Collective2 Collective2
Featured Strategy Quant AI pro +18.3% 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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High Frequency Stocks
(145017412)

Created by: High-Frequency-Algo High-Frequency-Algo
Started: 06/2023
Options
Last trade: 240 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 $375.00 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.

-84.9%
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.

(91.8%)
Max Drawdown
124
Num Trades
35.5%
Win Trades
0.9 : 1
Profit Factor
15.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                   (15.7%)+144.6%(49.7%)(5.2%)(9.6%)(41.3%)+200.6%+57.0%
2024(53.4%)+87.4%(81.2%)(30.3%)  -    -    -    -    -    -    -    -  (88.5%)

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 584 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 265 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/1/24 12:56 IWM2426D210 IWM Apr26'24 210 call LONG 6 3.71 4/27 9:35 0.00 49.03%
Trade id #147775021
Max drawdown($2,217)
Time4/22/24 0:00
Quant open6
Worst price0.01
Drawdown as % of equity-49.03%
 ($2,229)
Includes Typical Broker Commissions trade costs of $6.00
3/15/24 10:01 BA2412P180 BA Apr12'24 180 put LONG 32 5.27 4/1 12:56 0.78 197.76%
Trade id #147648193
Max drawdown($15,180)
Time3/28/24 0:00
Quant open32
Worst price0.53
Drawdown as % of equity-197.76%
 ($14,425)
Includes Typical Broker Commissions trade costs of $44.80
2/9/24 12:16 IWM2428C200 IWM Mar28'24 200 call LONG 40 5.17 3/15 10:01 4.18 19.18%
Trade id #147271185
Max drawdown($6,595)
Time3/14/24 0:00
Quant open40
Worst price3.52
Drawdown as % of equity-19.18%
 ($3,991)
Includes Typical Broker Commissions trade costs of $56.00
2/2/24 9:59 SPY2415C500 SPY Mar15'24 500 call LONG 35 4.53 2/9 11:37 7.69 3.43%
Trade id #147203270
Max drawdown($550)
Time2/2/24 10:13
Quant open35
Worst price4.37
Drawdown as % of equity-3.43%
 $11,007
Includes Typical Broker Commissions trade costs of $49.00
2/1/24 10:22 PLTR2416N16 PLTR Feb16'24 16 put LONG 235 1.06 2/2 9:53 0.95 20.39%
Trade id #147193109
Max drawdown($3,310)
Time2/2/24 9:48
Quant open235
Worst price0.92
Drawdown as % of equity-20.39%
 ($2,934)
Includes Typical Broker Commissions trade costs of $329.00
1/22/24 10:26 IWM2401C200 IWM Mar1'24 200 call LONG 34 4.22 1/31 15:55 2.25 31.62%
Trade id #147085214
Max drawdown($7,123)
Time1/31/24 15:54
Quant open34
Worst price2.12
Drawdown as % of equity-31.62%
 ($6,730)
Includes Typical Broker Commissions trade costs of $47.60
1/22/24 10:28 IWM2423B200 IWM Feb23'24 200 call LONG 15 3.61 1/31 15:49 1.79 12.11%
Trade id #147085279
Max drawdown($2,727)
Time1/31/24 15:49
Quant open15
Worst price1.79
Drawdown as % of equity-12.11%
 ($2,749)
Includes Typical Broker Commissions trade costs of $21.00
1/24/24 13:51 IWM2423B195 IWM Feb23'24 195 call LONG 20 4.95 1/24 14:18 4.70 2.27%
Trade id #147116270
Max drawdown($520)
Time1/24/24 14:18
Quant open20
Worst price4.69
Drawdown as % of equity-2.27%
 ($538)
Includes Typical Broker Commissions trade costs of $28.00
1/11/24 13:43 IWM2409B194.5 IWM Feb9'24 194.5 call LONG 20 3.83 1/24 13:51 4.00 25.7%
Trade id #146977772
Max drawdown($3,860)
Time1/17/24 0:00
Quant open20
Worst price1.90
Drawdown as % of equity-25.70%
 $322
Includes Typical Broker Commissions trade costs of $28.00
1/11/24 13:43 SPY2402B477 SPY Feb2'24 477 call LONG 20 4.74 1/22 10:27 10.19 27.7%
Trade id #146977753
Max drawdown($4,160)
Time1/17/24 0:00
Quant open20
Worst price2.66
Drawdown as % of equity-27.70%
 $10,876
Includes Typical Broker Commissions trade costs of $28.00
1/9/24 11:56 SPY2426A474 SPY Jan26'24 474 call LONG 10 5.11 1/11 10:07 4.77 2.83%
