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PxV C2Star Certification
(123232997)

Created by: Pavel__PxV Pavel__PxV
Started: 04/2019
Forex
Last trade: 3 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. You can subscribe to this system for free.

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.

18.6%
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.

(10.4%)
Max Drawdown
135
Num Trades
65.2%
Win Trades
1.5 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                     +3.0%(0.7%)+4.7%(1.6%)+8.3%+3.4%+1.9%+4.5%(3.3%)+21.5%
2020(2.4%)                                                                  (2.4%)

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 139 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/24/20 4:59 EUR/USD EUR/USD SHORT 40 1.10349 1/24 15:23 1.10267 0.34%
Trade id #127197029
Max drawdown($199)
Time1/24/20 9:03
Quant open40
Worst price1.10399
Drawdown as % of equity-0.34%
$329
1/17/20 0:50 EUR/USD EUR/USD LONG 40 1.11119 1/24 4:53 1.10523 5.02%
Trade id #127057366
Max drawdown($3,022)
Time1/23/20 0:00
Quant open40
Worst price1.10363
Drawdown as % of equity-5.02%
($2,382)
1/16/20 8:58 AUD/USD AUD/USD SHORT 10 0.69217 1/17 10:47 0.68747 0.08%
Trade id #127034782
Max drawdown($47)
Time1/16/20 9:17
Quant open10
Worst price0.69264
Drawdown as % of equity-0.08%
$470
1/15/20 1:32 GBP/USD GBP/USD LONG 20 1.30248 1/16 8:33 1.30564 0.89%
Trade id #127003889
Max drawdown($534)
Time1/15/20 4:31
Quant open10
Worst price1.29845
Drawdown as % of equity-0.89%
$632
1/9/20 4:19 GBP/USD GBP/USD LONG 15 1.30501 1/10 15:16 1.30558 0.91%
Trade id #126926534
Max drawdown($549)
Time1/9/20 6:48
Quant open15
Worst price1.30135
Drawdown as % of equity-0.91%
$85
1/8/20 7:32 EUR/USD EUR/USD SHORT 25 1.11255 1/10 15:16 1.11209 0.19%
Trade id #126910470
Max drawdown($110)
Time1/8/20 10:19
Quant open25
Worst price1.11299
Drawdown as % of equity-0.19%
$114
1/7/20 3:54 USD/CAD USD/CAD SHORT 20 1.29916 1/8 7:31 1.30148 0.97%
Trade id #126893312
Max drawdown($583)
Time1/7/20 10:44
Quant open20
Worst price1.30295
Drawdown as % of equity-0.97%
($357)
1/7/20 3:54 EUR/USD EUR/USD LONG 20 1.11672 1/7 10:23 1.11382 0.92%
Trade id #126893302
Max drawdown($552)
Time1/7/20 10:23
Quant open20
Worst price1.11396
Drawdown as % of equity-0.92%
($579)
1/3/20 15:57 EUR/USD EUR/USD LONG 5 1.11609 1/3 15:58 1.11607 0.01%
Trade id #126863339
Max drawdown($3)
Time1/3/20 15:58
Quant open5
Worst price1.11602
Drawdown as % of equity-0.01%
($1)
1/2/20 9:59 USD/CAD USD/CAD LONG 15 1.29974 1/3 15:58 1.29914 0.7%
Trade id #126831591
Max drawdown($417)
Time1/3/20 0:00
Quant open15
Worst price1.29612
Drawdown as % of equity-0.70%
($69)
12/31/19 3:22 EUR/USD EUR/USD SHORT 5 1.12063 1/3/20 15:57 1.11609 0.28%
Trade id #126798075
Max drawdown($165)
Time12/31/19 9:03
Quant open5
Worst price1.12393
Drawdown as % of equity-0.28%
$227
12/19/19 0:31 AUD/USD AUD/USD SHORT 15 0.68783 12/24 0:38 0.69195 1.26%
Trade id #126678399
Max drawdown($756)
Time12/23/19 0:00
Quant open15
Worst price0.69287
Drawdown as % of equity-1.26%
($618)
12/20/19 9:02 EUR/USD EUR/USD SHORT 10 1.10899 12/20 12:52 1.10740 0.02%
Trade id #126701227
Max drawdown($14)
Time12/20/19 9:04
Quant open10
Worst price1.10913
Drawdown as % of equity-0.02%
$159
12/18/19 3:24 USD/CAD USD/CAD LONG 25 1.31505 12/20 12:52 1.31603 1.55%
Trade id #126665495
Max drawdown($916)
Time12/18/19 11:07
Quant open25
Worst price1.31024
Drawdown as % of equity-1.55%
$187
12/18/19 10:52 GBP/CAD GBP/CAD LONG 10 1.71720 12/19 2:45 1.71994 0.62%
Trade id #126670493
Max drawdown($366)
Time12/18/19 11:38
Quant open10
Worst price1.71240
Drawdown as % of equity-0.62%
$209
12/18/19 2:05 EUR/USD EUR/USD SHORT 15 1.11353 12/18 10:51 1.11317 0.18%
Trade id #126665036
Max drawdown($109)
Time12/18/19 4:21
Quant open15
Worst price1.11426
Drawdown as % of equity-0.18%
$54
12/13/19 4:46 EUR/USD EUR/USD SHORT 15 1.11776 12/13 13:55 1.11197 0.22%
Trade id #126609926
Max drawdown($127)
Time12/13/19 6:21
Quant open15
Worst price1.11861
