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These are hypothetical performance results that have certain inherent limitations. Learn more

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 09/08/2020
Most recent certification approved 9/8/20 10:40 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 21
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 19
Percent signals followed since 09/08/2020 90.5%
This information was last updated 10/26/20 13:30 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 09/08/2020, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Volatility Rider
(123909762)

Created by: RobertPetersonAlgoin RobertPetersonAlgoin
Started: 06/2019
Stocks
Last trade: 5 days ago
Trading style: Equity Trend-following

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 $199.00 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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
63.0%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(14.6%)
Max Drawdown
61
Num Trades
55.7%
Win Trades
2.5 : 1
Profit Factor
76.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                   +2.2%+4.5%+11.2%(3.8%)+9.6%+10.7%+1.1%+40.1%
2020(4.5%)+1.4%(4.1%)+12.4%+9.1%+10.5%+7.0%+4.5%+3.7%(2.5%)            +42.3%

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.

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 66 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
10/14/20 15:17 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,340 21.75 10/15 10:43 22.89 2.82%
Trade id #131700399
Max drawdown($2,952)
Time10/15/20 0:00
Quant open2,340
Worst price23.01
Drawdown as % of equity-2.82%
($2,677)
Includes Typical Broker Commissions trade costs of $7.50
10/7/20 10:33 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,072 24.28 10/12 10:31 22.41 0.15%
Trade id #131564428
Max drawdown($150)
Time10/7/20 12:27
Quant open1,036
Worst price24.71
Drawdown as % of equity-0.15%
$3,867
Includes Typical Broker Commissions trade costs of $10.00
10/5/20 14:18 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,044 24.96 10/6 15:51 25.43 0.96%
Trade id #131523534
Max drawdown($977)
Time10/6/20 15:06
Quant open2,044
Worst price25.44
Drawdown as % of equity-0.96%
($968)
Includes Typical Broker Commissions trade costs of $7.50
9/29/20 14:32 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,010 24.67 9/30 13:46 24.75 0.53%
Trade id #131421130
Max drawdown($542)
Time9/29/20 15:56
Quant open2,010
Worst price24.94
Drawdown as % of equity-0.53%
($164)
Includes Typical Broker Commissions trade costs of $5.00
9/11/20 11:16 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,975 26.15 9/21 10:41 26.62 1.98%
Trade id #131133028
Max drawdown($2,042)
Time9/11/20 13:32
Quant open1,975
Worst price27.18
Drawdown as % of equity-1.98%
($942)
Includes Typical Broker Commissions trade costs of $5.00
9/8/20 10:39 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,670 29.46 9/9 15:35 26.47 1.33%
Trade id #131066008
Max drawdown($1,299)
Time9/8/20 11:32
Quant open1,670
Worst price30.24
Drawdown as % of equity-1.33%
$4,991
Includes Typical Broker Commissions trade costs of $5.00
8/12/20 10:31 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,850 25.49 8/18 10:30 24.86 0.84%
Trade id #130582315
Max drawdown($828)
Time8/14/20 0:00
Quant open1,850
Worst price25.94
Drawdown as % of equity-0.84%
$1,162
Includes Typical Broker Commissions trade costs of $5.00
8/4/20 13:36 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,713 27.71 8/10 15:32 25.79 0.72%
Trade id #130451322
Max drawdown($681)
Time8/4/20 14:40
Quant open1,713
Worst price28.11
Drawdown as % of equity-0.72%
$3,286
Includes Typical Broker Commissions trade costs of $5.00
7/27/20 14:07 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,572 29.76 7/28 15:30 28.94 0.17%
Trade id #130298749
Max drawdown($156)
Time7/27/20 14:18
Quant open1,572
Worst price29.86
Drawdown as % of equity-0.17%
$1,290
Includes Typical Broker Commissions trade costs of $5.00
7/23/20 9:35 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,615 28.92 7/23 12:36 29.32 0.76%
Trade id #130236888
Max drawdown($714)
Time7/23/20 12:36
Quant open1,615
Worst price29.36
Drawdown as % of equity-0.76%
($654)
Includes Typical Broker Commissions trade costs of $5.00
7/15/20 13:36 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,230 32.63 7/20 10:59 29.60 0.59%
Trade id #130098366
Max drawdown($539)
Time7/16/20 0:00
Quant open1,230
Worst price33.07
Drawdown as % of equity-0.59%
$3,727
Includes Typical Broker Commissions trade costs of $5.00
7/14/20 14:35 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,230 33.53 7/15 11:55 33.08 0.75%
