Collective2 Collective2
Featured Strategy MT3 Algotrading Followed by live capital $3.18 million Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 04/15/2024
Most recent certification approved 4/15/24 9:50 ET
Trades at broker Interactive Brokers (server 2 / Stocks, Option, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 743
# trading signals executed in manager's Interactive Brokers (server 2 / Stocks, Option, Futures) account 743
Percent signals followed since 04/15/2024 100%
This information was last updated 11/14/24 21:36 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 04/15/2024, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Quantum Divergence
(147887891)

Powered by BrokerTransmit.
Read important disclosures.

Created by: GrantForman GrantForman
Started: 04/2024
Stocks
Last trade: Today
Trading style: Equity 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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
11.0%
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.

(8.2%)
Max Drawdown
234
Num Trades
46.6%
Win Trades
1.1 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                     (2.3%)(2.8%)+9.8%+5.2%(4.1%)+7.1%+1.4%(2.7%)      +11.0%

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.

Trading Record

This strategy has placed 743 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/13/24 9:40 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 1,648 53.09 11/14 14:05 51.30 2.77%
Trade id #150074760
Max drawdown($3,079)
Time11/14/24 12:49
Quant open888
Worst price49.62
Drawdown as % of equity-2.77%
 ($2,975)
Includes Typical Broker Commissions trade costs of $21.48
11/12/24 9:40 BETH PROSHARES BITCOIN & ETHER MARKET CAP WEIGHT ETF LONG 560 82.64 11/14 9:40 85.08 0.2%
Trade id #150064260
Max drawdown($223)
Time11/12/24 9:46
Quant open560
Worst price82.24
Drawdown as % of equity-0.20%
 $1,362
Includes Typical Broker Commissions trade costs of $5.19
11/12/24 9:40 TZA DIREXION DAILY SMALL CAP BEAR LONG 4,534 10.20 11/13 11:17 10.57 0.38%
Trade id #150064256
Max drawdown($429)
Time11/12/24 9:49
Quant open4,534
Worst price10.11
Drawdown as % of equity-0.38%
 $1,687
Includes Typical Broker Commissions trade costs of $10.83
11/8/24 9:40 QQQU DIREXION DAILY MAGNIFICENT 7 BULL 2X SHARES LONG 1,064 42.95 11/13 9:40 43.77 0.31%
Trade id #150038729
Max drawdown($341)
Time11/8/24 10:10
Quant open1,064
Worst price42.63
Drawdown as % of equity-0.31%
 $870
Includes Typical Broker Commissions trade costs of $5.14
11/12/24 9:40 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 825 55.89 11/12 14:09 53.60 2.31%
Trade id #150064258
Max drawdown($2,605)
Time11/12/24 13:01
Quant open825
Worst price52.73
Drawdown as % of equity-2.31%
 ($1,895)
Includes Typical Broker Commissions trade costs of $10.75
11/11/24 9:43 SCHG SCHWAB U.S. LARGE-CAP GROWTH E LONG 1,656 27.79 11/12 9:40 27.83 0.19%
Trade id #150054328
Max drawdown($215)
Time11/11/24 13:22
Quant open1,656
Worst price27.66
Drawdown as % of equity-0.19%
 $66
Includes Typical Broker Commissions trade costs of $5.00
11/8/24 9:40 TQQQ PROSHARES ULTRAPRO QQQ LONG 552 82.62 11/12 9:40 82.67 0.35%
Trade id #150038734
Max drawdown($391)
Time11/8/24 10:15
Quant open552
Worst price81.91
Drawdown as % of equity-0.35%
 $23
Includes Typical Broker Commissions trade costs of $5.00
11/7/24 9:40 TZA DIREXION DAILY SMALL CAP BEAR LONG 4,600 10.70 11/11 11:14 10.18 2.48%
Trade id #150027489
Max drawdown($2,740)
Time11/11/24 9:39
Quant open4,198
Worst price10.10
Drawdown as % of equity-2.48%
 ($2,423)
Includes Typical Broker Commissions trade costs of $14.02
11/7/24 9:40 IBIT ISHARES BITCOIN TRUST LONG 1,065 42.65 11/11 9:40 46.97 0.17%
Trade id #150027485
Max drawdown($186)
Time11/7/24 9:48
Quant open1,065
Worst price42.47
Drawdown as % of equity-0.17%
 $4,597
Includes Typical Broker Commissions trade costs of $5.13
