / average of 25% largest draw downs
    -1.70654
  • Compounded annual return / Expected Shortfall lognormal
    -1.18229

Strategy Description

Summary Statistics

Includes fees & commissions
Strategy began
2019-03-11
Suggested Minimum Capital
$35,000
# Trades
37
# Profitable
31
% Profitable
83.8%
Correlation S&P500
-0.017
Sharpe Ratio
-1.35
Sortino Ratio
-1.42
Beta
-1477160.00
Alpha
-41429500.00
Leverage
5.23 Average
26.55 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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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