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Featured Strategy Easiest Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Commodities breakout
(130776164)

Created by: OlegMikhailov OlegMikhailov
Started: 08/2020
Stocks
Last trade: Yesterday

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 $100.00 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.

12.2%
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.

(10.9%)
Max Drawdown
254
Num Trades
33.9%
Win Trades
3.0 : 1
Profit Factor
63.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                 +3.3%(1.1%)(0.7%)(0.4%)+1.2%+2.1%
2021+0.6%+2.1%(1.2%)+2.4%(2.9%)(0.1%)+1.0%+2.3%+2.1%+1.4%(0.9%)+1.7%+8.7%
2022+1.8%(0.8%)+3.5%+3.7%(0.6%)(7.5%)(0.3%)+1.3%+0.1%+0.6%+0.4%(0.2%)+1.4%
2023  -  +3.6%+3.7%+2.0%+3.6%(2.2%)+11.4%+2.5%+0.1%+4.1%+0.5%(0.1%)+32.6%
2024+0.1%(0.4%)+1.4%(0.1%)+0.2%                                          +1.3%

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 91 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 170 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/1/24 10:14 BITO PROSHARES BITCOIN STRATEGY ETF SHORT 280 23.21 5/16 15:49 26.50 0.96%
Trade id #148061966
Max drawdown($1,069)
Time5/15/24 0:00
Quant open280
Worst price27.03
Drawdown as % of equity-0.96%
 ($927)
Includes Typical Broker Commissions trade costs of $5.60
5/14/24 15:22 ADM ARCHER-DANIELS MIDLAND LONG 25 61.74 5/15 9:36 61.00 0.02%
Trade id #148166543
Max drawdown($18)
Time5/15/24 9:36
Quant open25
Worst price60.99
Drawdown as % of equity-0.02%
 ($20)
Includes Typical Broker Commissions trade costs of $0.50
5/9/24 15:50 CLF CLEVELAND-CLIFFS INC SHORT 7 17.42 5/15 9:31 18.10 0%
Trade id #148135993
Max drawdown($4)
Time5/15/24 9:31
Quant open7
Worst price18.10
Drawdown as % of equity-0.00%
 ($5)
Includes Typical Broker Commissions trade costs of $0.14
5/1/24 15:57 GLD SPDR GOLD SHARES SHORT 13 213.87 5/10 9:30 219.18 0.06%
Trade id #148067055
Max drawdown($69)
Time5/10/24 9:30
Quant open13
Worst price219.25
Drawdown as % of equity-0.06%
 ($69)
Includes Typical Broker Commissions trade costs of $0.26
4/29/24 10:16 HD HOME DEPOT SHORT 7 335.26 5/9 15:46 347.59 0.08%
Trade id #148037945
Max drawdown($87)
Time5/9/24 15:39
Quant open7
Worst price347.72
Drawdown as % of equity-0.08%
 ($86)
Includes Typical Broker Commissions trade costs of $0.14
4/30/24 14:48 TSLA TESLA INC. LONG 3 184.85 5/8 9:30 171.43 0.04%
Trade id #148054900
Max drawdown($42)
Time5/8/24 9:30
Quant open3
Worst price170.68
Drawdown as % of equity-0.04%
 ($40)
Includes Typical Broker Commissions trade costs of $0.06
5/6/24 12:49 AUD/USD AUD/USD LONG 1 0.66249 5/7 21:09 0.65759 0.04%
Trade id #148102239
Max drawdown($49)
Time5/7/24 21:09
Quant open1
Worst price0.65752
Drawdown as % of equity-0.04%
 ($49)
4/29/24 10:36 PTON PELOTON INTERACTIVE INC. CLASS A SHORT 78 3.29 5/7 13:17 4.06 0.06%
Trade id #148038384
Max drawdown($70)
Time5/7/24 9:55
Quant open78
Worst price4.19
Drawdown as % of equity-0.06%
 ($62)
Includes Typical Broker Commissions trade costs of $1.56
4/30/24 14:53 ADM ARCHER-DANIELS MIDLAND SHORT 56 58.74 5/6 15:43 59.88 0.05%
Trade id #148054940
Max drawdown($56)
Time5/6/24 15:28
Quant open56
Worst price59.76
Drawdown as % of equity-0.05%
 ($64)
Includes Typical Broker Commissions trade costs of $1.12
5/6/24 12:28 BA BOEING LONG 7 181.94 5/6 15:00 176.80 0.05%
Trade id #148101959
Max drawdown($50)
Time5/6/24 15:00
Quant open7
Worst price174.71
Drawdown as % of equity-0.05%
 ($36)
Includes Typical Broker Commissions trade costs of $0.14
4/29/24 10:29 ALTM ARCADIUM LITHIUM PLC SHORT 38 4.45 5/2 15:59 4.73 0.01%
Trade id #148038207
Max drawdown($12)
Time5/2/24 15:20
Quant open38
Worst price4.77
Drawdown as % of equity-0.01%
 ($12)
Includes Typical Broker Commissions trade costs of $0.76
4/29/24 10:04 BA BOEING SHORT 6 169.09 5/2 15:48 178.03 0.05%
