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Featured Strategy IC Algotrading Rank on Leaderboard #19 Hypothetical

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Algebra Global
(145940726)

Created by: Traderkhved Traderkhved
Started: 09/2023
Stocks
Last trade: 3 days ago
Trading style: Equity Non-hedged Equity

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 $149.00 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."
84.8%
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.

(22.2%)
Max Drawdown
136
Num Trades
86.0%
Win Trades
4.1 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                        (0.4%)(4.8%)+32.9%+39.7%+76.0%
2024(14.9%)+23.1%+8.6%(7.7%)                                                +5.0%

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.

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 21 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 23 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/4/24 9:45 TLT ISHARES 20+ YEAR TREASURY BOND LONG 540 91.56 4/24 11:04 88.25 5.73%
Trade id #147805989
Max drawdown($2,033)
Time4/16/24 0:00
Quant open520
Worst price87.78
Drawdown as % of equity-5.73%
 ($1,797)
Includes Typical Broker Commissions trade costs of $10.80
4/22/24 12:45 PYPL PAYPAL HOLDINGS CORP LONG 65 62.84 4/22 13:22 63.08 n/a $14
Includes Typical Broker Commissions trade costs of $1.30
4/10/24 11:17 @MCDM4 E-MICRO CAD/USD LONG 1 0.73110 4/17 12:48 0.72480 0.17%
Trade id #147860308
Max drawdown($59)
Time4/16/24 0:00
Quant open1
Worst price0.72290
Drawdown as % of equity-0.17%
 ($47)
Includes Typical Broker Commissions trade costs of $0.78
3/25/24 11:12 HOOD ROBINHOOD MARKETS INC LONG 210 19.09 4/15 11:20 17.70 0.8%
Trade id #147725827
Max drawdown($315)
Time4/10/24 0:00
Quant open210
Worst price17.59
Drawdown as % of equity-0.80%
 ($296)
Includes Typical Broker Commissions trade costs of $4.20
3/25/24 11:11 PYPL PAYPAL HOLDINGS CORP LONG 60 66.78 4/15 11:19 64.53 0.49%
Trade id #147725821
Max drawdown($193)
Time4/2/24 0:00
Quant open60
Worst price63.55
Drawdown as % of equity-0.49%
 ($136)
Includes Typical Broker Commissions trade costs of $1.20
4/8/24 1:23 @MJYM4 E-MICRO JPY/USD LONG 2 0.006634 4/15 10:22 0.006540 0.61%
Trade id #147832886
Max drawdown($226)
Time4/15/24 8:32
Quant open2
Worst price0.006544
Drawdown as % of equity-0.61%
 ($238)
Includes Typical Broker Commissions trade costs of $1.56
4/9/24 12:42 IBIT ISHARES BITCOIN TRUST LONG 125 39.09 4/10 14:50 39.55 0.2%
Trade id #147850679
Max drawdown($78)
Time4/10/24 9:50
Quant open125
Worst price38.46
Drawdown as % of equity-0.20%
 $56
Includes Typical Broker Commissions trade costs of $2.50
11/15/23 9:41 TCEHY TENCENT HOLDINGS ADR LONG 109 39.25 4/8/24 11:37 39.75 1.96%
Trade id #146446881
Max drawdown($681)
Time2/20/24 0:00
Quant open109
Worst price33.00
Drawdown as % of equity-1.96%
 $52
Includes Typical Broker Commissions trade costs of $2.18
4/3/24 13:12 PPLT ABRDN PHYSICAL PLATINUM SHARES ETF LONG 100 85.93 4/8 10:27 88.12 0.43%
Trade id #147797142
Max drawdown($168)
Time4/5/24 0:00
Quant open100
Worst price84.25
Drawdown as % of equity-0.43%
 $217
Includes Typical Broker Commissions trade costs of $2.00
4/3/24 12:08 IBIT ISHARES BITCOIN TRUST LONG 100 37.71 4/8 10:26 40.90 0.09%
Trade id #147796277
Max drawdown($34)
Time4/3/24 14:33
Quant open100
Worst price37.37
Drawdown as % of equity-0.09%
 $317
Includes Typical Broker Commissions trade costs of $2.00
4/4/24 9:51 AUD/CAD AUD/CAD SHORT 1 0.89156 4/8 1:17 0.89494 0.07%
Trade id #147806125
Max drawdown($26)
Time4/5/24 0:00
Quant open1
Worst price0.89521
Drawdown as % of equity-0.07%
 ($25)
4/4/24 9:50 NZD/JPY NZD/JPY SHORT 1 91.586 4/4 14:50 91.408 0.02%
Trade id #147806101
Max drawdown($7)
Time4/4/24 13:38
Quant open1
Worst price91.700
Drawdown as % of equity-0.02%
 $12
4/4/24 10:31 EUR/USD EUR/USD SHORT 1 1.08725 4/4 14:18 1.08545 0%
