Collective2 Collective2
Featured Strategy Lazy Trading ES +44.6% Cumul. Return since Sep 25, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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RocketFund
(145940726)

Created by: Traderkhved Traderkhved
Started: 09/2023
Stocks
Last trade: 21 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."
105.3%
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.

(39.0%)
Max Drawdown
203
Num Trades
85.7%
Win Trades
3.5 : 1
Profit Factor
56.2%
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%(11.4%)+3.7%(7.5%)+10.6%(21.7%)+2.5%+0.6%+56.7%(0.9%)+34.3%

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.

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 243 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/29/24 9:51 RIOT RIOT BLOCKCHAIN INC. COMMON STOCK LONG 1,000 11.03 11/12 13:29 14.24 7.54%
Trade id #149873933
Max drawdown($2,315)
Time11/4/24 0:00
Quant open1,000
Worst price8.71
Drawdown as % of equity-7.54%
 $3,205
Includes Typical Broker Commissions trade costs of $5.00
11/7/24 9:39 TLT ISHARES 20+ YEAR TREASURY BOND LONG 100 90.83 11/11 9:32 92.15 0.02%
Trade id #150027474
Max drawdown($5)
Time11/7/24 9:44
Quant open100
Worst price90.77
Drawdown as % of equity-0.02%
 $130
Includes Typical Broker Commissions trade costs of $2.00
11/6/24 2:49 @M6EZ4 E-MICRO EUR/USD LONG 1 1.0761 11/7 7:15 1.0777 0.26%
Trade id #150000646
Max drawdown($77)
Time11/6/24 7:33
Quant open1
Worst price1.0699
Drawdown as % of equity-0.26%
 $19
Includes Typical Broker Commissions trade costs of $0.78
11/6/24 1:38 @M6EZ4 E-MICRO EUR/USD LONG 1 1.0731 11/6 2:49 1.0756 0.05%
Trade id #149999959
Max drawdown($13)
Time11/6/24 1:43
Quant open1
Worst price1.0720
Drawdown as % of equity-0.05%
 $30
Includes Typical Broker Commissions trade costs of $0.78
10/31/24 7:01 @MCDZ4 E-MICRO CAD/USD LONG 1 0.71940 11/4 23:50 0.72030 0.05%
Trade id #149913890
Max drawdown($14)
Time11/1/24 0:00
Quant open1
Worst price0.71740
Drawdown as % of equity-0.05%
 $5
Includes Typical Broker Commissions trade costs of $0.78
10/30/24 10:35 @MSFZ4 E-MICRO CHF/USD LONG 1 1.15980 10/30 23:57 1.16060 0.03%
Trade id #149896951
Max drawdown($10)
Time10/30/24 11:06
Quant open1
Worst price1.15910
Drawdown as % of equity-0.03%
 $4
Includes Typical Broker Commissions trade costs of $8.00
10/17/24 9:31 @M6EZ4 E-MICRO EUR/USD LONG 1 1.0842 10/30 4:33 1.0860 0.22%
Trade id #149683725
Max drawdown($71)
Time10/23/24 0:00
Quant open1
Worst price1.0785
Drawdown as % of equity-0.22%
 $22
Includes Typical Broker Commissions trade costs of $0.78
7/17/24 11:33 RIOT RIOT BLOCKCHAIN INC. COMMON STOCK LONG 900 10.02 10/29 9:51 10.99 12.31%
Trade id #148671269
Max drawdown($3,302)
Time9/6/24 0:00
Quant open900
Worst price6.36
Drawdown as % of equity-12.31%
 $858
Includes Typical Broker Commissions trade costs of $11.50
8/19/24 1:13 @M6BU4 E-MICRO GBP/USD SHORT 1 1.2958 9/3 10:01 1.3118 0.6%
Trade id #148950127
Max drawdown($194)
Time8/27/24 0:00
Quant open1
Worst price1.3269
Drawdown as % of equity-0.60%
 ($101)
Includes Typical Broker Commissions trade costs of $0.78
8/26/24 9:35 LIT GLOBAL X LITHIUM & BATTERY TECH ETF LONG 100 37.78 9/3 9:56 37.06 0.41%
Trade id #149050152
Max drawdown($126)
Time8/28/24 0:00
Quant open100
Worst price36.52
Drawdown as % of equity-0.41%
 ($74)
Includes Typical Broker Commissions trade costs of $2.00
8/19/24 9:34 KWEB KRANESHARES CSI CHINA INTERNET LONG 110 27.19 9/3 9:56 25.46 0.9%
Trade id #148951805
Max drawdown($276)
Time8/28/24 0:00
Quant open110
Worst price24.68
Drawdown as % of equity-0.90%
 ($192)
Includes Typical Broker Commissions trade costs of $2.20
8/26/24 9:34 @MCDU4 E-MICRO CAD/USD SHORT 1 0.74200 9/2 1:51 0.74150 0.06%
