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This is an archived track record. This track record was archived on 2/28/22 9:37 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Algebra Ultimate Fund
(135735917)

Created by: AlgebraTrader AlgebraTrader
Started: 05/2021
Stocks, Futures
Last trade: 87 days ago
Trading style: Equity Non-hedged Equity

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $299.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
76.2%
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.

(39.4%)
Max Drawdown
88
Num Trades
64.8%
Win Trades
1.6 : 1
Profit Factor
53.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                            +0.6%+4.6%+29.5%+16.4%+4.2%+16.3%(12.6%)(4.5%)+60.2%
2022(6.5%)+1.3%  -    -    -                                            (5.3%)

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

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/22/22 12:54 COIN COINBASE GLOBAL INC. CLASS A COMMON STOCK LONG 900 174.94 2/28 9:37 174.85 23.14%
Trade id #139493353
Max drawdown($17,116)
Time2/24/22 0:00
Quant open900
Worst price155.92
Drawdown as % of equity-23.14%
($84)
Includes Typical Broker Commissions trade costs of $5.00
2/18/22 14:47 COIN COINBASE GLOBAL INC. CLASS A COMMON STOCK LONG 1,054 189.37 2/18 15:08 189.56 0.78%
Trade id #139456725
Max drawdown($609)
Time2/18/22 14:51
Quant open1,054
Worst price188.79
Drawdown as % of equity-0.78%
$197
Includes Typical Broker Commissions trade costs of $5.00
2/18/22 9:34 COIN COINBASE GLOBAL INC. CLASS A COMMON STOCK SHORT 1,000 190.19 2/18 14:47 189.15 1.91%
Trade id #139448581
Max drawdown($1,487)
Time2/18/22 14:33
Quant open946
Worst price191.76
Drawdown as % of equity-1.91%
$1,033
Includes Typical Broker Commissions trade costs of $5.54
1/26/22 9:36 COIN COINBASE GLOBAL INC. CLASS A COMMON STOCK LONG 600 189.17 2/18 9:33 190.41 25.72%
Trade id #139106918
Max drawdown($16,181)
Time1/28/22 0:00
Quant open600
Worst price162.20
Drawdown as % of equity-25.72%
$734
Includes Typical Broker Commissions trade costs of $8.50
1/24/22 14:19 KWEB KRANESHARES CSI CHINA INTERNET LONG 4,500 35.74 1/26 15:43 35.52 3.1%
Trade id #139078962
Max drawdown($2,326)
Time1/24/22 14:38
Quant open4,500
Worst price35.22
Drawdown as % of equity-3.10%
($971)
Includes Typical Broker Commissions trade costs of $10.00
1/20/22 9:43 @MBTG2 MICRO BITCOIN LONG 2 42900 1/26 9:32 36205 2.5%
Trade id #139026989
Max drawdown($1,997)
Time1/24/22 0:00
Quant open2
Worst price32915
Drawdown as % of equity-2.50%
($1,355)
Includes Typical Broker Commissions trade costs of $16.00
12/14/21 9:44 KWEB KRANESHARES CSI CHINA INTERNET LONG 4,500 36.61 1/24/22 9:48 35.72 11.3%
Trade id #138573815
Max drawdown($8,546)
Time1/5/22 0:00
Quant open2,200
Worst price33.62
Drawdown as % of equity-11.30%
($4,057)
Includes Typical Broker Commissions trade costs of $40.00
12/29/21 9:42 @MBTF2 MICRO BITCOIN LONG 4 46276 1/20/22 9:42 42802 3.17%
Trade id #138740943
Max drawdown($2,533)
Time1/10/22 0:00
Quant open3
Worst price39465
Drawdown as % of equity-3.17%
($1,422)
Includes Typical Broker Commissions trade costs of $32.00
1/4/22 9:42 @ESH2 E-MINI S&P 500 LONG 10 4806.50 1/4 9:51 4803.75 3.59%
Trade id #138809127
Max drawdown($2,875)
Time1/4/22 9:50
Quant open10
Worst price4800.75
Drawdown as % of equity-3.59%
($1,455)
Includes Typical Broker Commissions trade costs of $80.00
12/29/21 10:32 RSX VANECK VECTORS RUSSIA ETF LONG 2,000 26.23 1/4/22 9:41 26.67 0.04%
Trade id #138742077
Max drawdown($30)
Time12/29/21 10:36
Quant open2,000
Worst price26.21
Drawdown as % of equity-0.04%
$885
Includes Typical Broker Commissions trade costs of $5.00
12/21/21 12:05 RSX VANECK VECTORS RUSSIA ETF LONG 1,000 26.05 12/29 10:30 26.19 0.07%
Trade id #138654776
Max drawdown($55)
Time12/21/21 15:49
Quant open1,000
Worst price26.00
