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HYPERCUBE
(122918897)

Created by: DynamicFutures DynamicFutures
Started: 03/2019
Stocks, Options
Last trade: Today

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

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.

12.3%
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.

(7.5%)
Max Drawdown
45
Num Trades
57.8%
Win Trades
1.4 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Standard commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019              +2.5%(2.4%)+6.9%+7.7%(3.9%)                              +10.7%

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 21 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/11/19 10:01 OIL IPATH SERIES B S&P GSCI CRUDE OIL ETN LONG 900 60.90 7/17 10:36 59.66 n/a ($1,132)
Includes Typical Broker Commissions trade costs of $13.50
6/6/19 10:01 GLD SPDR GOLD SHARES LONG 300 126.03 6/25 12:57 133.37 1.31%
Trade id #123962584
Max drawdown($343)
Time6/6/19 10:01
Quant open300
Worst price124.88
Drawdown as % of equity-1.31%
$2,197
Includes Typical Broker Commissions trade costs of $6.00
6/13/19 14:33 OIL IPATH SERIES B S&P GSCI CRUDE OIL ETN LONG 100 53.57 6/24 9:35 58.61 0.29%
Trade id #124073009
Max drawdown($78)
Time6/13/19 14:33
Quant open100
Worst price52.79
Drawdown as % of equity-0.29%
$502
Includes Typical Broker Commissions trade costs of $2.00
6/5/19 12:17 OIL IPATH SERIES B S&P GSCI CRUDE OIL ETN LONG 100 52.22 6/10 9:43 55.02 0.02%
Trade id #123951249
Max drawdown($6)
Time6/5/19 12:19
Quant open100
Worst price52.16
Drawdown as % of equity-0.02%
$278
Includes Typical Broker Commissions trade costs of $2.00
5/24/19 9:42 OIL IPATH SERIES B S&P GSCI CRUDE OIL ETN SHORT 400 59.78 6/4 10:49 55.20 1.26%
Trade id #123810516
Max drawdown($306)
Time5/28/19 9:31
Quant open-300
Worst price60.72
Drawdown as % of equity-1.26%
$1,827
Includes Typical Broker Commissions trade costs of $8.00
5/20/19 15:28 OIL IPATH SERIES B S&P GSCI CRUDE OIL ETN LONG 200 64.64 5/24 9:41 59.67 4.95%
Trade id #123742462
Max drawdown($1,210)
Time5/23/19 13:16
Quant open200
Worst price58.59
Drawdown as % of equity-4.95%
($998)
Includes Typical Broker Commissions trade costs of $4.00
5/15/19 11:02 OIL IPATH SERIES B S&P GSCI CRUDE OIL ETN LONG 150 63.28 5/20 13:01 64.38 n/a $162
Includes Typical Broker Commissions trade costs of $3.00
5/9/19 14:21 AAPL1916H210 AAPL Aug16'19 210 call LONG 6 6.90 5/20 10:22 2.40 10.87%
Trade id #123596467
Max drawdown($2,700)
Time5/20/19 10:22
Quant open2
Worst price2.19
Drawdown as % of equity-10.87%
($2,708)
Includes Typical Broker Commissions trade costs of $8.40
5/9/19 14:35 AAPL1916H205 AAPL Aug16'19 205 call SHORT 6 8.90 5/20 10:21 3.48 n/a $3,242