Trade id #148037752
Max drawdown($56)
Time5/2/24 12:10
Quant open6
Worst price178.45
Drawdown as % of equity-0.05%
 ($54)
Includes Typical Broker Commissions trade costs of $0.12
5/1/24 6:39 USD/JPY USD/JPY LONG 1 157.884 5/1 16:13 156.329 0.1%
Trade id #148059966
Max drawdown($115)
Time5/1/24 16:13
Quant open1
Worst price156.086
Drawdown as % of equity-0.10%
 ($99)
4/29/24 10:39 GLD SPDR GOLD SHARES LONG 19 216.39 5/1 15:56 213.95 0.08%
Trade id #148038433
Max drawdown($87)
Time4/30/24 0:00
Quant open19
Worst price211.80
Drawdown as % of equity-0.08%
 ($46)
Includes Typical Broker Commissions trade costs of $0.38
4/29/24 10:25 USO UNITED STATES OIL LONG 19 79.88 5/1 15:54 76.06 0.07%
Trade id #148038111
Max drawdown($78)
Time5/1/24 14:12
Quant open19
Worst price75.76
Drawdown as % of equity-0.07%
 ($73)
Includes Typical Broker Commissions trade costs of $0.38
4/29/24 10:10 AZEK AZEK COMPANY INC SHORT 42 46.12 5/1 15:00 47.01 0.03%
Trade id #148037841
Max drawdown($37)
Time5/1/24 15:00
Quant open42
Worst price47.01
Drawdown as % of equity-0.03%
 ($38)
Includes Typical Broker Commissions trade costs of $0.84
4/30/24 15:01 BITO PROSHARES BITCOIN STRATEGY ETF SHORT 560 26.13 5/1 10:12 23.21 0%
Trade id #148055057
Max drawdown($5)
Time4/30/24 15:04
Quant open280
Worst price26.23
Drawdown as % of equity-0.00%
 $1,627
Includes Typical Broker Commissions trade costs of $8.10
4/29/24 10:43 BALL BALL CORP LONG 28 70.54 5/1 9:33 69.29 0.04%
Trade id #148038568
Max drawdown($45)
Time5/1/24 9:33
Quant open28
Worst price68.90
Drawdown as % of equity-0.04%
 ($36)
Includes Typical Broker Commissions trade costs of $0.56
4/25/24 15:59 AZEK AZEK COMPANY INC SHORT 90 45.53 4/29 10:01 46.30 0.09%
Trade id #148014503
Max drawdown($97)
Time4/29/24 9:35
Quant open90
Worst price46.62
Drawdown as % of equity-0.09%
 ($71)
Includes Typical Broker Commissions trade costs of $1.80
4/25/24 15:56 TXN TEXAS INSTRUMENTS LONG 23 175.42 4/29 10:01 177.76 0.01%
Trade id #148014368
Max drawdown($9)
Time4/26/24 0:00
Quant open23
Worst price175.00
Drawdown as % of equity-0.01%
 $54
Includes Typical Broker Commissions trade costs of $0.46
4/11/24 14:54 BA BOEING SHORT 13 173.89 4/29 10:01 168.79 0.04%
Trade id #147876689
Max drawdown($48)
Time4/24/24 0:00
Quant open13
Worst price177.64
Drawdown as % of equity-0.04%
 $66
Includes Typical Broker Commissions trade costs of $0.26
4/9/24 12:54 AMD ADVANCED MICRO DEVICES INC. C SHORT 13 169.09 4/29 10:01 158.79 0.02%
Trade id #147850793
Max drawdown($24)
Time4/11/24 0:00
Quant open13
Worst price170.95
Drawdown as % of equity-0.02%
 $134
Includes Typical Broker Commissions trade costs of $0.26
4/3/24 14:56 HD HOME DEPOT SHORT 16 360.93 4/29 10:01 335.62 0.06%
Trade id #147798098
Max drawdown($65)
Time4/4/24 0:00
Quant open16
Worst price365.00
Drawdown as % of equity-0.06%
 $405
Includes Typical Broker Commissions trade costs of $0.32
3/5/24 9:58 GLD SPDR GOLD SHARES LONG 41 197.10 4/29 10:01 216.03 0.02%
Trade id #147538062
Max drawdown($18)
Time3/5/24 11:43
Quant open41
Worst price196.65
Drawdown as % of equity-0.02%
 $775
Includes Typical Broker Commissions trade costs of $0.82
2/29/24 10:46 USO UNITED STATES OIL LONG 41 73.84 4/29 10:01 80.13 0.05%
Trade id #147501034
Max drawdown($60)
Time3/11/24 0:00
Quant open41
Worst price72.37
Drawdown as % of equity-0.05%
 $257
Includes Typical Broker Commissions trade costs of $0.82
2/13/24 10:09 FRO FRONTLINE PLC LONG 93 22.98 4/29 10:01 23.53 0.06%
Trade id #147324537
Max drawdown($69)
Time2/29/24 0:00
Quant open93
Worst price22.23
Drawdown as % of equity-0.06%
 $49
Includes Typical Broker Commissions trade costs of $1.86
1/17/24 10:27 ALTM ARCADIUM LITHIUM PLC SHORT 93 5.24 4/29 10:01 4.38 0.04%
Trade id #147031611
Max drawdown($39)
Time3/4/24 0:00
Quant open93
Worst price5.66
