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

DD Options
(123271558)

Created by: ManTrader ManTrader
Started: 04/2019
Futures, Options
Last trade: 5 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 $150.00 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.

632.8%
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.

(25.6%)
Max Drawdown
83
Num Trades
45.8%
Win Trades
1.4 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Standard commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                     +141.3%+182.8%+16.1%(7.5%)                              +632.8%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 14 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/12/19 13:33 SPXW1912S3020 SPX Jul12'19 3020 put LONG 10 13.40 7/12 15:52 6.43 7.52%
Trade id #124440352
Max drawdown($6,973)
Time7/12/19 15:52
Quant open10
Worst price6.43
Drawdown as % of equity-7.52%
($6,987)
Includes Typical Broker Commissions trade costs of $14.00
7/2/19 9:51 SPXW1903G3000 SPX Jul3'19 3000 call LONG 10 0.15 7/2 15:47 0.10 0.05%
Trade id #124307416
Max drawdown($50)
Time7/2/19 9:51
Quant open10
Worst price0.10
Drawdown as % of equity-0.05%
($64)
Includes Typical Broker Commissions trade costs of $14.00
7/2/19 9:52 SPXW1903G2990 SPX Jul3'19 2990 call SHORT 10 0.35 7/2 15:47 0.36 0.5%
Trade id #124307429
Max drawdown($500)
Time7/2/19 9:52
Quant open10
Worst price0.85
Drawdown as % of equity-0.50%
($20)
Includes Typical Broker Commissions trade costs of $14.00
7/2/19 9:53 SPXW1903G2995 SPX Jul3'19 2995 call LONG 10 0.20 7/2 15:46 0.15 0.1%
Trade id #124307467
Max drawdown($100)
Time7/2/19 9:53
Quant open10
Worst price0.10
Drawdown as % of equity-0.10%
($64)
Includes Typical Broker Commissions trade costs of $14.00
7/2/19 9:53 SPXW1903G2985 SPX Jul3'19 2985 call SHORT 10 0.55 7/2 15:46 0.70 0.96%
Trade id #124307475
Max drawdown($950)
Time7/2/19 9:53
Quant open10
Worst price1.50
Drawdown as % of equity-0.96%
($164)
Includes Typical Broker Commissions trade costs of $14.00
6/20/19 11:07 SPXW1921F2965 SPX Jun21'19 2965 call SHORT 10 3.10 6/22 9:35 0.00 2.24%
Trade id #124163926
Max drawdown($2,200)
Time6/20/19 11:07
Quant open10
Worst price5.30
Drawdown as % of equity-2.24%
$3,093
Includes Typical Broker Commissions trade costs of $7.00
6/20/19 11:06 SPXW1921F2970 SPX Jun21'19 2970 call LONG 10 2.06 6/22 9:35 0.00 2.08%
Trade id #124163910
Max drawdown($2,058)
Time6/22/19 9:35
Quant open10
Worst price0.00
Drawdown as % of equity-2.08%
($2,065)
Includes Typical Broker Commissions trade costs of $7.00
6/12/19 13:14 SPXW1912R2890 SPX Jun12'19 2890 put SHORT 10 10.00 6/13 8:05 0.00 2.91%
Trade id #124053558
Max drawdown($2,690)
Time6/12/19 14:19
Quant open-10
Worst price12.69
Drawdown as % of equity-2.91%
$9,993
Includes Typical Broker Commissions trade costs of $7.00