Includes Typical Broker Commissions trade costs of $8.40
4/11/19 13:53 SPY1920I315 SPY Sep20'19 315 call LONG 5 0.96 5/16 9:54 0.83 0.43%
Trade id #123285635
Max drawdown($108)
Time5/13/19 15:33
Quant open2
Worst price0.42
Drawdown as % of equity-0.43%
($71)
Includes Typical Broker Commissions trade costs of $7.30
4/11/19 13:55 SPY1920I300 SPY Sep20'19 300 call SHORT 5 4.46 5/16 9:53 4.39 2.87%
Trade id #123285657
Max drawdown($720)
Time5/1/19 9:33
Quant open-3
Worst price6.86
Drawdown as % of equity-2.87%
$26
Includes Typical Broker Commissions trade costs of $7.30
5/9/19 9:42 OIL IPATH SERIES B S&P GSCI CRUDE OIL ETN LONG 100 62.91 5/13 13:00 62.09 0.33%
Trade id #123588649
Max drawdown($82)
Time5/13/19 13:00
Quant open0
Worst price62.09
Drawdown as % of equity-0.33%
($84)
Includes Typical Broker Commissions trade costs of $2.00
5/9/19 14:19 AAPL1916T210 AAPL Aug16'19 210 put LONG 5 15.65 5/9 14:19 15.55 0.2%
Trade id #123596426
Max drawdown($50)
Time5/9/19 14:19
Quant open0
Worst price15.55
Drawdown as % of equity-0.20%
($57)
Includes Typical Broker Commissions trade costs of $7.00
5/1/19 11:05 AAPL1921R195 AAPL Jun21'19 195 put LONG 3 1.02 5/9 12:54 5.05 0.14%
Trade id #123491593
Max drawdown($36)
Time5/1/19 11:46
Quant open3
Worst price0.90
Drawdown as % of equity-0.14%
$1,205
Includes Typical Broker Commissions trade costs of $4.20
5/1/19 11:07 AAPL1916T200 AAPL Aug16'19 200 put SHORT 3 4.50 5/9 12:54 10.95 10.11%
Trade id #123491668
Max drawdown($2,490)
Time5/9/19 10:24
Quant open-3
Worst price12.80
Drawdown as % of equity-10.11%
($1,939)
Includes Typical Broker Commissions trade costs of $4.20
5/8/19 10:08 TEUM PARETEUM CORP LONG 500 4.85 5/9 9:43 4.42 1.47%
Trade id #123572987
Max drawdown($365)
Time5/9/19 9:34
Quant open500
Worst price4.12
Drawdown as % of equity-1.47%
($225)
Includes Typical Broker Commissions trade costs of $10.00
4/29/19 9:54 MU MICRON TECHNOLOGY SHORT 50 42.18 5/8 12:39 40.09 0.24%
Trade id #123462725
Max drawdown($60)
Time5/3/19 15:58
Quant open-50
Worst price43.38
Drawdown as % of equity-0.24%
$104
Includes Typical Broker Commissions trade costs of $1.00
5/3/19 9:50 FB1919S185 FB Jul19'19 185 put LONG 2 4.25 5/6 9:48 5.20 0.16%
Trade id #123520065
Max drawdown($40)
Time5/3/19 11:19
Quant open2
Worst price4.05
Drawdown as % of equity-0.16%
$187
Includes Typical Broker Commissions trade costs of $2.80
5/3/19 9:52 FB1919S190 FB Jul19'19 190 put SHORT 2 5.75 5/6 9:48 7.00 1.99%
Trade id #123520116
Max drawdown($494)
Time5/6/19 9:31
Quant open-2
Worst price8.22
Drawdown as % of equity-1.99%
($253)
Includes Typical Broker Commissions trade costs of $2.80
4/25/19 9:46 MU MICRON TECHNOLOGY LONG 40 44.38 4/29 9:54 42.19 0.57%
Trade id #123426343