Trade id #146953207
Max drawdown($530)
Time1/9/24 13:34
Quant open10
Worst price4.58
Drawdown as % of equity-2.83%
 ($354)
Includes Typical Broker Commissions trade costs of $14.00
1/9/24 11:56 SPY2426A476 SPY Jan26'24 476 call LONG 10 3.96 1/11 10:07 3.67 2.67%
Trade id #146953198
Max drawdown($470)
Time1/9/24 15:48
Quant open10
Worst price3.49
Drawdown as % of equity-2.67%
 ($304)
Includes Typical Broker Commissions trade costs of $14.00
1/9/24 10:23 SPY2426A473 SPY Jan26'24 473 call LONG 10 5.11 1/11 10:07 5.39 1.91%
Trade id #146950802
Max drawdown($322)
Time1/9/24 10:54
Quant open10
Worst price4.79
Drawdown as % of equity-1.91%
 $264
Includes Typical Broker Commissions trade costs of $14.00
1/2/24 9:37 AAPL2415C200 AAPL Mar15'24 200 call LONG 40 2.83 1/9 11:56 1.66 31.95%
Trade id #146862340
Max drawdown($7,015)
Time1/5/24 0:00
Quant open40
Worst price1.08
Drawdown as % of equity-31.95%
 ($4,771)
Includes Typical Broker Commissions trade costs of $56.00
1/2/24 9:31 AAPL2416B190 AAPL Feb16'24 190 call LONG 20 5.30 1/9 11:55 3.25 30.1%
Trade id #146861978
Max drawdown($6,610)
Time1/5/24 0:00
Quant open20
Worst price2.00
Drawdown as % of equity-30.10%
 ($4,128)
Includes Typical Broker Commissions trade costs of $28.00
12/26/23 14:29 GDX2421F37 GDX Jun21'24 37 call LONG 40 1.26 1/9/24 11:55 0.59 15.77%
Trade id #146811251
Max drawdown($2,680)
Time1/9/24 11:54
Quant open40
Worst price0.59
Drawdown as % of equity-15.77%
 ($2,736)
Includes Typical Broker Commissions trade costs of $56.00
12/21/23 11:16 GLD2416B191 GLD Feb16'24 191 call LONG 15 3.86 1/9/24 11:55 2.19 16.57%
Trade id #146775854
Max drawdown($2,957)
Time1/8/24 0:00
Quant open15
Worst price1.89
Drawdown as % of equity-16.57%
 ($2,521)
Includes Typical Broker Commissions trade costs of $21.00
1/2/24 13:54 AAPL2419D200 AAPL Apr19'24 200 call LONG 10 3.38 1/9 10:16 2.76 6.19%
Trade id #146878136
Max drawdown($1,360)
Time1/5/24 0:00
Quant open10
Worst price2.02
Drawdown as % of equity-6.19%
 ($634)
Includes Typical Broker Commissions trade costs of $14.00
1/5/24 15:33 SPY2417M464 SPY Jan17'24 464 put LONG 21 2.23 1/9 10:13 0.61 20.15%
Trade id #146920703
Max drawdown($3,425)
Time1/9/24 10:10
Quant open21
Worst price0.60
Drawdown as % of equity-20.15%
 ($3,434)
Includes Typical Broker Commissions trade costs of $29.70
1/5/24 13:41 SPY2426A470 SPY Jan26'24 470 call LONG 10 4.98 1/5 15:25 4.20 4.45%
Trade id #146919679
Max drawdown($880)
Time1/5/24 14:59
Quant open10
Worst price4.10
Drawdown as % of equity-4.45%
 ($794)
Includes Typical Broker Commissions trade costs of $14.00
1/2/24 11:48 SPY2402B473 SPY Feb2'24 473 call LONG 10 7.86 1/3 10:10 6.16 6.18%
Trade id #146876000
Max drawdown($1,760)
Time1/3/24 9:58
Quant open10
Worst price6.10
Drawdown as % of equity-6.18%
 ($1,719)
Includes Typical Broker Commissions trade costs of $14.00
12/28/23 10:33 AAPL2402B195 AAPL Feb2'24 195 call LONG 10 5.50 12/29 10:41 4.68 2.14%
Trade id #146832147
Max drawdown($845)
Time12/29/23 10:41
Quant open10
Worst price4.65
Drawdown as % of equity-2.14%
 ($832)
Includes Typical Broker Commissions trade costs of $14.00
12/27/23 14:27 SPY2419A475 SPY Jan19'24 475 call LONG 10 6.73 12/29 10:33 6.49 1.2%
Trade id #146823511
Max drawdown($510)
Time12/27/23 15:50
Quant open10
Worst price6.22
Drawdown as % of equity-1.20%
 ($254)
Includes Typical Broker Commissions trade costs of $14.00
12/27/23 12:14 SPY2419A476 SPY Jan19'24 476 call LONG 10 6.14 12/27 14:04 5.66 1.17%
Trade id #146821689
Max drawdown($519)
Time12/27/23 14:04
Quant open10
Worst price5.62
Drawdown as % of equity-1.17%
 ($494)
Includes Typical Broker Commissions trade costs of $14.00
