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

AxelRoark Growth Fund
(123350853)

Created by: NathanHangen NathanHangen
Started: 04/2019
Stocks
Last trade: 1,583 days ago
Trading style: Equity Non-hedged Equity Short-term Reversal

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 $125.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
-
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(100.0%)
Max Drawdown
163
Num Trades
43.6%
Win Trades
0.3 : 1
Profit Factor
28.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                     +3.7%+10.4%(3.9%)(4.5%)+0.3%(5.2%)(20.9%)(24.1%)(11.9%)(47.2%)
2020(6.4%)+25.3%+198.0%(36.2%)(21.1%)+5.5%(60.4%)(24%)(3.4%)+17.7%(35.7%)(10.9%)(63.7%)
2021+21.2%(15.2%)+0.6%(16.5%)+23.1%(38.4%)(7.2%)(74.1%)+65.8%(128%)(920.7%)(7.9%)(168.6%)
2022(51.4%)(77.6%)(61.9%)(2652.6%)(27.8%)+46.2%(39.9%)(6.2%)+158.0%+6.3%(36.7%)+34.2%(246.3%)
2023(24.6%)(6.1%)(50.2%)+58.1%(155.7%)(97.5%)(919.9%)(333.9%)+64.2%(18.4%)(187.2%)  -  0.0
2024(81.7%)(2.5%)                                                      (86.2%)

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
10/4/19 14:28 TQQQ PROSHARES ULTRAPRO QQQ SHORT 100 61.14 11/27 15:41 78.70 11.72%
Trade id #125637624
Max drawdown($1,760)
Time11/27/19 13:37
Quant open100
Worst price78.74
Drawdown as % of equity-11.72%
($1,758)
Includes Typical Broker Commissions trade costs of $2.00
10/31/19 13:10 GDX VANECK GOLD MINERS ETF LONG 100 27.88 11/5 9:30 26.97 0.48%
Trade id #126025891
Max drawdown($89)
Time11/5/19 9:30
Quant open100
Worst price26.99
Drawdown as % of equity-0.48%
($93)
Includes Typical Broker Commissions trade costs of $2.00
10/21/19 15:17 SPXW1928V2860 SPX Oct28'19 2860 put LONG 4 0.45 10/29 8:05 0.00 0.76%
Trade id #125882520
Max drawdown($160)
Time10/25/19 0:00
Quant open4
Worst price0.05
Drawdown as % of equity-0.76%
($183)
Includes Typical Broker Commissions trade costs of $2.80
10/14/19 13:16 BA BOEING SHORT 15 375.59 10/21 9:58 329.15 0.12%
Trade id #125770399
Max drawdown($27)
Time10/16/19 0:00
Quant open15
Worst price377.42
Drawdown as % of equity-0.12%
$697
Includes Typical Broker Commissions trade costs of $0.30
10/4/19 14:35 AAPL1911V217.5 AAPL Oct11'19 217.5 put LONG 3 0.71 10/12 9:35 0.00 0.82%
Trade id #125637880
Max drawdown($210)
Time10/11/19 0:00
Quant open3
Worst price0.01
Drawdown as % of equity-0.82%
($215)
Includes Typical Broker Commissions trade costs of $2.10
10/4/19 14:29 SPY1909V290 SPY Oct9'19 290 put LONG 2 0.88 10/10 8:05 0.00 0.65%
Trade id #125637638
Max drawdown($174)
Time10/9/19 0:00
Quant open2
Worst price0.01
Drawdown as % of equity-0.65%
($177)
Includes Typical Broker Commissions trade costs of $1.40
10/3/19 14:35 DB DEUTSCHE BANK AG SHORT 500 7.16 10/8 9:30 6.94 0.07%
Trade id #125620444
Max drawdown($20)
Time10/4/19 0:00
Quant open500
Worst price7.20
Drawdown as % of equity-0.07%
$100
Includes Typical Broker Commissions trade costs of $10.00
10/3/19 14:47 AMD1904J28 AMD Oct4'19 28 call SHORT 2 0.79 10/5 9:35 0.00 0.2%
Trade id #125620782
Max drawdown($54)
Time10/4/19 0:00
Quant open2
Worst price1.06
Drawdown as % of equity-0.20%
$157
Includes Typical Broker Commissions trade costs of $1.40
9/5/19 15:59 AMD ADVANCED MICRO DEVICES INC. C LONG 200 31.18 10/5 9:35 27.72 2.71%
Trade id #125238024
Max drawdown($750)
Time10/3/19 0:00
Quant open200
Worst price27.43
Drawdown as % of equity-2.71%
($696)
Includes Typical Broker Commissions trade costs of $4.00
10/3/19 14:46 SQ BLOCK INC SHORT 100 62.30 10/4 9:30 62.67 0.23%
Trade id #125620760
Max drawdown($62)
Time10/4/19 0:00
Quant open100
Worst price62.92
Drawdown as % of equity-0.23%
($39)
Includes Typical Broker Commissions trade costs of $2.00