Drawdown as % of equity-0.22%
$869
12/12/19 8:53 EUR/USD EUR/USD SHORT 10 1.11387 12/12 17:18 1.11738 0.66%
Trade id #126593416
Max drawdown($391)
Time12/12/19 17:03
Quant open10
Worst price1.11778
Drawdown as % of equity-0.66%
($351)
12/11/19 14:57 EUR/USD EUR/USD SHORT 30 1.11344 12/11 15:07 1.11450 0.33%
Trade id #126584777
Max drawdown($195)
Time12/11/19 15:01
Quant open30
Worst price1.11409
Drawdown as % of equity-0.33%
($318)
12/2/19 10:10 EUR/USD EUR/USD SHORT 30 1.10830 12/11 14:50 1.11361 2.47%
Trade id #126440662
Max drawdown($1,488)
Time12/11/19 14:50
Quant open30
Worst price1.11326
Drawdown as % of equity-2.47%
($1,593)
12/2/19 10:09 AUD/USD AUD/USD SHORT 25 0.68183 12/10 0:23 0.68257 1.63%
Trade id #126440631
Max drawdown($976)
Time12/6/19 0:00
Quant open25
Worst price0.68573
Drawdown as % of equity-1.63%
($186)
12/4/19 8:12 GBP/USD GBP/USD SHORT 10 1.30978 12/6 15:41 1.31359 1.13%
Trade id #126475937
Max drawdown($684)
Time12/5/19 0:00
Quant open10
Worst price1.31662
Drawdown as % of equity-1.13%
($381)
11/21/19 23:40 AUD/USD AUD/USD SHORT 10 0.67870 11/29 9:58 0.67669 0.27%
Trade id #126317257
Max drawdown($162)
Time11/22/19 0:00
Quant open10
Worst price0.68032
Drawdown as % of equity-0.27%
$201
11/14/19 8:34 EUR/USD EUR/USD SHORT 25 1.10680 11/29 6:40 1.10264 1.08%
Trade id #126206612
Max drawdown($650)
Time11/21/19 0:00
Quant open15
Worst price1.10970
Drawdown as % of equity-1.08%
$1,041
11/20/19 1:40 EUR/CAD EUR/CAD SHORT 10 1.47039 11/21 23:26 1.46974 0.85%
Trade id #126278922
Max drawdown($510)
Time11/21/19 0:00
Quant open10
Worst price1.47717
Drawdown as % of equity-0.85%
$49
11/20/19 5:46 USD/CAD USD/CAD SHORT 10 1.33088 11/21 8:40 1.33239 0.23%
Trade id #126280752
Max drawdown($141)
Time11/20/19 12:59
Quant open10
Worst price1.33276
Drawdown as % of equity-0.23%
($113)
11/14/19 13:05 GBP/USD GBP/USD SHORT 5 1.28757 11/18 3:11 1.29594 0.71%
Trade id #126214170
Max drawdown($427)
Time11/18/19 3:09
Quant open5
Worst price1.29612
Drawdown as % of equity-0.71%
($418)
11/14/19 13:04 USD/JPY USD/JPY LONG 5 108.389 11/15 11:44 108.838 0.11%
Trade id #126214115
Max drawdown($67)
Time11/14/19 13:58
Quant open5
Worst price108.242
Drawdown as % of equity-0.11%
$207
11/7/19 9:43 AUD/USD AUD/USD SHORT 5 0.68979 11/7 23:40 0.68841 0.13%
Trade id #126110062
Max drawdown($77)
Time11/7/19 12:35
Quant open5
Worst price0.69133
Drawdown as % of equity-0.13%
$69
10/23/19 1:31 AUD/USD AUD/USD SHORT 20 0.68841 11/7 0:09 0.68674 1.46%
Trade id #125909449
Max drawdown($879)
Time11/5/19 0:00
Quant open20
Worst price0.69281
Drawdown as % of equity-1.46%
$335

Statistics

  • Strategy began
    4/8/2019
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    294.46
  • Age
    10 months ago
  • What it trades
    Forex
  • # Trades
    135
  • # Profitable
    88
  • % Profitable
    65.20%
  • Avg trade duration
    1.9 days
  • Max peak-to-valley drawdown
    10.44%
  • drawdown period
    July 25, 2019 - Aug 06, 2019
  • Cumul. Return
    18.6%
  • Avg win
    $307.76
  • Avg loss
    $378.45
  • Model Account Values (Raw)
  • Cash
    $59,296
  • Margin Used
    $0
  • Buying Power
    $59,296
  • Ratios
  • W:L ratio
    1.52:1
  • Sharpe Ratio
    1.37
  • Sortino Ratio
    2.41
  • Calmar Ratio
    3.924
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    4.79%
  • Correlation to SP500
    0.19880
  • Return Percent SP500 (cumu) during strategy life
    13.80%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    23.3%
  • Slump
  • Current Slump as Pcnt Equity
    0.06%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.20%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.186%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    23.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    3.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    408
  • Popularity (Last 6 weeks)
    900
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    845
  • Popularity (7 days, Percentile 1000 scale)
    791
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $378