12/22/23 14:38 SPY2419A479 SPY Jan19'24 479 call LONG 20 3.88 12/27 12:04 4.35 n/a $922
Includes Typical Broker Commissions trade costs of $28.00
12/21/23 15:48 IWM2426A200 IWM Jan26'24 200 call LONG 10 5.51 12/26 15:39 8.08 n/a $2,551
Includes Typical Broker Commissions trade costs of $14.00
12/22/23 12:20 IWM2426A201 IWM Jan26'24 201 call LONG 10 6.21 12/26 15:38 7.43 1.52%
Trade id #146790726
Max drawdown($575)
Time12/22/23 14:27
Quant open10
Worst price5.63
Drawdown as % of equity-1.52%
 $1,211
Includes Typical Broker Commissions trade costs of $14.00
12/22/23 9:46 AAPL2426A195 AAPL Jan26'24 195 call LONG 10 4.67 12/22 11:57 4.30 1.23%
Trade id #146787080
Max drawdown($470)
Time12/22/23 11:11
Quant open10
Worst price4.20
Drawdown as % of equity-1.23%
 ($384)
Includes Typical Broker Commissions trade costs of $14.00
12/21/23 13:04 GLD2428C210 GLD Mar28'24 210 call LONG 40 1.14 12/22 9:54 1.66 0.28%
Trade id #146778199
Max drawdown($95)
Time12/21/23 13:10
Quant open40
Worst price1.12
Drawdown as % of equity-0.28%
 $1,989
Includes Typical Broker Commissions trade costs of $56.00
12/21/23 9:33 AAPL2426A195 AAPL Jan26'24 195 call LONG 20 5.87 12/21 10:39 4.76 6.48%
Trade id #146773653
Max drawdown($2,345)
Time12/21/23 10:38
Quant open20
Worst price4.70
Drawdown as % of equity-6.48%
 ($2,253)
Includes Typical Broker Commissions trade costs of $28.00
Next

Statistics

  • Strategy began
    6/23/2023
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    543.78
  • Age
    18 months ago
  • What it trades
    Options
  • # Trades
    124
  • # Profitable
    44
  • % Profitable
    35.50%
  • Avg trade duration
    3.9 days
  • Max peak-to-valley drawdown
    91.83%
  • drawdown period
    Oct 12, 2023 - April 27, 2024
  • Cumul. Return
    -82.0%
  • Avg win
    $3,604
  • Avg loss
    $2,133
  • Model Account Values (Raw)
  • Cash
    $12,906
  • Margin Used
    $0
  • Buying Power
    $12,906
  • Ratios
  • W:L ratio
    0.93:1
  • Sharpe Ratio
    0.42
  • Sortino Ratio
    0.82
  • Calmar Ratio
    -0.654
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -103.78%
  • Correlation to SP500
    0.12340
  • Return Percent SP500 (cumu) during strategy life
    36.39%
  • Return Statistics
  • Ann Return (w trading costs)
    -84.9%
  • Slump
  • Current Slump as Pcnt Equity
    1124.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.80%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.820%
  • Instruments
  • Percent Trades Options
    0.99%
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -35.5%
  • 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)
    92.50%
  • Chance of 70% account loss (Monte Carlo)
    89.50%
  • Chance of 80% account loss (Monte Carlo)
    84.50%
  • Chance of 90% account loss (Monte Carlo)
    65.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    98.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    879
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    639
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,134
  • Avg Win
    $3,605
  • Sum Trade PL (losers)
    $170,705.000
  • Age
  • Num Months filled monthly returns table
    19
  • Win / Loss
  • Sum Trade PL (winners)
    $158,608.000
  • # Winners
    44
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    80
  • % Winners
    35.5%
  • Frequency
  • Avg Position Time (mins)
    5554.30
  • Avg Position Time (hrs)
    92.57
  • Avg Trade Length
    3.9 days
  • Last Trade Ago
    235
  • Leverage
  • Daily leverage (average)
    27.26
  • Daily leverage (max)
    146.27
  • Regression
  • Alpha
    0.20
  • Beta
    2.30
  • Treynor Index
    0.15
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.13