11/7/24 9:40 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 854 53.05 11/8 9:40 52.50 0.68%
Trade id #150027491
Max drawdown($755)
Time11/7/24 14:42
Quant open854
Worst price52.17
Drawdown as % of equity-0.68%
 ($476)
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 9:40 JPST JP MORGAN ULTRA-SHORT INCOME ETF LONG 914 50.41 11/7 9:40 50.41 0.03%
Trade id #149957437
Max drawdown($32)
Time11/6/24 0:00
Quant open914
Worst price50.37
Drawdown as % of equity-0.03%
 $3
Includes Typical Broker Commissions trade costs of $5.13
11/1/24 9:40 UGL PROSHARES ULTRA GOLD LONG 468 104.26 11/6 10:12 97.41 3.21%
Trade id #149929469
Max drawdown($3,625)
Time11/6/24 9:34
Quant open447
Worst price96.50
Drawdown as % of equity-3.21%
 ($3,216)
Includes Typical Broker Commissions trade costs of $9.36
11/1/24 9:40 BTF VALKYRIE BITCOIN AND ETHER STRATEGY ETF LONG 2,761 17.07 11/4 9:40 16.37 1.7%
Trade id #149929467
Max drawdown($1,935)
Time11/4/24 9:39
Quant open2,761
Worst price16.37
Drawdown as % of equity-1.70%
 ($1,940)
Includes Typical Broker Commissions trade costs of $5.00
11/1/24 9:40 BOXX ALPHA ARCHITECT 1-3 MONTH BOX ETF LONG 427 109.43 11/4 9:40 109.45 0%
Trade id #149929471
Max drawdown($3)
Time11/1/24 9:43
Quant open427
Worst price109.42
Drawdown as % of equity-0.00%
 $1
Includes Typical Broker Commissions trade costs of $8.54
10/30/24 9:40 USMV ISHARES EDGE MSCI MIN VOL USA LONG 523 90.78 11/1 9:40 90.30 0.36%
Trade id #149893043
Max drawdown($427)
Time10/31/24 0:00
Quant open523
Worst price89.96
Drawdown as % of equity-0.36%
 ($255)
Includes Typical Broker Commissions trade costs of $5.00
10/31/24 9:40 AGQ PROSHARES ULTRA SILVER LONG 1,048 45.14 11/1 9:40 44.83 1.6%
Trade id #149915323
Max drawdown($1,904)
Time10/31/24 10:47
Quant open1,048
Worst price43.32
Drawdown as % of equity-1.60%
 ($331)
Includes Typical Broker Commissions trade costs of $5.00
10/31/24 9:40 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,511 31.34 10/31 12:28 29.89 2.36%
Trade id #149915321
Max drawdown($2,808)
Time10/31/24 11:53
Quant open1,511
Worst price29.48
Drawdown as % of equity-2.36%
 ($2,201)
Includes Typical Broker Commissions trade costs of $9.23
10/29/24 9:40 ETHE GRAYSCALE ETHEREUM TRUST (ETH) LONG 2,155 22.10 10/31 9:40 22.03 0.2%
Trade id #149873675
Max drawdown($242)
Time10/31/24 9:33
Quant open2,107
Worst price21.98
Drawdown as % of equity-0.20%
 ($166)
Includes Typical Broker Commissions trade costs of $5.48
10/24/24 9:40 SVOL SIMPLIFY VOLATILITY PREMIUM ETF LONG 2,233 21.50 10/31 9:40 21.06 0.94%
Trade id #149817270
Max drawdown($1,118)
Time10/31/24 9:33
Quant open2,233
Worst price21.00
Drawdown as % of equity-0.94%
 ($986)
Includes Typical Broker Commissions trade costs of $5.42
10/29/24 9:40 AGQ PROSHARES ULTRA SILVER LONG 1,026 47.94 10/30 11:41 47.40 1.77%
Trade id #149873677
Max drawdown($2,113)
Time10/30/24 9:37
Quant open990
Worst price45.86
Drawdown as % of equity-1.77%
 ($564)
Includes Typical Broker Commissions trade costs of $13.12
10/29/24 9:40 JPST JP MORGAN ULTRA-SHORT INCOME ETF LONG 942 50.59 10/30 9:40 50.58 0.01%
Trade id #149873679
Max drawdown($8)
Time10/29/24 9:46
Quant open942
Worst price50.58
Drawdown as % of equity-0.01%
 ($13)
Includes Typical Broker Commissions trade costs of $5.00
10/25/24 9:40 USMV ISHARES EDGE MSCI MIN VOL USA LONG 518 91.81 10/29 9:40 91.08 0.38%
Trade id #149830147
Max drawdown($447)
Time10/25/24 15:58
Quant open518
Worst price90.94
Drawdown as % of equity-0.38%
 ($380)
Includes Typical Broker Commissions trade costs of $5.00
10/28/24 9:40 YBTC ROUNDHILL BITCOIN COVERED CALL STRATEGY ETF LONG 1,047 45.74 10/29 9:40 46.41 0.5%
Trade id #149863049
Max drawdown($584)
Time10/28/24 10:06
Quant open1,047
Worst price45.19
Drawdown as % of equity-0.50%
 $697
Includes Typical Broker Commissions trade costs of $5.00
