Collective2 Collective2
Featured Strategy Quant AI pro +18.2% Cumul. Return since Dec 2, 2024 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 10/05/2023
Most recent certification approved 10/5/23 10:19 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 259
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 254
Percent signals followed since 10/05/2023 98.1%
This information was last updated 12/22/24 22:07 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 10/05/2023, 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.

A-Capital
(145950651)

Powered by BrokerTransmit.
Read important disclosures.

Created by: AriKanojia AriKanojia
Started: 09/2023
Options
Last trade: 367 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 $500.00 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.

-
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.

(100.0%)
Max Drawdown
100
Num Trades
57.0%
Win Trades
0.6 : 1
Profit Factor
0.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                        (58.7%)(144.7%)(42%)(63.5%)(142.9%)
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0

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 254 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
12/20/23 15:56 SPXW2320X4690 SPX Dec20'23 4690 put LONG 1 0.10 12/21 8:05 0.00 0.11%
Trade id #146763973
Max drawdown($4)
Time12/20/23 15:59
Quant open1
Worst price0.05
Drawdown as % of equity0.11%
 ($11)
Includes Typical Broker Commissions trade costs of $1.00
12/20/23 15:38 SPXW2320L4730 SPX Dec20'23 4730 call LONG 1 0.40 12/20 15:54 0.05 0.81%
Trade id #146763598
Max drawdown($34)
Time12/20/23 15:51
Quant open1
Worst price0.05
Drawdown as % of equity0.81%
 ($37)
Includes Typical Broker Commissions trade costs of $2.00
12/11/23 11:40 TSLA2315L260 TSLA Dec15'23 260 call LONG 9 0.47 12/15 11:54 0.05 9.3%
Trade id #146660435
Max drawdown($386)
Time12/13/23 0:00
Quant open9
Worst price0.04
Drawdown as % of equity9.30%
 ($391)
Includes Typical Broker Commissions trade costs of $12.60
12/7/23 10:59 TSLA2308L250 TSLA Dec8'23 250 call LONG 23 0.57 12/8 12:13 0.15 40.12%
Trade id #146635548
Max drawdown($1,114)
Time12/8/23 0:00
Quant open20
Worst price0.01
Drawdown as % of equity40.12%
 ($986)
Includes Typical Broker Commissions trade costs of $32.50
12/6/23 10:27 QQQ2308L391 QQQ Dec8'23 391 call LONG 10 0.96 12/7 10:43 1.35 15.13%
Trade id #146625880
Max drawdown($560)
Time12/6/23 15:57
Quant open10
Worst price0.40
Drawdown as % of equity15.13%
 $376
Includes Typical Broker Commissions trade costs of $14.00
11/22/23 9:42 TSLA2308L260 TSLA Dec8'23 260 call LONG 10 1.59 12/4 10:40 1.53 30.83%
Trade id #146509651
Max drawdown($879)
Time12/4/23 10:35
Quant open7
Worst price0.33
Drawdown as % of equity30.83%
 ($67)
Includes Typical Broker Commissions trade costs of $14.60
12/4/23 10:33 TMST2315L20 TMST Dec15'23 20 call LONG 10 1.11 12/4 10:39 0.96 5.61%