Trade id #130077398
Max drawdown($679)
Time7/14/20 15:19
Quant open1,230
Worst price34.08
Drawdown as % of equity-0.75%
$549
Includes Typical Broker Commissions trade costs of $5.00
7/10/20 15:36 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,420 32.17 7/13 14:33 33.07 1.5%
Trade id #130022484
Max drawdown($1,361)
Time7/13/20 14:32
Quant open1,420
Worst price33.13
Drawdown as % of equity-1.50%
($1,287)
Includes Typical Broker Commissions trade costs of $5.00
6/29/20 15:24 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,142 36.20 7/2 9:30 31.50 0.11%
Trade id #129808263
Max drawdown($93)
Time6/29/20 15:49
Quant open1,142
Worst price36.28
Drawdown as % of equity-0.11%
$5,367
Includes Typical Broker Commissions trade costs of $5.00
6/18/20 15:45 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,125 36.62 6/23 15:34 34.22 2.02%
Trade id #129646586
Max drawdown($1,698)
Time6/19/20 0:00
Quant open1,125
Worst price38.13
Drawdown as % of equity-2.02%
$2,694
Includes Typical Broker Commissions trade costs of $5.00
6/5/20 9:41 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,432 28.89 6/8 15:30 29.85 1.6%
Trade id #129378400
Max drawdown($1,346)
Time6/8/20 15:29
Quant open1,432
Worst price29.83
Drawdown as % of equity-1.60%
($1,379)
Includes Typical Broker Commissions trade costs of $5.00
6/2/20 13:52 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,240 32.77 6/5 9:30 28.96 0.34%
Trade id #129315566
Max drawdown($271)
Time6/2/20 15:26
Quant open1,240
Worst price32.99
Drawdown as % of equity-0.34%
$4,718
Includes Typical Broker Commissions trade costs of $7.50
5/20/20 11:46 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,165 34.11 5/26 15:31 33.33 1.95%
Trade id #129110715
Max drawdown($1,537)
Time5/22/20 0:00
Quant open1,165
Worst price35.43
Drawdown as % of equity-1.95%
$905
Includes Typical Broker Commissions trade costs of $5.00
5/15/20 13:39 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,016 37.41 5/19 15:31 34.22 0.35%
Trade id #129045351
Max drawdown($264)
Time5/15/20 15:01
Quant open1,016
Worst price37.67
Drawdown as % of equity-0.35%
$3,232
Includes Typical Broker Commissions trade costs of $11.56
5/6/20 13:17 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,000 38.30 5/11 12:19 33.95 2.91%
Trade id #128894036
Max drawdown($1,939)
Time5/6/20 16:00
Quant open2,000
Worst price39.27
Drawdown as % of equity-2.91%
$8,685
Includes Typical Broker Commissions trade costs of $7.50
4/28/20 14:33 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,605 38.07 5/1 11:50 41.56 7.99%
Trade id #128774707
Max drawdown($5,473)
Time5/1/20 11:46
Quant open1,605
Worst price41.48
Drawdown as % of equity-7.99%
($5,609)
Includes Typical Broker Commissions trade costs of $7.50
4/24/20 14:34 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,612 42.38 4/27 11:14 38.41 0.12%
Trade id #128732459
Max drawdown($80)
Time4/24/20 14:37
Quant open1,612
Worst price42.43
Drawdown as % of equity-0.12%
$6,385
Includes Typical Broker Commissions trade costs of $7.50
4/17/20 15:36 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,600 39.04 4/20 14:42 41.19 5.31%
Trade id #128630104
Max drawdown($3,744)
Time4/20/20 9:31
Quant open1,600
Worst price41.38
Drawdown as % of equity-5.31%
($3,453)
Includes Typical Broker Commissions trade costs of $9.83
4/9/20 10:37 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,720 41.57 4/14 10:55 37.93 3.35%
Trade id #128496991
Max drawdown($2,150)
Time4/9/20 11:26
Quant open1,720
Worst price42.82
Drawdown as % of equity-3.35%
$6,254
Includes Typical Broker Commissions trade costs of $7.50
3/31/20 14:57 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 765 45.63 4/1 12:38 48.04 3.18%
Trade id #128344755
Max drawdown($2,077)
Time4/1/20 0:00
Quant open395
Worst price50.89
Drawdown as % of equity-3.18%
($1,851)
Includes Typical Broker Commissions trade costs of $10.15
3/20/20 10:33 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 630 54.95 3/20 11:06 54.01 0.34%
Trade id #128159594
Max drawdown($226)
Time3/20/20 10:43
Quant open630
Worst price55.31
Drawdown as % of equity-0.34%
$587
Includes Typical Broker Commissions trade costs of $5.00
3/17/20 12:00 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,237 57.07 3/17 13:10 59.46 3.51%
Trade id #128089210
Max drawdown($2,350)
Time3/17/20 13:10
Quant open1,237
Worst price58.97
Drawdown as % of equity-3.51%
($2,961)
Includes Typical Broker Commissions trade costs of $5.00
3/13/20 13:47 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,534 45.78 3/13 15:40 44.37 2.42%
Trade id #128036346
Max drawdown($1,687)
Time3/13/20 15:35
Quant open1,534
Worst price46.88
Drawdown as % of equity-2.42%
$2,158