Drawdown as % of equity-0.07%
$131
Includes Typical Broker Commissions trade costs of $5.00
12/21/21 9:30 OGZPY PJSC GAZPROM AMERICAN DEPOSITARY RECEIPTS - SPONSO LONG 5,600 8.91 12/29 10:30 9.06 0.15%
Trade id #138650996
Max drawdown($112)
Time12/21/21 9:33
Quant open5,600
Worst price8.89
Drawdown as % of equity-0.15%
$832
Includes Typical Broker Commissions trade costs of $5.00
12/15/21 15:01 NILSY MMC NORILSK NICKEL PJSC AMERICAN DEPOSITARY RECEIP LONG 968 28.69 12/29 10:19 30.53 0.06%
Trade id #138593729
Max drawdown($48)
Time12/15/21 15:04
Quant open968
Worst price28.64
Drawdown as % of equity-0.06%
$1,776
Includes Typical Broker Commissions trade costs of $5.00
11/11/21 12:29 SLV ISHARES SILVER TRUST LONG 1,459 23.32 12/29 9:41 20.94 6.43%
Trade id #138163694
Max drawdown($5,128)
Time12/15/21 0:00
Quant open1,459
Worst price19.80
Drawdown as % of equity-6.43%
($3,470)
Includes Typical Broker Commissions trade costs of $5.00
11/18/21 14:39 SBRCY SBERBANK RUSSIA LONG 1,903 17.95 12/21 10:27 15.60 6.87%
Trade id #138250362
Max drawdown($5,481)
Time12/15/21 0:00
Quant open1,903
Worst price15.07
Drawdown as % of equity-6.87%
($4,490)
Includes Typical Broker Commissions trade costs of $7.67
11/10/21 9:43 BA BOEING LONG 232 220.45 12/16 10:27 195.22 8.97%
Trade id #138142925
Max drawdown($7,529)
Time12/1/21 0:00
Quant open232
Worst price188.00
Drawdown as % of equity-8.97%
($5,859)
Includes Typical Broker Commissions trade costs of $4.64
11/10/21 9:45 NILSY MMC NORILSK NICKEL PJSC AMERICAN DEPOSITARY RECEIP LONG 968 30.94 12/14 10:41 28.47 3.08%
Trade id #138142998
Max drawdown($2,600)
Time12/13/21 0:00
Quant open968
Worst price28.25
Drawdown as % of equity-3.08%
($2,392)
Includes Typical Broker Commissions trade costs of $5.00
11/4/21 9:41 KWEB KRANESHARES CSI CHINA INTERNET LONG 1,075 49.35 11/22 10:50 47.56 2.29%
Trade id #138073212
Max drawdown($2,044)
Time11/22/21 10:45
Quant open1,075
Worst price47.45
Drawdown as % of equity-2.29%
($1,935)
Includes Typical Broker Commissions trade costs of $9.29
10/25/21 9:39 UNG UNITED STATES NATURAL GAS SHORT 2,520 18.90 11/11 12:21 16.89 1.78%
Trade id #137939882
Max drawdown($1,675)
Time10/27/21 0:00
Quant open1,260
Worst price20.97
Drawdown as % of equity-1.78%
$5,052
Includes Typical Broker Commissions trade costs of $7.50
11/3/21 11:31 RSX VANECK VECTORS RUSSIA ETF SHORT 952 31.52 11/10 9:41 32.30 1.02%
Trade id #138060041
Max drawdown($976)
Time11/9/21 0:00
Quant open952
Worst price32.55
Drawdown as % of equity-1.02%
($743)
Includes Typical Broker Commissions trade costs of $5.00
10/18/21 11:32 BNO UNITED STATES BRENT OIL SHORT 1,332 22.33 11/10 9:41 22.54 0.61%
Trade id #137856956
Max drawdown($610)
Time10/25/21 0:00
Quant open1,332
Worst price22.79
Drawdown as % of equity-0.61%
($281)
Includes Typical Broker Commissions trade costs of $5.00
10/27/21 9:40 RSX VANECK VECTORS RUSSIA ETF SHORT 2,875 32.68 11/2 11:24 32.06 0.53%
Trade id #137973185
Max drawdown($488)
Time10/27/21 10:04
Quant open2,875
Worst price32.85
Drawdown as % of equity-0.53%
$1,780
Includes Typical Broker Commissions trade costs of $5.00
10/28/21 9:33 KWEB KRANESHARES CSI CHINA INTERNET LONG 1,000 49.02 11/2 9:34 48.55 1.62%
Trade id #137988721
Max drawdown($1,537)
Time10/29/21 0:00
Quant open1,000
Worst price47.48
Drawdown as % of equity-1.62%
($474)
Includes Typical Broker Commissions trade costs of $5.00
10/19/21 11:40 NILSY MMC NORILSK NICKEL PJSC AMERICAN DEPOSITARY RECEIP LONG 1,515 33.28 10/27 9:38 31.59 2.78%
Trade id #137873675
Max drawdown($2,620)
Time10/27/21 9:35
Quant open1,515
Worst price31.55
Drawdown as % of equity-2.78%
($2,565)
Includes Typical Broker Commissions trade costs of $5.00
10/18/21 11:25 KWEB KRANESHARES CSI CHINA INTERNET LONG 2,000 50.72 10/26 12:22 50.49 1.11%
Trade id #137856723
Max drawdown($1,054)
Time10/26/21 12:09