6/12/19 13:14 SPXW1912R2880 SPX Jun12'19 2880 put LONG 10 3.90 6/13 8:05 0.00 4.32%
Trade id #124053554
Max drawdown($3,900)
Time6/13/19 8:05
Quant open0
Worst price0.00
Drawdown as % of equity-4.32%
($3,907)
Includes Typical Broker Commissions trade costs of $7.00
6/10/19 10:05 SPXW1910R2900 SPX Jun10'19 2900 put SHORT 10 9.10 6/11 8:05 0.00 5.51%
Trade id #124002895
Max drawdown($4,900)
Time6/10/19 14:19
Quant open-10
Worst price14.00
Drawdown as % of equity-5.51%
$9,093
Includes Typical Broker Commissions trade costs of $7.00
6/10/19 9:59 SPXW1910R2890 SPX Jun10'19 2890 put LONG 10 4.90 6/11 8:05 0.00 5.71%
Trade id #124002633
Max drawdown($4,900)
Time6/11/19 8:05
Quant open0
Worst price0.00
Drawdown as % of equity-5.71%
($4,907)
Includes Typical Broker Commissions trade costs of $7.00
5/31/19 15:48 SPXW1931Q2750 SPX May31'19 2750 put SHORT 20 1.35 6/1 9:35 0.00 0.35%
Trade id #123894192
Max drawdown($300)
Time5/31/19 15:56
Quant open-20
Worst price1.50
Drawdown as % of equity-0.35%
$2,686
Includes Typical Broker Commissions trade costs of $14.00
5/31/19 15:47 SPXW1931Q2740 SPX May31'19 2740 put LONG 20 0.23 6/1 9:35 0.00 0.52%
Trade id #123894185
Max drawdown($450)
Time6/1/19 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.52%
($464)
Includes Typical Broker Commissions trade costs of $14.00
5/29/19 13:44 SPXW1929Q2775 SPX May29'19 2775 put SHORT 10 2.65 5/30 8:05 0.00 5.84%
Trade id #123864216
Max drawdown($4,950)
Time5/29/19 15:06
Quant open-10
Worst price7.60
Drawdown as % of equity-5.84%
$2,643
Includes Typical Broker Commissions trade costs of $7.00
5/29/19 13:44 SPXW1929Q2765 SPX May29'19 2765 put LONG 10 1.15 5/30 8:05 0.00 1.39%
Trade id #123864213
Max drawdown($1,150)
Time5/30/19 8:05
Quant open0
Worst price0.00
Drawdown as % of equity-1.39%
($1,157)
Includes Typical Broker Commissions trade costs of $7.00
5/28/19 12:11 SPXW1928Q2810 SPX May28'19 2810 put SHORT 10 0.30 5/29 8:05 0.00 9.9%
Trade id #123846813
Max drawdown($8,300)
Time5/28/19 16:00
Quant open-10
Worst price8.60
Drawdown as % of equity-9.90%
$293
Includes Typical Broker Commissions trade costs of $7.00
5/28/19 12:10 SPXW1928Q2795 SPX May28'19 2795 put LONG 10 0.10 5/29 8:05 0.00 0.12%
Trade id #123846807
Max drawdown($100)
Time5/29/19 8:05
Quant open0
Worst price0.00
Drawdown as % of equity-0.12%
($107)
Includes Typical Broker Commissions trade costs of $7.00
5/24/19 10:41 SPXW1924E2850 SPX May24'19 2850 call SHORT 30 0.50 5/25 9:35 0.00 0.18%
Trade id #123812386
Max drawdown($150)
Time5/24/19 10:43
Quant open-30
Worst price0.55
Drawdown as % of equity-0.18%
$1,479
Includes Typical Broker Commissions trade costs of $21.00
5/24/19 9:55 SPXW1924E2875 SPX May24'19 2875 call LONG 100 0.10 5/25 9:35 0.04 1.08%
Trade id #123811006
Max drawdown($900)
Time5/24/19 10:15
Quant open100
Worst price0.01
Drawdown as % of equity-1.08%
($769)