Trade id #149050105
Max drawdown($18)
Time8/27/24 0:00
Quant open1
Worst price0.74450
Drawdown as % of equity-0.06%
 $3
Includes Typical Broker Commissions trade costs of $0.78
8/19/24 11:52 @M6AU4 E-MICRO AUD/USD SHORT 1 0.6724 8/22 12:16 0.6714 0.11%
Trade id #148957088
Max drawdown($34)
Time8/21/24 0:00
Quant open1
Worst price0.6758
Drawdown as % of equity-0.11%
 $9
Includes Typical Broker Commissions trade costs of $0.78
8/19/24 9:32 LIT GLOBAL X LITHIUM & BATTERY TECH ETF LONG 82 36.51 8/22 12:16 37.08 0.06%
Trade id #148951663
Max drawdown($17)
Time8/19/24 10:01
Quant open82
Worst price36.30
Drawdown as % of equity-0.06%
 $45
Includes Typical Broker Commissions trade costs of $1.64
8/19/24 9:33 IWM ISHARES RUSSELL 2000 INDEX LONG 14 213.77 8/22 12:16 214.47 0.08%
Trade id #148951769
Max drawdown($24)
Time8/20/24 0:00
Quant open14
Worst price212.05
Drawdown as % of equity-0.08%
 $10
Includes Typical Broker Commissions trade costs of $0.28
8/15/24 11:35 BIDU BAIDU LONG 80 86.33 8/15 15:11 86.44 n/a $7
Includes Typical Broker Commissions trade costs of $1.60
8/12/24 9:33 IWM ISHARES RUSSELL 2000 INDEX LONG 30 205.86 8/15 15:11 212.44 0.1%
Trade id #148890457
Max drawdown($33)
Time8/12/24 13:00
Quant open15
Worst price203.82
Drawdown as % of equity-0.10%
 $196
Includes Typical Broker Commissions trade costs of $0.60
8/7/24 9:52 LIT GLOBAL X LITHIUM & BATTERY TECH ETF LONG 180 36.34 8/15 15:11 36.38 0.57%
Trade id #148854494
Max drawdown($182)
Time8/14/24 0:00
Quant open180
Worst price35.32
Drawdown as % of equity-0.57%
 $4
Includes Typical Broker Commissions trade costs of $3.60
8/9/24 9:33 KWEB KRANESHARES CSI CHINA INTERNET LONG 260 26.42 8/15 15:06 26.47 0.5%
Trade id #148875500
Max drawdown($161)
Time8/14/24 0:00
Quant open260
Worst price25.80
Drawdown as % of equity-0.50%
 $8
Includes Typical Broker Commissions trade costs of $5.20
8/12/24 10:03 @MJYU4 E-MICRO JPY/USD SHORT 1 0.006800 8/15 9:03 0.006740 0.27%
Trade id #148890955
Max drawdown($88)
Time8/14/24 0:00
Quant open1
Worst price0.006871
Drawdown as % of equity-0.27%
 $74
Includes Typical Broker Commissions trade costs of $0.78
8/5/24 9:43 COIN COINBASE GLOBAL INC. CLASS A LONG 60 170.96 8/12 10:04 188.73 n/a $1,065
Includes Typical Broker Commissions trade costs of $1.20
8/12/24 9:21 @JEU4 E-MINI JAPANESE YEN SHORT 1 0.006787 8/12 10:02 0.006805 0.36%
Trade id #148890129
Max drawdown($112)
Time8/12/24 9:58
Quant open1
Worst price0.006805
Drawdown as % of equity-0.36%
 ($121)
Includes Typical Broker Commissions trade costs of $8.00
8/7/24 1:27 USD/JPY USD/JPY LONG 1 147.550 8/12 9:20 148.083 0.47%
Trade id #148852162
Max drawdown($144)
Time8/7/24 20:46
Quant open1
Worst price145.422
Drawdown as % of equity-0.47%
 $36
8/8/24 11:14 @M6BU4 E-MICRO GBP/USD LONG 1 1.2730 8/9 7:08 1.2751 0.01%
Trade id #148867205
Max drawdown($2)
Time8/8/24 11:18
Quant open1
Worst price1.2726
Drawdown as % of equity-0.01%
 $12
Includes Typical Broker Commissions trade costs of $0.78
8/7/24 9:51 KWEB KRANESHARES CSI CHINA INTERNET LONG 125 26.23 8/8 11:28 26.47 0.18%
Trade id #148854480
Max drawdown($56)
Time8/7/24 16:00
Quant open125
Worst price25.78
Drawdown as % of equity-0.18%
 $28
Includes Typical Broker Commissions trade costs of $2.50
8/7/24 4:18 GBP/USD GBP/USD LONG 1 1.27120 8/8 11:10 1.27264 0.17%
Trade id #148852695
Max drawdown($47)
Time8/8/24 6:08
Quant open1
Worst price1.26648
Drawdown as % of equity-0.17%
 $14
8/6/24 6:08 EUR/GBP EUR/GBP SHORT 1 0.85867 8/8 11:10 0.85754 0.17%
Trade id #148839716
Max drawdown($48)
Time8/8/24 5:49
Quant open1
Worst price0.86248
Drawdown as % of equity-0.17%
 $14
8/6/24 22:36 USD/JPY USD/JPY LONG 1 146.501 8/7 1:27 147.462 0.01%
Trade id #148851685
Max drawdown($3)