  • Avg Win
    $308
  • Sum Trade PL (losers)
    $17,787.000
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $27,083.000
  • # Winners
    88
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    47
  • % Winners
    65.2%
  • Frequency
  • Avg Position Time (mins)
    2781.22
  • Avg Position Time (hrs)
    46.35
  • Avg Trade Length
    1.9 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    3.54
  • Daily leverage (max)
    9.95
  • Regression
  • Alpha
    0.05
  • Beta
    0.20
  • Treynor Index
    0.27
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    17.82
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    26.11
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.26
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    5.464
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.818
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.397
  • Hold-and-Hope Ratio
    0.183
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24326
  • SD
    0.14670
  • Sharpe ratio (Glass type estimate)
    1.65825
  • Sharpe ratio (Hedges UMVUE)
    1.49691
  • df
    8.00000
  • t
    1.43609
  • p
    0.09445
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78689
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.01324
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.88215
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.87597
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.92510
  • Upside Potential Ratio
    6.88705
  • Upside part of mean
    0.34016
  • Downside part of mean
    -0.09690
  • Upside SD
    0.14704
  • Downside SD
    0.04939
  • N nonnegative terms
    6.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.13920
  • Mean of criterion
    0.24326
  • SD of predictor
    0.11605
  • SD of criterion
    0.14670
  • Covariance
    0.00555
  • r
    0.32625
  • b (slope, estimate of beta)
    0.41241
  • a (intercept, estimate of alpha)
    0.18585
  • Mean Square Error
    0.02198
  • DF error
    7.00000
  • t(b)
    0.91314
  • p(b)
    0.19577
  • t(a)
    1.01918
  • p(a)
    0.17102
  • Lowerbound of 95% confidence interval for beta
    -0.65555
  • Upperbound of 95% confidence interval for beta
    1.48037
  • Lowerbound of 95% confidence interval for alpha
    -0.24535
  • Upperbound of 95% confidence interval for alpha
    0.61706
  • Treynor index (mean / b)
    0.58985
  • Jensen alpha (a)
    0.18585
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23121
  • SD
    0.14250
  • Sharpe ratio (Glass type estimate)
    1.62254
  • Sharpe ratio (Hedges UMVUE)
    1.46467
  • df
    8.00000
  • t
    1.40516
  • p
    0.09880
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81615
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.97259
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90956
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.83891
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.63103
  • Upside Potential Ratio
    6.59223
  • Upside part of mean
    0.32912
  • Downside part of mean
    -0.09792
  • Upside SD
    0.14146
  • Downside SD
    0.04993
  • N nonnegative terms
    6.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.13225
  • Mean of criterion
    0.23121
  • SD of predictor
    0.11455
  • SD of criterion
    0.14250
  • Covariance
    0.00535
  • r
    0.32788
  • b (slope, estimate of beta)
    0.40787
  • a (intercept, estimate of alpha)
    0.17727
  • Mean Square Error
    0.02071
  • DF error
    7.00000
  • t(b)
    0.91826
  • p(b)
    0.19451
  • t(a)
    1.00575
  • p(a)
    0.17401
  • Lowerbound of 95% confidence interval for beta
    -0.64245
  • Upperbound of 95% confidence interval for beta
    1.45819
  • Lowerbound of 95% confidence interval for alpha
    -0.23951
  • Upperbound of 95% confidence interval for alpha
    0.59405
  • Treynor index (mean / b)
    0.56687
  • Jensen alpha (a)
    0.17727
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04724
  • Expected Shortfall on VaR
    0.06337