10/3/19 14:41 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 200 25.72 10/4 9:30 25.27 1.23%
Trade id #125620655
Max drawdown($334)
Time10/4/19 0:00
Quant open200
Worst price24.05
Drawdown as % of equity-1.23%
($94)
Includes Typical Broker Commissions trade costs of $4.00
10/3/19 14:38 TQQQ PROSHARES ULTRAPRO QQQ SHORT 100 58.71 10/4 9:30 59.71 1.1%
Trade id #125620553
Max drawdown($297)
Time10/4/19 0:00
Quant open100
Worst price61.68
Drawdown as % of equity-1.10%
($102)
Includes Typical Broker Commissions trade costs of $2.00
9/30/19 11:39 AMD1904J29 AMD Oct4'19 29 call SHORT 2 0.45 10/3 10:45 0.05 0.32%
Trade id #125557156
Max drawdown($80)
Time10/1/19 0:00
Quant open2
Worst price0.85
Drawdown as % of equity-0.32%
$77
Includes Typical Broker Commissions trade costs of $2.80
10/2/19 14:12 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 100 26.25 10/2 15:30 26.07 0.01%
Trade id #125599479
Max drawdown($4)
Time10/2/19 14:15
Quant open100
Worst price26.29
Drawdown as % of equity-0.01%
$16
Includes Typical Broker Commissions trade costs of $2.00
9/27/19 11:06 DIS WALT DISNEY SHORT 25 130.03 10/2 15:00 129.00 0.17%
Trade id #125533639
Max drawdown($43)
Time10/1/19 0:00
Quant open25
Worst price131.78
Drawdown as % of equity-0.17%
$26
Includes Typical Broker Commissions trade costs of $0.50
8/29/19 10:23 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 100 33.70 10/2 14:11 35.34 1.52%
Trade id #125140885
Max drawdown($370)
Time9/12/19 0:00
Quant open100
Worst price30.00
Drawdown as % of equity-1.52%
$162
Includes Typical Broker Commissions trade costs of $2.00
10/1/19 14:57 AAPL APPLE SHORT 25 225.22 10/1 14:57 225.82 0.04%
Trade id #125580011
Max drawdown($11)
Time10/1/19 15:10
Quant open25
Worst price225.66
Drawdown as % of equity-0.04%
($16)
Includes Typical Broker Commissions trade costs of $0.50
10/1/19 14:56 IWM ISHARES RUSSELL 2000 INDEX SHORT 25 148.63 10/1 14:56 149.07 0.02%
Trade id #125579998
Max drawdown($5)
Time10/1/19 15:10
Quant open25
Worst price148.83
Drawdown as % of equity-0.02%
($12)
Includes Typical Broker Commissions trade costs of $0.50
9/30/19 10:57 LUV SOUTHWEST AIRLINES SHORT 75 53.98 10/1 13:42 53.58 0.27%
Trade id #125556286
Max drawdown($69)
Time10/1/19 0:00
Quant open75
Worst price54.90
Drawdown as % of equity-0.27%
$29
Includes Typical Broker Commissions trade costs of $1.50
9/30/19 11:00 MSFT MICROSOFT LONG 25 138.42 9/30 15:15 138.79 0.01%
Trade id #125556339
Max drawdown($3)
Time9/30/19 11:07
Quant open25
Worst price138.30
Drawdown as % of equity-0.01%
$9
Includes Typical Broker Commissions trade costs of $0.50
9/30/19 11:00 TTD THE TRADE DESK INC. CLASS A LONG 25 185.58 9/30 15:14 187.55 0.26%
Trade id #125556361
Max drawdown($64)
Time9/30/19 11:16
Quant open25
Worst price183.00
Drawdown as % of equity-0.26%
$49
Includes Typical Broker Commissions trade costs of $0.50
9/27/19 15:31 SQ BLOCK INC LONG 100 60.54 9/30 15:14 62.05 0.03%
Trade id #125538995
Max drawdown($7)
Time9/27/19 15:50
Quant open100
Worst price60.47
Drawdown as % of equity-0.03%
$149
Includes Typical Broker Commissions trade costs of $2.00
9/27/19 15:32 SQ1904J61 SQ Oct4'19 61 call SHORT 1 1.20 9/30 15:14 1.70 0.26%
Trade id #125539021
Max drawdown($65)
Time9/30/19 11:50
Quant open1
Worst price1.85
Drawdown as % of equity-0.26%
($52)
Includes Typical Broker Commissions trade costs of $2.00
9/25/19 11:02 AMD1904J31 AMD Oct4'19 31 call SHORT 2 0.32 9/30 11:38 0.07 0.05%
Trade id #125503291
Max drawdown($12)
Time9/26/19 0:00
Quant open2
Worst price0.38
Drawdown as % of equity-0.05%
$47
Includes Typical Broker Commissions trade costs of $2.80