10/25/24 9:40 IBIT ISHARES BITCOIN TRUST LONG 1,234 38.62 10/28 9:40 39.25 1.21%
Trade id #149830144
Max drawdown($1,425)
Time10/25/24 14:10
Quant open1,234
Worst price37.47
Drawdown as % of equity-1.21%
 $767
Includes Typical Broker Commissions trade costs of $5.00
10/23/24 9:40 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 1,097 43.33 10/25 9:40 43.54 1.51%
Trade id #149804025
Max drawdown($1,762)
Time10/23/24 14:19
Quant open1,097
Worst price41.72
Drawdown as % of equity-1.51%
 $229
Includes Typical Broker Commissions trade costs of $5.14
10/24/24 9:40 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,372 34.45 10/25 9:40 35.72 1.09%
Trade id #149817268
Max drawdown($1,262)
Time10/24/24 12:21
Quant open1,372
Worst price33.53
Drawdown as % of equity-1.09%
 $1,739
Includes Typical Broker Commissions trade costs of $5.00
10/23/24 9:40 YBTC ROUNDHILL BITCOIN COVERED CALL STRATEGY ETF LONG 1,078 44.36 10/24 9:40 44.51 1.23%
Trade id #149804014
Max drawdown($1,434)
Time10/23/24 14:19
Quant open1,078
Worst price43.03
Drawdown as % of equity-1.23%
 $159
Includes Typical Broker Commissions trade costs of $5.00
10/23/24 9:40 UGL PROSHARES ULTRA GOLD LONG 461 103.00 10/24 9:40 103.44 0.76%
Trade id #149804016
Max drawdown($898)
Time10/23/24 11:23
Quant open461
Worst price101.05
Drawdown as % of equity-0.76%
 $196
Includes Typical Broker Commissions trade costs of $9.22
10/22/24 9:40 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,390 34.25 10/23 14:35 32.85 2.31%
Trade id #149783182
Max drawdown($2,690)
Time10/23/24 14:19
Quant open1,373
Worst price32.29
Drawdown as % of equity-2.31%
 ($1,951)
Includes Typical Broker Commissions trade costs of $9.24
10/22/24 9:40 SVOL SIMPLIFY VOLATILITY PREMIUM ETF LONG 2,193 21.69 10/23 9:40 21.63 0.14%
Trade id #149783184
Max drawdown($171)
Time10/23/24 9:30
Quant open2,193
Worst price21.61
Drawdown as % of equity-0.14%
 ($128)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    4/12/2024
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    216.41
  • Age
    7 months ago
  • What it trades
    Stocks
  • # Trades
    234
  • # Profitable
    109
  • % Profitable
    46.60%
  • Avg trade duration
    2.8 days
  • Max peak-to-valley drawdown
    8.22%
  • drawdown period
    Oct 29, 2024 - Nov 08, 2024
  • Cumul. Return
    11.0%
  • Avg win
    $1,337
  • Avg loss
    $1,084
  • Model Account Values (Raw)
  • Cash
    $56,027
  • Margin Used
    $0
  • Buying Power
    $56,191
  • Ratios
  • W:L ratio
    1.10:1
  • Sharpe Ratio
    0.75
  • Sortino Ratio
    1.24
  • Calmar Ratio
    3.562
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -5.08%
  • Correlation to SP500
    -0.01140
  • Return Percent SP500 (cumu) during strategy life
    16.12%
  • Return Statistics
  • Ann Return (w trading costs)
    19.0%
  • Slump
  • Current Slump as Pcnt Equity
    7.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.08%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.110%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    24.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    22.50%
  • Chance of 20% account loss
    1.50%
  • 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)
    385
  • Popularity (Last 6 weeks)
    685
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    940
  • Popularity (7 days, Percentile 1000 scale)
    370
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $1,084
  • Avg Win
    $1,338
  • Sum Trade PL (losers)
    $135,516.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $145,787.000
  • # Winners
    109
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    3663
  • AUM
  • AUM (AutoTrader live capital)
    112515
  • Win / Loss
  • # Losers
    125
  • % Winners
    46.6%
  • Frequency
  • Avg Position Time (mins)
    4062.52
  • Avg Position Time (hrs)
    67.71
  • Avg Trade Length
