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Forex Aggressive Risk
(117863277)

Created by: JayMcGivney6 JayMcGivney6
Started: 05/2018
Forex
Last trade: 7 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $125.00 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.

141.9%
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.

(51.5%)
Max Drawdown
272
Num Trades
94.9%
Win Trades
4.7 : 1
Profit Factor
76.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                            +15.0%+11.0%+13.1%(10%)(2.9%)+24.2%+5.9%+0.3%+66.7%
2019+17.6%(8.4%)+35.0%(7.1%)+29.2%+7.8%+20.4%+1.2%+7.5%+1.1%+14.0%(44.5%)+57.8%
2020+71.2%                                                                  +71.2%

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 352 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/6/20 10:56 EUR/AUD EUR/AUD SHORT 50 1.61308 1/10 5:56 1.61316 6.01%
Trade id #126882173
Max drawdown($5,597)
Time1/8/20 0:00
Quant open50
Worst price1.62939
Drawdown as % of equity-6.01%
($27)
10/10/19 11:12 AUD/JPY AUD/JPY SHORT 200 74.272 1/7/20 18:23 74.269 69.76%
Trade id #125722104
Max drawdown($41,515)
Time12/27/19 0:00
Quant open200
Worst price76.543
Drawdown as % of equity-69.76%
$59
12/20/19 8:30 NZD/CAD NZD/CAD SHORT 100 0.86841 12/20 16:53 0.86915 1.86%
Trade id #126700849
Max drawdown($1,468)
Time12/20/19 10:51
Quant open80
Worst price0.87082
Drawdown as % of equity-1.86%
($562)
12/18/19 10:33 CAD/JPY CAD/JPY SHORT 80 83.435 12/19 10:51 83.233 1.72%
Trade id #126670048
Max drawdown($1,488)
Time12/18/19 11:25
Quant open80
Worst price83.639
Drawdown as % of equity-1.72%
$1,478
12/17/19 13:59 CHF/JPY CHF/JPY SHORT 80 111.666 12/18 3:15 111.485 1%
Trade id #126659463
Max drawdown($866)
Time12/17/19 18:31
Quant open80
Worst price111.785
Drawdown as % of equity-1.00%
$1,326
12/10/19 10:02 GBP/USD GBP/USD SHORT 80 1.31727 12/10 17:03 1.31384 3.52%
Trade id #126559325
Max drawdown($3,386)
Time12/10/19 14:54
Quant open80
Worst price1.32150
Drawdown as % of equity-3.52%
$2,746
12/9/19 12:34 NZD/CHF NZD/CHF LONG 80 0.64764 12/9 12:34 0.64760 0.04%
Trade id #126545907
Max drawdown($37)
Time12/9/19 12:34
Quant open80
Worst price0.64760
Drawdown as % of equity-0.04%
($37)
12/9/19 11:02 NZD/CHF NZD/CHF SHORT 80 0.64850 12/9 12:34 0.64763 0.15%
Trade id #126543575
Max drawdown($144)
Time12/9/19 11:03
Quant open80
Worst price0.64868
Drawdown as % of equity-0.15%
$704
12/3/19 10:28 AUD/CAD AUD/CAD SHORT 80 0.91083 12/3 10:43 0.90951 0.06%
Trade id #126459069
Max drawdown($59)
Time12/3/19 10:29
Quant open80
Worst price0.91093
Drawdown as % of equity-0.06%
$797
11/22/19 9:59 USD/CHF USD/CHF SHORT 80 0.99626 12/2 10:00 0.99418 5.13%
Trade id #126323916
Max drawdown($4,860)
Time11/29/19 0:00
Quant open80
Worst price1.00233
Drawdown as % of equity-5.13%
$1,672
11/28/19 10:14 USD/JPY USD/JPY SHORT 56 109.511 12/2 10:00 109.409 1.07%
Trade id #126405324
Max drawdown($990)
Time12/2/19 3:42
Quant open56
Worst price109.704
Drawdown as % of equity-1.07%
$523
11/27/19 9:47 CAD/JPY CAD/JPY SHORT 50 82.322 11/27 20:16 82.343 1%
Trade id #126385188
Max drawdown($927)
Time11/27/19 14:39
Quant open50
Worst price82.525
Drawdown as % of equity-1.00%
($95)
11/19/19 9:53 NZD/USD NZD/USD SHORT 60 0.64218 11/20 11:55 0.64105 0.88%
Trade id #126268046
Max drawdown($849)
Time11/19/19 19:16
Quant open60
Worst price0.64359
Drawdown as % of equity-0.88%
$674
11/18/19 11:25 EUR/CAD EUR/CAD SHORT 50 1.46523 11/18 15:38 1.46305 0.03%
Trade id #126254711
Max drawdown($32)
Time11/18/19 11:26
Quant open50
Worst price1.46532
Drawdown as % of equity-0.03%
$826
11/18/19 10:04 GBP/AUD GBP/AUD SHORT 60 1.90396 11/18 10:32 1.90205 0.21%
Trade id #126252619
Max drawdown($198)
Time11/18/19 10:10
Quant open60
Worst price1.90445
Drawdown as % of equity-0.21%
$783
11/8/19 10:31 USD/CAD USD/CAD SHORT 40 1.32276 11/17 21:46 1.32185 1.38%
Trade id #126130744
Max drawdown($1,298)
Time11/14/19 0:00
Quant open40