Drawdown as % of equity-0.04%
 $78
Includes Typical Broker Commissions trade costs of $1.86
1/17/24 10:08 PTON PELOTON INTERACTIVE INC. CLASS A SHORT 187 5.72 4/29 10:01 3.19 0.08%
Trade id #147027082
Max drawdown($91)
Time1/22/24 0:00
Quant open187
Worst price6.21
Drawdown as % of equity-0.08%
 $469
Includes Typical Broker Commissions trade costs of $3.74
4/26/24 9:33 IP INTERNATIONAL PAPER SHORT 83 33.72 4/29 9:30 34.52 0.09%
Trade id #148020298
Max drawdown($97)
Time4/29/24 9:30
Quant open83
Worst price34.89
Drawdown as % of equity-0.09%
 ($68)
Includes Typical Broker Commissions trade costs of $1.66
3/13/24 9:30 ADM ARCHER-DANIELS MIDLAND LONG 63 57.50 4/26 9:33 60.72 0%
Trade id #147620187
Max drawdown($3)
Time3/13/24 15:37
Quant open63
Worst price57.45
Drawdown as % of equity-0.00%
 $202
Includes Typical Broker Commissions trade costs of $1.26
Next

Statistics

  • Strategy began
    8/25/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1360.69
  • Age
    45 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    254
  • # Profitable
    86
  • % Profitable
    33.90%
  • Avg trade duration
    15.5 days
  • Max peak-to-valley drawdown
    10.92%
  • drawdown period
    June 09, 2022 - June 24, 2022
  • Annual Return (Compounded)
    12.2%
  • Avg win
    $758.06
  • Avg loss
    $129.03
  • Model Account Values (Raw)
  • Cash
    $67,647
  • Margin Used
    $5,327
  • Buying Power
    $63,876
  • Ratios
  • W:L ratio
    2.97:1
  • Sharpe Ratio
    1.03
  • Sortino Ratio
    1.42
  • Calmar Ratio
    1.182
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    0.01%
  • Correlation to SP500
    -0.02740
  • Return Percent SP500 (cumu) during strategy life
    53.82%
  • Return Statistics
  • Ann Return (w trading costs)
    12.2%
  • Slump
  • Current Slump as Pcnt Equity
    1.00%
  • Instruments
  • Percent Trades Futures
    0.29%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • 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)
    0.122%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.69%
  • Percent Trades Forex
    0.02%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    13.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.50%
  • Chance of 20% account loss
    n/a
  • 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
    0.43%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    855
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    383
  • Popularity (7 days, Percentile 1000 scale)
    767
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $129
  • Avg Win
    $758
  • Sum Trade PL (losers)
    $21,677.000
  • Age
  • Num Months filled monthly returns table
    46
  • Win / Loss
  • Sum Trade PL (winners)
    $65,193.000
  • # Winners
    86
  • Num Months Winners
    29
  • Dividends
  • Dividends Received in Model Acct
    -844
  • Win / Loss
  • # Losers
    168
  • % Winners
    33.9%
  • Frequency
  • Avg Position Time (mins)
    22300.60
  • Avg Position Time (hrs)
    371.68
  • Avg Trade Length
    15.5 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.30
  • Daily leverage (max)
    2.84
  • Regression
  • Alpha
    0.03
  • Beta
    -0.01
  • Treynor Index
    -2.12
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.25
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    0.524
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.088
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.072
  • Hold-and-Hope Ratio
    1.928
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09855
  • SD
    0.10085
  • Sharpe ratio (Glass type estimate)
    0.97716
  • Sharpe ratio (Hedges UMVUE)
    0.96000
  • df
    43.00000
  • t
    1.87112
  • p
    0.03407
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07232
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01578
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08347