Time8/6/24 22:45
Quant open1
Worst price146.445
Drawdown as % of equity-0.01%
 $65
8/6/24 11:45 USD/JPY USD/JPY LONG 1 145.072 8/6 22:36 146.458 0.2%
Trade id #148842446
Max drawdown($62)
Time8/6/24 16:57
Quant open1
Worst price144.147
Drawdown as % of equity-0.20%
 $94
8/6/24 6:07 USD/JPY USD/JPY LONG 1 144.648 8/6 11:45 145.034 0.14%
Trade id #148839711
Max drawdown($42)
Time8/6/24 9:46
Quant open1
Worst price144.038
Drawdown as % of equity-0.14%
 $26
Next

Statistics

  • Strategy began
    9/27/2023
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    433.47
  • Age
    14 months ago
  • What it trades
    Stocks, Forex
  • # Trades
    203
  • # Profitable
    174
  • % Profitable
    85.70%
  • Avg trade duration
    18.8 days
  • Max peak-to-valley drawdown
    39.01%
  • drawdown period
    July 16, 2024 - Sept 08, 2024
  • Annual Return (Compounded)
    105.3%
  • Avg win
    $240.98
  • Avg loss
    $427.31
  • Model Account Values (Raw)
  • Cash
    $19,266
  • Margin Used
    $334
  • Buying Power
    $23,791
  • Ratios
  • W:L ratio
    3.47:1
  • Sharpe Ratio
    1.52
  • Sortino Ratio
    2.56
  • Calmar Ratio
    3.799
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    95.19%
  • Correlation to SP500
    0.42900
  • Return Percent SP500 (cumu) during strategy life
    41.47%
  • Return Statistics
  • Ann Return (w trading costs)
    105.3%
  • Slump
  • Current Slump as Pcnt Equity
    2.70%
  • Instruments
  • Percent Trades Futures
    0.06%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • 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)
    1.053%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.67%
  • Percent Trades Forex
    0.27%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    117.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    49.00%
  • Chance of 20% account loss
    15.50%
  • Chance of 30% account loss
    7.50%
  • Chance of 40% account loss
    1.50%
  • 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)
    810
  • Popularity (Last 6 weeks)
    920
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    982
  • Popularity (7 days, Percentile 1000 scale)
    913
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $424
  • Avg Win
    $242
  • Sum Trade PL (losers)
    $12,286.000
  • Age
  • Num Months filled monthly returns table
    16
  • Win / Loss
  • Sum Trade PL (winners)
    $42,134.000
  • # Winners
    174
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    544
  • Win / Loss
  • # Losers
    29
  • % Winners
    85.7%
  • Frequency
  • Avg Position Time (mins)
    27140.90
  • Avg Position Time (hrs)
    452.35
  • Avg Trade Length
    18.8 days
  • Last Trade Ago
    21
  • Leverage
  • Daily leverage (average)
    2.05
  • Daily leverage (max)
    3.93
  • Regression
  • Alpha
    0.11
  • Beta
    1.60
  • Treynor Index
    0.14
  • 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)
    2.23
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    2.188
  • 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
    1.140
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.324
  • Hold-and-Hope Ratio
    0.448
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.01407
  • SD
    0.69855
  • Sharpe ratio (Glass type estimate)
    1.45167
  • Sharpe ratio (Hedges UMVUE)
    1.36600
  • df
    13.00000
  • t
    1.56799
  • p
    0.25301
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47040
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.32318
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52301
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.25501
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.12965
  • Upside Potential Ratio
    5.92225