    2.8 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.36
  • Daily leverage (max)
    3.60
  • Regression
  • Alpha
    0.05
  • Beta
    -0.02
  • Treynor Index
    -2.88
  • 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)
    0.09
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -18.547
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.376
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.433
  • Hold-and-Hope Ratio
    -0.052
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25004
  • SD
    0.17216
  • Sharpe ratio (Glass type estimate)
    1.45242
  • Sharpe ratio (Hedges UMVUE)
    1.26161
  • df
    6.00000
  • t
    1.10930
  • p
    0.15488
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.28997
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.08799
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40201
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.92523
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.45199
  • Upside Potential Ratio
    6.61761
  • Upside part of mean
    0.37167
  • Downside part of mean
    -0.12163
  • Upside SD
    0.16571
  • Downside SD
    0.05616
  • N nonnegative terms
    4.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.24534
  • Mean of criterion
    0.25004
  • SD of predictor
    0.09305
  • SD of criterion
    0.17216
  • Covariance
    0.00922
  • r
    0.57569
  • b (slope, estimate of beta)
    1.06509
  • a (intercept, estimate of alpha)
    -0.01127
  • Mean Square Error
    0.02378
  • DF error
    5.00000
  • t(b)
    1.57433
  • p(b)
    0.08811
  • t(a)
    -0.04312
  • p(a)
    0.51636
  • Lowerbound of 95% confidence interval for beta
    -0.67407
  • Upperbound of 95% confidence interval for beta
    2.80425
  • Lowerbound of 95% confidence interval for alpha
    -0.68316
  • Upperbound of 95% confidence interval for alpha
    0.66062
  • Treynor index (mean / b)
    0.23476
  • Jensen alpha (a)
    -0.01127
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23487
  • SD
    0.16722
  • Sharpe ratio (Glass type estimate)
    1.40456
  • Sharpe ratio (Hedges UMVUE)
    1.22004
  • df
    6.00000
  • t
    1.07275
  • p
    0.16231
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.32866
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.03370
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.43737
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.87746
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.13407
  • Upside Potential Ratio
    6.29811
  • Upside part of mean
    0.35781
  • Downside part of mean
    -0.12295
  • Upside SD
    0.15918
  • Downside SD
    0.05681
  • N nonnegative terms
    4.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.23866
  • Mean of criterion
    0.23487
  • SD of predictor
    0.09284
  • SD of criterion
    0.16722
  • Covariance
    0.00879
  • r
    0.56602
  • b (slope, estimate of beta)
    1.01949
  • a (intercept, estimate of alpha)
    -0.00845
  • Mean Square Error
    0.02280
  • DF error
    5.00000
  • t(b)
    1.53526
  • p(b)
    0.09266
  • t(a)
    -0.03333
  • p(a)
    0.51265
  • Lowerbound of 95% confidence interval for beta
    -0.68757
  • Upperbound of 95% confidence interval for beta
    2.72655
  • Lowerbound of 95% confidence interval for alpha
    -0.65985
  • Upperbound of 95% confidence interval for alpha
    0.64296
  • Treynor index (mean / b)
    0.23038
  • Jensen alpha (a)
    -0.00845
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05807
  • Expected Shortfall on VaR
    0.07673
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02180
  • Expected Shortfall on VaR
    0.03670
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.97306
  • Quartile 1
    0.98149
  • Median
    1.00657
  • Quartile 3
    1.06424
  • Maximum
    1.09107
  • Mean of quarter 1
    0.97349
  • Mean of quarter 2