Max drawdown($144)
Time4/26/19 9:47
Quant open40
Worst price40.77
Drawdown as % of equity-0.57%
($88)
Includes Typical Broker Commissions trade costs of $0.80
4/22/19 11:59 MU MICRON TECHNOLOGY SHORT 30 42.83 4/25 9:46 44.37 0.2%
Trade id #123388546
Max drawdown($50)
Time4/25/19 9:44
Quant open-30
Worst price44.50
Drawdown as % of equity-0.20%
($47)
Includes Typical Broker Commissions trade costs of $0.60
4/11/19 14:19 SPY1920X275 SPY Dec20'19 275 put LONG 2 8.96 4/25 9:45 8.13 0.92%
Trade id #123285992
Max drawdown($232)
Time4/16/19 9:49
Quant open2
Worst price7.80
Drawdown as % of equity-0.92%
($169)
Includes Typical Broker Commissions trade costs of $3.40
4/18/19 14:33 OIL IPATH SERIES B S&P GSCI CRUDE OIL ETN LONG 30 65.47 4/23 9:30 67.44 0.01%
Trade id #123363932
Max drawdown($1)
Time4/18/19 15:06
Quant open30
Worst price65.41
Drawdown as % of equity-0.01%
$58
Includes Typical Broker Commissions trade costs of $0.60
4/12/19 9:38 GD GENERAL DYNAMICS LONG 40 173.27 4/22 10:12 176.52 0.28%
Trade id #123294181
Max drawdown($70)
Time4/15/19 14:21
Quant open40
Worst price171.50
Drawdown as % of equity-0.28%
$129
Includes Typical Broker Commissions trade costs of $0.80
4/8/19 10:30 SPY SPDR S&P 500 SHORT 30 287.89 4/12 9:38 289.98 0.27%
Trade id #123239444
Max drawdown($69)
Time4/12/19 8:23
Quant open-30
Worst price290.19
Drawdown as % of equity-0.27%
($64)
Includes Typical Broker Commissions trade costs of $0.60
4/11/19 13:58 SPY2017A270 SPY Jan17'20 270 call LONG 5 27.70 4/11 14:17 27.60 0.19%
Trade id #123285680
Max drawdown($50)
Time4/11/19 14:17
Quant open0
Worst price27.60
Drawdown as % of equity-0.19%
($57)
Includes Typical Broker Commissions trade costs of $7.00
4/4/19 12:05 OIL IPATH SERIES B S&P GSCI CRUDE OIL ETN LONG 30 63.88 4/11 13:56 64.92 0.06%
Trade id #123204179
Max drawdown($14)
Time4/4/19 14:29
Quant open30
Worst price63.40
Drawdown as % of equity-0.06%
$30
Includes Typical Broker Commissions trade costs of $0.60
4/3/19 9:34 AAOI APPLIED OPTOELECTRONICS INC. LONG 100 12.42 4/8 10:26 12.30 0.05%
Trade id #123183412
Max drawdown($12)
Time4/8/19 10:17
Quant open100
Worst price12.30
Drawdown as % of equity-0.05%
($14)
Includes Typical Broker Commissions trade costs of $2.00
4/1/19 9:46 XNET XUNLEI LTD ADR LONG 100 3.73 4/8 10:25 3.88 0.02%
Trade id #123151029
Max drawdown($6)
Time4/1/19 10:13
Quant open100
Worst price3.67
Drawdown as % of equity-0.02%
$13
Includes Typical Broker Commissions trade costs of $2.00
4/2/19 10:24 AAPL1917Q175 AAPL May17'19 175 put SHORT 5 1.67 4/4 9:50 1.26 0.27%
Trade id #123168002
Max drawdown($70)
Time4/2/19 11:07
Quant open-5
Worst price1.81
Drawdown as % of equity-0.27%
$198
Includes Typical Broker Commissions trade costs of $7.00