Includes Typical Broker Commissions trade costs of $5.00
3/3/20 10:43 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,604 21.90 3/3 11:14 22.95 2.38%
Trade id #127827192
Max drawdown($1,620)
Time3/3/20 11:14
Quant open1,604
Worst price22.91
Drawdown as % of equity-2.38%
($1,689)
Includes Typical Broker Commissions trade costs of $5.00
2/4/20 15:02 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,260 14.71 2/6 9:36 14.20 0.57%
Trade id #127362348
Max drawdown($384)
Time2/4/20 15:58
Quant open2,260
Worst price14.88
Drawdown as % of equity-0.57%
$1,148
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    6/3/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    512.94
  • Age
    17 months ago
  • What it trades
    Stocks
  • # Trades
    61
  • # Profitable
    34
  • % Profitable
    55.70%
  • Avg trade duration
    2.8 days
  • Max peak-to-valley drawdown
    14.59%
  • drawdown period
    Jan 03, 2020 - April 09, 2020
  • Annual Return (Compounded)
    63.0%
  • Avg win
    $2,674
  • Avg loss
    $1,360
  • Model Account Values (Raw)
  • Cash
    $104,224
  • Margin Used
    $0
  • Buying Power
    $104,224
  • Ratios
  • W:L ratio
    2.48:1
  • Sharpe Ratio
    2.13
  • Sortino Ratio
    3.86
  • Calmar Ratio
    6.389
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    75.82%
  • Correlation to SP500
    0.20900
  • Return Percent SP500 (cumu) during strategy life
    23.55%
  • Return Statistics
  • Ann Return (w trading costs)
    63.0%
  • Slump
  • Current Slump as Pcnt Equity
    8.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.08%
  • Return Statistics
  • Return Pcnt Since TOS Status
    1.580%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.630%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    68.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.00%
  • 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
    140.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    952
  • Popularity (Last 6 weeks)
    996
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    945
  • Popularity (7 days, Percentile 1000 scale)
    979
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $1,360
  • Avg Win
    $2,675
  • Sum Trade PL (losers)
    $36,723.000
  • AUM
  • AUM (AutoTrader num accounts)
    23
  • Age
  • Num Months filled monthly returns table
    17
  • Win / Loss
  • Sum Trade PL (winners)
    $90,947.000
  • # Winners
    34
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    2377350
  • Win / Loss
  • # Losers
    27
  • % Winners
    55.7%
  • Frequency
  • Avg Position Time (mins)
    3969.25
  • Avg Position Time (hrs)
    66.15
  • Avg Trade Length
    2.8 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.75
  • Daily leverage (max)
    1.13
  • Regression
  • Alpha
    0.13
  • Beta
    0.13
  • Treynor Index
    1.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    8.20
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    21.97
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.94
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.331
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.316
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.182
  • Hold-and-Hope Ratio
    0.751
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.58344
  • SD
    0.25444
  • Sharpe ratio (Glass type estimate)
    2.29304
  • Sharpe ratio (Hedges UMVUE)
    2.17611
  • df
    15.00000
  • t
    2.64778
  • p
    0.16082
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.37996
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.14441
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30864
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.04359
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.95650
  • Upside Potential Ratio
    13.70390
  • Upside part of mean
    0.66870
  • Downside part of mean
    -0.08527
  • Upside SD
    0.29441
  • Downside SD
    0.04880
  • N nonnegative terms
    11.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.14770
  • Mean of criterion
    0.58344
  • SD of predictor
    0.21929
  • SD of criterion
    0.25444
  • Covariance
    0.03367
  • r
    0.60342
  • b (slope, estimate of beta)
    0.70015
  • a (intercept, estimate of alpha)
    0.48002
  • Mean Square Error
    0.04411
  • DF error
    14.00000
  • t(b)
    2.83137
  • p(b)
    0.19829
  • t(a)
    2.58758
  • p(a)
    0.21560
  • Lowerbound of 95% confidence interval for beta
    0.16978
  • Upperbound of 95% confidence interval for beta
    1.23051
  • Lowerbound of 95% confidence interval for alpha
    0.08214
  • Upperbound of 95% confidence interval for alpha
    0.87790
  • Treynor index (mean / b)