Quant open2,000
Worst price50.19
Drawdown as % of equity-1.11%
($460)
Includes Typical Broker Commissions trade costs of $5.00
10/6/21 13:22 SLV ISHARES SILVER TRUST LONG 1,438 20.88 10/25 9:36 22.59 0.17%
Trade id #137696637
Max drawdown($143)
Time10/7/21 0:00
Quant open1,438
Worst price20.77
Drawdown as % of equity-0.17%
$2,463
Includes Typical Broker Commissions trade costs of $5.00
9/23/21 10:38 KWEB KRANESHARES CSI CHINA INTERNET LONG 1,813 48.00 10/14 10:47 49.94 7.73%
Trade id #137498073
Max drawdown($6,270)
Time10/4/21 0:00
Quant open1,813
Worst price44.54
Drawdown as % of equity-7.73%
$3,514
Includes Typical Broker Commissions trade costs of $5.00
9/20/21 9:42 GDX VANECK GOLD MINERS ETF LONG 1,385 30.33 10/14 10:47 32.63 2.52%
Trade id #137440472
Max drawdown($2,077)
Time9/29/21 0:00
Quant open1,385
Worst price28.83
Drawdown as % of equity-2.52%
$3,181
Includes Typical Broker Commissions trade costs of $5.00
10/12/21 9:40 @MBTX1 MICRO BITCOIN LONG 3 58495 10/14 7:52 58600 1.18%
Trade id #137769148
Max drawdown($1,075)
Time10/12/21 16:08
Quant open3
Worst price54910
Drawdown as % of equity-1.18%
$8
Includes Typical Broker Commissions trade costs of $24.00
10/5/21 14:50 @MBTV1 MICRO BITCOIN LONG 5 50890 10/6 13:08 55105 0.02%
Trade id #137677338
Max drawdown($20)
Time10/6/21 5:41
Quant open5
Worst price50850
Drawdown as % of equity-0.02%
$2,068
Includes Typical Broker Commissions trade costs of $40.00

Statistics

  • Strategy began
    5/23/2021
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    364.57
  • Age
    12 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    88
  • # Profitable
    57
  • % Profitable
    64.80%
  • Avg trade duration
    7.6 days
  • Max peak-to-valley drawdown
    39.42%
  • drawdown period
    Nov 15, 2021 - Jan 27, 2022
  • Cumul. Return
    55.3%
  • Avg win
    $1,485
  • Avg loss
    $1,685
  • Model Account Values (Raw)
  • Cash
    $82,434
  • Margin Used
    $0
  • Buying Power
    $82,434
  • Ratios
  • W:L ratio
    1.62:1
  • Sharpe Ratio
    0.9
  • Sortino Ratio
    1.31
  • Calmar Ratio
    2.398
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    49.77%
  • Correlation to SP500
    0.23200
  • Return Percent SP500 (cumu) during strategy life
    -2.36%
  • Return Statistics
  • Ann Return (w trading costs)
    76.2%
  • Slump
  • Current Slump as Pcnt Equity
    36.90%
  • Instruments
  • Percent Trades Futures
    0.46%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.52%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.553%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.37%
  • Percent Trades Forex
    0.17%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    63.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    61.00%
  • Chance of 20% account loss
    39.00%
  • Chance of 30% account loss
    17.50%
  • Chance of 40% account loss
    4.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    0.45%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.00%
  • Popularity
  • Popularity (Today)
    630
  • Popularity (Last 6 weeks)
    871
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    706
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,686
  • Avg Win
    $1,486
  • Sum Trade PL (losers)
    $52,262.000
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $84,701.000
  • # Winners
    57
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    31
  • % Winners
    64.8%
  • Frequency
  • Avg Position Time (mins)
    10981.50
  • Avg Position Time (hrs)
    183.03
  • Avg Trade Length
    7.6 days
  • Last Trade Ago
    84
  • Leverage
  • Daily leverage (average)
    1.88
  • Daily leverage (max)
    30.92
  • Regression
  • Alpha
    0.16
  • Beta
    0.72
  • Treynor Index
    0.20
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.39