    0.99782
  • Mean of quarter 3
    1.04910
  • Mean of quarter 4
    1.08523
  • Inter Quartile Range
    0.08275
  • 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
    3.00000
  • Minimum
    0.01094
  • Quartile 1
    0.01851
  • Median
    0.02609
  • Quartile 3
    0.02651
  • Maximum
    0.02694
  • Mean of quarter 1
    0.01094
  • Mean of quarter 2
    0.02609
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.02694
  • Inter Quartile Range
    0.00800
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28399
  • Compounded annual return (geometric extrapolation)
    0.30053
  • Calmar ratio (compounded annual return / max draw down)
    11.15610
  • Compounded annual return / average of 25% largest draw downs
    11.15610
  • Compounded annual return / Expected Shortfall lognormal
    3.91653
  • 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
    0.21940
  • SD
    0.20259
  • Sharpe ratio (Glass type estimate)
    1.08296
  • Sharpe ratio (Hedges UMVUE)
    1.07765
  • df
    153.00000
  • t
    0.83028
  • p
    0.45739
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47812
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.64055
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48166
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.63695
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.86174
  • Upside Potential Ratio
    10.74470
  • Upside part of mean
    1.26620
  • Downside part of mean
    -1.04680
  • Upside SD
    0.16453
  • Downside SD
    0.11784
  • N nonnegative terms
    69.00000
  • N negative terms
    85.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    154.00000
  • Mean of predictor
    0.23521
  • Mean of criterion
    0.21940
  • SD of predictor
    0.13271
  • SD of criterion
    0.20259
  • Covariance
    -0.00046
  • r
    -0.01693
  • b (slope, estimate of beta)
    -0.02585
  • a (intercept, estimate of alpha)
    0.22500
  • Mean Square Error
    0.04130
  • DF error
    152.00000
  • t(b)
    -0.20881
  • p(b)
    0.50847
  • t(a)
    0.84553
  • p(a)
    0.46579
  • Lowerbound of 95% confidence interval for beta
    -0.27043
  • Upperbound of 95% confidence interval for beta
    0.21873
  • Lowerbound of 95% confidence interval for alpha
    -0.30138
  • Upperbound of 95% confidence interval for alpha
    0.75233
  • Treynor index (mean / b)
    -8.48723
  • Jensen alpha (a)
    0.22548
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19906
  • SD
    0.20141
  • Sharpe ratio (Glass type estimate)
    0.98836
  • Sharpe ratio (Hedges UMVUE)
    0.98351
  • df
    153.00000
  • t
    0.75775
  • p
    0.46110
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.57203
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.54567
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.57532
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.54234
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.67403
  • Upside Potential Ratio
    10.53530
  • Upside part of mean
    1.25278
  • Downside part of mean
    -1.05372
  • Upside SD
    0.16221
  • Downside SD
    0.11891
  • N nonnegative terms
    69.00000
  • N negative terms
    85.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    154.00000
  • Mean of predictor
    0.22632
  • Mean of criterion
    0.19906
  • SD of predictor
    0.13286
  • SD of criterion
    0.20141
  • Covariance
    -0.00036
  • r
    -0.01348
  • b (slope, estimate of beta)
    -0.02044
  • a (intercept, estimate of alpha)
    0.20369
  • Mean Square Error
    0.04082
  • DF error
    152.00000
  • t(b)
    -0.16623
  • p(b)
    0.50674
  • t(a)
    0.76862
  • p(a)
    0.46889
  • Lowerbound of 95% confidence interval for beta
    -0.26335
  • Upperbound of 95% confidence interval for beta
    0.22248
  • Lowerbound of 95% confidence interval for alpha
    -0.31988