    0.83331
  • Jensen alpha (a)
    0.48002
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54214
  • SD
    0.23416
  • Sharpe ratio (Glass type estimate)
    2.31526
  • Sharpe ratio (Hedges UMVUE)
    2.19720
  • df
    15.00000
  • t
    2.67343
  • p
    0.15887
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39860
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.16986
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.32656
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.06783
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.96760
  • Upside Potential Ratio
    12.71300
  • Upside part of mean
    0.62842
  • Downside part of mean
    -0.08628
  • Upside SD
    0.27103
  • Downside SD
    0.04943
  • N nonnegative terms
    11.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.12408
  • Mean of criterion
    0.54214
  • SD of predictor
    0.21981
  • SD of criterion
    0.23416
  • Covariance
    0.03079
  • r
    0.59814
  • b (slope, estimate of beta)
    0.63720
  • a (intercept, estimate of alpha)
    0.46308
  • Mean Square Error
    0.03773
  • DF error
    14.00000
  • t(b)
    2.79267
  • p(b)
    0.20093
  • t(a)
    2.71467
  • p(a)
    0.20638
  • Lowerbound of 95% confidence interval for beta
    0.14783
  • Upperbound of 95% confidence interval for beta
    1.12657
  • Lowerbound of 95% confidence interval for alpha
    0.09721
  • Upperbound of 95% confidence interval for alpha
    0.82895
  • Treynor index (mean / b)
    0.85082
  • Jensen alpha (a)
    0.46308
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06388
  • Expected Shortfall on VaR
    0.08966
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01199
  • Expected Shortfall on VaR
    0.02498
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.96734
  • Quartile 1
    0.99437
  • Median
    1.04389
  • Quartile 3
    1.08682
  • Maximum
    1.25267
  • Mean of quarter 1
    0.97509
  • Mean of quarter 2
    1.01955
  • Mean of quarter 3
    1.06528
  • Mean of quarter 4
    1.14388
  • Inter Quartile Range
    0.09245
  • 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
    0.06250
  • Mean of outliers high
    1.25267
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.97547
  • VaR(95%) (moments method)
    0.02621
  • Expected Shortfall (moments method)
    0.02622
  • Extreme Value Index (regression method)
    -1.82163
  • VaR(95%) (regression method)
    0.03631
  • Expected Shortfall (regression method)
    0.03717
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00240
  • Quartile 1
    0.01753
  • Median
    0.03266
  • Quartile 3
    0.04910
  • Maximum
    0.06555
  • Mean of quarter 1
    0.00240
  • Mean of quarter 2
    0.03266
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06555
  • Inter Quartile Range
    0.03157
  • 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)
    0.85381
  • Compounded annual return (geometric extrapolation)
    0.76836
  • Calmar ratio (compounded annual return / max draw down)
    11.72200
  • Compounded annual return / average of 25% largest draw downs
    11.72200
  • Compounded annual return / Expected Shortfall lognormal
    8.56923
  • 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
    0.51824
  • SD
    0.19306
  • Sharpe ratio (Glass type estimate)
    2.68437
  • Sharpe ratio (Hedges UMVUE)
    2.67883
  • df
    364.00000
  • t
    3.16838
  • p
    0.00083
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.01062
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.35454
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.00692
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.35074
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.04945
  • Upside Potential Ratio
    10.66590
  • Upside part of mean
    1.09468
  • Downside part of mean
    -0.57644
  • Upside SD
    0.16632
  • Downside SD
    0.10263
  • N nonnegative terms
    123.00000
  • N negative terms
    242.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    365.00000
  • Mean of predictor
    0.16837
  • Mean of criterion
    0.51824
  • SD of predictor
    0.29720
  • SD of criterion
    0.19306
  • Covariance
    0.01128
  • r
    0.19654
  • b (slope, estimate of beta)
    0.12767
  • a (intercept, estimate of alpha)
    0.49700
  • Mean Square Error
    0.03593
  • DF error
    363.00000
  • t(b)
    3.81902
  • p(b)
    0.00008
  • t(a)
    3.09121
  • p(a)
    0.00107
  • Lowerbound of 95% confidence interval for beta
    0.06193
  • Upperbound of 95% confidence interval for beta
    0.19341
  • Lowerbound of 95% confidence interval for alpha
    0.18073
  • Upperbound of 95% confidence interval for alpha