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    4.914
  • 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
    0.675
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.956
  • Hold-and-Hope Ratio
    0.203
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.80410
  • SD
    0.67643
  • Sharpe ratio (Glass type estimate)
    1.18874
  • Sharpe ratio (Hedges UMVUE)
    1.07308
  • df
    8.00000
  • t
    1.02948
  • p
    0.16669
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18002
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.48908
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.25037
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.39652
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.97147
  • Upside Potential Ratio
    6.93030
  • Upside part of mean
    1.12092
  • Downside part of mean
    -0.31682
  • Upside SD
    0.65912
  • Downside SD
    0.16174
  • N nonnegative terms
    5.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    -0.01157
  • Mean of criterion
    0.80410
  • SD of predictor
    0.12756
  • SD of criterion
    0.67643
  • Covariance
    0.01953
  • r
    0.22636
  • b (slope, estimate of beta)
    1.20036
  • a (intercept, estimate of alpha)
    0.81799
  • Mean Square Error
    0.49613
  • DF error
    7.00000
  • t(b)
    0.61484
  • p(b)
    0.27905
  • t(a)
    1.00534
  • p(a)
    0.17411
  • Lowerbound of 95% confidence interval for beta
    -3.41612
  • Upperbound of 95% confidence interval for beta
    5.81684
  • Lowerbound of 95% confidence interval for alpha
    -1.10598
  • Upperbound of 95% confidence interval for alpha
    2.74195
  • Treynor index (mean / b)
    0.66988
  • Jensen alpha (a)
    0.81799
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62379
  • SD
    0.56509
  • Sharpe ratio (Glass type estimate)
    1.10387
  • Sharpe ratio (Hedges UMVUE)
    0.99646
  • df
    8.00000
  • t
    0.95598
  • p
    0.18354
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.25299
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.39667
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.31878
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.31170
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.68261
  • Upside Potential Ratio
    5.63067
  • Upside part of mean
    0.95376
  • Downside part of mean
    -0.32998
  • Upside SD
    0.53627
  • Downside SD
    0.16939
  • N nonnegative terms
    5.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    -0.01890
  • Mean of criterion
    0.62379
  • SD of predictor
    0.12917
  • SD of criterion
    0.56509
  • Covariance
    0.01657
  • r
    0.22708
  • b (slope, estimate of beta)
    0.99347
  • a (intercept, estimate of alpha)
    0.64256
  • Mean Square Error
    0.34613
  • DF error
    7.00000
  • t(b)
    0.61692
  • p(b)
    0.27841
  • t(a)
    0.94491
  • p(a)
    0.18808
  • Lowerbound of 95% confidence interval for beta
    -2.81447
  • Upperbound of 95% confidence interval for beta
    4.80141
  • Lowerbound of 95% confidence interval for alpha
    -0.96544
  • Upperbound of 95% confidence interval for alpha
    2.25057
  • Treynor index (mean / b)
    0.62789
  • Jensen alpha (a)
    0.64256
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19454
  • Expected Shortfall on VaR
    0.24627
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05743
  • Expected Shortfall on VaR
    0.10453
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.89422
  • Quartile 1
    0.96371
  • Median
    1.02231
  • Quartile 3
    1.06484
  • Maximum
    1.54191
  • Mean of quarter 1
    0.92694
  • Mean of quarter 2
    1.00659
  • Mean of quarter 3
    1.05978
  • Mean of quarter 4
    1.35523
  • Inter Quartile Range
    0.10113
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.54191