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.23
  • MAE:Equity, average, winning trades
    0.07
  • MAE:Equity, average, losing trades
    0.15
  • Avg(MAE) / Avg(PL) - All trades
    -11.013
  • 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
    0.320
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.226
  • Hold-and-Hope Ratio
    -0.091
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.56600
  • SD
    2.39344
  • Sharpe ratio (Glass type estimate)
    0.65429
  • Sharpe ratio (Hedges UMVUE)
    0.59794
  • df
    9.00000
  • t
    0.59728
  • p
    0.28252
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53083
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.80439
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.56679
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.76267
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.33747
  • Upside Potential Ratio
    3.54118
  • Upside part of mean
    4.14625
  • Downside part of mean
    -2.58025
  • Upside SD
    1.99728
  • Downside SD
    1.17086
  • N nonnegative terms
    5.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.19426
  • Mean of criterion
    1.56600
  • SD of predictor
    0.15214
  • SD of criterion
    2.39344
  • Covariance
    0.07989
  • r
    0.21938
  • b (slope, estimate of beta)
    3.45124
  • a (intercept, estimate of alpha)
    0.89556
  • Mean Square Error
    6.13444
  • DF error
    8.00000
  • t(b)
    0.63600
  • p(b)
    0.27127
  • t(a)
    0.30767
  • p(a)
    0.38310
  • Lowerbound of 95% confidence interval for beta
    -9.06229
  • Upperbound of 95% confidence interval for beta
    15.96480
  • Lowerbound of 95% confidence interval for alpha
    -5.81669
  • Upperbound of 95% confidence interval for alpha
    7.60781
  • Treynor index (mean / b)
    0.45375
  • Jensen alpha (a)
    0.89556
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.82413
  • SD
    2.34896
  • Sharpe ratio (Glass type estimate)
    -0.35085
  • Sharpe ratio (Hedges UMVUE)
    -0.32063
  • df
    9.00000
  • t
    -0.32028
  • p
    0.62197
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.49432
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81162
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.47277
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83150
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.46462
  • Upside Potential Ratio
    1.65441
  • Upside part of mean
    2.93458
  • Downside part of mean
    -3.75871
  • Upside SD
    1.36971
  • Downside SD
    1.77379
  • N nonnegative terms
    5.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.18228
  • Mean of criterion
    -0.82413
  • SD of predictor
    0.14870
  • SD of criterion
    2.34896
  • Covariance
    0.05867
  • r
    0.16796
  • b (slope, estimate of beta)
    2.65311
  • a (intercept, estimate of alpha)
    -1.30774
  • Mean Square Error
    6.03219
  • DF error
    8.00000
  • t(b)
    0.48190
  • p(b)
    0.32139
  • t(a)
    -0.45542
  • p(a)
    0.66954
  • Lowerbound of 95% confidence interval for beta
    -10.04260
  • Upperbound of 95% confidence interval for beta
    15.34880
  • Lowerbound of 95% confidence interval for alpha
    -7.92953
  • Upperbound of 95% confidence interval for alpha
    5.31405
  • Treynor index (mean / b)
    -0.31063
  • Jensen alpha (a)
    -1.30774
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.69396
  • Expected Shortfall on VaR
    0.76287
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.50284
  • Expected Shortfall on VaR
    0.81371
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.33158
  • Quartile 1
    0.57000