    0.81275
  • Treynor index (mean / b)
    4.05925
  • Jensen alpha (a)
    0.49674
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49932
  • SD
    0.19143
  • Sharpe ratio (Glass type estimate)
    2.60832
  • Sharpe ratio (Hedges UMVUE)
    2.60294
  • df
    364.00000
  • t
    3.07862
  • p
    0.00112
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.93525
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.27790
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.93166
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.27422
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.79407
  • Upside Potential Ratio
    10.37950
  • Upside part of mean
    1.08107
  • Downside part of mean
    -0.58175
  • Upside SD
    0.16325
  • Downside SD
    0.10415
  • N nonnegative terms
    123.00000
  • N negative terms
    242.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    365.00000
  • Mean of predictor
    0.12387
  • Mean of criterion
    0.49932
  • SD of predictor
    0.29937
  • SD of criterion
    0.19143
  • Covariance
    0.01114
  • r
    0.19441
  • b (slope, estimate of beta)
    0.12432
  • a (intercept, estimate of alpha)
    0.48392
  • Mean Square Error
    0.03536
  • DF error
    363.00000
  • t(b)
    3.77613
  • p(b)
    0.00009
  • t(a)
    3.03654
  • p(a)
    0.00128
  • Lowerbound of 95% confidence interval for beta
    0.05958
  • Upperbound of 95% confidence interval for beta
    0.18906
  • Lowerbound of 95% confidence interval for alpha
    0.17053
  • Upperbound of 95% confidence interval for alpha
    0.79732
  • Treynor index (mean / b)
    4.01644
  • Jensen alpha (a)
    0.48392
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01739
  • Expected Shortfall on VaR
    0.02223
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00594
  • Expected Shortfall on VaR
    0.01266
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    365.00000
  • Minimum
    0.94549
  • Quartile 1
    0.99997
  • Median
    1.00000
  • Quartile 3
    1.00391
  • Maximum
    1.06888
  • Mean of quarter 1
    0.99155
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00080
  • Mean of quarter 4
    1.01610
  • Inter Quartile Range
    0.00394
  • Number outliers low
    43.00000
  • Percentage of outliers low
    0.11781
  • Mean of outliers low
    0.98485
  • Number of outliers high
    51.00000
  • Percentage of outliers high
    0.13973
  • Mean of outliers high
    1.02331
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.31396
  • VaR(95%) (moments method)
    0.00310
  • Expected Shortfall (moments method)
    0.00410
  • Extreme Value Index (regression method)
    0.15671
  • VaR(95%) (regression method)
    0.00795
  • Expected Shortfall (regression method)
    0.01453
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    27.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00234
  • Median
    0.00938
  • Quartile 3
    0.02651
  • Maximum
    0.10867
  • Mean of quarter 1
    0.00104
  • Mean of quarter 2
    0.00528
  • Mean of quarter 3
    0.01423
  • Mean of quarter 4
    0.06234
  • Inter Quartile Range
    0.02418
  • 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
    0.14815
  • Mean of outliers high
    0.08713
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.16625
  • VaR(95%) (moments method)
    0.06375
  • Expected Shortfall (moments method)
    0.09678
  • Extreme Value Index (regression method)
    -0.78890
  • VaR(95%) (regression method)
    0.05511
  • Expected Shortfall (regression method)
    0.05988
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.77842
  • Compounded annual return (geometric extrapolation)
    0.69423
  • Calmar ratio (compounded annual return / max draw down)
    6.38851
  • Compounded annual return / average of 25% largest draw downs
    11.13710
  • Compounded annual return / Expected Shortfall lognormal
    31.23070
  • 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
    0.64704
  • SD
    0.19869
  • Sharpe ratio (Glass type estimate)
    3.25651
  • Sharpe ratio (Hedges UMVUE)
    3.23769
  • df
    130.00000
  • t
    2.30270
  • p
    0.40102
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45061
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.05035
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43808
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.03729
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.74176
  • Upside Potential Ratio
    10.88690
  • Upside part of mean
    1.22684
  • Downside part of mean
    -0.57980
  • Upside SD
    0.16756
  • Downside SD
    0.11269
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33175