  • Upside part of mean
    1.45425
  • Downside part of mean
    -0.44019
  • Upside SD
    0.69175
  • Downside SD
    0.24556
  • N nonnegative terms
    8.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.28123
  • Mean of criterion
    1.01407
  • SD of predictor
    0.13364
  • SD of criterion
    0.69855
  • Covariance
    0.05546
  • r
    0.59405
  • b (slope, estimate of beta)
    3.10515
  • a (intercept, estimate of alpha)
    0.14080
  • Mean Square Error
    0.34208
  • DF error
    12.00000
  • t(b)
    2.55815
  • p(b)
    0.20297
  • t(a)
    0.21995
  • p(a)
    0.46832
  • Lowerbound of 95% confidence interval for beta
    0.46045
  • Upperbound of 95% confidence interval for beta
    5.74985
  • Lowerbound of 95% confidence interval for alpha
    -1.25389
  • Upperbound of 95% confidence interval for alpha
    1.53549
  • Treynor index (mean / b)
    0.32658
  • Jensen alpha (a)
    0.14080
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.78725
  • SD
    0.62400
  • Sharpe ratio (Glass type estimate)
    1.26163
  • Sharpe ratio (Hedges UMVUE)
    1.18717
  • df
    13.00000
  • t
    1.36271
  • p
    0.27971
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63783
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.11619
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68390
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.05824
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.94968
  • Upside Potential Ratio
    4.72115
  • Upside part of mean
    1.26005
  • Downside part of mean
    -0.47280
  • Upside SD
    0.58479
  • Downside SD
    0.26689
  • N nonnegative terms
    8.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.26945
  • Mean of criterion
    0.78725
  • SD of predictor
    0.13053
  • SD of criterion
    0.62400
  • Covariance
    0.04688
  • r
    0.57555
  • b (slope, estimate of beta)
    2.75141
  • a (intercept, estimate of alpha)
    0.04588
  • Mean Square Error
    0.28209
  • DF error
    12.00000
  • t(b)
    2.43806
  • p(b)
    0.21222
  • t(a)
    0.07936
  • p(a)
    0.48855
  • Lowerbound of 95% confidence interval for beta
    0.29257
  • Upperbound of 95% confidence interval for beta
    5.21025
  • Lowerbound of 95% confidence interval for alpha
    -1.21380
  • Upperbound of 95% confidence interval for alpha
    1.30556
  • Treynor index (mean / b)
    0.28613
  • Jensen alpha (a)
    0.04588
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20601
  • Expected Shortfall on VaR
    0.26198
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07713
  • Expected Shortfall on VaR
    0.14964
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.80907
  • Quartile 1
    0.96509
  • Median
    1.06235
  • Quartile 3
    1.17065
  • Maximum
    1.46360
  • Mean of quarter 1
    0.88183
  • Mean of quarter 2
    1.01115
  • Mean of quarter 3
    1.07849
  • Mean of quarter 4
    1.35486
  • Inter Quartile Range
    0.20556
  • 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)
    -14.09200
  • VaR(95%) (moments method)
    0.09334
  • Expected Shortfall (moments method)
    0.09334
  • Extreme Value Index (regression method)
    -0.95958
  • VaR(95%) (regression method)
    0.17946
  • Expected Shortfall (regression method)
    0.19665
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.02089
  • Quartile 1
    0.07564
  • Median
    0.13039
  • Quartile 3
    0.17807
  • Maximum
    0.22575
  • Mean of quarter 1
    0.02089
  • Mean of quarter 2
    0.13039
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.22575
  • Inter Quartile Range
    0.10243
  • 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)
    1.36144
  • Compounded annual return (geometric extrapolation)