Trade id #146605703
Max drawdown($160)
Time12/4/23 10:39
Quant open10
Worst price0.95
Drawdown as % of equity5.61%
 ($162)
Includes Typical Broker Commissions trade costs of $14.00
11/17/23 9:39 TSLA2301L260 TSLA Dec1'23 260 call LONG 10 1.10 11/28 14:57 2.09 4.95%
Trade id #146470702
Max drawdown($165)
Time11/17/23 9:43
Quant open10
Worst price0.93
Drawdown as % of equity4.95%
 $976
Includes Typical Broker Commissions trade costs of $14.90
11/15/23 10:50 BABA2324K90 BABA Nov24'23 90 call LONG 9 0.48 11/22 13:42 0.01 14.28%
Trade id #146448540
Max drawdown($425)
Time11/20/23 0:00
Quant open9
Worst price0.01
Drawdown as % of equity14.28%
 ($438)
Includes Typical Broker Commissions trade costs of $13.20
11/16/23 14:04 SPXW2317W4450 SPX Nov17'23 4450 put LONG 2 1.56 11/17 10:57 0.10 8.78%
Trade id #146463782
Max drawdown($292)
Time11/17/23 10:37
Quant open2
Worst price0.10
Drawdown as % of equity8.78%
 ($296)
Includes Typical Broker Commissions trade costs of $3.40
11/15/23 9:30 SPXW2315W4450 SPX Nov15'23 4450 put LONG 10 0.50 11/16 8:05 0.00 18.9%
Trade id #146446256
Max drawdown($448)
Time11/15/23 12:35
Quant open10
Worst price0.05
Drawdown as % of equity18.90%
 ($506)
Includes Typical Broker Commissions trade costs of $7.00
11/15/23 10:25 QQQ2315W388 QQQ Nov15'23 388 put LONG 10 1.38 11/15 10:49 1.53 3.03%
Trade id #146447918
Max drawdown($71)
Time11/15/23 10:49
Quant open5
Worst price1.24
Drawdown as % of equity3.03%
 $136
Includes Typical Broker Commissions trade costs of $14.00
11/14/23 15:50 SPXW2314K4505 SPX Nov14'23 4505 call LONG 1 0.30 11/14 15:55 0.05 1.04%
Trade id #146437886
Max drawdown($24)
Time11/14/23 15:53
Quant open1
Worst price0.05
Drawdown as % of equity1.04%
 ($27)
Includes Typical Broker Commissions trade costs of $2.00
11/14/23 14:41 SPXW2314K4505 SPX Nov14'23 4505 call LONG 1 1.35 11/14 14:50 1.86 0.82%
Trade id #146436742
Max drawdown($19)
Time11/14/23 14:44
Quant open1
Worst price1.15
Drawdown as % of equity0.82%
 $49
Includes Typical Broker Commissions trade costs of $2.00
11/14/23 14:03 SPXW2314K4500 SPX Nov14'23 4500 call LONG 1 1.15 11/14 14:14 1.30 1.68%
Trade id #146436327
Max drawdown($40)
Time11/14/23 14:08
Quant open1
Worst price0.75
Drawdown as % of equity1.68%
 $13
Includes Typical Broker Commissions trade costs of $2.00
11/14/23 9:32 NVDA2317K495 NVDA Nov17'23 495 call LONG 1 8.21 11/14 9:39 9.52 n/a $128
Includes Typical Broker Commissions trade costs of $2.00
11/10/23 14:18 TSLA2324K230 TSLA Nov24'23 230 call LONG 1 2.23 11/13 10:24 2.87 2.81%
Trade id #146403115
Max drawdown($73)
Time11/13/23 9:41
Quant open1
Worst price1.50
Drawdown as % of equity2.81%
 $62
Includes Typical Broker Commissions trade costs of $2.00
11/10/23 9:32 NVDA2310W465 NVDA Nov10'23 465 put LONG 15 0.64 11/10 12:10 0.04 45.63%
Trade id #146395523
Max drawdown($914)
Time11/10/23 12:06
Quant open15
Worst price0.03
Drawdown as % of equity45.63%