  • Mean of criterion
    0.64704
  • SD of predictor
    0.20674
  • SD of criterion
    0.19869
  • Covariance
    0.01418
  • r
    0.34510
  • b (slope, estimate of beta)
    0.33167
  • a (intercept, estimate of alpha)
    0.53701
  • Mean Square Error
    0.03505
  • DF error
    129.00000
  • t(b)
    4.17621
  • p(b)
    0.28474
  • t(a)
    2.01840
  • p(a)
    0.38918
  • Lowerbound of 95% confidence interval for beta
    0.17454
  • Upperbound of 95% confidence interval for beta
    0.48880
  • Lowerbound of 95% confidence interval for alpha
    0.01061
  • Upperbound of 95% confidence interval for alpha
    1.06341
  • Treynor index (mean / b)
    1.95086
  • Jensen alpha (a)
    0.53701
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62673
  • SD
    0.19789
  • Sharpe ratio (Glass type estimate)
    3.16696
  • Sharpe ratio (Hedges UMVUE)
    3.14865
  • df
    130.00000
  • t
    2.23938
  • p
    0.40364
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36270
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.95940
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35055
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.94676
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.45826
  • Upside Potential Ratio
    10.56400
  • Upside part of mean
    1.21298
  • Downside part of mean
    -0.58625
  • Upside SD
    0.16486
  • Downside SD
    0.11482
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31014
  • Mean of criterion
    0.62673
  • SD of predictor
    0.20801
  • SD of criterion
    0.19789
  • Covariance
    0.01410
  • r
    0.34258
  • b (slope, estimate of beta)
    0.32592
  • a (intercept, estimate of alpha)
    0.52565
  • Mean Square Error
    0.03483
  • DF error
    129.00000
  • t(b)
    4.14155
  • p(b)
    0.28625
  • t(a)
    1.98301
  • p(a)
    0.39105
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    0.17022
  • Upperbound of 95% confidence interval for beta
    0.48161
  • Lowerbound of 95% confidence interval for alpha
    0.00119
  • Upperbound of 95% confidence interval for alpha
    1.05010
  • Treynor index (mean / b)
    1.92297
  • Jensen alpha (a)
    0.52565
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01756
  • Expected Shortfall on VaR
    0.02256
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00565
  • Expected Shortfall on VaR
    0.01237
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94549
  • Quartile 1
    0.99976
  • Median
    1.00000
  • Quartile 3
    1.00476
  • Maximum
    1.05776
  • Mean of quarter 1
    0.99148
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00169
  • Mean of quarter 4
    1.01711
  • Inter Quartile Range
    0.00500
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.98059
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.14504
  • Mean of outliers high
    1.02366
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18038
  • VaR(95%) (moments method)
    0.00311
  • Expected Shortfall (moments method)
    0.00537
  • Extreme Value Index (regression method)
    0.42484
  • VaR(95%) (regression method)
    0.00686
  • Expected Shortfall (regression method)
    0.01638
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00049
  • Quartile 1
    0.00188
  • Median
    0.00472
  • Quartile 3
    0.00958
  • Maximum
    0.10713
  • Mean of quarter 1
    0.00109
  • Mean of quarter 2
    0.00356
  • Mean of quarter 3
    0.00708
  • Mean of quarter 4
    0.04821
  • Inter Quartile Range
    0.00769
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.08530
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.62535
  • VaR(95%) (moments method)
    0.04444
  • Expected Shortfall (moments method)
    0.14165
  • Extreme Value Index (regression method)
    1.15702
  • VaR(95%) (regression method)
    0.07988
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -284915000
  • Max Equity Drawdown (num days)
    97
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.77448
  • Compounded annual return (geometric extrapolation)
    0.92444
  • Calmar ratio (compounded annual return / max draw down)
    8.62940
  • Compounded annual return / average of 25% largest draw downs
    19.17410
  • Compounded annual return / Expected Shortfall lognormal
    40.98030

Strategy Description

Send me a message for more info.
Robert

Summary Statistics

Strategy began
2019-06-03
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 5.5%
Rank # 
#37
# Trades
61
# Profitable
34
% Profitable
55.7%
Correlation S&P500
0.209
Sharpe Ratio
2.13
Sortino Ratio
3.86
Beta
0.13
Alpha
0.13
Leverage
0.75 Average
1.13 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.