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -15.22540
  • VaR(95%) (moments method)
    0.07155
  • Expected Shortfall (moments method)
    0.07155
  • Extreme Value Index (regression method)
    -1.50978
  • VaR(95%) (regression method)
    0.12936
  • Expected Shortfall (regression method)
    0.13337
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.21194
  • Quartile 1
    0.21194
  • Median
    0.21194
  • Quartile 3
    0.21194
  • Maximum
    0.21194
  • 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)
    0.84042
  • Compounded annual return (geometric extrapolation)
    0.91879
  • Calmar ratio (compounded annual return / max draw down)
    4.33516
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    3.73083
  • 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
    0.77792
  • SD
    0.54961
  • Sharpe ratio (Glass type estimate)
    1.41539
  • Sharpe ratio (Hedges UMVUE)
    1.41005
  • df
    199.00000
  • t
    1.23663
  • p
    0.44448
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83394
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.66124
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83750
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.65760
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.15220
  • Upside Potential Ratio
    9.59686
  • Upside part of mean
    3.46881
  • Downside part of mean
    -2.69089
  • Upside SD
    0.41500
  • Downside SD
    0.36145
  • N nonnegative terms
    107.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    200.00000
  • Mean of predictor
    0.03933
  • Mean of criterion
    0.77792
  • SD of predictor
    0.14133
  • SD of criterion
    0.54961
  • Covariance
    0.01969
  • r
    0.25353
  • b (slope, estimate of beta)
    0.98597
  • a (intercept, estimate of alpha)
    0.73900
  • Mean Square Error
    0.28409
  • DF error
    198.00000
  • t(b)
    3.68797
  • p(b)
    0.37323
  • t(a)
    1.21144
  • p(a)
    0.45711
  • Lowerbound of 95% confidence interval for beta
    0.45876
  • Upperbound of 95% confidence interval for beta
    1.51318
  • Lowerbound of 95% confidence interval for alpha
    -0.46405
  • Upperbound of 95% confidence interval for alpha
    1.94233
  • Treynor index (mean / b)
    0.78899
  • Jensen alpha (a)
    0.73914
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62724
  • SD
    0.54844
  • Sharpe ratio (Glass type estimate)
    1.14368
  • Sharpe ratio (Hedges UMVUE)
    1.13936
  • df
    199.00000
  • t
    0.99923
  • p
    0.45506
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10384
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.38835
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.10671
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.38543
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66925
  • Upside Potential Ratio
    9.01273
  • Upside part of mean
    3.38662
  • Downside part of mean
    -2.75938
  • Upside SD
    0.39948
  • Downside SD
    0.37576
  • N nonnegative terms
    107.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    200.00000
  • Mean of predictor
    0.02938
  • Mean of criterion
    0.62724
  • SD of predictor
    0.14147
  • SD of criterion
    0.54844
  • Covariance
    0.01985
  • r
    0.25590
  • b (slope, estimate of beta)
    0.99210
  • a (intercept, estimate of alpha)
    0.59809
  • Mean Square Error
    0.28251
  • DF error
    198.00000
  • t(b)
    3.72493
  • p(b)
    0.37205
  • t(a)
    0.98306
  • p(a)
    0.46515
  • Lowerbound of 95% confidence interval for beta
    0.46687
  • Upperbound of 95% confidence interval for beta
    1.51733
  • Lowerbound of 95% confidence interval for alpha
    -0.60168
  • Upperbound of 95% confidence interval for alpha
    1.79786
  • Treynor index (mean / b)
    0.63223
  • Jensen alpha (a)
    0.59809