  • Median
    0.99500
  • Quartile 3
    1.66488
  • Maximum
    2.27404
  • Mean of quarter 1
    0.42106
  • Mean of quarter 2
    0.79912
  • Mean of quarter 3
    1.21148
  • Mean of quarter 4
    2.01463
  • Inter Quartile Range
    1.09488
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -14.60720
  • VaR(95%) (moments method)
    0.61930
  • Expected Shortfall (moments method)
    0.61930
  • Extreme Value Index (regression method)
    -1.93307
  • VaR(95%) (regression method)
    0.75450
  • Expected Shortfall (regression method)
    0.76187
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.74228
  • Quartile 1
    0.74228
  • Median
    0.74228
  • Quartile 3
    0.74228
  • Maximum
    0.74228
  • 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)
    -0.58196
  • Compounded annual return (geometric extrapolation)
    -0.54897
  • Calmar ratio (compounded annual return / max draw down)
    -0.73957
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.71962
  • 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
    1.55542
  • SD
    2.37087
  • Sharpe ratio (Glass type estimate)
    0.65605
  • Sharpe ratio (Hedges UMVUE)
    0.65385
  • df
    224.00000
  • t
    0.60797
  • p
    0.27191
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.46051
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77121
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.46200
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.76971
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.24401
  • Upside Potential Ratio
    9.93717
  • Upside part of mean
    12.42470
  • Downside part of mean
    -10.86930
  • Upside SD
    2.01047
  • Downside SD
    1.25033
  • N nonnegative terms
    92.00000
  • N negative terms
    133.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    225.00000
  • Mean of predictor
    0.20881
  • Mean of criterion
    1.55542
  • SD of predictor
    0.11815
  • SD of criterion
    2.37087
  • Covariance
    0.05397
  • r
    0.19267
  • b (slope, estimate of beta)
    3.86633
  • a (intercept, estimate of alpha)
    0.86100
  • Mean Square Error
    5.43665
  • DF error
    223.00000
  • t(b)
    2.93213
  • p(b)
    0.00186
  • t(a)
    0.29557
  • p(a)
    0.38392
  • Lowerbound of 95% confidence interval for beta
    1.26780
  • Upperbound of 95% confidence interval for beta
    6.46486
  • Lowerbound of 95% confidence interval for alpha
    -4.23984
  • Upperbound of 95% confidence interval for alpha
    5.73605
  • Treynor index (mean / b)
    0.40230
  • Jensen alpha (a)
    0.74811
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.80054
  • SD
    2.11039
  • Sharpe ratio (Glass type estimate)
    -0.37933
  • Sharpe ratio (Hedges UMVUE)
    -0.37806
  • df
    224.00000
  • t
    -0.35153
  • p
    0.63724
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.49419
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73637
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.49334
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73721
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.57825
  • Upside Potential Ratio
    7.91818
  • Upside part of mean
    10.96220
  • Downside part of mean
    -11.76270
  • Upside SD
    1.58737
  • Downside SD
    1.38443
  • N nonnegative terms
    92.00000
  • N negative terms
    133.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    225.00000
  • Mean of predictor
    0.20176
  • Mean of criterion
    -0.80054
  • SD of predictor
    0.11810
  • SD of criterion
    2.11039
  • Covariance
    0.04934
  • r
    0.19796
  • b (slope, estimate of beta)
    3.53738
  • a (intercept, estimate of alpha)