Includes Typical Broker Commissions trade costs of $119.00
5/24/19 9:56 SPXW1924E2860 SPX May24'19 2860 call SHORT 100 0.20 5/24 10:41 0.20 1.19%
Trade id #123811044
Max drawdown($1,000)
Time5/24/19 9:58
Quant open-100
Worst price0.30
Drawdown as % of equity-1.19%
($140)
Includes Typical Broker Commissions trade costs of $140.00
5/22/19 13:11 SPXW1922Q2850 SPX May22'19 2850 put SHORT 30 4.40 5/23 8:05 0.00 n/a $13,179
Includes Typical Broker Commissions trade costs of $21.00
5/22/19 13:10 SPXW1922Q2840 SPX May22'19 2840 put LONG 30 1.80 5/23 8:05 0.00 6.51%
Trade id #123782769
Max drawdown($5,400)
Time5/23/19 8:05
Quant open0
Worst price0.00
Drawdown as % of equity-6.51%
($5,421)
Includes Typical Broker Commissions trade costs of $21.00
5/14/19 11:16 DXMM9 MINI-DAX INDEX SHORT 0.250000000 11971.0 5/14 12:54 12010.0 0.09%
Trade id #123664667
Max drawdown($66)
Time5/14/19 12:12
Quant open0
Worst price12019.0
Drawdown as % of equity-0.09%
($57)
Includes Typical Broker Commissions trade costs of $2.24
5/14/19 11:14 @ESM9 E-MINI S&P 500 SHORT 0.250000000 2840.50 5/14 12:54 2846.75 0.16%
Trade id #123664604
Max drawdown($125)
Time5/14/19 12:07
Quant open0
Worst price2850.50
Drawdown as % of equity-0.16%
($80)
Includes Typical Broker Commissions trade costs of $2.24
5/14/19 11:06 @BPM9 BRITISH POUND LONG 0.250000000 1.2936 5/14 11:28 1.2935 0.01%
Trade id #123664367
Max drawdown($10)
Time5/14/19 11:16
Quant open0
Worst price1.2929
Drawdown as % of equity-0.01%
($4)
Includes Typical Broker Commissions trade costs of $2.24
5/14/19 11:06 EXM9 DJ EURO STOXX 50 LONG 0.250000000 3321.00 5/14 11:28 3325.00 0.01%
Trade id #123664373
Max drawdown($5)
Time5/14/19 11:09
Quant open0
Worst price3319.00
Drawdown as % of equity-0.01%
$9
Includes Typical Broker Commissions trade costs of $2.24
5/14/19 8:29 @TYM9 US T-NOTE 10 YR SHORT 0.250000000 124 25/64 5/14 11:03 124 24/64 0.03%
Trade id #123659446
Max drawdown($23)
Time5/14/19 8:47
Quant open0
Worst price124 31/64
Drawdown as % of equity-0.03%
$2
Includes Typical Broker Commissions trade costs of $2.24
5/14/19 8:29 EXM9 DJ EURO STOXX 50 SHORT 0.250000000 3312.00 5/14 11:03 3319.00 0.04%
Trade id #123659441
Max drawdown($30)
Time5/14/19 10:42
Quant open0
Worst price3323.00
Drawdown as % of equity-0.04%
($22)
Includes Typical Broker Commissions trade costs of $2.24
5/14/19 8:28 BLM9 EUREX BOBL SHORT 0.250000000 133.390 5/14 11:03 133.420 0.02%
Trade id #123659432
Max drawdown($16)
Time5/14/19 8:43
Quant open0
Worst price133.450
Drawdown as % of equity-0.02%
($10)
Includes Typical Broker Commissions trade costs of $2.24
5/14/19 6:12 @BPM9 BRITISH POUND LONG 0.250000000 1.2971 5/14 11:03 1.2938 0.09%
Trade id #123658375
Max drawdown($65)
Time5/14/19 10:17
Quant open0
Worst price1.2929
Drawdown as % of equity-0.09%
($54)
Includes Typical Broker Commissions trade costs of $2.24