Trade id #147806864
Max drawdown($1)
Time4/4/24 10:34
Quant open1
Worst price1.08735
Drawdown as % of equity-0.00%
 $18
4/3/24 9:35 TLT ISHARES 20+ YEAR TREASURY BOND LONG 415 91.25 4/4 9:44 92.61 0.22%
Trade id #147792986
Max drawdown($83)
Time4/3/24 9:49
Quant open415
Worst price91.05
Drawdown as % of equity-0.22%
 $556
Includes Typical Broker Commissions trade costs of $8.30
1/2/24 9:34 PPLT ABRDN PHYSICAL PLATINUM SHARES ETF LONG 100 85.15 4/3 13:12 85.66 1.2%
Trade id #146862240
Max drawdown($441)
Time3/1/24 0:00
Quant open88
Worst price80.15
Drawdown as % of equity-1.20%
 $49
Includes Typical Broker Commissions trade costs of $2.00
3/19/24 0:58 NZD/CAD NZD/CAD LONG 1 0.82147 4/3 13:12 0.81227 0.27%
Trade id #147678880
Max drawdown($109)
Time4/1/24 0:00
Quant open1
Worst price0.80662
Drawdown as % of equity-0.27%
 ($68)
3/18/24 1:05 AUD/NZD AUD/NZD SHORT 1 1.07721 4/3 13:11 1.09341 0.26%
Trade id #147659590
Max drawdown($99)
Time4/3/24 11:43
Quant open1
Worst price1.09374
Drawdown as % of equity-0.26%
 ($97)
3/27/24 10:16 CHF/JPY CHF/JPY SHORT 1 166.865 4/3 2:52 166.857 0.2%
Trade id #147745486
Max drawdown($78)
Time4/1/24 0:00
Quant open1
Worst price168.057
Drawdown as % of equity-0.20%
 $1
4/1/24 11:55 TLT ISHARES 20+ YEAR TREASURY BOND LONG 430 92.62 4/2 11:39 91.89 1.41%
Trade id #147774174
Max drawdown($552)
Time4/2/24 9:45
Quant open430
Worst price91.33
Drawdown as % of equity-1.41%
 ($323)
Includes Typical Broker Commissions trade costs of $8.60
3/19/24 5:58 USD/JPY USD/JPY SHORT 1 150.677 4/2 9:57 151.593 0.22%
Trade id #147680928
Max drawdown($85)
Time3/27/24 0:00
Quant open1
Worst price151.972
Drawdown as % of equity-0.22%
 ($60)
3/26/24 10:04 XLE ENERGY SELECT SECTOR SPDR LONG 43 92.80 4/1 11:24 94.84 0.07%
Trade id #147735626
Max drawdown($26)
Time3/27/24 0:00
Quant open43
Worst price92.18
Drawdown as % of equity-0.07%
 $87
Includes Typical Broker Commissions trade costs of $0.86
3/27/24 14:06 IWM ISHARES RUSSELL 2000 INDEX LONG 20 208.16 4/1 11:24 208.67 n/a $10
Includes Typical Broker Commissions trade costs of $0.40
3/18/24 12:35 IBIT ISHARES BITCOIN TRUST LONG 150 37.70 4/1 11:24 39.44 0.92%
Trade id #147671233
Max drawdown($343)
Time3/20/24 0:00
Quant open150
Worst price35.41
Drawdown as % of equity-0.92%
 $259
Includes Typical Broker Commissions trade costs of $3.00
12/28/23 10:47 SLV ISHARES SILVER TRUST LONG 270 22.50 4/1/24 11:23 22.82 0.97%
Trade id #146832337
Max drawdown($286)
Time1/22/24 0:00
Quant open135
Worst price20.07
Drawdown as % of equity-0.97%
 $81
Includes Typical Broker Commissions trade costs of $5.40
3/26/24 10:22 USD/CHF USD/CHF SHORT 1 0.90287 4/1 0:59 0.90187 0.12%
Trade id #147735902
Max drawdown($47)
Time3/27/24 0:00
Quant open1
Worst price0.90715
Drawdown as % of equity-0.12%
 $11
3/15/24 1:33 CHF/JPY CHF/JPY SHORT 1 167.639 3/27 8:06 166.628 0.53%
Trade id #147645038
Max drawdown($209)
Time3/21/24 0:00
Quant open1
Worst price170.806
Drawdown as % of equity-0.53%
 $67
2/29/24 13:12 PYPL PAYPAL HOLDINGS CORP LONG 67 60.30 3/22 9:45 66.57 0.44%
Trade id #147503923
Max drawdown($162)
Time3/5/24 0:00
Quant open67
Worst price57.87
Drawdown as % of equity-0.44%
 $419
Includes Typical Broker Commissions trade costs of $1.34
2/29/24 13:10 HOOD ROBINHOOD MARKETS INC LONG 240 16.42 3/22 9:45 18.58 0.49%
Trade id #147503900
Max drawdown($182)
Time3/5/24 0:00
Quant open240
Worst price15.66
Drawdown as % of equity-0.49%
 $513
Includes Typical Broker Commissions trade costs of $4.80
2/29/24 13:09 SQ BLOCK INC LONG 50 78.70 3/22 9:45 82.38 0.66%
Trade id #147503885
Max drawdown($246)
Time3/5/24 0:00
Quant open50
Worst price73.77
Drawdown as % of equity-0.66%
 $183
Includes Typical Broker Commissions trade costs of $1.00
3/4/24 12:36 GBP/CAD GBP/CAD SHORT 1 1.72301 3/21 15:45 1.71256 0.22%
Trade id #147530587
Max drawdown($84)
Time3/8/24 0:00
Quant open1
Worst price1.73439
Drawdown as % of equity-0.22%
 $77
Next