    -1.51424
  • Mean Square Error
    4.29840
  • DF error
    223.00000
  • t(b)
    3.01591
  • p(b)
    0.00143
  • t(a)
    -0.67308
  • p(a)
    0.74920
  • Lowerbound of 95% confidence interval for beta
    1.22598
  • Upperbound of 95% confidence interval for beta
    5.84879
  • Lowerbound of 95% confidence interval for alpha
    -5.94768
  • Upperbound of 95% confidence interval for alpha
    2.91919
  • Treynor index (mean / b)
    -0.22631
  • Jensen alpha (a)
    -1.51424
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19548
  • Expected Shortfall on VaR
    0.23727
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10630
  • Expected Shortfall on VaR
    0.19276
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    225.00000
  • Minimum
    0.68997
  • Quartile 1
    0.93530
  • Median
    0.99977
  • Quartile 3
    1.05266
  • Maximum
    2.20858
  • Mean of quarter 1
    0.86199
  • Mean of quarter 2
    0.97405
  • Mean of quarter 3
    1.01750
  • Mean of quarter 4
    1.17321
  • Inter Quartile Range
    0.11736
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.01778
  • Mean of outliers low
    0.71948
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.04444
  • Mean of outliers high
    1.45438
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.36998
  • VaR(95%) (moments method)
    0.13859
  • Expected Shortfall (moments method)
    0.16320
  • Extreme Value Index (regression method)
    -0.24659
  • VaR(95%) (regression method)
    0.12885
  • Expected Shortfall (regression method)
    0.15473
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.03741
  • Quartile 1
    0.21680
  • Median
    0.45262
  • Quartile 3
    0.66897
  • Maximum
    0.78997
  • Mean of quarter 1
    0.03741
  • Mean of quarter 2
    0.27660
  • Mean of quarter 3
    0.62864
  • Mean of quarter 4
    0.78997
  • Inter Quartile Range
    0.45217
  • 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)
    -0.56471
  • Compounded annual return (geometric extrapolation)
    -0.53820
  • Calmar ratio (compounded annual return / max draw down)
    -0.68129
  • Compounded annual return / average of 25% largest draw downs
    -0.68129
  • Compounded annual return / Expected Shortfall lognormal
    -2.26836
  • 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
    2.50010
  • SD
    2.76691
  • Sharpe ratio (Glass type estimate)
    0.90357
  • Sharpe ratio (Hedges UMVUE)
    0.89835
  • df
    130.00000
  • t
    0.63892
  • p
    0.47202
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.87210
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.67587
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.87561
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.67231
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.77883
  • Upside Potential Ratio
    10.29910
  • Upside part of mean
    14.47510
  • Downside part of mean
    -11.97500
  • Upside SD
    2.37609
  • Downside SD
    1.40548
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36510
  • Mean of criterion
    2.50010
  • SD of predictor
    0.11330
  • SD of criterion
    2.76691
  • Covariance
    0.07098
  • r
    0.22642
  • b (slope, estimate of beta)
    5.52967
  • a (intercept, estimate of alpha)
    0.48120
  • Mean Square Error
    7.31958
  • DF error
    129.00000
  • t(b)
    2.64023
  • p(b)
    0.35710
  • t(a)
    0.12333
  • p(a)
    0.49309
  • Lowerbound of 95% confidence interval for beta
    1.38587
  • Upperbound of 95% confidence interval for beta
    9.67346
  • Lowerbound of 95% confidence interval for alpha
    -7.23857
  • Upperbound of 95% confidence interval for alpha
    8.20096