9/27/19 11:05 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A SHORT 50 78.93 9/30 11:26 74.93 0.11%
Trade id #125533620
Max drawdown($28)
Time9/27/19 12:15
Quant open50
Worst price79.49
Drawdown as % of equity-0.11%
$199
Includes Typical Broker Commissions trade costs of $1.00
9/25/19 10:59 EEM ISHARES MSCI EMERGING MARKETS LONG 100 41.05 9/27 11:39 40.80 0.1%
Trade id #125503179
Max drawdown($24)
Time9/27/19 11:39
Quant open100
Worst price40.80
Drawdown as % of equity-0.10%
($27)
Includes Typical Broker Commissions trade costs of $2.00
9/25/19 11:01 PEP PEPSICO LONG 25 135.49 9/27 11:39 135.62 0.1%
Trade id #125503225
Max drawdown($24)
Time9/25/19 13:49
Quant open25
Worst price134.51
Drawdown as % of equity-0.10%
$3
Includes Typical Broker Commissions trade costs of $0.50
9/26/19 11:18 SQ BLOCK INC SHORT 100 60.41 9/27 10:36 61.25 0.49%
Trade id #125519566
Max drawdown($124)
Time9/27/19 0:00
Quant open100
Worst price61.65
Drawdown as % of equity-0.49%
($86)
Includes Typical Broker Commissions trade costs of $2.00
9/25/19 10:58 DIS WALT DISNEY SHORT 25 132.22 9/26 11:35 130.00 0.12%
Trade id #125503148
Max drawdown($30)
Time9/25/19 15:26
Quant open25
Worst price133.42
Drawdown as % of equity-0.12%
$56
Includes Typical Broker Commissions trade costs of $0.50
9/25/19 11:16 AAPL APPLE SHORT 25 220.32 9/25 15:10 221.00 0.06%
Trade id #125503540
Max drawdown($15)
Time9/25/19 12:28
Quant open25
Worst price220.93
Drawdown as % of equity-0.06%
($18)
Includes Typical Broker Commissions trade costs of $0.50

Statistics

  • Strategy began
    4/17/2019
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1802.66
  • Age
    60 months ago
  • What it trades
    Stocks
  • # Trades
    163
  • # Profitable
    71
  • % Profitable
    43.60%
  • Avg trade duration
    34.1 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Feb 19, 2022 - March 07, 2024
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $167.18
  • Avg loss
    $460.29
  • Model Account Values (Raw)
  • Cash
    $19,815
  • Margin Used
    $4,200
  • Buying Power
    ($3,715)
  • Ratios
  • W:L ratio
    0.28:1
  • Sharpe Ratio
    -0.56
  • Sortino Ratio
    -0.65
  • Calmar Ratio
    -1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -208.57%
  • Correlation to SP500
    -0.45100
  • Return Percent SP500 (cumu) during strategy life
    80.95%
  • 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
    0.81%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    0.09%
  • Percent Trades Stocks
    0.91%
  • 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
    71.00%
  • Chance of 40% account loss
    5.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $460
  • Avg Win
    $167
  • Sum Trade PL (losers)
    $42,347.000
  • Age
  • Num Months filled monthly returns table
    31
  • Win / Loss
  • Sum Trade PL (winners)
    $11,870.000
  • # Winners
    71
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    10
  • Win / Loss
  • # Losers
    92
  • % Winners
    43.6%
  • Frequency
  • Avg Position Time (mins)
    49076.20
  • Avg Position Time (hrs)
    817.94
  • Avg Trade Length
    34.1 days
  • Last Trade Ago
    1579
  • Leverage
  • Daily leverage (average)
    2.68
  • Daily leverage (max)
    29.24
  • Regression
  • Alpha
    0.00
  • Beta
    -3.99
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    55.68
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    37.33
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.48
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -2.359
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.580
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.337
  • Hold-and-Hope Ratio
    -0.997