Statistics

  • Strategy began
    9/27/2023
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    213.52
  • Age
    7 months ago
  • What it trades
    Stocks, Forex
  • # Trades
    136
  • # Profitable
    117
  • % Profitable
    86.00%
  • Avg trade duration
    18.9 days
  • Max peak-to-valley drawdown
    22.24%
  • drawdown period
    Dec 27, 2023 - Jan 19, 2024
  • Cumul. Return
    84.8%
  • Avg win
    $208.24
  • Avg loss
    $313.89
  • Model Account Values (Raw)
  • Cash
    $3,165
  • Margin Used
    $0
  • Buying Power
    $890
  • Ratios
  • W:L ratio
    4.13:1
  • Sharpe Ratio
    2.68
  • Sortino Ratio
    4.71
  • Calmar Ratio
    11.45
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    65.53%
  • Correlation to SP500
    0.42690
  • Return Percent SP500 (cumu) during strategy life
    19.31%
  • Return Statistics
  • Ann Return (w trading costs)
    181.5%
  • Slump
  • Current Slump as Pcnt Equity
    9.00%
  • Instruments
  • Percent Trades Futures
    0.01%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.14%
  • 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)
    0.848%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.70%
  • Percent Trades Forex
    0.29%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    206.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    13.00%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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)
    351
  • Popularity (Last 6 weeks)
    877
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    938
  • Popularity (7 days, Percentile 1000 scale)
    712
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $314
  • Avg Win
    $208
  • Sum Trade PL (losers)
    $5,964.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $24,364.000
  • # Winners
    117
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    247
  • Win / Loss
  • # Losers
    19
  • % Winners
    86.0%
  • Frequency
  • Avg Position Time (mins)
    27161.60
  • Avg Position Time (hrs)
    452.69
  • Avg Trade Length
    18.9 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    2.09
  • Daily leverage (max)
    3.93
  • Regression
  • Alpha
    0.21
  • Beta
    1.30
  • Treynor Index
    0.24
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.97
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.749
  • 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
    0.805
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.573
  • Hold-and-Hope Ratio
    0.606
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.75160
  • SD
    0.72928
  • Sharpe ratio (Glass type estimate)
    2.40181
  • Sharpe ratio (Hedges UMVUE)
    2.01932
  • df
    5.00000
  • t
    1.69834
  • p
    0.07510
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81485
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.43927
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02195
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.06059
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.19276
  • Upside Potential Ratio
    10.82950
  • Upside part of mean
    2.06347
  • Downside part of mean
    -0.31186
  • Upside SD
    0.81399
  • Downside SD
    0.19054
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.39794
  • Mean of criterion
    1.75160
  • SD of predictor
    0.15812
  • SD of criterion
    0.72928
  • Covariance
    0.07246
  • r
    0.62836
  • b (slope, estimate of beta)
    2.89807
  • a (intercept, estimate of alpha)
    0.59835
  • Mean Square Error
    0.40232
  • DF error
    4.00000
  • t(b)
    1.61549
  • p(b)
    0.09075
  • t(a)
    0.52194
  • p(a)
    0.31464
  • Lowerbound of 95% confidence interval for beta
    -2.08363
  • Upperbound of 95% confidence interval for beta
    7.87976
  • Lowerbound of 95% confidence interval for alpha
    -2.58521
  • Upperbound of 95% confidence interval for alpha
    3.78192
  • Treynor index (mean / b)
    0.60440
  • Jensen alpha (a)
    0.59835
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.45922
  • SD
    0.64709
  • Sharpe ratio (Glass type estimate)
    2.25507
  • Sharpe ratio (Hedges UMVUE)
    1.89595
  • df
    5.00000
  • t
    1.59458
  • p
    0.08585
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91865
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.25562
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11466
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.90656