  • Upperbound of 95% confidence interval for alpha
    0.72726
  • Treynor index (mean / b)
    -9.73993
  • Jensen alpha (a)
    0.20369
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01951
  • Expected Shortfall on VaR
    0.02459
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00985
  • Expected Shortfall on VaR
    0.01776
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    154.00000
  • Minimum
    0.97167
  • Quartile 1
    0.99422
  • Median
    0.99939
  • Quartile 3
    1.00605
  • Maximum
    1.04476
  • Mean of quarter 1
    0.98749
  • Mean of quarter 2
    0.99692
  • Mean of quarter 3
    1.00188
  • Mean of quarter 4
    1.01740
  • Inter Quartile Range
    0.01184
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.01948
  • Mean of outliers low
    0.97254
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.05844
  • Mean of outliers high
    1.03260
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02377
  • VaR(95%) (moments method)
    0.01213
  • Expected Shortfall (moments method)
    0.01593
  • Extreme Value Index (regression method)
    -0.30940
  • VaR(95%) (regression method)
    0.01265
  • Expected Shortfall (regression method)
    0.01514
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00298
  • Quartile 1
    0.02884
  • Median
    0.03296
  • Quartile 3
    0.06109
  • Maximum
    0.07153
  • Mean of quarter 1
    0.01261
  • Mean of quarter 2
    0.03162
  • Mean of quarter 3
    0.04537
  • Mean of quarter 4
    0.06637
  • Inter Quartile Range
    0.03225
  • 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)
    -1.42878
  • VaR(95%) (moments method)
    0.07073
  • Expected Shortfall (moments method)
    0.07152
  • Extreme Value Index (regression method)
    0.08495
  • VaR(95%) (regression method)
    0.07273
  • Expected Shortfall (regression method)
    0.07994
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24281
  • Compounded annual return (geometric extrapolation)
    0.25479
  • Calmar ratio (compounded annual return / max draw down)
    3.56193
  • Compounded annual return / average of 25% largest draw downs
    3.83912
  • Compounded annual return / Expected Shortfall lognormal
    10.36230
  • 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
    0.33331
  • SD
    0.20915
  • Sharpe ratio (Glass type estimate)
    1.59359
  • Sharpe ratio (Hedges UMVUE)
    1.58438
  • df
    130.00000
  • t
    1.12684
  • p
    0.45082
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18801
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.36913
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19411
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.36286
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.81264
  • Upside Potential Ratio
    11.57150
  • Upside part of mean
    1.37125
  • Downside part of mean
    -1.03795
  • Upside SD
    0.17261
  • Downside SD
    0.11850
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20914
  • Mean of criterion
    0.33331
  • SD of predictor
    0.13406
  • SD of criterion
    0.20915
  • Covariance
    -0.00183
  • r
    -0.06524
  • b (slope, estimate of beta)
    -0.10179
  • a (intercept, estimate of alpha)
    0.35459
  • Mean Square Error
    0.04390
  • DF error
    129.00000
  • t(b)
    -0.74259
  • p(b)
    0.54151
  • t(a)
    1.19118
  • p(a)
    0.43372
  • Lowerbound of 95% confidence interval for beta
    -0.37299
  • Upperbound of 95% confidence interval for beta
    0.16941
  • Lowerbound of 95% confidence interval for alpha
    -0.23438
  • Upperbound of 95% confidence interval for alpha
    0.94357
  • Treynor index (mean / b)
    -3.27447
  • Jensen alpha (a)
    0.35459
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31155
  • SD
    0.20786
  • Sharpe ratio (Glass type estimate)
    1.49888
  • Sharpe ratio (Hedges UMVUE)