Statistics

  • Strategy began
    3/14/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    124.99
  • Age
    125 days ago
  • What it trades
    Stocks, Options
  • # Trades
    45
  • # Profitable
    26
  • % Profitable
    57.80%
  • Avg trade duration
    10.0 days
  • Max peak-to-valley drawdown
    7.52%
  • drawdown period
    June 25, 2019 - July 16, 2019
  • Cumul. Return
    12.2%
  • Avg win
    $452.27
  • Avg loss
    $445.00
  • Model Account Values (Raw)
  • Cash
    $54,495
  • Margin Used
    $35,560
  • Buying Power
    $21,318
  • Ratios
  • W:L ratio
    1.39:1
  • Sharpe Ratio
    1.02
  • Sortino Ratio
    2.01
  • Calmar Ratio
    5.167
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.19910
  • Return Statistics
  • Ann Return (w trading costs)
    39.1%
  • Ann Return (Compnd, No Fees)
    42.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    768
  • C2 Score
    70.3
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $468
  • Avg Win
    $466
  • # Winners
    26
  • # Losers
    19
  • % Winners
    57.8%
  • Frequency
  • Avg Position Time (mins)
    14327.50
  • Avg Position Time (hrs)
    238.79
  • Avg Trade Length
    9.9 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    4.98
  • Daily leverage (max)
    8.61
  • Unknown
  • Alpha
    0.08
  • Beta
    -0.35
  • Treynor Index
    -0.18
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27348
  • SD
    0.10216
  • Sharpe ratio (Glass type estimate)
    2.67710
  • Sharpe ratio (Hedges UMVUE)
    1.93715
  • df
    3.00000
  • t
    1.54562
  • p
    0.10996
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42974
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.49131
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.79473
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.66903
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.30710
  • Upside Potential Ratio
    16.03920
  • Upside part of mean
    0.30659
  • Downside part of mean
    -0.03311
  • Upside SD
    0.11702
  • Downside SD
    0.01912
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.17886
  • Mean of criterion
    0.27348
  • SD of predictor
    0.09191
  • SD of criterion
    0.10216
  • Covariance
    0.00482
  • r
    0.51374
  • b (slope, estimate of beta)
    0.57104
  • a (intercept, estimate of alpha)
    0.17135
  • Mean Square Error
    0.01152
  • DF error
    2.00000
  • t(b)
    0.84682
  • p(b)
    0.24313
  • t(a)
    0.77318
  • p(a)
    0.26015
  • Lowerbound of 95% confidence interval for beta
    -2.33037
  • Upperbound of 95% confidence interval for beta
    3.47245
  • Lowerbound of 95% confidence interval for alpha
    -0.78219
  • Upperbound of 95% confidence interval for alpha
    1.12489
  • Treynor index (mean / b)
    0.47892
  • Jensen alpha (a)
    0.17135
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26606
  • SD
    0.09977
  • Sharpe ratio (Glass type estimate)
    2.66687
  • Sharpe ratio (Hedges UMVUE)
    1.92975
  • df
    3.00000
  • t
    1.53972
  • p
    0.11063
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43576
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.47719
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.79967
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.65917
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.87440
  • Upside Potential Ratio
    15.60640
  • Upside part of mean
    0.29928
  • Downside part of mean
    -0.03321
  • Upside SD
    0.11400
  • Downside SD
    0.01918
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.17404
  • Mean of criterion
    0.26606
  • SD of predictor
    0.09102
  • SD of criterion
    0.09977
  • Covariance
    0.00477
  • r
    0.52562
  • b (slope, estimate of beta)
    0.57613
  • a (intercept, estimate of alpha)
    0.16580
  • Mean Square Error
    0.01081
  • DF error
    2.00000
  • t(b)
    0.87379
  • p(b)
    0.23719
  • t(a)
    0.77655
  • p(a)
    0.25934
  • Lowerbound of 95% confidence interval for beta
    -2.26083
  • Upperbound of 95% confidence interval for beta
    3.41309
  • Lowerbound of 95% confidence interval for alpha
    -0.75283
  • Upperbound of 95% confidence interval for alpha
    1.08442
  • Treynor index (mean / b)
    0.46181
  • Jensen alpha (a)
    0.16580
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02489
  • Expected Shortfall on VaR
    0.03649
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00392
  • Expected Shortfall on VaR
    0.00864
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.99129
  • Quartile 1
    1.00633
  • Median
    1.02592
  • Quartile 3
    1.04471
  • Maximum
    1.05734
  • Mean of quarter 1
    0.99129
  • Mean of quarter 2
    1.01134
  • Mean of quarter 3
    1.04050
  • Mean of quarter 4
    1.05734
  • Inter Quartile Range
    0.03838
  • 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 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
    0.00871
  • Quartile 1
    0.00871
  • Median
    0.00871
  • Quartile 3
    0.00871
  • Maximum
    0.00871
  • 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)
    0.30886
  • Compounded annual return (geometric extrapolation)
    0.34175
  • Calmar ratio (compounded annual return / max draw down)
    39.24530
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    9.36424