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.16765
  • Upside Potential Ratio
    8.79320
  • Upside part of mean
    1.79016
  • Downside part of mean
    -0.33094
  • Upside SD
    0.69637
  • Downside SD
    0.20358
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.38084
  • Mean of criterion
    1.45922
  • SD of predictor
    0.15316
  • SD of criterion
    0.64709
  • Covariance
    0.06046
  • r
    0.61006
  • b (slope, estimate of beta)
    2.57753
  • a (intercept, estimate of alpha)
    0.47761
  • Mean Square Error
    0.32860
  • DF error
    4.00000
  • t(b)
    1.53987
  • p(b)
    0.09922
  • t(a)
    0.46311
  • p(a)
    0.33368
  • Lowerbound of 95% confidence interval for beta
    -2.07076
  • Upperbound of 95% confidence interval for beta
    7.22582
  • Lowerbound of 95% confidence interval for alpha
    -2.38628
  • Upperbound of 95% confidence interval for alpha
    3.34150
  • Treynor index (mean / b)
    0.56613
  • Jensen alpha (a)
    0.47761
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16944
  • Expected Shortfall on VaR
    0.23001
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04535
  • Expected Shortfall on VaR
    0.09644
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.86961
  • Quartile 1
    1.00564
  • Median
    1.14205
  • Quartile 3
    1.30542
  • Maximum
    1.41601
  • Mean of quarter 1
    0.92436
  • Mean of quarter 2
    1.08521
  • Mean of quarter 3
    1.19889
  • Mean of quarter 4
    1.37847
  • Inter Quartile Range
    0.29978
  • 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
    2.00000
  • Minimum
    0.02089
  • Quartile 1
    0.04826
  • Median
    0.07564
  • Quartile 3
    0.10301
  • Maximum
    0.13039
  • Mean of quarter 1
    0.02089
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13039
  • Inter Quartile Range
    0.05475
  • 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)
    2.20684
  • Compounded annual return (geometric extrapolation)
    3.42438
  • Calmar ratio (compounded annual return / max draw down)
    26.26260
  • Compounded annual return / average of 25% largest draw downs
    26.26260
  • Compounded annual return / Expected Shortfall lognormal
    14.88790
  • 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
    1.21576
  • SD
    0.35840
  • Sharpe ratio (Glass type estimate)
    3.39215
  • Sharpe ratio (Hedges UMVUE)
    3.37505
  • df
    149.00000
  • t
    2.56667
  • p
    0.36993
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.76793
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.00541
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.75654
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.99356
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.08146
  • Upside Potential Ratio
    14.36100
  • Upside part of mean
    2.87093
  • Downside part of mean
    -1.65517
  • Upside SD
    0.30541
  • Downside SD
    0.19991
  • N nonnegative terms
    92.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    150.00000
  • Mean of predictor
    0.28762
  • Mean of criterion
    1.21576
  • SD of predictor
    0.11833
  • SD of criterion
    0.35840
  • Covariance
    0.01746
  • r
    0.41160
  • b (slope, estimate of beta)
    1.24666
  • a (intercept, estimate of alpha)
    0.85700
  • Mean Square Error
    0.10741
  • DF error
    148.00000
  • t(b)
    5.49429
  • p(b)
    0.29420
  • t(a)
    1.95693
  • p(a)
    0.42059
  • Lowerbound of 95% confidence interval for beta
    0.79827
  • Upperbound of 95% confidence interval for beta
    1.69504
  • Lowerbound of 95% confidence interval for alpha
    -0.00841
  • Upperbound of 95% confidence interval for alpha
    1.72280
  • Treynor index (mean / b)
    0.97522
  • Jensen alpha (a)
    0.85720
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.14997
  • SD
    0.35528
  • Sharpe ratio (Glass type estimate)
    3.23684
  • Sharpe ratio (Hedges UMVUE)
    3.22052
  • df
    149.00000
  • t
    2.44915
  • p
    0.37558
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.61536
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.84777
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.60452
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.83651
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.66673
  • Upside Potential Ratio
    13.92260
  • Upside part of mean
    2.82534
  • Downside part of mean
    -1.67538
  • Upside SD
    0.29874
  • Downside SD
    0.20293