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00347
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.76833
  • Upside Potential Ratio
    3.00369
  • Upside part of mean
    0.16739
  • Downside part of mean
    -0.06884
  • Upside SD
    0.08742
  • Downside SD
    0.05573
  • N nonnegative terms
    28.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    44.00000
  • Mean of predictor
    0.09576
  • Mean of criterion
    0.09855
  • SD of predictor
    0.15210
  • SD of criterion
    0.10085
  • Covariance
    0.00112
  • r
    0.07329
  • b (slope, estimate of beta)
    0.04859
  • a (intercept, estimate of alpha)
    0.09389
  • Mean Square Error
    0.01036
  • DF error
    42.00000
  • t(b)
    0.47625
  • p(b)
    0.31818
  • t(a)
    1.73755
  • p(a)
    0.04481
  • Lowerbound of 95% confidence interval for beta
    -0.15732
  • Upperbound of 95% confidence interval for beta
    0.25451
  • Lowerbound of 95% confidence interval for alpha
    -0.01516
  • Upperbound of 95% confidence interval for alpha
    0.20295
  • Treynor index (mean / b)
    2.02796
  • Jensen alpha (a)
    0.09389
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09307
  • SD
    0.09956
  • Sharpe ratio (Glass type estimate)
    0.93477
  • Sharpe ratio (Hedges UMVUE)
    0.91836
  • df
    43.00000
  • t
    1.78995
  • p
    0.04025
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.11277
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97190
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12344
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96015
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.61755
  • Upside Potential Ratio
    2.83942
  • Upside part of mean
    0.16337
  • Downside part of mean
    -0.07030
  • Upside SD
    0.08425
  • Downside SD
    0.05754
  • N nonnegative terms
    28.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    44.00000
  • Mean of predictor
    0.08385
  • Mean of criterion
    0.09307
  • SD of predictor
    0.15293
  • SD of criterion
    0.09956
  • Covariance
    0.00124
  • r
    0.08166
  • b (slope, estimate of beta)
    0.05316
  • a (intercept, estimate of alpha)
    0.08861
  • Mean Square Error
    0.01008
  • DF error
    42.00000
  • t(b)
    0.53099
  • p(b)
    0.29911
  • t(a)
    1.66868
  • p(a)
    0.05131
  • Lowerbound of 95% confidence interval for beta
    -0.14889
  • Upperbound of 95% confidence interval for beta
    0.25521
  • Lowerbound of 95% confidence interval for alpha
    -0.01855
  • Upperbound of 95% confidence interval for alpha
    0.19578
  • Treynor index (mean / b)
    1.75066
  • Jensen alpha (a)
    0.08861
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03875
  • Expected Shortfall on VaR
    0.05017
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01026
  • Expected Shortfall on VaR
    0.02365
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    44.00000
  • Minimum
    0.91654
  • Quartile 1
    1.00009
  • Median
    1.00751
  • Quartile 3
    1.02434
  • Maximum
    1.11748
  • Mean of quarter 1
    0.97985
  • Mean of quarter 2
    1.00271
  • Mean of quarter 3
    1.01562
  • Mean of quarter 4
    1.04398
  • Inter Quartile Range
    0.02425
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02273
  • Mean of outliers low
    0.91654
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02273
  • Mean of outliers high
    1.11748
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.55949
  • VaR(95%) (moments method)
    0.00171
  • Expected Shortfall (moments method)
    0.00171
  • Extreme Value Index (regression method)
    -0.26963
  • VaR(95%) (regression method)
    0.02350
  • Expected Shortfall (regression method)
    0.03345
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00015
  • Quartile 1