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    5218.53000
  • SD
    5434.31000
  • Sharpe ratio (Glass type estimate)
    0.96029
  • Sharpe ratio (Hedges UMVUE)
    0.89878
  • df
    12.00000
  • t
    0.99950
  • p
    0.36139
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97970
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.86237
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01832
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81587
  • Statistics related to Sortino ratio
  • Sortino ratio
    4317.39000
  • Upside Potential Ratio
    4319.49000
  • Upside part of mean
    5221.07000
  • Downside part of mean
    -2.54454
  • Upside SD
    5434.11000
  • Downside SD
    1.20872
  • N nonnegative terms
    4.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.40399
  • Mean of criterion
    5218.53000
  • SD of predictor
    0.30065
  • SD of criterion
    5434.31000
  • Covariance
    -928.10800
  • r
    -0.56806
  • b (slope, estimate of beta)
    -10268.00000
  • a (intercept, estimate of alpha)
    9366.75000
  • Mean Square Error
    21820300.00000
  • DF error
    11.00000
  • t(b)
    -2.28930
  • p(b)
    0.97859
  • t(a)
    1.93530
  • p(a)
    0.03954
  • Lowerbound of 95% confidence interval for beta
    -20139.90000
  • Upperbound of 95% confidence interval for beta
    -396.10000
  • Lowerbound of 95% confidence interval for alpha
    -1285.93000
  • Upperbound of 95% confidence interval for alpha
    20019.40000
  • Treynor index (mean / b)
    -0.50823
  • Jensen alpha (a)
    9366.75000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.16638
  • SD
    12.47790
  • Sharpe ratio (Glass type estimate)
    -0.17362
  • Sharpe ratio (Hedges UMVUE)
    -0.16250
  • df
    12.00000
  • t
    -0.18071
  • p
    0.52605
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.05439
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71425
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.04669
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72170
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.24979
  • Upside Potential Ratio
    0.93607
  • Upside part of mean
    8.11845
  • Downside part of mean
    -10.28480
  • Upside SD
    8.30016
  • Downside SD
    8.67293
  • N nonnegative terms
    4.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.35797
  • Mean of criterion
    -2.16638
  • SD of predictor
    0.28817
  • SD of criterion
    12.47790
  • Covariance
    -2.70898
  • r
    -0.75338
  • b (slope, estimate of beta)
    -32.62190
  • a (intercept, estimate of alpha)
    9.51133
  • Mean Square Error
    73.44660
  • DF error
    11.00000
  • t(b)
    -3.79981
  • p(b)
    0.99853
  • t(a)
    1.08222
  • p(a)
    0.15115
  • Lowerbound of 95% confidence interval for beta
    -51.51760
  • Upperbound of 95% confidence interval for beta
    -13.72610
  • Lowerbound of 95% confidence interval for alpha
    -9.83252
  • Upperbound of 95% confidence interval for alpha
    28.85520
  • Treynor index (mean / b)
    0.06641
  • Jensen alpha (a)
    9.51133
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99777
  • Expected Shortfall on VaR
    0.99915
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.58724
  • Expected Shortfall on VaR
    0.95278
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.00013
  • Quartile 1
    0.75311
  • Median
    0.89493
  • Quartile 3
    1.01617
  • Maximum
    5657.00000
  • Mean of quarter 1
    0.47146
  • Mean of quarter 2
    0.83216
  • Mean of quarter 3
    0.96608
  • Mean of quarter 4
    1886.38000
  • Inter Quartile Range
    0.26306
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.07692
  • Mean of outliers low