    1.25953
  • Calmar ratio (compounded annual return / max draw down)
    5.57923
  • Compounded annual return / average of 25% largest draw downs
    5.57923
  • Compounded annual return / Expected Shortfall lognormal
    4.80770
  • 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
    0.87770
  • SD
    0.44270
  • Sharpe ratio (Glass type estimate)
    1.98260
  • Sharpe ratio (Hedges UMVUE)
    1.97774
  • df
    306.00000
  • t
    2.14612
  • p
    0.01632
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16362
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.79843
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16034
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.79513
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.38517
  • Upside Potential Ratio
    11.55740
  • Upside part of mean
    2.99659
  • Downside part of mean
    -2.11888
  • Upside SD
    0.36203
  • Downside SD
    0.25928
  • N nonnegative terms
    170.00000
  • N negative terms
    137.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    307.00000
  • Mean of predictor
    0.27461
  • Mean of criterion
    0.87770
  • SD of predictor
    0.12396
  • SD of criterion
    0.44270
  • Covariance
    0.02351
  • r
    0.42835
  • b (slope, estimate of beta)
    1.52981
  • a (intercept, estimate of alpha)
    0.45800
  • Mean Square Error
    0.16055
  • DF error
    305.00000
  • t(b)
    8.27879
  • p(b)
    -0.00000
  • t(a)
    1.22476
  • p(a)
    0.11081
  • Lowerbound of 95% confidence interval for beta
    1.16619
  • Upperbound of 95% confidence interval for beta
    1.89343
  • Lowerbound of 95% confidence interval for alpha
    -0.27760
  • Upperbound of 95% confidence interval for alpha
    1.19280
  • Treynor index (mean / b)
    0.57373
  • Jensen alpha (a)
    0.45760
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.78046
  • SD
    0.43683
  • Sharpe ratio (Glass type estimate)
    1.78664
  • Sharpe ratio (Hedges UMVUE)
    1.78226
  • df
    306.00000
  • t
    1.93400
  • p
    0.02702
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03096
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.60135
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03387
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.59838
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.93727
  • Upside Potential Ratio
    11.04150
  • Upside part of mean
    2.93384
  • Downside part of mean
    -2.15338
  • Upside SD
    0.34918
  • Downside SD
    0.26571
  • N nonnegative terms
    170.00000
  • N negative terms
    137.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    307.00000
  • Mean of predictor
    0.26679
  • Mean of criterion
    0.78046
  • SD of predictor
    0.12399
  • SD of criterion
    0.43683
  • Covariance
    0.02362
  • r
    0.43610
  • b (slope, estimate of beta)
    1.53643
  • a (intercept, estimate of alpha)
    0.37056
  • Mean Square Error
    0.15504
  • DF error
    305.00000
  • t(b)
    8.46327
  • p(b)
    -0.00000
  • t(a)
    1.00982
  • p(a)
    0.15669
  • Lowerbound of 95% confidence interval for beta
    1.17920
  • Upperbound of 95% confidence interval for beta
    1.89366
  • Lowerbound of 95% confidence interval for alpha
    -0.35153
  • Upperbound of 95% confidence interval for alpha
    1.09265
  • Treynor index (mean / b)
    0.50797
  • Jensen alpha (a)
    0.37056
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04057
  • Expected Shortfall on VaR
    0.05128
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01740
  • Expected Shortfall on VaR
    0.03401
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    307.00000
  • Minimum
    0.88914
  • Quartile 1
    0.98780