    0.00815
  • Median
    0.01885
  • Quartile 3
    0.03386
  • Maximum
    0.08373
  • Mean of quarter 1
    0.00136
  • Mean of quarter 2
    0.01347
  • Mean of quarter 3
    0.02727
  • Mean of quarter 4
    0.05889
  • Inter Quartile Range
    0.02571
  • 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
    0.12500
  • Mean of outliers high
    0.08373
  • 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)
    0.15226
  • Compounded annual return (geometric extrapolation)
    0.12860
  • Calmar ratio (compounded annual return / max draw down)
    1.53590
  • Compounded annual return / average of 25% largest draw downs
    2.18356
  • Compounded annual return / Expected Shortfall lognormal
    2.56321
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09479
  • SD
    0.07619
  • Sharpe ratio (Glass type estimate)
    1.24416
  • Sharpe ratio (Hedges UMVUE)
    1.24320
  • df
    968.00000
  • t
    2.39270
  • p
    0.00846
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22321
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26452
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22255
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26385
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.73571
  • Upside Potential Ratio
    7.35644
  • Upside part of mean
    0.40175
  • Downside part of mean
    -0.30696
  • Upside SD
    0.05339
  • Downside SD
    0.05461
  • N nonnegative terms
    482.00000
  • N negative terms
    487.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    969.00000
  • Mean of predictor
    0.10339
  • Mean of criterion
    0.09479
  • SD of predictor
    0.17224
  • SD of criterion
    0.07619
  • Covariance
    -0.00027
  • r
    -0.02022
  • b (slope, estimate of beta)
    -0.00894
  • a (intercept, estimate of alpha)
    0.09600
  • Mean Square Error
    0.00581
  • DF error
    967.00000
  • t(b)
    -0.62884
  • p(b)
    0.73520
  • t(a)
    2.41362
  • p(a)
    0.00799
  • Lowerbound of 95% confidence interval for beta
    -0.03685
  • Upperbound of 95% confidence interval for beta
    0.01897
  • Lowerbound of 95% confidence interval for alpha
    0.01789
  • Upperbound of 95% confidence interval for alpha
    0.17354
  • Treynor index (mean / b)
    -10.59920
  • Jensen alpha (a)
    0.09572
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09183
  • SD
    0.07680
  • Sharpe ratio (Glass type estimate)
    1.19574
  • Sharpe ratio (Hedges UMVUE)
    1.19481
  • df
    968.00000
  • t
    2.29957
  • p
    0.01084
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.17491
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21598
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17428
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21535
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.64689
  • Upside Potential Ratio
    7.17859
  • Upside part of mean
    0.40030
  • Downside part of mean
    -0.30846
  • Upside SD
    0.05306
  • Downside SD
    0.05576
  • N nonnegative terms
    482.00000
  • N negative terms
    487.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    969.00000
  • Mean of predictor
    0.08853
  • Mean of criterion
    0.09183
  • SD of predictor
    0.17239
  • SD of criterion
    0.07680
  • Covariance
    -0.00027
  • r
    -0.02009
  • b (slope, estimate of beta)
    -0.00895
  • a (intercept, estimate of alpha)
    0.09263
  • Mean Square Error
    0.00590
  • DF error
    967.00000
  • t(b)
    -0.62491
  • p(b)
    0.73391
  • t(a)
    2.31752
  • p(a)
    0.01034
  • Lowerbound of 95% confidence interval for beta
    -0.03706
  • Upperbound of 95% confidence interval for beta
    0.01916
  • Lowerbound of 95% confidence interval for alpha
    0.01419
  • Upperbound of 95% confidence interval for alpha
    0.17106
  • Treynor index (mean / b)