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01464
  • Expected Shortfall on VaR
    0.02796
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.97434
  • Quartile 1
    0.98487
  • Median
    1.02624
  • Quartile 3
    1.03913
  • Maximum
    1.09329
  • Mean of quarter 1
    0.97810
  • Mean of quarter 2
    1.01681
  • Mean of quarter 3
    1.03334
  • Mean of quarter 4
    1.08439
  • Inter Quartile Range
    0.05426
  • 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)
    -593.42000
  • VaR(95%) (moments method)
    0.02291
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -4.69917
  • VaR(95%) (regression method)
    0.04308
  • Expected Shortfall (regression method)
    0.04309
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01513
  • Quartile 1
    0.02002
  • Median
    0.02490
  • Quartile 3
    0.02528
  • Maximum
    0.02566
  • Mean of quarter 1
    0.01513
  • Mean of quarter 2
    0.02490
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.02566
  • Inter Quartile Range
    0.00526
  • 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)
    0.28601
  • Compounded annual return (geometric extrapolation)
    0.29579
  • Calmar ratio (compounded annual return / max draw down)
    11.52830
  • Compounded annual return / average of 25% largest draw downs
    11.52830
  • Compounded annual return / Expected Shortfall lognormal
    4.66752
  • 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
    0.19535
  • SD
    0.12267
  • Sharpe ratio (Glass type estimate)
    1.59252
  • Sharpe ratio (Hedges UMVUE)
    1.58674
  • df
    207.00000
  • t
    1.41895
  • p
    0.07871
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61444
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.79568
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.61828
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.79177
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.78795
  • Upside Potential Ratio
    9.31761
  • Upside part of mean
    0.65288
  • Downside part of mean
    -0.45753
  • Upside SD
    0.10105
  • Downside SD
    0.07007
  • N nonnegative terms
    103.00000
  • N negative terms
    105.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    208.00000
  • Mean of predictor
    0.14216
  • Mean of criterion
    0.19535
  • SD of predictor
    0.11963
  • SD of criterion
    0.12267
  • Covariance
    0.00292
  • r
    0.19932
  • b (slope, estimate of beta)
    0.20437
  • a (intercept, estimate of alpha)
    0.16600
  • Mean Square Error
    0.01452
  • DF error
    206.00000
  • t(b)
    2.91931
  • p(b)
    0.00195
  • t(a)
    1.22635
  • p(a)
    0.11073
  • Lowerbound of 95% confidence interval for beta
    0.06635
  • Upperbound of 95% confidence interval for beta
    0.34239
  • Lowerbound of 95% confidence interval for alpha
    -0.10105
  • Upperbound of 95% confidence interval for alpha
    0.43364
  • Treynor index (mean / b)
    0.95585
  • Jensen alpha (a)
    0.16630
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18785
  • SD
    0.12172
  • Sharpe ratio (Glass type estimate)
    1.54324
  • Sharpe ratio (Hedges UMVUE)
    1.53765
  • df
    207.00000
  • t
    1.37504
  • p
    0.08530
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66332
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.74615
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66705
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.74234
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.66043
  • Upside Potential Ratio
    9.17464
  • Upside part of mean
    0.64781
  • Downside part of mean
    -0.45996
  • Upside SD
    0.09947
  • Downside SD
    0.07061
  • N nonnegative terms
    103.00000
  • N negative terms
    105.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    208.00000
  • Mean of predictor
    0.13496
  • Mean of criterion
    0.18785
  • SD of predictor
    0.11999
  • SD of criterion
    0.12172
  • Covariance
    0.00289
  • r
    0.19754
  • b (slope, estimate of beta)
    0.20039
  • a (intercept, estimate of alpha)