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05194
  • Expected Shortfall on VaR
    0.06520
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02245
  • Expected Shortfall on VaR
    0.04567
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    200.00000
  • Minimum
    0.86537
  • Quartile 1
    0.98822
  • Median
    1.00246
  • Quartile 3
    1.01923
  • Maximum
    1.16612
  • Mean of quarter 1
    0.96375
  • Mean of quarter 2
    0.99557
  • Mean of quarter 3
    1.01045
  • Mean of quarter 4
    1.04254
  • Inter Quartile Range
    0.03101
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.04000
  • Mean of outliers low
    0.91469
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.03500
  • Mean of outliers high
    1.09530
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22342
  • VaR(95%) (moments method)
    0.03402
  • Expected Shortfall (moments method)
    0.05453
  • Extreme Value Index (regression method)
    0.17083
  • VaR(95%) (regression method)
    0.03105
  • Expected Shortfall (regression method)
    0.04681
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00005
  • Quartile 1
    0.01204
  • Median
    0.03817
  • Quartile 3
    0.07276
  • Maximum
    0.34288
  • Mean of quarter 1
    0.00558
  • Mean of quarter 2
    0.02722
  • Mean of quarter 3
    0.04745
  • Mean of quarter 4
    0.15343
  • Inter Quartile Range
    0.06071
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    0.34288
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.58260
  • VaR(95%) (moments method)
    0.19064
  • Expected Shortfall (moments method)
    0.47174
  • Extreme Value Index (regression method)
    2.38332
  • VaR(95%) (regression method)
    0.28580
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.85006
  • Compounded annual return (geometric extrapolation)
    0.92542
  • Calmar ratio (compounded annual return / max draw down)
    2.69899
  • Compounded annual return / average of 25% largest draw downs
    6.03150
  • Compounded annual return / Expected Shortfall lognormal
    14.19460
  • 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
    0.11898
  • SD
    0.55961
  • Sharpe ratio (Glass type estimate)
    0.21261
  • Sharpe ratio (Hedges UMVUE)
    0.21138
  • df
    130.00000
  • t
    0.15034
  • p
    0.49341
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.55968
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.98417
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.56055
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98330
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29249
  • Upside Potential Ratio
    8.12263
  • Upside part of mean
    3.30406
  • Downside part of mean
    -3.18508
  • Upside SD
    0.38126
  • Downside SD
    0.40677
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.07112
  • Mean of criterion
    0.11898
  • SD of predictor
    0.16097
  • SD of criterion
    0.55961
  • Covariance
    0.03222
  • r
    0.35763
  • b (slope, estimate of beta)
    1.24330
  • a (intercept, estimate of alpha)
    0.20741
  • Mean Square Error
    0.27522
  • DF error
    129.00000
  • t(b)
    4.34962
  • p(b)
    0.27727
  • t(a)
    0.27945
  • p(a)
    0.48434
  • Lowerbound of 95% confidence interval for beta
    0.67776
  • Upperbound of 95% confidence interval for beta
    1.80884
  • Lowerbound of 95% confidence interval for alpha
    -1.26106
  • Upperbound of 95% confidence interval for alpha
    1.67587
  • Treynor index (mean / b)
    0.09569
  • Jensen alpha (a)
    0.20741
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03820
  • SD
    0.56470
  • Sharpe ratio (Glass type estimate)
    -0.06765
  • Sharpe ratio (Hedges UMVUE)
    -0.06726
  • df
    130.00000
  • t
    -0.04784
  • p
    0.50210
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.83935