    -10.25980
  • Jensen alpha (a)
    0.09263
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00743
  • Expected Shortfall on VaR
    0.00939
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00263
  • Expected Shortfall on VaR
    0.00581
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    969.00000
  • Minimum
    0.92660
  • Quartile 1
    0.99876
  • Median
    1.00009
  • Quartile 3
    1.00208
  • Maximum
    1.02849
  • Mean of quarter 1
    0.99586
  • Mean of quarter 2
    0.99969
  • Mean of quarter 3
    1.00098
  • Mean of quarter 4
    1.00538
  • Inter Quartile Range
    0.00333
  • Number outliers low
    30.00000
  • Percentage of outliers low
    0.03096
  • Mean of outliers low
    0.98806
  • Number of outliers high
    52.00000
  • Percentage of outliers high
    0.05366
  • Mean of outliers high
    1.01112
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21050
  • VaR(95%) (moments method)
    0.00354
  • Expected Shortfall (moments method)
    0.00568
  • Extreme Value Index (regression method)
    0.19917
  • VaR(95%) (regression method)
    0.00356
  • Expected Shortfall (regression method)
    0.00565
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    49.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00220
  • Median
    0.00556
  • Quartile 3
    0.01695
  • Maximum
    0.10760
  • Mean of quarter 1
    0.00110
  • Mean of quarter 2
    0.00407
  • Mean of quarter 3
    0.00909
  • Mean of quarter 4
    0.03497
  • Inter Quartile Range
    0.01475
  • 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
    0.04082
  • Mean of outliers high
    0.08009
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.42982
  • VaR(95%) (moments method)
    0.03900
  • Expected Shortfall (moments method)
    0.07258
  • Extreme Value Index (regression method)
    0.60856
  • VaR(95%) (regression method)
    0.03789
  • Expected Shortfall (regression method)
    0.08928
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15065
  • Compounded annual return (geometric extrapolation)
    0.12721
  • Calmar ratio (compounded annual return / max draw down)
    1.18217
  • Compounded annual return / average of 25% largest draw downs
    3.63780
  • Compounded annual return / Expected Shortfall lognormal
    13.54580
  • 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
    0.03122
  • SD
    0.03271
  • Sharpe ratio (Glass type estimate)
    0.95437
  • Sharpe ratio (Hedges UMVUE)
    0.94886
  • df
    130.00000
  • t
    0.67484
  • p
    0.47046
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.82167
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.72679
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.82535
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.72306
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.61466
  • Upside Potential Ratio
    9.19686
  • Upside part of mean
    0.17780
  • Downside part of mean
    -0.14658
  • Upside SD
    0.02630
  • Downside SD
    0.01933
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34288
  • Mean of criterion
    0.03122
  • SD of predictor
    0.11314
  • SD of criterion
    0.03271
  • Covariance
    -0.00002
  • r
    -0.00658
  • b (slope, estimate of beta)
    -0.00190
  • a (intercept, estimate of alpha)
    0.03187
  • Mean Square Error
    0.00108
  • DF error
    129.00000
  • t(b)
    -0.07469
  • p(b)
    0.50419
  • t(a)
    0.67449
  • p(a)
    0.46228
  • Lowerbound of 95% confidence interval for beta
    -0.05226
  • Upperbound of 95% confidence interval for beta
    0.04846
  • Lowerbound of 95% confidence interval for alpha
    -0.06161
  • Upperbound of 95% confidence interval for alpha
    0.12535
  • Treynor index (mean / b)
    -16.42080
  • Jensen alpha (a)
    0.03187
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03068
