Collective2 Collective2
Featured Strategy Cryptoverse +50.9% Annual Return (Compounded) since Jun 13, 2022 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Alpha Capital
(145528823)

Created by: Alpha-Capital Alpha-Capital
Started: 08/2023
Stocks, Forex
Last trade: 2 days ago

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 $20.00 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.

103.8%
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.

(45.5%)
Max Drawdown
110
Num Trades
69.1%
Win Trades
2.5 : 1
Profit Factor
76.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                 +1.7%+6.7%(4.7%)+7.2%  -  +10.9%
2024+2.8%+5.0%+0.1%+4.2%+5.5%+9.1%(7.9%)+22.2%(37%)+85.9%+17.7%+18.6%+138.6%

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

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/16/24 9:30 SBSW SIBANYE-STILLWATER LONG 4,988 3.99 12/20 9:33 3.63 4.87%
Trade id #150332868
Max drawdown($2,593)
Time12/19/24 0:00
Quant open4,988
Worst price3.47
Drawdown as % of equity-4.87%
 ($1,799)
Includes Typical Broker Commissions trade costs of $5.00
12/16/24 9:30 VALE VALE LONG 2,160 9.20 12/20 9:33 8.81 1.96%
Trade id #150332895
Max drawdown($1,101)
Time12/18/24 0:00
Quant open2,160
Worst price8.69
Drawdown as % of equity-1.96%
 ($837)
Includes Typical Broker Commissions trade costs of $5.00
12/16/24 9:30 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 449 44.89 12/20 9:33 42.30 3.36%
Trade id #150332874
Max drawdown($1,791)
Time12/19/24 0:00
Quant open449
Worst price40.90
Drawdown as % of equity-3.36%
 ($1,173)
Includes Typical Broker Commissions trade costs of $8.98
12/16/24 4:07: Rescaled downward to 50% of previous Model Account size
12/13/24 6:11 NZD/USD NZD/USD LONG 170 0.57664 12/16 3:55 0.57793 4.09%
Trade id #150316986
Max drawdown($2,193)
Time12/13/24 12:40
Quant open170
Worst price0.57535
Drawdown as % of equity-4.09%
 $2,193
12/11/24 4:38 GBP/NZD GBP/NZD SHORT 90 2.20734 12/13 6:04 2.19368 0.08%
Trade id #150297334
Max drawdown($40)
Time12/11/24 4:41
Quant open45
Worst price2.20750
Drawdown as % of equity-0.08%
 $7,092
11/13/24 9:31 SBSW SIBANYE-STILLWATER LONG 5,333.500000000 4.16 12/10 9:30 4.21 2.05%
Trade id #150074150
Max drawdown($940)
Time12/6/24 0:00
Quant open2,667
Worst price3.81
Drawdown as % of equity-2.05%
 $246
Includes Typical Broker Commissions trade costs of $7.50
11/12/24 9:30 VALE VALE LONG 5,879 9.88 12/10 9:30 9.87 2.53%
Trade id #150063806
Max drawdown($1,162)
Time12/6/24 0:00
Quant open2,108
Worst price9.33
Drawdown as % of equity-2.53%
 ($123)
Includes Typical Broker Commissions trade costs of $30.00
11/29/24 9:30 NTR NUTRIEN LTD LONG 462.500000000 46.47 12/4 9:30 48.93 n/a $1,130
Includes Typical Broker Commissions trade costs of $9.25
11/13/24 9:31 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 364 46.61 11/29 9:30 49.68 1.35%
Trade id #150074158
Max drawdown($586)
Time11/18/24 0:00
Quant open182
Worst price43.39
Drawdown as % of equity-1.35%
 $1,110
Includes Typical Broker Commissions trade costs of $7.28
11/7/24 9:30 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 1,250 45.62 11/11 9:30 47.80 0.12%
Trade id #150026819
Max drawdown($50)
Time11/7/24 9:33
Quant open625
Worst price45.54
Drawdown as % of equity-0.12%
 $2,720
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 825 46.57 11/6 9:30 51.25 0.16%
Trade id #149956627
Max drawdown($61)
Time11/4/24 9:37
Quant open412
Worst price46.42
Drawdown as % of equity-0.16%
 $3,856
Includes Typical Broker Commissions trade costs of $5.00
11/1/24 8:54 GBP/CAD GBP/CAD SHORT 60 1.80276 11/4 4:39 1.80427 2.19%
Trade id #149928427
Max drawdown($857)
Time11/1/24 12:57
Quant open30
Worst price1.80673
Drawdown as % of equity-2.19%
 ($653)
11/1/24 7:01 USD/CAD USD/CAD SHORT 75 1.39341 11/1 8:53 1.39059 0.02%