Statistics

  • Strategy began
    4/10/2019
  • Suggested Minimum Cap
    $90,000
  • Strategy Age (days)
    98.05
  • Age
    98 days ago
  • What it trades
    Options, Futures
  • # Trades
    83
  • # Profitable
    38
  • % Profitable
    45.80%
  • Avg trade duration
    13.0 hours
  • Max peak-to-valley drawdown
    25.59%
  • drawdown period
    April 16, 2019 - April 17, 2019
  • Cumul. Return
    632.9%
  • Avg win
    $7,035
  • Avg loss
    $4,153
  • Model Account Values (Raw)
  • Cash
    $92,965
  • Margin Used
    $0
  • Buying Power
    $92,965
  • Ratios
  • W:L ratio
    1.43:1
  • Sharpe Ratio
    4.69
  • Sortino Ratio
    20.53
  • Calmar Ratio
    21380
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.03240
  • Return Statistics
  • Ann Return (w trading costs)
    127475.0%
  • Ann Return (Compnd, No Fees)
    160543.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    37.50%
  • Chance of 20% account loss
    12.00%
  • Chance of 30% account loss
    10.50%
  • Chance of 40% account loss
    2.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    559
  • Popularity (Last 6 weeks)
    998
  • C2 Score
    68.7
  • 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
    $4,153
  • Avg Win
    $7,036
  • # Winners
    38
  • # Losers
    45
  • % Winners
    45.8%
  • Frequency
  • Avg Position Time (mins)
    781.22
  • Avg Position Time (hrs)
    13.02
  • Avg Trade Length
    0.5 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    93.80
  • Daily leverage (max)
    343.62
  • Unknown
  • Alpha
    2.49
  • Beta
    -0.46
  • Treynor Index
    -5.41
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    16.45580
  • SD
    5.01086
  • Sharpe ratio (Glass type estimate)
    3.28402
  • Sharpe ratio (Hedges UMVUE)
    1.85281
  • df
    2.00000
  • t
    1.64201
  • p
    0.12115
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.84413
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.00530
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.46722
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.17284
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    16.45580
  • Downside part of mean
    0.00000
  • Upside SD
    6.26938
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.12691
  • Mean of criterion
    16.45580
  • SD of predictor
    0.08028
  • SD of criterion
    5.01086
  • Covariance
    -0.33294
  • r
    -0.82767
  • b (slope, estimate of beta)
    -51.66190
  • a (intercept, estimate of alpha)
    23.01210
  • Mean Square Error
    15.81660
  • DF error
    1.00000
  • t(b)
    -1.47478
  • p(b)
    0.81033
  • t(a)
    2.52545
  • p(a)
    0.12001
  • Lowerbound of 95% confidence interval for beta
    -496.76200
  • Upperbound of 95% confidence interval for beta
    393.43900
  • Lowerbound of 95% confidence interval for alpha
    -92.76790
  • Upperbound of 95% confidence interval for alpha
    138.79200
  • Treynor index (mean / b)
    -0.31853
  • Jensen alpha (a)
    23.01210
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    8.73025
  • SD
    2.24855
  • Sharpe ratio (Glass type estimate)
    3.88261
  • Sharpe ratio (Hedges UMVUE)
    2.19053
  • df
    2.00000
  • t
    1.94131
  • p
    0.09587
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.58105
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.95596
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.27870
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.65976
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    8.73025
  • Downside part of mean
    0.00000
  • Upside SD
    3.11803
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.12387
  • Mean of criterion
    8.73025
  • SD of predictor
    0.07876
  • SD of criterion
    2.24855
  • Covariance
    -0.16220
  • r
    -0.91588
  • b (slope, estimate of beta)
    -26.14700
  • a (intercept, estimate of alpha)
    11.96920
  • Mean Square Error
    1.62973
  • DF error
    1.00000
  • t(b)
    -2.28138
  • p(b)
    0.86850
  • t(a)
    4.09708
  • p(a)
    0.07620
  • Lowerbound of 95% confidence interval for beta
    -171.77300
  • Upperbound of 95% confidence interval for beta
    119.48000
  • Lowerbound of 95% confidence interval for alpha
    -25.15070
  • Upperbound of 95% confidence interval for alpha
    49.08910
  • Treynor index (mean / b)
    -0.33389
  • Jensen alpha (a)
    11.96920
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.28834
  • Expected Shortfall on VaR
    0.44311
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    1.07400
  • Quartile 1
    1.59442
  • Median
    2.11484
  • Quartile 3
    3.02346
  • Maximum
    3.93208
  • Mean of quarter 1
    1.07400
  • Mean of quarter 2
    2.11484
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    3.93208
  • Inter Quartile Range
    1.42904
  • 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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)
    31.72440
  • Compounded annual return (geometric extrapolation)
    6361.38000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    14356.20000
  • 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
    9.00546
  • SD
    1.52738
  • Sharpe ratio (Glass type estimate)
    5.89601
  • Sharpe ratio (Hedges UMVUE)