    0.00013
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    5657.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.07178
  • VaR(95%) (moments method)
    0.55741
  • Expected Shortfall (moments method)
    0.73664
  • Extreme Value Index (regression method)
    0.74182
  • VaR(95%) (regression method)
    0.91647
  • Expected Shortfall (regression method)
    3.56813
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99996
  • Quartile 1
    0.99996
  • Median
    0.99996
  • Quartile 3
    0.99996
  • Maximum
    0.99996
  • 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)
    -0.83206
  • Compounded annual return (geometric extrapolation)
    -0.88217
  • Calmar ratio (compounded annual return / max draw down)
    -0.88220
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.88292
  • 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
    549.35700
  • SD
    574.04100
  • Sharpe ratio (Glass type estimate)
    0.95700
  • Sharpe ratio (Hedges UMVUE)
    0.95453
  • df
    291.00000
  • t
    1.01030
  • p
    0.15659
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90199
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81437
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90364
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81270
  • Statistics related to Sortino ratio
  • Sortino ratio
    272.52500
  • Upside Potential Ratio
    277.78700
  • Upside part of mean
    559.96400
  • Downside part of mean
    -10.60740
  • Upside SD
    574.05800
  • Downside SD
    2.01580
  • N nonnegative terms
    117.00000
  • N negative terms
    175.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    292.00000
  • Mean of predictor
    0.56941
  • Mean of criterion
    549.35700
  • SD of predictor
    0.41925
  • SD of criterion
    574.04100
  • Covariance
    -15.77460
  • r
    -0.06554
  • b (slope, estimate of beta)
    -89.74360
  • a (intercept, estimate of alpha)
    600.45700
  • Mean Square Error
    329239.00000
  • DF error
    290.00000
  • t(b)
    -1.11859
  • p(b)
    0.86788
  • t(a)
    1.10088
  • p(a)
    0.13593
  • Lowerbound of 95% confidence interval for beta
    -247.64900
  • Upperbound of 95% confidence interval for beta
    68.16140
  • Lowerbound of 95% confidence interval for alpha
    -473.05700
  • Upperbound of 95% confidence interval for alpha
    1673.97000
  • Treynor index (mean / b)
    -6.12140
  • Jensen alpha (a)
    600.45700
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -9.11413
  • SD
    12.81650
  • Sharpe ratio (Glass type estimate)
    -0.71112
  • Sharpe ratio (Hedges UMVUE)
    -0.70929
  • df
    291.00000
  • t
    -0.75073
  • p
    0.77329
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.56798
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.14692
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.56674
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.14816
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.83135
  • Upside Potential Ratio
    1.47456
  • Upside part of mean
    16.16560
  • Downside part of mean
    -25.27980
  • Upside SD
    6.62044
  • Downside SD
    10.96300
  • N nonnegative terms
    117.00000
  • N negative terms
    175.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    292.00000
  • Mean of predictor
    0.48149
  • Mean of criterion
    -9.11413
  • SD of predictor
    0.41896
  • SD of criterion
    12.81650
  • Covariance
    -2.30390
  • r
    -0.42907
  • b (slope, estimate of beta)
    -13.12590
  • a (intercept, estimate of alpha)
    -2.79418
  • Mean Square Error
    134.48400
  • DF error
    290.00000
  • t(b)
    -8.08925
  • p(b)
    1.00000