Trade id #149927872
Max drawdown($6)
Time11/1/24 7:40
Quant open38
Worst price1.39343
Drawdown as % of equity-0.02%
 $1,518
10/28/24 5:01 GBP/CAD GBP/CAD SHORT 60 1.80191 11/1 6:59 1.79946 8.4%
Trade id #149861200
Max drawdown($2,829)
Time10/30/24 0:00
Quant open30
Worst price1.81505
Drawdown as % of equity-8.40%
 $1,056
10/21/24 7:32 GBP/CAD GBP/CAD SHORT 40 1.80036 10/23 7:21 1.79408 0.48%
Trade id #149722882
Max drawdown($171)
Time10/21/24 9:40
Quant open20
Worst price1.80155
Drawdown as % of equity-0.48%
 $1,817
10/15/24 6:49 GBP/CAD GBP/CAD SHORT 70 1.80690 10/16 6:10 1.79477 3.12%
Trade id #149660759
Max drawdown($903)
Time10/15/24 8:41
Quant open35
Worst price1.81046
Drawdown as % of equity-3.12%
 $6,159
10/8/24 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 600 47.06 10/14 9:30 48.03 0.23%
Trade id #149603886
Max drawdown($65)
Time10/8/24 9:45
Quant open250
Worst price46.76
Drawdown as % of equity-0.23%
 $574
Includes Typical Broker Commissions trade costs of $8.50
9/13/24 7:39 GBP/CAD GBP/CAD SHORT 82 1.78455 10/2 5:35 1.79471 33.08%
Trade id #149381742
Max drawdown($7,069)
Time9/30/24 0:00
Quant open31
Worst price1.81457
Drawdown as % of equity-33.08%
 ($6,181)
9/9/24 9:30 CVX CHEVRON LONG 45 138.63 9/13 9:51 140.54 0.24%
Trade id #149321389
Max drawdown($73)
Time9/11/24 0:00
Quant open22
Worst price135.37
Drawdown as % of equity-0.24%
 $85
Includes Typical Broker Commissions trade costs of $0.90
9/5/24 9:30 CHK CHESAPEAKE ENERGY CORPORATION LONG 88 70.94 9/13 9:51 73.28 0.25%
Trade id #149258768
Max drawdown($80)
Time9/10/24 0:00
Quant open44
Worst price69.12
Drawdown as % of equity-0.25%
 $204
Includes Typical Broker Commissions trade costs of $1.76
9/3/24 9:30 BHP BHP GROUP LTD LONG 121.500000000 52.53 9/13 9:51 53.01 0.31%
Trade id #149204560
Max drawdown($99)
Time9/10/24 0:00
Quant open61
Worst price50.90
Drawdown as % of equity-0.31%
 $56
Includes Typical Broker Commissions trade costs of $2.44
9/3/24 9:30 NTR NUTRIEN LTD LONG 135 47.49 9/13 9:51 46.73 0.6%
Trade id #149204550
Max drawdown($192)
Time9/10/24 0:00
Quant open68
Worst price44.65
Drawdown as % of equity-0.60%
 ($106)
Includes Typical Broker Commissions trade costs of $2.70
9/3/24 9:30 VALE VALE LONG 617 10.24 9/13 9:51 10.52 0.39%
Trade id #149204542
Max drawdown($122)
Time9/10/24 0:00
Quant open308
Worst price9.85
Drawdown as % of equity-0.39%
 $162
Includes Typical Broker Commissions trade costs of $8.67
9/3/24 9:30 SBSW SIBANYE-STILLWATER LONG 1,780.500000000 3.74 9/13 9:30 3.98 1.84%
Trade id #149204562
Max drawdown($584)
Time9/10/24 0:00
Quant open890
Worst price3.08
Drawdown as % of equity-1.84%
 $423
Includes Typical Broker Commissions trade costs of $9.95
9/3/24 9:30 ALB ALBEMARLE LONG 81.500000000 84.33 9/13 9:30 88.90 1.14%
Trade id #149204580
Max drawdown($362)
Time9/10/24 0:00
Quant open41
Worst price75.44
Drawdown as % of equity-1.14%
 $370
Includes Typical Broker Commissions trade costs of $1.64
8/22/24 6:30 GBP/CAD GBP/CAD SHORT 70.500000000 1.78121 8/29 6:39 1.77447 2.1%
Trade id #148995002
Max drawdown($664)
Time8/27/24 0:00
Quant open35
Worst price1.78375
Drawdown as % of equity-2.10%
 $3,535
8/21/24 5:08 GBP/USD GBP/USD SHORT 31.500000000 1.30196 8/26 7:51 1.31680 7.85%
Trade id #148979816
Max drawdown($2,474)
Time8/23/24 0:00
Quant open12
Worst price1.32302
Drawdown as % of equity-7.85%
 ($4,675)
8/13/24 9:30 NTR NUTRIEN LTD LONG 270.500000000 46.38 8/20 9:30 47.21 0.28%
Trade id #148901593
Max drawdown($87)
Time8/14/24 0:00
Quant open108
Worst price45.55
Drawdown as % of equity-0.28%
 $218
Includes Typical Broker Commissions trade costs of $5.42
8/13/24 9:30 VALE VALE LONG 1,216.500000000 10.26 8/20 9:30 10.47 0.29%
Trade id #148901594
Max drawdown($92)