 ($920)
Includes Typical Broker Commissions trade costs of $21.00
11/10/23 9:43 QQQ2310W373 QQQ Nov10'23 373 put LONG 30 0.76 11/10 12:10 0.15 92.85%
Trade id #146395907
Max drawdown($1,859)
Time11/10/23 12:10
Quant open30
Worst price0.14
Drawdown as % of equity92.85%
 ($1,872)
Includes Typical Broker Commissions trade costs of $42.30
11/9/23 15:14 QQQ2310K371 QQQ Nov10'23 371 call LONG 10 1.16 11/9 16:14 0.96 168.27%
Trade id #146390531
Max drawdown($350)
Time11/9/23 15:53
Quant open10
Worst price0.81
Drawdown as % of equity-168.27%
 ($214)
Includes Typical Broker Commissions trade costs of $14.00
11/9/23 14:04 SPXW2309K4380 SPX Nov9'23 4380 call LONG 20 0.51 11/9 15:16 0.05 243.08%
Trade id #146389457
Max drawdown($913)
Time11/9/23 15:00
Quant open20
Worst price0.05
Drawdown as % of equity-243.08%
 ($942)
Includes Typical Broker Commissions trade costs of $28.30
11/9/23 15:07 SPXW2309K4355 SPX Nov9'23 4355 call LONG 10 1.66 11/9 15:11 1.85 50.02%
Trade id #146390381
Max drawdown($188)
Time11/9/23 15:10
Quant open10
Worst price1.47
Drawdown as % of equity-50.02%
 $178
Includes Typical Broker Commissions trade costs of $14.00
11/8/23 12:26 SPXW2308W4350 SPX Nov8'23 4350 put LONG 10 0.51 11/8 14:04 0.10 26.65%
Trade id #146368436
Max drawdown($412)
Time11/8/23 14:02
Quant open10
Worst price0.10
Drawdown as % of equity-26.65%
 ($428)
Includes Typical Broker Commissions trade costs of $14.90
11/8/23 10:09 SPXW2308K4400 SPX Nov8'23 4400 call LONG 1 2.46 11/8 10:35 1.00 10.29%
Trade id #146365735
Max drawdown($155)
Time11/8/23 10:35
Quant open1
Worst price0.90
Drawdown as % of equity-10.29%
 ($148)
Includes Typical Broker Commissions trade costs of $2.00
11/8/23 9:34 TSLA2310K225 TSLA Nov10'23 225 call LONG 10 2.27 11/8 9:54 2.11 37.19%
Trade id #146364958
Max drawdown($562)
Time11/8/23 9:45
Quant open10
Worst price1.71
Drawdown as % of equity-37.19%
 ($177)
Includes Typical Broker Commissions trade costs of $14.00
11/7/23 10:03 SPXW2307K4385 SPX Nov7'23 4385 call LONG 5 2.06 11/7 10:27 2.42 24.96%
Trade id #146355794
Max drawdown($382)
Time11/7/23 10:10
Quant open5
Worst price1.30
Drawdown as % of equity-24.96%
 $168
Includes Typical Broker Commissions trade costs of $7.00
11/7/23 9:39 QQQ2307K369 QQQ Nov7'23 369 call LONG 10 1.27 11/7 9:42 1.52 n/a $242
Includes Typical Broker Commissions trade costs of $14.00
11/6/23 9:58 TSLA2310K220 TSLA Nov10'23 220 call LONG 1 5.54 11/6 10:39 5.81 8.71%
Trade id #146346168
Max drawdown($94)
Time11/6/23 10:14
Quant open1
Worst price4.60
Drawdown as % of equity-8.71%
 $25
Includes Typical Broker Commissions trade costs of $2.00
11/6/23 10:15 SPXW2306K4380 SPX Nov6'23 4380 call LONG 5 1.99 11/6 10:18 2.49 n/a $245
Includes Typical Broker Commissions trade costs of $7.30
11/6/23 9:35 QQQ2306K368 QQQ Nov6'23 368 call LONG 10 1.46 11/6 9:36 1.66 n/a $183
Includes Typical Broker Commissions trade costs of $14.00
Next