  • Median
    1.00184
  • Quartile 3
    1.01646
  • Maximum
    1.16706
  • Mean of quarter 1
    0.97234
  • Mean of quarter 2
    0.99586
  • Mean of quarter 3
    1.00892
  • Mean of quarter 4
    1.03678
  • Inter Quartile Range
    0.02866
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.00977
  • Mean of outliers low
    0.92553
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.02280
  • Mean of outliers high
    1.09557
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.21242
  • VaR(95%) (moments method)
    0.02679
  • Expected Shortfall (moments method)
    0.03308
  • Extreme Value Index (regression method)
    -0.13542
  • VaR(95%) (regression method)
    0.02466
  • Expected Shortfall (regression method)
    0.03073
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00098
  • Quartile 1
    0.01112
  • Median
    0.01790
  • Quartile 3
    0.08124
  • Maximum
    0.32751
  • Mean of quarter 1
    0.00725
  • Mean of quarter 2
    0.01504
  • Mean of quarter 3
    0.03309
  • Mean of quarter 4
    0.17755
  • Inter Quartile Range
    0.07013
  • 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
    0.10526
  • Mean of outliers high
    0.26189
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.36030
  • VaR(95%) (moments method)
    0.20883
  • Expected Shortfall (moments method)
    0.33929
  • Extreme Value Index (regression method)
    2.86022
  • VaR(95%) (regression method)
    0.22056
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.34713
  • Compounded annual return (geometric extrapolation)
    1.24424
  • Calmar ratio (compounded annual return / max draw down)
    3.79912
  • Compounded annual return / average of 25% largest draw downs
    7.00763
  • Compounded annual return / Expected Shortfall lognormal
    24.26500
  • 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
    0.62562
  • SD
    0.54319
  • Sharpe ratio (Glass type estimate)
    1.15175
  • Sharpe ratio (Hedges UMVUE)
    1.14509
  • df
    130.00000
  • t
    0.81441
  • p
    0.46438
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.62577
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.92491
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63021
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.92039
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.94909
  • Upside Potential Ratio
    10.33740
  • Upside part of mean
    3.31808
  • Downside part of mean
    -2.69247
  • Upside SD
    0.43734
  • Downside SD
    0.32098
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24801
  • Mean of criterion
    0.62562
  • SD of predictor
    0.13425
  • SD of criterion
    0.54319
  • Covariance
    0.03139
  • r
    0.43045
  • b (slope, estimate of beta)
    1.74169
  • a (intercept, estimate of alpha)
    0.19367
  • Mean Square Error
    0.24225
  • DF error
    129.00000
  • t(b)
    5.41637
  • p(b)
    0.23469
  • t(a)
    0.27642
  • p(a)
    0.48451
  • Lowerbound of 95% confidence interval for beta
    1.10548
  • Upperbound of 95% confidence interval for beta
    2.37790
  • Lowerbound of 95% confidence interval for alpha
    -1.19251
  • Upperbound of 95% confidence interval for alpha
    1.57985
  • Treynor index (mean / b)
    0.35920
  • Jensen alpha (a)
    0.19367
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48197
  • SD
    0.53415
  • Sharpe ratio (Glass type estimate)
    0.90231
  • Sharpe ratio (Hedges UMVUE)
    0.89709
  • df
    130.00000
  • t
    0.63803
  • p
    0.47206
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.87336
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.67460
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.87686
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.67104