  • SD
    0.03267
  • Sharpe ratio (Glass type estimate)
    0.93909
  • Sharpe ratio (Hedges UMVUE)
    0.93366
  • df
    130.00000
  • t
    0.66404
  • p
    0.47093
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.83676
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.71156
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.84047
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.70779
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.58370
  • Upside Potential Ratio
    9.15908
  • Upside part of mean
    0.17743
  • Downside part of mean
    -0.14675
  • Upside SD
    0.02622
  • Downside SD
    0.01937
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33629
  • Mean of criterion
    0.03068
  • SD of predictor
    0.11297
  • SD of criterion
    0.03267
  • Covariance
    -0.00002
  • r
    -0.00647
  • b (slope, estimate of beta)
    -0.00187
  • a (intercept, estimate of alpha)
    0.03131
  • Mean Square Error
    0.00108
  • DF error
    129.00000
  • t(b)
    -0.07354
  • p(b)
    0.50412
  • t(a)
    0.66385
  • p(a)
    0.46287
  • VAR (95 Confidence Intrvl)
    0.00700
  • Lowerbound of 95% confidence interval for beta
    -0.05225
  • Upperbound of 95% confidence interval for beta
    0.04851
  • Lowerbound of 95% confidence interval for alpha
    -0.06200
  • Upperbound of 95% confidence interval for alpha
    0.12462
  • Treynor index (mean / b)
    -16.38390
  • Jensen alpha (a)
    0.03131
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00320
  • Expected Shortfall on VaR
    0.00404
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00143
  • Expected Shortfall on VaR
    0.00279
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99205
  • Quartile 1
    0.99935
  • Median
    1.00000
  • Quartile 3
    1.00073
  • Maximum
    1.00921
  • Mean of quarter 1
    0.99815
  • Mean of quarter 2
    0.99987
  • Mean of quarter 3
    1.00025
  • Mean of quarter 4
    1.00264
  • Inter Quartile Range
    0.00138
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.99594
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.00466
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01504
  • VaR(95%) (moments method)
    0.00186
  • Expected Shortfall (moments method)
    0.00255
  • Extreme Value Index (regression method)
    0.00298
  • VaR(95%) (regression method)
    0.00205
  • Expected Shortfall (regression method)
    0.00284
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00155
  • Median
    0.00250
  • Quartile 3
    0.00650
  • Maximum
    0.01257
  • Mean of quarter 1
    0.00083
  • Mean of quarter 2
    0.00221
  • Mean of quarter 3
    0.00568
  • Mean of quarter 4
    0.00977
  • Inter Quartile Range
    0.00495
  • 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)
    -5.67616
  • VaR(95%) (moments method)
    0.01076
  • Expected Shortfall (moments method)
    0.01077
  • Extreme Value Index (regression method)
    -0.98017
  • VaR(95%) (regression method)
    0.01367
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.01454
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -422403000
  • Max Equity Drawdown (num days)
    15
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05945
  • Compounded annual return (geometric extrapolation)
    0.06034
  • Calmar ratio (compounded annual return / max draw down)
    4.79842
  • Compounded annual return / average of 25% largest draw downs
    6.17764
  • Compounded annual return / Expected Shortfall lognormal
    14.94330

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-08-25
Suggested Minimum Capital
$100,000
# Trades
254
# Profitable
86
% Profitable
33.9%
Net Dividends
($844)
Correlation S&P500
-0.027
Sharpe Ratio
1.03
Sortino Ratio
1.42
Beta
-0.01
Alpha
0.03
Leverage
0.30 Average
2.84 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.