  • t(a)
    -0.25373
  • p(a)
    0.60006
  • Lowerbound of 95% confidence interval for beta
    -16.31960
  • Upperbound of 95% confidence interval for beta
    -9.93229
  • Lowerbound of 95% confidence interval for alpha
    -24.46900
  • Upperbound of 95% confidence interval for alpha
    18.88060
  • Treynor index (mean / b)
    0.69436
  • Jensen alpha (a)
    -2.79418
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.73742
  • Expected Shortfall on VaR
    0.80412
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10214
  • Expected Shortfall on VaR
    0.22318
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    292.00000
  • Minimum
    0.00035
  • Quartile 1
    0.97463
  • Median
    0.99772
  • Quartile 3
    1.01330
  • Maximum
    607.00000
  • Mean of quarter 1
    0.84811
  • Mean of quarter 2
    0.99045
  • Mean of quarter 3
    1.00250
  • Mean of quarter 4
    9.54648
  • Inter Quartile Range
    0.03867
  • Number outliers low
    35.00000
  • Percentage of outliers low
    0.11986
  • Mean of outliers low
    0.73167
  • Number of outliers high
    33.00000
  • Percentage of outliers high
    0.11301
  • Mean of outliers high
    19.86710
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.87337
  • VaR(95%) (moments method)
    0.14042
  • Expected Shortfall (moments method)
    1.19017
  • Extreme Value Index (regression method)
    0.14109
  • VaR(95%) (regression method)
    0.11718
  • Expected Shortfall (regression method)
    0.19105
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00289
  • Quartile 1
    0.00814
  • Median
    0.01980
  • Quartile 3
    0.32756
  • Maximum
    0.99998
  • Mean of quarter 1
    0.00365
  • Mean of quarter 2
    0.01584
  • Mean of quarter 3
    0.09797
  • Mean of quarter 4
    0.77856
  • Inter Quartile Range
    0.31941
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.99998
  • 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)
    -0.89722
  • Compounded annual return (geometric extrapolation)
    -0.99989
  • Calmar ratio (compounded annual return / max draw down)
    -0.99990
  • Compounded annual return / average of 25% largest draw downs
    -1.28427
  • Compounded annual return / Expected Shortfall lognormal
    -1.24345
  • 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
    1225.34000
  • SD
    856.99300
  • Sharpe ratio (Glass type estimate)
    1.42982
  • Sharpe ratio (Hedges UMVUE)
    1.42155
  • df
    130.00000
  • t
    1.01103
  • p
    0.45584
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.35010
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.20441
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.35564
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.19874
  • Statistics related to Sortino ratio
  • Sortino ratio
    408.59100
  • Upside Potential Ratio
    415.68000
  • Upside part of mean
    1246.60000
  • Downside part of mean
    -21.25780
  • Upside SD
    857.06000
  • Downside SD
    2.99894
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.13379
  • Mean of criterion
    1225.34000
  • SD of predictor
    0.60867
  • SD of criterion
    856.99300
  • Covariance
    -37.94360
  • r
    -0.07274
  • b (slope, estimate of beta)
    -102.41800
  • a (intercept, estimate of alpha)
    1341.46000
  • Mean Square Error
    736214.00000
  • DF error
    129.00000
  • t(b)
    -0.82838
  • p(b)
    0.54627
  • t(a)
    1.09820
  • p(a)
    0.43883
  • Lowerbound of 95% confidence interval for beta
    -347.03800
  • Upperbound of 95% confidence interval for beta
    142.20100
  • Lowerbound of 95% confidence interval for alpha
    -1075.32000
  • Upperbound of 95% confidence interval for alpha