Time8/14/24 0:00
Quant open486
Worst price10.09
Drawdown as % of equity-0.29%
 $244
Includes Typical Broker Commissions trade costs of $7.44
8/13/24 9:30 SBSW SIBANYE-STILLWATER LONG 3,117.500000000 4.00 8/20 9:30 4.52 0.04%
Trade id #148901592
Max drawdown($13)
Time8/13/24 9:33
Quant open1,247
Worst price3.97
Drawdown as % of equity-0.04%
 $1,614
Includes Typical Broker Commissions trade costs of $7.50
Next

Statistics

  • Strategy began
    8/15/2023
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    495.77
  • Age
    17 months ago
  • What it trades
    Stocks, Forex
  • # Trades
    110
  • # Profitable
    76
  • % Profitable
    69.10%
  • Avg trade duration
    10.3 days
  • Max peak-to-valley drawdown
    45.48%
  • drawdown period
    Sept 15, 2024 - Sept 30, 2024
  • Annual Return (Compounded)
    103.8%
  • Avg win
    $813.08
  • Avg loss
    $738.74
  • Model Account Values (Raw)
  • Cash
    $54,186
  • Margin Used
    $38,198
  • Buying Power
    $19,391
  • Ratios
  • W:L ratio
    2.49:1
  • Sharpe Ratio
    1.35
  • Sortino Ratio
    2.38
  • Calmar Ratio
    2.805
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    130.93%
  • Correlation to SP500
    0.01850
  • Return Percent SP500 (cumu) during strategy life
    33.64%
  • Return Statistics
  • Ann Return (w trading costs)
    103.8%
  • Slump
  • Current Slump as Pcnt Equity
    8.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • 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)
    1.038%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.34%
  • Percent Trades Forex
    0.66%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    106.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    58.00%
  • Chance of 20% account loss
    24.50%
  • Chance of 30% account loss
    7.00%
  • Chance of 40% account loss
    3.00%
  • 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
    0.50%
  • Popularity
  • Popularity (Today)
    911
  • Popularity (Last 6 weeks)
    907
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    960
  • Popularity (7 days, Percentile 1000 scale)
    881
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $739
  • Avg Win
    $780
  • Sum Trade PL (losers)
    $25,117.000
  • Age
  • Num Months filled monthly returns table
    17
  • Win / Loss
  • Sum Trade PL (winners)
    $59,306.000
  • # Winners
    76
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    412
  • AUM
  • AUM (AutoTrader live capital)
    43855
  • Win / Loss
  • # Losers
    34
  • % Winners
    69.1%
  • Frequency
  • Avg Position Time (mins)
    14840.40
  • Avg Position Time (hrs)
    247.34
  • Avg Trade Length
    10.3 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    7.65
  • Daily leverage (max)
    38.78
  • Regression
  • Alpha
    0.23
  • Beta
    0.08
  • Treynor Index
    3.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.10
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    1.365
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.334
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.154
  • Hold-and-Hope Ratio
    0.710
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.87273
  • SD
    0.47593
  • Sharpe ratio (Glass type estimate)
    1.83373
  • Sharpe ratio (Hedges UMVUE)
    1.74022
  • df
    15.00000
  • t
    2.11740
  • p
    0.20677
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01044
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.62508
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06778
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.54822
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.09899
  • Upside Potential Ratio
    6.33173
  • Upside part of mean
    1.08372
  • Downside part of mean
    -0.21099