Worst price1.32706
Drawdown as % of equity-1.38%
$275
11/14/19 13:36 EUR/AUD EUR/AUD SHORT 40 1.62504 11/14 20:08 1.62200 0.3%
Trade id #126214933
Max drawdown($290)
Time11/14/19 13:59
Quant open40
Worst price1.62611
Drawdown as % of equity-0.30%
$827
8/26/19 9:00 AUD/NZD AUD/NZD SHORT 90 1.06588 11/13 13:00 1.06669 14.79%
Trade id #125084001
Max drawdown($11,842)
Time11/7/19 0:00
Quant open90
Worst price1.08655
Drawdown as % of equity-14.79%
($471)
11/7/19 11:21 USD/JPY USD/JPY SHORT 50 109.281 11/8 10:01 109.113 1.28%
Trade id #126113384
Max drawdown($945)
Time11/7/19 13:02
Quant open50
Worst price109.488
Drawdown as % of equity-1.28%
$771
11/1/19 14:29 CHF/JPY CHF/JPY SHORT 50 109.799 11/6 21:45 109.602 1.92%
Trade id #126043451
Max drawdown($1,481)
Time11/5/19 0:00
Quant open50
Worst price110.123
Drawdown as % of equity-1.92%
$907
11/1/19 10:36 NZD/CAD NZD/CAD SHORT 50 0.84891 11/1 13:20 0.84622 0.08%
Trade id #126038926
Max drawdown($63)
Time11/1/19 10:37
Quant open50
Worst price0.84908
Drawdown as % of equity-0.08%
$1,024
10/24/19 14:29 USD/CHF USD/CHF SHORT 90 0.99351 10/30 9:42 0.99222 3.8%
Trade id #125938690
Max drawdown($3,182)
Time10/28/19 0:00
Quant open90
Worst price0.99703
Drawdown as % of equity-3.80%
$1,171
10/16/19 14:56 CHF/JPY CHF/JPY SHORT 50 109.311 10/25 10:54 109.282 6.2%
Trade id #125820271
Max drawdown($4,987)
Time10/21/19 0:00
Quant open50
Worst price110.394
Drawdown as % of equity-6.20%
$131
10/15/19 10:07 USD/CHF USD/CHF SHORT 60 0.99885 10/16 2:15 0.99695 0.29%
Trade id #125782743
Max drawdown($258)
Time10/15/19 15:30
Quant open60
Worst price0.99928
Drawdown as % of equity-0.29%
$1,141
10/9/19 9:39 CHF/JPY CHF/JPY SHORT 80 108.019 10/9 18:20 107.833 0.2%
Trade id #125696586
Max drawdown($189)
Time10/9/19 13:02
Quant open80
Worst price108.044
Drawdown as % of equity-0.20%
$1,387
10/7/19 11:49 EUR/USD EUR/USD SHORT 75 1.09876 10/7 18:19 1.09729 0.14%
Trade id #125662145
Max drawdown($131)
Time10/7/19 11:50
Quant open75
Worst price1.09894
Drawdown as % of equity-0.14%
$1,107
10/4/19 11:16 EUR/GBP EUR/GBP SHORT 70 0.89242 10/4 12:42 0.89046 0.48%
Trade id #125632868
Max drawdown($441)
Time10/4/19 11:17
Quant open70
Worst price0.89293
Drawdown as % of equity-0.48%
$1,687
10/3/19 10:07 GBP/AUD GBP/AUD SHORT 60 1.84034 10/3 11:15 1.83844 0.85%
Trade id #125612254
Max drawdown($765)
Time10/3/19 10:14
Quant open60
Worst price1.84223
Drawdown as % of equity-0.85%
$768
10/2/19 9:26 EUR/AUD EUR/AUD SHORT 60 1.63431 10/2 22:25 1.63194 1.14%
Trade id #125589729
Max drawdown($1,009)
Time10/2/19 9:47
Quant open60
Worst price1.63682
Drawdown as % of equity-1.14%
$957
10/1/19 14:22 EUR/AUD EUR/AUD SHORT 60 1.63101 10/1 20:31 1.62971 0.27%
Trade id #125578764
Max drawdown($234)
Time10/1/19 16:28
Quant open60
Worst price1.63159
Drawdown as % of equity-0.27%
$524

Statistics

  • Strategy began
    5/9/2018
  • Suggested Minimum Cap
    $90,000
  • Strategy Age (days)
    618.35
  • Age
    21 months ago
  • What it trades
    Forex
  • # Trades
    272
  • # Profitable
    258
  • % Profitable
    94.90%
  • Avg trade duration
    5.8 days
  • Max peak-to-valley drawdown
    51.47%
  • drawdown period
    Dec 10, 2019 - Dec 31, 2019
  • Annual Return (Compounded)
    141.9%
  • Avg win
    $378.55
  • Avg loss
    $1,472
  • Model Account Values (Raw)
  • Cash
    $116,093
  • Margin Used
    $43,080
  • Buying Power
    $53,971
  • Ratios
  • W:L ratio
    4.74:1
  • Sharpe Ratio
    1.58
  • Sortino Ratio
    2.68
  • Calmar Ratio
    3.234
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    326.76%
  • Correlation to SP500
    -0.08230
  • Return Percent SP500 (cumu) during strategy life
    23.42%
  • Return Statistics
  • Ann Return (w trading costs)
    141.9%
  • Slump
  • Current Slump as Pcnt Equity
    0.17%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.06%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.419%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    146.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    40.50%