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.70429
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.83908
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.70456
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.09021
  • Upside Potential Ratio
    7.63607
  • Upside part of mean
    3.23381
  • Downside part of mean
    -3.27202
  • Upside SD
    0.37029
  • Downside SD
    0.42349
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08400
  • Mean of criterion
    -0.03820
  • SD of predictor
    0.16114
  • SD of criterion
    0.56470
  • Covariance
    0.03253
  • r
    0.35748
  • b (slope, estimate of beta)
    1.25274
  • a (intercept, estimate of alpha)
    0.06703
  • Mean Square Error
    0.28029
  • DF error
    129.00000
  • t(b)
    4.34754
  • p(b)
    0.27736
  • t(a)
    0.08948
  • p(a)
    0.49499
  • VAR (95 Confidence Intrvl)
    0.05100
  • Lowerbound of 95% confidence interval for beta
    0.68263
  • Upperbound of 95% confidence interval for beta
    1.82285
  • Lowerbound of 95% confidence interval for alpha
    -1.41510
  • Upperbound of 95% confidence interval for alpha
    1.54916
  • Treynor index (mean / b)
    -0.03050
  • Jensen alpha (a)
    0.06703
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05591
  • Expected Shortfall on VaR
    0.06949
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02812
  • Expected Shortfall on VaR
    0.05523
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.86537
  • Quartile 1
    0.98577
  • Median
    0.99999
  • Quartile 3
    1.02014
  • Maximum
    1.09746
  • Mean of quarter 1
    0.95820
  • Mean of quarter 2
    0.99375
  • Mean of quarter 3
    1.00989
  • Mean of quarter 4
    1.04068
  • Inter Quartile Range
    0.03437
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.90637
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.08681
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.06672
  • VaR(95%) (moments method)
    0.03766
  • Expected Shortfall (moments method)
    0.05350
  • Extreme Value Index (regression method)
    0.21453
  • VaR(95%) (regression method)
    0.03913
  • Expected Shortfall (regression method)
    0.06133
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00682
  • Median
    0.03300
  • Quartile 3
    0.07678
  • Maximum
    0.34288
  • Mean of quarter 1
    0.00266
  • Mean of quarter 2
    0.01325
  • Mean of quarter 3
    0.06118
  • Mean of quarter 4
    0.21174
  • Inter Quartile Range
    0.06996
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.34288
  • 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?
    -299944000
  • Max Equity Drawdown (num days)
    73
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01027
  • Compounded annual return (geometric extrapolation)
    -0.01024
  • Calmar ratio (compounded annual return / max draw down)
    -0.02988
  • Compounded annual return / average of 25% largest draw downs
    -0.04838
  • Compounded annual return / Expected Shortfall lognormal
    -0.14741

Strategy Description

*Aggressive strategy based on classic technical analysis and the proven author's trading system;
*High volatility but mathematically optimal combination of ACCEPTABLE RISK and MAXIMUM REWARD;
*A large number of instruments (major indices, ETFs, stocks, commodities, currencies) with low correlation;
*Combination of trend & counter trend strategies;
*Min leverage;
*Mathematically verified method;
*Recommended copying period from 6 month. Be patient - CONTINUOUSLY FOLLOWING THE STRATEGY MULTIPLIES THE CHANCES OF SUCCESS!

Summary Statistics

Strategy began
2021-05-23
Suggested Minimum Capital
$80,000
# Trades
88
# Profitable
57
% Profitable
64.8%
Correlation S&P500
0.232
Sharpe Ratio
0.90
Sortino Ratio
1.31
Beta
0.72
Alpha
0.16
Leverage
1.88 Average
30.92 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.