  • Upside SD
    0.49652
  • Downside SD
    0.17116
  • N nonnegative terms
    12.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.21613
  • Mean of criterion
    0.87273
  • SD of predictor
    0.09570
  • SD of criterion
    0.47593
  • Covariance
    0.00741
  • r
    0.16274
  • b (slope, estimate of beta)
    0.80930
  • a (intercept, estimate of alpha)
    0.69782
  • Mean Square Error
    0.23626
  • DF error
    14.00000
  • t(b)
    0.61714
  • p(b)
    0.41863
  • t(a)
    1.37510
  • p(a)
    0.32752
  • Lowerbound of 95% confidence interval for beta
    -2.00330
  • Upperbound of 95% confidence interval for beta
    3.62189
  • Lowerbound of 95% confidence interval for alpha
    -0.39059
  • Upperbound of 95% confidence interval for alpha
    1.78622
  • Treynor index (mean / b)
    1.07837
  • Jensen alpha (a)
    0.69782
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.75116
  • SD
    0.44075
  • Sharpe ratio (Glass type estimate)
    1.70429
  • Sharpe ratio (Hedges UMVUE)
    1.61738
  • df
    15.00000
  • t
    1.96794
  • p
    0.22181
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12252
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.48111
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17596
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.41072
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.00226
  • Upside Potential Ratio
    5.21466
  • Upside part of mean
    0.97872
  • Downside part of mean
    -0.22755
  • Upside SD
    0.44036
  • Downside SD
    0.18768
  • N nonnegative terms
    12.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.21004
  • Mean of criterion
    0.75116
  • SD of predictor
    0.09438
  • SD of criterion
    0.44075
  • Covariance
    0.00779
  • r
    0.18718
  • b (slope, estimate of beta)
    0.87409
  • a (intercept, estimate of alpha)
    0.56757
  • Mean Square Error
    0.20084
  • DF error
    14.00000
  • t(b)
    0.71295
  • p(b)
    0.40641
  • t(a)
    1.21856
  • p(a)
    0.34517
  • Lowerbound of 95% confidence interval for beta
    -1.75547
  • Upperbound of 95% confidence interval for beta
    3.50365
  • Lowerbound of 95% confidence interval for alpha
    -0.43141
  • Upperbound of 95% confidence interval for alpha
    1.56656
  • Treynor index (mean / b)
    0.85937
  • Jensen alpha (a)
    0.56757
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13643
  • Expected Shortfall on VaR
    0.18025
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02331
  • Expected Shortfall on VaR
    0.05829
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.81530
  • Quartile 1
    1.00672
  • Median
    1.02659
  • Quartile 3
    1.12836
  • Maximum
    1.32327
  • Mean of quarter 1
    0.92967
  • Mean of quarter 2
    1.01808
  • Mean of quarter 3
    1.06951
  • Mean of quarter 4
    1.27365
  • Inter Quartile Range
    0.12164
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.06250
  • Mean of outliers low
    0.81530
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06250
  • Mean of outliers high
    1.32327
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28375
  • VaR(95%) (moments method)
    0.03927
  • Expected Shortfall (moments method)
    0.07644
  • Extreme Value Index (regression method)
    1.14161
  • VaR(95%) (regression method)
    0.12985
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.02975
  • Quartile 1
    0.04821
  • Median
    0.06667
  • Quartile 3
    0.12569
  • Maximum
    0.18470
  • Mean of quarter 1
    0.02975
  • Mean of quarter 2
    0.06667
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.18470
  • Inter Quartile Range
    0.07748
  • 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)
    1.29188
  • Compounded annual return (geometric extrapolation)