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.45772
  • Upside Potential Ratio
    9.76225
  • Upside part of mean
    3.22773
  • Downside part of mean
    -2.74576
  • Upside SD
    0.41798
  • Downside SD
    0.33063
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23891
  • Mean of criterion
    0.48197
  • SD of predictor
    0.13443
  • SD of criterion
    0.53415
  • Covariance
    0.03170
  • r
    0.44147
  • b (slope, estimate of beta)
    1.75414
  • a (intercept, estimate of alpha)
    0.06289
  • Mean Square Error
    0.23149
  • DF error
    129.00000
  • t(b)
    5.58813
  • p(b)
    0.22837
  • t(a)
    0.09187
  • p(a)
    0.49485
  • VAR (95 Confidence Intrvl)
    0.04100
  • Lowerbound of 95% confidence interval for beta
    1.13307
  • Upperbound of 95% confidence interval for beta
    2.37521
  • Lowerbound of 95% confidence interval for alpha
    -1.29151
  • Upperbound of 95% confidence interval for alpha
    1.41729
  • Treynor index (mean / b)
    0.27476
  • Jensen alpha (a)
    0.06289
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05109
  • Expected Shortfall on VaR
    0.06401
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02435
  • Expected Shortfall on VaR
    0.04590
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.88914
  • Quartile 1
    0.98245
  • Median
    0.99926
  • Quartile 3
    1.01797
  • Maximum
    1.16706
  • Mean of quarter 1
    0.96588
  • Mean of quarter 2
    0.99357
  • Mean of quarter 3
    1.00718
  • Mean of quarter 4
    1.04348
  • Inter Quartile Range
    0.03551
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.88914
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.13032
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11344
  • VaR(95%) (moments method)
    0.03528
  • Expected Shortfall (moments method)
    0.04902
  • Extreme Value Index (regression method)
    -0.01814
  • VaR(95%) (regression method)
    0.03131
  • Expected Shortfall (regression method)
    0.03957
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01397
  • Quartile 1
    0.01790
  • Median
    0.11547
  • Quartile 3
    0.13125
  • Maximum
    0.32751
  • Mean of quarter 1
    0.01593
  • Mean of quarter 2
    0.11547
  • Mean of quarter 3
    0.13125
  • Mean of quarter 4
    0.32751
  • Inter Quartile Range
    0.11335
  • 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
    0.20000
  • Mean of outliers high
    0.32751
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -370274000
  • Max Equity Drawdown (num days)
    54
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.58077
  • Compounded annual return (geometric extrapolation)
    0.66509
  • Calmar ratio (compounded annual return / max draw down)
    2.03076
  • Compounded annual return / average of 25% largest draw downs
    2.03076
  • Compounded annual return / Expected Shortfall lognormal
    10.38970

Strategy Description

Why RocketFund?
Volatile strategy but MATHEMATICALLY OPTIMAL COMBINATION OF RISK AND HIGH REWARD! The best tactic is to join on drawdowns.

This is:
* Position trading;
* Classic TA and proven authors trading system;
* ETF, stocks, futures - country & instrument diversification with min correlation;
* Min leverage;
* No miracles. This is a professional and painstaking hedge fund job. Long-term copy only. Better from 6 months.


Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-09-27
Suggested Minimum Capital
$50,000
Rank at C2 %
Top 1.8%
Rank # 
#13
# Trades
203
# Profitable
174
% Profitable
85.7%
Net Dividends
$544
Correlation S&P500
0.429
Sharpe Ratio
1.52
Sortino Ratio
2.56
Beta
1.60
Alpha
0.11
Leverage
2.05 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.