    3758.24000
  • Treynor index (mean / b)
    -11.96410
  • Jensen alpha (a)
    1341.46000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -19.44010
  • SD
    19.15320
  • Sharpe ratio (Glass type estimate)
    -1.01498
  • Sharpe ratio (Hedges UMVUE)
    -1.00911
  • df
    130.00000
  • t
    -0.71770
  • p
    0.53141
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.78760
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76151
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.78363
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76541
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.18787
  • Upside Potential Ratio
    2.10746
  • Upside part of mean
    34.48980
  • Downside part of mean
    -53.92990
  • Upside SD
    9.88209
  • Downside SD
    16.36560
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.94820
  • Mean of criterion
    -19.44010
  • SD of predictor
    0.60867
  • SD of criterion
    19.15320
  • Covariance
    -5.09500
  • r
    -0.43704
  • b (slope, estimate of beta)
    -13.75240
  • a (intercept, estimate of alpha)
    -6.40017
  • Mean Square Error
    299.07800
  • DF error
    129.00000
  • t(b)
    -5.51875
  • p(b)
    0.76910
  • t(a)
    -0.26048
  • p(a)
    0.51460
  • VAR (95 Confidence Intrvl)
    0.73700
  • Lowerbound of 95% confidence interval for beta
    -18.68270
  • Upperbound of 95% confidence interval for beta
    -8.82200
  • Lowerbound of 95% confidence interval for alpha
    -55.01470
  • Upperbound of 95% confidence interval for alpha
    42.21430
  • Treynor index (mean / b)
    1.41358
  • Jensen alpha (a)
    -6.40017
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.86742
  • Expected Shortfall on VaR
    0.91245
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.20857
  • Expected Shortfall on VaR
    0.41827
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00035
  • Quartile 1
    0.90223
  • Median
    0.99714
  • Quartile 3
    1.07025
  • Maximum
    607.00000
  • Mean of quarter 1
    0.72094
  • Mean of quarter 2
    0.95727
  • Mean of quarter 3
    1.02153
  • Mean of quarter 4
    19.86710
  • Inter Quartile Range
    0.16802
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.30162
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    62.87180
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43607
  • VaR(95%) (moments method)
    0.28876
  • Expected Shortfall (moments method)
    0.57830
  • Extreme Value Index (regression method)
    -0.75360
  • VaR(95%) (regression method)
    0.27523
  • Expected Shortfall (regression method)
    0.30677
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.27982
  • Quartile 1
    0.45986
  • Median
    0.63990
  • Quartile 3
    0.81994
  • Maximum
    0.99998
  • Mean of quarter 1
    0.27982
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99998
  • Inter Quartile Range
    0.36008
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -365899000
  • Max Equity Drawdown (num days)
    747
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99988
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00002
  • Compounded annual return / average of 25% largest draw downs
    -1.00002
  • Compounded annual return / Expected Shortfall lognormal
    -1.09595

Strategy Description

Summary Statistics

Strategy began
2019-04-17
Suggested Minimum Capital
$25,000
# Trades
163
# Profitable
71
% Profitable
43.6%
Net Dividends
Correlation S&P500
-0.451
Sharpe Ratio
-0.56
Sortino Ratio
-0.65
Beta
-3.99
Alpha
0.00
Leverage
2.68 Average
29.24 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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