    1.11947
  • Calmar ratio (compounded annual return / max draw down)
    6.06092
  • Compounded annual return / average of 25% largest draw downs
    6.06092
  • Compounded annual return / Expected Shortfall lognormal
    6.21060
  • 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
    0.88034
  • SD
    0.50942
  • Sharpe ratio (Glass type estimate)
    1.72812
  • Sharpe ratio (Hedges UMVUE)
    1.72442
  • df
    350.00000
  • t
    2.00022
  • p
    0.02312
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02877
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.42508
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02626
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.42257
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.07206
  • Upside Potential Ratio
    9.00257
  • Upside part of mean
    2.57979
  • Downside part of mean
    -1.69946
  • Upside SD
    0.42380
  • Downside SD
    0.28656
  • N nonnegative terms
    207.00000
  • N negative terms
    144.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    351.00000
  • Mean of predictor
    0.22443
  • Mean of criterion
    0.88034
  • SD of predictor
    0.12559
  • SD of criterion
    0.50942
  • Covariance
    0.00163
  • r
    0.02552
  • b (slope, estimate of beta)
    0.10351
  • a (intercept, estimate of alpha)
    0.85700
  • Mean Square Error
    0.26008
  • DF error
    349.00000
  • t(b)
    0.47689
  • p(b)
    0.31687
  • t(a)
    1.93350
  • p(a)
    0.02699
  • Lowerbound of 95% confidence interval for beta
    -0.32339
  • Upperbound of 95% confidence interval for beta
    0.53041
  • Lowerbound of 95% confidence interval for alpha
    -0.01475
  • Upperbound of 95% confidence interval for alpha
    1.72896
  • Treynor index (mean / b)
    8.50472
  • Jensen alpha (a)
    0.85711
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.75602
  • SD
    0.49167
  • Sharpe ratio (Glass type estimate)
    1.53765
  • Sharpe ratio (Hedges UMVUE)
    1.53436
  • df
    350.00000
  • t
    1.77976
  • p
    0.03799
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16060
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23374
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16280
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.23151
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.52932
  • Upside Potential Ratio
    8.36026
  • Upside part of mean
    2.49890
  • Downside part of mean
    -1.74288
  • Upside SD
    0.39229
  • Downside SD
    0.29890
  • N nonnegative terms
    207.00000
  • N negative terms
    144.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    351.00000
  • Mean of predictor
    0.21646
  • Mean of criterion
    0.75602
  • SD of predictor
    0.12571
  • SD of criterion
    0.49167
  • Covariance
    0.00200
  • r
    0.03231
  • b (slope, estimate of beta)
    0.12637
  • a (intercept, estimate of alpha)
    0.72866
  • Mean Square Error
    0.24218
  • DF error
    349.00000
  • t(b)
    0.60389
  • p(b)
    0.27315
  • t(a)
    1.70416
  • p(a)
    0.04462
  • Lowerbound of 95% confidence interval for beta
    -0.28519
  • Upperbound of 95% confidence interval for beta
    0.53793
  • Lowerbound of 95% confidence interval for alpha
    -0.11229
  • Upperbound of 95% confidence interval for alpha
    1.56962
  • Treynor index (mean / b)
    5.98260
  • Jensen alpha (a)
    0.72866
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04599
  • Expected Shortfall on VaR
    0.05796
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01271
  • Expected Shortfall on VaR
    0.02849
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    351.00000
  • Minimum
    0.85139
  • Quartile 1
    0.99586
  • Median
    1.00012