    0.16080
  • Mean Square Error
    0.01431
  • DF error
    206.00000
  • t(b)
    2.89216
  • p(b)
    0.00212
  • t(a)
    1.19493
  • p(a)
    0.11674
  • Lowerbound of 95% confidence interval for beta
    0.06379
  • Upperbound of 95% confidence interval for beta
    0.33700
  • Lowerbound of 95% confidence interval for alpha
    -0.10451
  • Upperbound of 95% confidence interval for alpha
    0.42612
  • Treynor index (mean / b)
    0.93739
  • Jensen alpha (a)
    0.16080
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01158
  • Expected Shortfall on VaR
    0.01468
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00398
  • Expected Shortfall on VaR
    0.00841
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    208.00000
  • Minimum
    0.97621
  • Quartile 1
    0.99863
  • Median
    1.00008
  • Quartile 3
    1.00307
  • Maximum
    1.05366
  • Mean of quarter 1
    0.99346
  • Mean of quarter 2
    0.99977
  • Mean of quarter 3
    1.00146
  • Mean of quarter 4
    1.00872
  • Inter Quartile Range
    0.00444
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.06731
  • Mean of outliers low
    0.98612
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.04808
  • Mean of outliers high
    1.02214
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54107
  • VaR(95%) (moments method)
    0.00577
  • Expected Shortfall (moments method)
    0.01471
  • Extreme Value Index (regression method)
    0.20873
  • VaR(95%) (regression method)
    0.00612
  • Expected Shortfall (regression method)
    0.01050
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00136
  • Median
    0.00312
  • Quartile 3
    0.01233
  • Maximum
    0.06136
  • Mean of quarter 1
    0.00043
  • Mean of quarter 2
    0.00229
  • Mean of quarter 3
    0.00709
  • Mean of quarter 4
    0.04075
  • Inter Quartile Range
    0.01098
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.22222
  • Mean of outliers high
    0.04769
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -8.57533
  • VaR(95%) (moments method)
    0.03129
  • Expected Shortfall (moments method)
    0.03129
  • Extreme Value Index (regression method)
    -1.96042
  • VaR(95%) (regression method)
    0.06937
  • Expected Shortfall (regression method)
    0.07086
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23534
  • Compounded annual return (geometric extrapolation)
    0.24080
  • Calmar ratio (compounded annual return / max draw down)
    3.92414
  • Compounded annual return / average of 25% largest draw downs
    5.90967
  • Compounded annual return / Expected Shortfall lognormal
    16.40090
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09699
  • SD
    0.14177
  • Sharpe ratio (Glass type estimate)
    0.68416
  • Sharpe ratio (Hedges UMVUE)
    0.68020
  • df
    130.00000
  • t
    0.48377
  • p
    0.47880
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.09010
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.45601
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.09284
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.45324
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.19663
  • Upside Potential Ratio
    8.57198
  • Upside part of mean
    0.69482
  • Downside part of mean
    -0.59782
  • Upside SD
    0.11581
  • Downside SD
    0.08106
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15491
  • Mean of criterion
    0.09699
  • SD of predictor
    0.12572
  • SD of criterion
    0.14177
  • Covariance
    0.00405
  • r
    0.22707
  • b (slope, estimate of beta)
    0.25606
  • a (intercept, estimate of alpha)
    0.05733
  • Mean Square Error
    0.01921
  • DF error
    129.00000
  • t(b)
    2.64815
  • p(b)
    0.35670
  • t(a)
    0.29162
  • p(a)
    0.48366
  • Lowerbound of 95% confidence interval for beta
    0.06475
  • Upperbound of 95% confidence interval for beta
    0.44737
  • Lowerbound of 95% confidence interval for alpha
    -0.33162
  • Upperbound of 95% confidence interval for alpha
    0.44628
  • Treynor index (mean / b)