  • Chance of 20% account loss
    12.50%
  • Chance of 30% account loss
    2.50%
  • 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)
    972
  • Popularity (Last 6 weeks)
    993
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    129
  • Popularity (7 days, Percentile 1000 scale)
    976
  • 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
    $1,786
  • Avg Win
    $379
  • Sum Trade PL (losers)
    $25,008.000
  • AUM
  • AUM (AutoTrader num accounts)
    19
  • Age
  • Num Months filled monthly returns table
    21
  • Win / Loss
  • Sum Trade PL (winners)
    $97,665.000
  • # Winners
    258
  • Num Months Winners
    16
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    2019390
  • Win / Loss
  • # Losers
    14
  • % Winners
    94.8%
  • Frequency
  • Avg Position Time (mins)
    8336.63
  • Avg Position Time (hrs)
    138.94
  • Avg Trade Length
    5.8 days
  • Last Trade Ago
    7
  • Leverage
  • Daily leverage (average)
    13.30
  • Daily leverage (max)
    35.60
  • Regression
  • Alpha
    0.28
  • Beta
    -0.31
  • Treynor Index
    -0.88
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    98.38
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    99.70
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    35.39
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.11
  • Avg(MAE) / Avg(PL) - All trades
    4.523
  • 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
    0.12
  • Avg(MAE) / Avg(PL) - Winning trades
    2.476
  • Avg(MAE) / Avg(PL) - Losing trades
    -3.676
  • Hold-and-Hope Ratio
    0.218
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.96441
  • SD
    0.35632
  • Sharpe ratio (Glass type estimate)
    2.70660
  • Sharpe ratio (Hedges UMVUE)
    2.59809
  • df
    19.00000
  • t
    3.49420
  • p
    0.12957
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.93737
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.42182
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.86972
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.32645
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.33075
  • Upside Potential Ratio
    9.63058
  • Upside part of mean
    1.11489
  • Downside part of mean
    -0.15047
  • Upside SD
    0.42979
  • Downside SD
    0.11577
  • N nonnegative terms
    16.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.10361
  • Mean of criterion
    0.96441
  • SD of predictor
    0.12086
  • SD of criterion
    0.35632
  • Covariance
    -0.00099
  • r
    -0.02299
  • b (slope, estimate of beta)
    -0.06777
  • a (intercept, estimate of alpha)
    0.97143
  • Mean Square Error
    0.13395
  • DF error
    18.00000
  • t(b)
    -0.09755
  • p(b)
    0.51149
  • t(a)
    3.32128
  • p(a)
    0.19179
  • Lowerbound of 95% confidence interval for beta
    -1.52737
  • Upperbound of 95% confidence interval for beta
    1.39183
  • Lowerbound of 95% confidence interval for alpha
    0.35694
  • Upperbound of 95% confidence interval for alpha
    1.58592
  • Treynor index (mean / b)
    -14.23080
  • Jensen alpha (a)
    0.97143
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.87316
  • SD
    0.33379
  • Sharpe ratio (Glass type estimate)
    2.61586
  • Sharpe ratio (Hedges UMVUE)
    2.51099
  • df
    19.00000
  • t
    3.37706
  • p
    0.13608
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.86102
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.31772
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.79569
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.22629
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.12855
  • Upside Potential Ratio
    8.41307
  • Upside part of mean
    1.03049
  • Downside part of mean
    -0.15734
  • Upside SD
    0.39291
  • Downside SD
    0.12249
  • N nonnegative terms
    16.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.09604