    1.49021
  • df
    130.00000
  • t
    1.05987
  • p
    0.45372
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.28169
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.27388
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.28751
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.26793
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.60476
  • Upside Potential Ratio
    11.34110
  • Upside part of mean
    1.35649
  • Downside part of mean
    -1.04494
  • Upside SD
    0.17011
  • Downside SD
    0.11961
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20011
  • Mean of criterion
    0.31155
  • SD of predictor
    0.13422
  • SD of criterion
    0.20786
  • Covariance
    -0.00172
  • r
    -0.06174
  • b (slope, estimate of beta)
    -0.09562
  • a (intercept, estimate of alpha)
    0.33069
  • Mean Square Error
    0.04337
  • DF error
    129.00000
  • t(b)
    -0.70261
  • p(b)
    0.53928
  • t(a)
    1.11799
  • p(a)
    0.43774
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    -0.36487
  • Upperbound of 95% confidence interval for beta
    0.17363
  • Lowerbound of 95% confidence interval for alpha
    -0.25453
  • Upperbound of 95% confidence interval for alpha
    0.91590
  • Treynor index (mean / b)
    -3.25836
  • Jensen alpha (a)
    0.33069
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01974
  • Expected Shortfall on VaR
    0.02497
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00958
  • Expected Shortfall on VaR
    0.01751
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97167
  • Quartile 1
    0.99442
  • Median
    0.99964
  • Quartile 3
    1.00656
  • Maximum
    1.04476
  • Mean of quarter 1
    0.98747
  • Mean of quarter 2
    0.99704
  • Mean of quarter 3
    1.00272
  • Mean of quarter 4
    1.01833
  • Inter Quartile Range
    0.01214
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.97254
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.03497
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.04509
  • VaR(95%) (moments method)
    0.01222
  • Expected Shortfall (moments method)
    0.01667
  • Extreme Value Index (regression method)
    -0.23949
  • VaR(95%) (regression method)
    0.01287
  • Expected Shortfall (regression method)
    0.01580
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00298
  • Quartile 1
    0.02399
  • Median
    0.03162
  • Quartile 3
    0.05506
  • Maximum
    0.07153
  • Mean of quarter 1
    0.01072
  • Mean of quarter 2
    0.02944
  • Mean of quarter 3
    0.03296
  • Mean of quarter 4
    0.06637
  • Inter Quartile Range
    0.03107
  • 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)
    -1.42878
  • VaR(95%) (moments method)
    0.07073
  • Expected Shortfall (moments method)
    0.07152
  • Extreme Value Index (regression method)
    0.08495
  • VaR(95%) (regression method)
    0.07273
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.07994
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -341131000
  • Max Equity Drawdown (num days)
    10
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.36997
  • Compounded annual return (geometric extrapolation)
    0.40419
  • Calmar ratio (compounded annual return / max draw down)
    5.65042
  • Compounded annual return / average of 25% largest draw downs
    6.09014
  • Compounded annual return / Expected Shortfall lognormal
    16.18650

Strategy Description


Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2024-04-12
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 6.0%
Rank # 
#300
# Trades
234
# Profitable
109
% Profitable
46.6%
Net Dividends
$3,662
Correlation S&P500
-0.011
Sharpe Ratio
0.75
Sortino Ratio
1.24
Beta
-0.02
Alpha
0.05
Leverage
1.36 Average
3.60 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

#PERSONNAME#
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.