    0.37880
  • Jensen alpha (a)
    0.05733
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08712
  • SD
    0.14050
  • Sharpe ratio (Glass type estimate)
    0.62002
  • Sharpe ratio (Hedges UMVUE)
    0.61644
  • df
    130.00000
  • t
    0.43842
  • p
    0.48079
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.15389
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.39177
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.15638
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.38926
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.06666
  • Upside Potential Ratio
    8.42634
  • Upside part of mean
    0.68820
  • Downside part of mean
    -0.60108
  • Upside SD
    0.11380
  • Downside SD
    0.08167
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14697
  • Mean of criterion
    0.08712
  • SD of predictor
    0.12618
  • SD of criterion
    0.14050
  • Covariance
    0.00397
  • r
    0.22385
  • b (slope, estimate of beta)
    0.24926
  • a (intercept, estimate of alpha)
    0.05048
  • Mean Square Error
    0.01890
  • DF error
    129.00000
  • t(b)
    2.60865
  • p(b)
    0.35869
  • t(a)
    0.25900
  • p(a)
    0.48549
  • VAR (95 Confidence Intrvl)
    0.01200
  • Lowerbound of 95% confidence interval for beta
    0.06021
  • Upperbound of 95% confidence interval for beta
    0.43831
  • Lowerbound of 95% confidence interval for alpha
    -0.33516
  • Upperbound of 95% confidence interval for alpha
    0.43613
  • Treynor index (mean / b)
    0.34950
  • Jensen alpha (a)
    0.05048
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01385
  • Expected Shortfall on VaR
    0.01741
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00564
  • Expected Shortfall on VaR
    0.01123
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97621
  • Quartile 1
    0.99789
  • Median
    1.00000
  • Quartile 3
    1.00307
  • Maximum
    1.05366
  • Mean of quarter 1
    0.99176
  • Mean of quarter 2
    0.99942
  • Mean of quarter 3
    1.00096
  • Mean of quarter 4
    1.00978
  • Inter Quartile Range
    0.00518
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.98467
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.02441
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.19819
  • VaR(95%) (moments method)
    0.00634
  • Expected Shortfall (moments method)
    0.00820
  • Extreme Value Index (regression method)
    -0.05615
  • VaR(95%) (regression method)
    0.00865
  • Expected Shortfall (regression method)
    0.01229
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00041
  • Quartile 1
    0.00371
  • Median
    0.01042
  • Quartile 3
    0.04149
  • Maximum
    0.06136
  • Mean of quarter 1
    0.00221
  • Mean of quarter 2
    0.00978
  • Mean of quarter 3
    0.02723
  • Mean of quarter 4
    0.05936
  • Inter Quartile Range
    0.03778
  • 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)
    -55.23950
  • VaR(95%) (moments method)
    0.05660
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.98558
  • VaR(95%) (regression method)
    0.07698
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.07711
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -246874000
  • Max Equity Drawdown (num days)
    12
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11840
  • Compounded annual return (geometric extrapolation)
    0.12190
  • Calmar ratio (compounded annual return / max draw down)
    1.98651
  • Compounded annual return / average of 25% largest draw downs
    2.05355
  • Compounded annual return / Expected Shortfall lognormal
    7.00006

Strategy Description

Summary Statistics

Strategy began
2019-04-08
Suggested Minimum Capital
$60,000
Rank at C2 
#101
# Trades
135
# Profitable
88
% Profitable
65.2%
Correlation S&P500
0.199
Sharpe Ratio
1.37
Sortino Ratio
2.41
Beta
0.20
Alpha
0.05
Leverage
3.54 Average
9.95 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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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.