  • Quartile 3
    1.00914
  • Maximum
    1.32459
  • Mean of quarter 1
    0.97524
  • Mean of quarter 2
    0.99889
  • Mean of quarter 3
    1.00423
  • Mean of quarter 4
    1.03509
  • Inter Quartile Range
    0.01328
  • Number outliers low
    33.00000
  • Percentage of outliers low
    0.09402
  • Mean of outliers low
    0.95122
  • Number of outliers high
    35.00000
  • Percentage of outliers high
    0.09972
  • Mean of outliers high
    1.06198
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.70049
  • VaR(95%) (moments method)
    0.02133
  • Expected Shortfall (moments method)
    0.08066
  • Extreme Value Index (regression method)
    0.42334
  • VaR(95%) (regression method)
    0.02064
  • Expected Shortfall (regression method)
    0.04503
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    35.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00253
  • Median
    0.01292
  • Quartile 3
    0.05113
  • Maximum
    0.40281
  • Mean of quarter 1
    0.00120
  • Mean of quarter 2
    0.00715
  • Mean of quarter 3
    0.03304
  • Mean of quarter 4
    0.13975
  • Inter Quartile Range
    0.04861
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.08571
  • Mean of outliers high
    0.26027
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.41434
  • VaR(95%) (moments method)
    0.14547
  • Expected Shortfall (moments method)
    0.28793
  • Extreme Value Index (regression method)
    0.63772
  • VaR(95%) (regression method)
    0.18900
  • Expected Shortfall (regression method)
    0.56650
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.30880
  • Compounded annual return (geometric extrapolation)
    1.12978
  • Calmar ratio (compounded annual return / max draw down)
    2.80477
  • Compounded annual return / average of 25% largest draw downs
    8.08454
  • Compounded annual return / Expected Shortfall lognormal
    19.49260
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.79956
  • SD
    0.77914
  • Sharpe ratio (Glass type estimate)
    2.30969
  • Sharpe ratio (Hedges UMVUE)
    2.29634
  • df
    130.00000
  • t
    1.63320
  • p
    0.42910
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48067
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.09131
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48949
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.08216
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.18885
  • Upside Potential Ratio
    11.19920
  • Upside part of mean
    4.81125
  • Downside part of mean
    -3.01169
  • Upside SD
    0.65591
  • Downside SD
    0.42961
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17063
  • Mean of criterion
    1.79956
  • SD of predictor
    0.14146
  • SD of criterion
    0.77914
  • Covariance
    -0.00204
  • r
    -0.01849
  • b (slope, estimate of beta)
    -0.10183
  • a (intercept, estimate of alpha)
    1.81694
  • Mean Square Error
    0.61155
  • DF error
    129.00000
  • t(b)
    -0.21002
  • p(b)
    0.51177
  • t(a)
    1.63831
  • p(a)
    0.40942
  • Lowerbound of 95% confidence interval for beta
    -1.06113
  • Upperbound of 95% confidence interval for beta
    0.85747
  • Lowerbound of 95% confidence interval for alpha
    -0.37730
  • Upperbound of 95% confidence interval for alpha
    4.01118
  • Treynor index (mean / b)
    -17.67210
  • Jensen alpha (a)
    1.81694
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.50943
  • SD
    0.74940
  • Sharpe ratio (Glass type estimate)
    2.01419
  • Sharpe ratio (Hedges UMVUE)
    2.00255
  • df
    130.00000
  • t
    1.42425
  • p
    0.43802
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77217
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.79303
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77993