Statistics

  • Strategy began
    9/27/2023
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    445.27
  • Age
    15 months ago
  • What it trades
    Options
  • # Trades
    100
  • # Profitable
    57
  • % Profitable
    57.00%
  • Avg trade duration
    13.2 hours
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Nov 09, 2023 - Nov 28, 2023
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $306.11
  • Avg loss
    $665.86
  • Model Account Values (Raw)
  • Cash
    ($1,185)
  • Margin Used
    $0
  • Buying Power
    ($1,185)
  • Ratios
  • W:L ratio
    0.61:1
  • Sharpe Ratio
    -3.96
  • Sortino Ratio
    -3.85
  • Calmar Ratio
    -1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -184.48%
  • Correlation to SP500
    0.16330
  • Return Percent SP500 (cumu) during strategy life
    38.75%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    1.00%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    340
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $666
  • Avg Win
    $306
  • Sum Trade PL (losers)
    $28,632.000
  • Age
  • Num Months filled monthly returns table
    2
  • Win / Loss
  • Sum Trade PL (winners)
    $17,448.000
  • # Winners
    57
  • Num Months Winners
    0
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    43
  • % Winners
    57.0%
  • Frequency
  • Avg Position Time (mins)
    793.07
  • Avg Position Time (hrs)
    13.22
  • Avg Trade Length
    0.6 days
  • Last Trade Ago
    360
  • Leverage
  • Daily leverage (average)
    1167.99
  • Daily leverage (max)
    20482.50
  • Regression
  • Alpha
    0.00
  • Beta
    5.66
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.18
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.31
  • MAE:Equity, average, winning trades
    0.10
  • MAE:Equity, average, losing trades
    0.26
  • Avg(MAE) / Avg(PL) - All trades
    -2.610
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    1.135
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.171
  • Hold-and-Hope Ratio
    -0.383
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -6.36172
  • SD
    1.59786
  • Sharpe ratio (Glass type estimate)
    -3.98140
  • Sharpe ratio (Hedges UMVUE)
    -2.88095
  • df
    3.00000
  • t
    -2.29867
  • p
    0.94744
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -8.37895
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.71986
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.98440
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.22250
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.76662
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -6.36172
  • Upside SD
    0.00000
  • Downside SD
    2.29945
  • N nonnegative terms
    0.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    1.00230
  • Mean of criterion
    -6.36172
  • SD of predictor
    0.37740
  • SD of criterion
    1.59786
  • Covariance
    0.51605
  • r
    0.85575
  • b (slope, estimate of beta)
    3.62309
  • a (intercept, estimate of alpha)
    -9.99313
  • Mean Square Error
    1.02518
  • DF error
    2.00000
  • t(b)
    2.33909
  • p(b)
    0.07212
  • t(a)
    -4.26662
  • p(a)
    0.97461
  • Lowerbound of 95% confidence interval for beta
    -3.04142
  • Upperbound of 95% confidence interval for beta
    10.28760
  • Lowerbound of 95% confidence interval for alpha
    -20.07070
  • Upperbound of 95% confidence interval for alpha
    0.08441
  • Treynor index (mean / b)
    -1.75588
  • Jensen alpha (a)
    -9.99313
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -26.99450
  • SD
    11.13240
  • Sharpe ratio (Glass type estimate)
    -2.42485
  • Sharpe ratio (Hedges UMVUE)
    -1.75462
  • df
    3.00000
  • t
    -1.39999
  • p
    0.87199
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.14927
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58097
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.42824
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91900
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.17759
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -26.99450
  • Upside SD
    0.00000
  • Downside SD
    12.39650
  • N nonnegative terms
    0.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.91545
  • Mean of criterion
    -26.99450
  • SD of predictor
    0.34609
  • SD of criterion
    11.13240
  • Covariance
    1.55307
  • r
    0.40309
  • b (slope, estimate of beta)
    12.96590
  • a (intercept, estimate of alpha)
    -38.86410
  • Mean Square Error
    155.69200
  • DF error
    2.00000
  • t(b)
    0.62291
  • p(b)
    0.29845
  • t(a)
    -1.34885
  • p(a)
    0.84509
  • Lowerbound of 95% confidence interval for beta
    -76.59430
  • Upperbound of 95% confidence interval for beta
    102.52600
  • Lowerbound of 95% confidence interval for alpha
    -162.83500
  • Upperbound of 95% confidence interval for alpha
    85.10720
  • Treynor index (mean / b)
    -2.08196
  • Jensen alpha (a)
    -38.86410
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99947
  • Expected Shortfall on VaR
    0.99978
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    1.30811
  • Expected Shortfall on VaR
    1.47760
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.00097
  • Quartile 1
    0.13754
  • Median
    0.44389
  • Quartile 3
    0.77853
  • Maximum
    1.00000
  • Mean of quarter 1