    5.83169
  • df
    69.00000
  • t
    3.04759
  • p
    0.00163
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.95917
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.79296
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91702
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    9.74637
  • Statistics related to Sortino ratio
  • Sortino ratio
    25.43260
  • Upside Potential Ratio
    29.77820
  • Upside part of mean
    10.54420
  • Downside part of mean
    -1.53871
  • Upside SD
    1.57598
  • Downside SD
    0.35409
  • N nonnegative terms
    26.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    70.00000
  • Mean of predictor
    0.11080
  • Mean of criterion
    9.00546
  • SD of predictor
    0.11135
  • SD of criterion
    1.52738
  • Covariance
    -0.05349
  • r
    -0.31454
  • b (slope, estimate of beta)
    -4.31468
  • a (intercept, estimate of alpha)
    9.48400
  • Mean Square Error
    2.13300
  • DF error
    68.00000
  • t(b)
    -2.73248
  • p(b)
    0.99600
  • t(a)
    3.34998
  • p(a)
    0.00066
  • Lowerbound of 95% confidence interval for beta
    -7.46559
  • Upperbound of 95% confidence interval for beta
    -1.16376
  • Lowerbound of 95% confidence interval for alpha
    3.83452
  • Upperbound of 95% confidence interval for alpha
    15.13260
  • Treynor index (mean / b)
    -2.08717
  • Jensen alpha (a)
    9.48354
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    7.89652
  • SD
    1.35496
  • Sharpe ratio (Glass type estimate)
    5.82787
  • Sharpe ratio (Hedges UMVUE)
    5.76430
  • df
    69.00000
  • t
    3.01237
  • p
    0.00181
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.89400
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.72211
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.85240
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    9.67619
  • Statistics related to Sortino ratio
  • Sortino ratio
    21.09310
  • Upside Potential Ratio
    25.38320
  • Upside part of mean
    9.50258
  • Downside part of mean
    -1.60606
  • Upside SD
    1.38113
  • Downside SD
    0.37437
  • N nonnegative terms
    26.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    70.00000
  • Mean of predictor
    0.10465
  • Mean of criterion
    7.89652
  • SD of predictor
    0.11150
  • SD of criterion
    1.35496
  • Covariance
    -0.04604
  • r
    -0.30474
  • b (slope, estimate of beta)
    -3.70323
  • a (intercept, estimate of alpha)
    8.28405
  • Mean Square Error
    1.68991
  • DF error
    68.00000
  • t(b)
    -2.63842
  • p(b)
    0.99484
  • t(a)
    3.28829
  • p(a)
    0.00080
  • Lowerbound of 95% confidence interval for beta
    -6.50403
  • Upperbound of 95% confidence interval for beta
    -0.90243
  • Lowerbound of 95% confidence interval for alpha
    3.25695
  • Upperbound of 95% confidence interval for alpha
    13.31120
  • Treynor index (mean / b)
    -2.13233
  • Jensen alpha (a)
    8.28405
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10197
  • Expected Shortfall on VaR
    0.13242
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01519
  • Expected Shortfall on VaR
    0.03406
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    70.00000
  • Minimum
    0.87077
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.02522
  • Maximum
    1.44205
  • Mean of quarter 1
    0.97742
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00360
  • Mean of quarter 4
    1.15326
  • Inter Quartile Range
    0.02522
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.04286
  • Mean of outliers low
    0.90446
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.18571
  • Mean of outliers high
    1.19565
  • 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)
    1.13405
  • VaR(95%) (regression method)
    0.01751
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00135
  • Quartile 1
    0.00401
  • Median
    0.01566
  • Quartile 3
    0.06756
  • Maximum
    0.12923
  • Mean of quarter 1
    0.00188
  • Mean of quarter 2
    0.01138
  • Mean of quarter 3
    0.03578
  • Mean of quarter 4
    0.10166
  • Inter Quartile Range
    0.06355
  • 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)
    -8.16627
  • VaR(95%) (moments method)
    0.11040
  • Expected Shortfall (moments method)
    0.11040
  • Extreme Value Index (regression method)
    -1.29606
  • VaR(95%) (regression method)
    0.14515
  • Expected Shortfall (regression method)
    0.15029
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    27.35260
  • Compounded annual return (geometric extrapolation)
    2762.98000
  • Calmar ratio (compounded annual return / max draw down)
    21380.00000
  • Compounded annual return / average of 25% largest draw downs
    27177.70000
  • Compounded annual return / Expected Shortfall lognormal
    20864.50000

Strategy Description

Summary Statistics

Includes fees & commissions
Strategy began
2019-04-10
Suggested Minimum Capital
$90,000
# Trades
83
# Profitable
38
% Profitable
45.8%
Correlation S&P500
-0.032
Sharpe Ratio
4.69
Sortino Ratio
20.53
Beta
-0.46
Alpha
2.49
Leverage
93.80 Average
343.62 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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