  • N nonnegative terms
    92.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    150.00000
  • Mean of predictor
    0.28049
  • Mean of criterion
    1.14997
  • SD of predictor
    0.11821
  • SD of criterion
    0.35528
  • Covariance
    0.01741
  • r
    0.41464
  • b (slope, estimate of beta)
    1.24616
  • a (intercept, estimate of alpha)
    0.80043
  • Mean Square Error
    0.10523
  • DF error
    148.00000
  • t(b)
    5.54328
  • p(b)
    0.29268
  • t(a)
    1.84718
  • p(a)
    0.42494
  • Lowerbound of 95% confidence interval for beta
    0.80192
  • Upperbound of 95% confidence interval for beta
    1.69041
  • Lowerbound of 95% confidence interval for alpha
    -0.05587
  • Upperbound of 95% confidence interval for alpha
    1.65673
  • Treynor index (mean / b)
    0.92280
  • Jensen alpha (a)
    0.80043
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03122
  • Expected Shortfall on VaR
    0.04003
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01240
  • Expected Shortfall on VaR
    0.02462
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    150.00000
  • Minimum
    0.95148
  • Quartile 1
    0.98962
  • Median
    1.00451
  • Quartile 3
    1.01699
  • Maximum
    1.07875
  • Mean of quarter 1
    0.97794
  • Mean of quarter 2
    0.99825
  • Mean of quarter 3
    1.00993
  • Mean of quarter 4
    1.03284
  • Inter Quartile Range
    0.02737
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02000
  • Mean of outliers high
    1.07196
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.23401
  • VaR(95%) (moments method)
    0.02211
  • Expected Shortfall (moments method)
    0.02699
  • Extreme Value Index (regression method)
    -0.38374
  • VaR(95%) (regression method)
    0.02414
  • Expected Shortfall (regression method)
    0.02856
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00098
  • Quartile 1
    0.00962
  • Median
    0.01749
  • Quartile 3
    0.04203
  • Maximum
    0.19628
  • Mean of quarter 1
    0.00654
  • Mean of quarter 2
    0.01336
  • Mean of quarter 3
    0.02835
  • Mean of quarter 4
    0.11961
  • Inter Quartile Range
    0.03241
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.14372
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -8.32799
  • VaR(95%) (moments method)
    0.10453
  • Expected Shortfall (moments method)
    0.10454
  • Extreme Value Index (regression method)
    -0.46068
  • VaR(95%) (regression method)
    0.13210
  • Expected Shortfall (regression method)
    0.15644
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.68163
  • Compounded annual return (geometric extrapolation)
    2.24746
  • Calmar ratio (compounded annual return / max draw down)
    11.45020
  • Compounded annual return / average of 25% largest draw downs
    18.79000
  • Compounded annual return / Expected Shortfall lognormal
    56.14590
  • 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
    1.29522
  • SD
    0.34498
  • Sharpe ratio (Glass type estimate)
    3.75443
  • Sharpe ratio (Hedges UMVUE)
    3.73272
  • df
    130.00000
  • t
    2.65478
  • p
    0.38661
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.93833
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.55646
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.92403
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.54142
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.80294
  • Upside Potential Ratio
    14.87770
  • Upside part of mean
    2.83257
  • Downside part of mean
    -1.53735
  • Upside SD
    0.29709
  • Downside SD
    0.19039
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34481
  • Mean of criterion
    1.29522
  • SD of predictor
    0.11664
  • SD of criterion
    0.34498
  • Covariance
    0.01482
  • r
    0.36836
  • b (slope, estimate of beta)
    1.08953
  • a (intercept, estimate of alpha)
    0.91954
  • Mean Square Error
    0.10366
  • DF error
    129.00000
  • t(b)
    4.50025
  • p(b)
    0.27091
  • t(a)
    1.98640
  • p(a)
    0.39087
  • Lowerbound of 95% confidence interval for beta
    0.61052
  • Upperbound of 95% confidence interval for beta
    1.56853
  • Lowerbound of 95% confidence interval for alpha
    0.00365
  • Upperbound of 95% confidence interval for alpha
    1.83543
  • Treynor index (mean / b)
    1.18879
  • Jensen alpha (a)
    0.91954
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.23365
  • SD
    0.34228
  • Sharpe ratio (Glass type estimate)