    0.00097
  • Mean of quarter 2
    0.18307
  • Mean of quarter 3
    0.70470
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.64098
  • 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
    1.00000
  • Minimum
    0.99987
  • Quartile 1
    0.99987
  • Median
    0.99987
  • Quartile 3
    0.99987
  • Maximum
    0.99987
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -2.99963
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00012
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.00022
  • 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
    549.98400
  • SD
    311.52100
  • Sharpe ratio (Glass type estimate)
    1.76548
  • Sharpe ratio (Hedges UMVUE)
    1.75056
  • df
    89.00000
  • t
    1.03475
  • p
    0.15180
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59349
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.11468
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.60340
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.10452
  • Statistics related to Sortino ratio
  • Sortino ratio
    135.38200
  • Upside Potential Ratio
    141.53700
  • Upside part of mean
    574.99000
  • Downside part of mean
    -25.00530
  • Upside SD
    311.61700
  • Downside SD
    4.06247
  • N nonnegative terms
    17.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    90.00000
  • Mean of predictor
    1.02316
  • Mean of criterion
    549.98400
  • SD of predictor
    0.22891
  • SD of criterion
    311.52100
  • Covariance
    -1.41459
  • r
    -0.01984
  • b (slope, estimate of beta)
    -26.99570
  • a (intercept, estimate of alpha)
    577.60500
  • Mean Square Error
    98109.60000
  • DF error
    88.00000
  • t(b)
    -0.18612
  • p(b)
    0.57361
  • t(a)
    1.04140
  • p(a)
    0.15027
  • Lowerbound of 95% confidence interval for beta
    -315.23500
  • Upperbound of 95% confidence interval for beta
    261.24400
  • Lowerbound of 95% confidence interval for alpha
    -524.63500
  • Upperbound of 95% confidence interval for alpha
    1679.85000
  • Treynor index (mean / b)
    -20.37310
  • Jensen alpha (a)
    577.60500
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -26.19550
  • SD
    17.68960
  • Sharpe ratio (Glass type estimate)
    -1.48084
  • Sharpe ratio (Hedges UMVUE)
    -1.46833
  • df
    89.00000
  • t
    -0.86792
  • p
    0.80611
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.82795
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87436
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.81936
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88271
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.81853
  • Upside Potential Ratio
    2.51194
  • Upside part of mean
    36.18380
  • Downside part of mean
    -62.37930
  • Upside SD
    10.22580
  • Downside SD
    14.40470
  • N nonnegative terms
    17.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    90.00000
  • Mean of predictor
    0.99544
  • Mean of criterion
    -26.19550
  • SD of predictor
    0.22749
  • SD of criterion
    17.68960
  • Covariance
    0.20414
  • r
    0.05073
  • b (slope, estimate of beta)
    3.94449
  • a (intercept, estimate of alpha)
    -30.12200
  • Mean Square Error
    315.66300
  • DF error
    88.00000
  • t(b)
    0.47648
  • p(b)
    0.31746
  • t(a)
    -0.95887
  • p(a)
    0.82988
  • Lowerbound of 95% confidence interval for beta
    -12.50710
  • Upperbound of 95% confidence interval for beta
    20.39610
  • Lowerbound of 95% confidence interval for alpha
    -92.55070
  • Upperbound of 95% confidence interval for alpha
    32.30680
  • Treynor index (mean / b)
    -6.64102
  • Jensen alpha (a)
    -30.12200
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.85007
  • Expected Shortfall on VaR
    0.89829
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.29305
  • Expected Shortfall on VaR
    0.59679
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    90.00000
  • Minimum
    0.00335
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    183.50000
  • Mean of quarter 1
    0.62688
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    9.58771
  • Inter Quartile Range
    0.00000
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.23333
  • Mean of outliers low
    0.59134
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.18889
  • Mean of outliers high
    12.61870
  • 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)
    -0.75095
  • VaR(95%) (regression method)
    0.43307
  • Expected Shortfall (regression method)
    0.51506
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99987
  • Quartile 1
    0.99987
  • Median
    0.99987
  • Quartile 3
    0.99987
  • Maximum
    0.99987
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -2.91075
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00012
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.11323
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.85000
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -423486000
  • Max Equity Drawdown (num days)
    19

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-09-27
Suggested Minimum Capital
$25,000
# Trades
100
# Profitable
57
% Profitable
57.0%
Correlation S&P500
0.163
Sharpe Ratio
-3.96
Sortino Ratio
-3.85
Beta
5.66
Alpha
0.00
Leverage
1167.99 Average
20482.50 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.