  • 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
    0.27887
  • SD
    0.19322
  • Sharpe ratio (Glass type estimate)
    1.44328
  • Sharpe ratio (Hedges UMVUE)
    1.43081
  • df
    87.00000
  • t
    0.83645
  • p
    0.20259
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.94943
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.82781
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.95774
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.81935
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.87417
  • Upside Potential Ratio
    11.13700
  • Upside part of mean
    1.08058
  • Downside part of mean
    -0.80171
  • Upside SD
    0.16671
  • Downside SD
    0.09703
  • N nonnegative terms
    43.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    88.00000
  • Mean of predictor
    0.15923
  • Mean of criterion
    0.27887
  • SD of predictor
    0.11164
  • SD of criterion
    0.19322
  • Covariance
    -0.00399
  • r
    -0.18484
  • b (slope, estimate of beta)
    -0.31990
  • a (intercept, estimate of alpha)
    0.33000
  • Mean Square Error
    0.03648
  • DF error
    86.00000
  • t(b)
    -1.74419
  • p(b)
    0.95765
  • t(a)
    0.99688
  • p(a)
    0.16081
  • Lowerbound of 95% confidence interval for beta
    -0.68451
  • Upperbound of 95% confidence interval for beta
    0.04470
  • Lowerbound of 95% confidence interval for alpha
    -0.32788
  • Upperbound of 95% confidence interval for alpha
    0.98750
  • Treynor index (mean / b)
    -0.87174
  • Jensen alpha (a)
    0.32981
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26057
  • SD
    0.19069
  • Sharpe ratio (Glass type estimate)
    1.36650
  • Sharpe ratio (Hedges UMVUE)
    1.35469
  • df
    87.00000
  • t
    0.79195
  • p
    0.21527
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.02533
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.75060
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.03317
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.74254
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.66515
  • Upside Potential Ratio
    10.91280
  • Upside part of mean
    1.06695
  • Downside part of mean
    -0.80638
  • Upside SD
    0.16324
  • Downside SD
    0.09777
  • N nonnegative terms
    43.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    88.00000
  • Mean of predictor
    0.15300
  • Mean of criterion
    0.26057
  • SD of predictor
    0.11183
  • SD of criterion
    0.19069
  • Covariance
    -0.00393
  • r
    -0.18453
  • b (slope, estimate of beta)
    -0.31466
  • a (intercept, estimate of alpha)
    0.30872
  • Mean Square Error
    0.03553
  • DF error
    86.00000
  • t(b)
    -1.74116
  • p(b)
    0.95738
  • t(a)
    0.94575
  • p(a)
    0.17346
  • Lowerbound of 95% confidence interval for beta
    -0.67390
  • Upperbound of 95% confidence interval for beta
    0.04460
  • Lowerbound of 95% confidence interval for alpha
    -0.34019
  • Upperbound of 95% confidence interval for alpha
    0.95762
  • Treynor index (mean / b)
    -0.82813
  • Jensen alpha (a)
    0.30872
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01821
  • Expected Shortfall on VaR
    0.02303
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00718
  • Expected Shortfall on VaR
    0.01367
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    88.00000
  • Minimum
    0.97741
  • Quartile 1
    0.99675
  • Median
    1.00001
  • Quartile 3
    1.00446
  • Maximum
    1.06088
  • Mean of quarter 1
    0.98957
  • Mean of quarter 2
    0.99841
  • Mean of quarter 3
    1.00173
  • Mean of quarter 4
    1.01498
  • Inter Quartile Range
    0.00771
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.05682
  • Mean of outliers low
    0.98123
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.05682
  • Mean of outliers high
    1.03586
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.64023
  • VaR(95%) (moments method)
    0.00915
  • Expected Shortfall (moments method)
    0.01044
  • Extreme Value Index (regression method)
    -0.42253
  • VaR(95%) (regression method)
    0.01033
  • Expected Shortfall (regression method)
    0.01245
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00052
  • Quartile 1
    0.00065
  • Median
    0.02501
  • Quartile 3
    0.05078
  • Maximum
    0.06472
  • Mean of quarter 1
    0.00058
  • Mean of quarter 2
    0.02501
  • Mean of quarter 3
    0.05078
  • Mean of quarter 4
    0.06472
  • Inter Quartile Range
    0.05013
  • 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)
    0.30292
  • Compounded annual return (geometric extrapolation)
    0.33440
  • Calmar ratio (compounded annual return / max draw down)
    5.16681
  • Compounded annual return / average of 25% largest draw downs
    5.16681
  • Compounded annual return / Expected Shortfall lognormal
    14.52220

Strategy Description

Trade EQUITIES

Summary Statistics

Includes fees & commissions
Strategy began
2019-03-14
Suggested Minimum Capital
$35,000
# Trades
45
# Profitable
26
% Profitable
57.8%
Correlation S&P500
-0.199
Sharpe Ratio
1.02
Sortino Ratio
2.01
Beta
-0.35
Alpha
0.08
Leverage
4.98 Average
8.61 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.

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