    3.60425
  • Sharpe ratio (Hedges UMVUE)
    3.58341
  • df
    130.00000
  • t
    2.54859
  • p
    0.39093
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.79143
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.40375
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.77759
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.38923
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.38182
  • Upside Potential Ratio
    14.42950
  • Upside part of mean
    2.78934
  • Downside part of mean
    -1.55568
  • Upside SD
    0.29103
  • Downside SD
    0.19331
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33781
  • Mean of criterion
    1.23365
  • SD of predictor
    0.11647
  • SD of criterion
    0.34228
  • Covariance
    0.01477
  • r
    0.37046
  • b (slope, estimate of beta)
    1.08872
  • a (intercept, estimate of alpha)
    0.86587
  • Mean Square Error
    0.10186
  • DF error
    129.00000
  • t(b)
    4.52995
  • p(b)
    0.26967
  • t(a)
    1.88809
  • p(a)
    0.39607
  • VAR (95 Confidence Intrvl)
    0.03100
  • Lowerbound of 95% confidence interval for beta
    0.61321
  • Upperbound of 95% confidence interval for beta
    1.56424
  • Lowerbound of 95% confidence interval for alpha
    -0.04147
  • Upperbound of 95% confidence interval for alpha
    1.77321
  • Treynor index (mean / b)
    1.13312
  • Jensen alpha (a)
    0.86587
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02963
  • Expected Shortfall on VaR
    0.03813
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01137
  • Expected Shortfall on VaR
    0.02294
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95148
  • Quartile 1
    0.99060
  • Median
    1.00440
  • Quartile 3
    1.01653
  • Maximum
    1.07312
  • Mean of quarter 1
    0.97929
  • Mean of quarter 2
    0.99862
  • Mean of quarter 3
    1.01002
  • Mean of quarter 4
    1.03241
  • Inter Quartile Range
    0.02593
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.95148
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.06856
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.10526
  • VaR(95%) (moments method)
    0.02028
  • Expected Shortfall (moments method)
    0.02587
  • Extreme Value Index (regression method)
    -0.29433
  • VaR(95%) (regression method)
    0.02295
  • Expected Shortfall (regression method)
    0.02797
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00098
  • Quartile 1
    0.00938
  • Median
    0.01561
  • Quartile 3
    0.03497
  • Maximum
    0.19628
  • Mean of quarter 1
    0.00654
  • Mean of quarter 2
    0.01199
  • Mean of quarter 3
    0.02192
  • Mean of quarter 4
    0.10402
  • Inter Quartile Range
    0.02559
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.15798
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.36482
  • VaR(95%) (moments method)
    0.09905
  • Expected Shortfall (moments method)
    0.10476
  • Extreme Value Index (regression method)
    -0.09295
  • VaR(95%) (regression method)
    0.18407
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.25848
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -361601000
  • Max Equity Drawdown (num days)
    23
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.75815
  • Compounded annual return (geometric extrapolation)
    2.53093
  • Calmar ratio (compounded annual return / max draw down)
    12.89440
  • Compounded annual return / average of 25% largest draw downs
    24.33120
  • Compounded annual return / Expected Shortfall lognormal
    66.37160

Strategy Description

Why Algebra Global? MATHEMATICALLY OPTIMAL COMBINATION OF RISK AND REWARD!

This is:
* Actively managed strategy based on a classic TA and proven authors trading system;
* ETF, stocks, futures, FOREX - country & instrument diversification with min correlation;
* Min leverage;
* Working timeframes - day, week;
* No martingale, miracles, and crazy trades. This is a professional and painstaking hedge fund job. Long-term copy only. Better from 5 months;
* The best tactic is to join on drawdowns.

PATIENCE AND CONSISTENŠ”Y PAY OFF!
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-09-27
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 6.2%
Rank # 
#218
# Trades
136
# Profitable
117
% Profitable
86.0%
Net Dividends
$246
Correlation S&P500
0.427
Sharpe Ratio
2.68
Sortino Ratio
4.71
Beta
1.30
Alpha
0.21
Leverage
2.09 Average
3.93 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.