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.78502
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.35231
  • Upside Potential Ratio
    10.25910
  • Upside part of mean
    4.61935
  • Downside part of mean
    -3.10991
  • Upside SD
    0.60272
  • Downside SD
    0.45027
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16062
  • Mean of criterion
    1.50943
  • SD of predictor
    0.14181
  • SD of criterion
    0.74940
  • Covariance
    -0.00109
  • r
    -0.01025
  • b (slope, estimate of beta)
    -0.05416
  • a (intercept, estimate of alpha)
    1.51813
  • Mean Square Error
    0.56589
  • DF error
    129.00000
  • t(b)
    -0.11641
  • p(b)
    0.50653
  • t(a)
    1.42350
  • p(a)
    0.42103
  • VAR (95 Confidence Intrvl)
    0.04600
  • Lowerbound of 95% confidence interval for beta
    -0.97468
  • Upperbound of 95% confidence interval for beta
    0.86636
  • Lowerbound of 95% confidence interval for alpha
    -0.59192
  • Upperbound of 95% confidence interval for alpha
    3.62818
  • Treynor index (mean / b)
    -27.86940
  • Jensen alpha (a)
    1.51813
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06797
  • Expected Shortfall on VaR
    0.08570
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02301
  • Expected Shortfall on VaR
    0.04888
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.85139
  • Quartile 1
    0.98852
  • Median
    1.00393
  • Quartile 3
    1.02462
  • Maximum
    1.32459
  • Mean of quarter 1
    0.95740
  • Mean of quarter 2
    0.99744
  • Mean of quarter 3
    1.01269
  • Mean of quarter 4
    1.06012
  • Inter Quartile Range
    0.03611
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.90358
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.12557
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16378
  • VaR(95%) (moments method)
    0.03470
  • Expected Shortfall (moments method)
    0.05457
  • Extreme Value Index (regression method)
    0.16680
  • VaR(95%) (regression method)
    0.04338
  • Expected Shortfall (regression method)
    0.07049
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00130
  • Quartile 1
    0.05087
  • Median
    0.05606
  • Quartile 3
    0.12336
  • Maximum
    0.40281
  • Mean of quarter 1
    0.02033
  • Mean of quarter 2
    0.05372
  • Mean of quarter 3
    0.09886
  • Mean of quarter 4
    0.31156
  • Inter Quartile Range
    0.07249
  • 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
    0.11111
  • Mean of outliers high
    0.40281
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.88851
  • VaR(95%) (moments method)
    0.26781
  • Expected Shortfall (moments method)
    0.26927
  • Extreme Value Index (regression method)
    -0.08764
  • VaR(95%) (regression method)
    0.45654
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.61443
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -338262000
  • Max Equity Drawdown (num days)
    15
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.25402
  • Compounded annual return (geometric extrapolation)
    3.52417
  • Calmar ratio (compounded annual return / max draw down)
    8.74906
  • Compounded annual return / average of 25% largest draw downs
    11.31130
  • Compounded annual return / Expected Shortfall lognormal
    41.12420

Strategy Description

Algorithm trading designed to exploit market opportunities in stocks and forex
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-08-15
Suggested Minimum Capital
$60,000
Rank at C2 %
Top 4.0%
Rank # 
#29
# Trades
110
# Profitable
76
% Profitable
69.1%
Net Dividends
$412
Correlation S&P500
0.018
Sharpe Ratio
1.35
Sortino Ratio
2.38
Beta
0.08
Alpha
0.23
Leverage
7.65 Average
38.78 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.