  • Treynor index (mean / b)
    0.45212
  • Jensen alpha (a)
    0.48120
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.60777
  • SD
    2.41516
  • Sharpe ratio (Glass type estimate)
    -0.25165
  • Sharpe ratio (Hedges UMVUE)
    -0.25019
  • df
    130.00000
  • t
    -0.17794
  • p
    0.50780
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.02314
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.52081
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.02217
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.52178
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.38645
  • Upside Potential Ratio
    7.95604
  • Upside part of mean
    12.51230
  • Downside part of mean
    -13.12010
  • Upside SD
    1.82115
  • Downside SD
    1.57268
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35846
  • Mean of criterion
    -0.60777
  • SD of predictor
    0.11317
  • SD of criterion
    2.41516
  • Covariance
    0.06653
  • r
    0.24341
  • b (slope, estimate of beta)
    5.19494
  • a (intercept, estimate of alpha)
    -2.46994
  • Mean Square Error
    5.52994
  • DF error
    129.00000
  • t(b)
    2.85039
  • p(b)
    0.34658
  • t(a)
    -0.72877
  • p(a)
    0.54074
  • VAR (95 Confidence Intrvl)
    0.19000
  • Lowerbound of 95% confidence interval for beta
    1.58900
  • Upperbound of 95% confidence interval for beta
    8.80087
  • Lowerbound of 95% confidence interval for alpha
    -9.17556
  • Upperbound of 95% confidence interval for alpha
    4.23568
  • Treynor index (mean / b)
    -0.11699
  • Jensen alpha (a)
    -2.46994
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21944
  • Expected Shortfall on VaR
    0.26553
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.11667
  • Expected Shortfall on VaR
    0.21440
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.68997
  • Quartile 1
    0.92284
  • Median
    1.00000
  • Quartile 3
    1.05724
  • Maximum
    2.20858
  • Mean of quarter 1
    0.84208
  • Mean of quarter 2
    0.97672
  • Mean of quarter 3
    1.01897
  • Mean of quarter 4
    1.20110
  • Inter Quartile Range
    0.13440
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.70415
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.53539
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.43461
  • VaR(95%) (moments method)
    0.16129
  • Expected Shortfall (moments method)
    0.18697
  • Extreme Value Index (regression method)
    -0.31000
  • VaR(95%) (regression method)
    0.14934
  • Expected Shortfall (regression method)
    0.17573
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.10089
  • Quartile 1
    0.31390
  • Median
    0.53674
  • Quartile 3
    0.63832
  • Maximum
    0.74574
  • Mean of quarter 1
    0.20739
  • Mean of quarter 2
    0.53674
  • Mean of quarter 3
    0.63832
  • Mean of quarter 4
    0.74574
  • Inter Quartile Range
    0.32442
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -391376000
  • Max Equity Drawdown (num days)
    198
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.50337
  • Compounded annual return (geometric extrapolation)
    -0.44002
  • Calmar ratio (compounded annual return / max draw down)
    -0.59005
  • Compounded annual return / average of 25% largest draw downs
    -0.59005
  • Compounded annual return / Expected Shortfall lognormal
    -1.65719

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-06-23
Suggested Minimum Capital
$25,000
# Trades
124
# Profitable
44
% Profitable
35.5%
Correlation S&P500
0.123
Sharpe Ratio
0.42
Sortino Ratio
0.82
Beta
2.30
Alpha
0.20
Leverage
27.26 Average
146.27 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.