  • Mean of criterion
    0.87316
  • SD of predictor
    0.12087
  • SD of criterion
    0.33379
  • Covariance
    -0.00057
  • r
    -0.01417
  • b (slope, estimate of beta)
    -0.03913
  • a (intercept, estimate of alpha)
    0.87691
  • Mean Square Error
    0.11758
  • DF error
    18.00000
  • t(b)
    -0.06012
  • p(b)
    0.50709
  • t(a)
    3.21369
  • p(a)
    0.19810
  • Lowerbound of 95% confidence interval for beta
    -1.40648
  • Upperbound of 95% confidence interval for beta
    1.32822
  • Lowerbound of 95% confidence interval for alpha
    0.30364
  • Upperbound of 95% confidence interval for alpha
    1.45019
  • Treynor index (mean / b)
    -22.31450
  • Jensen alpha (a)
    0.87691
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08216
  • Expected Shortfall on VaR
    0.11782
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01371
  • Expected Shortfall on VaR
    0.03609
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.87153
  • Quartile 1
    1.02613
  • Median
    1.06397
  • Quartile 3
    1.17401
  • Maximum
    1.25329
  • Mean of quarter 1
    0.95609
  • Mean of quarter 2
    1.04048
  • Mean of quarter 3
    1.12204
  • Mean of quarter 4
    1.21218
  • Inter Quartile Range
    0.14788
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.59832
  • VaR(95%) (regression method)
    0.06284
  • Expected Shortfall (regression method)
    0.08339
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.02090
  • Quartile 1
    0.03842
  • Median
    0.04606
  • Quartile 3
    0.06800
  • Maximum
    0.12847
  • Mean of quarter 1
    0.02090
  • Mean of quarter 2
    0.04427
  • Mean of quarter 3
    0.04785
  • Mean of quarter 4
    0.12847
  • Inter Quartile Range
    0.02958
  • 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
    0.25000
  • Mean of outliers high
    0.12847
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.09378
  • Compounded annual return (geometric extrapolation)
    1.46222
  • Calmar ratio (compounded annual return / max draw down)
    11.38180
  • Compounded annual return / average of 25% largest draw downs
    11.38180
  • Compounded annual return / Expected Shortfall lognormal
    12.41000
  • 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
    0.99827
  • SD
    0.49508
  • Sharpe ratio (Glass type estimate)
    2.01640
  • Sharpe ratio (Hedges UMVUE)
    2.01293
  • df
    437.00000
  • t
    2.60713
  • p
    0.00472
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49356
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.53703
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49120
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.53467
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.38797
  • Upside Potential Ratio
    10.60780
  • Upside part of mean
    3.12561
  • Downside part of mean
    -2.12734
  • Upside SD
    0.40190
  • Downside SD
    0.29465
  • N nonnegative terms
    245.00000
  • N negative terms
    193.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    438.00000
  • Mean of predictor
    0.10781
  • Mean of criterion
    0.99827
  • SD of predictor
    0.14019
  • SD of criterion
    0.49508
  • Covariance
    -0.00622
  • r
    -0.08959
  • b (slope, estimate of beta)
    -0.31641
  • a (intercept, estimate of alpha)
    1.03200
  • Mean Square Error
    0.24369
  • DF error
    436.00000
  • t(b)
    -1.87832
  • p(b)
    0.96950
  • t(a)
    2.70095
  • p(a)
    0.00359
  • Lowerbound of 95% confidence interval for beta
    -0.64749
  • Upperbound of 95% confidence interval for beta
    0.01467
  • Lowerbound of 95% confidence interval for alpha
    0.28114
  • Upperbound of 95% confidence interval for alpha
    1.78363
  • Treynor index (mean / b)
    -3.15502
  • Jensen alpha (a)
    1.03239
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.87702
  • SD
    0.48725
  • Sharpe ratio (Glass type estimate)
    1.79994
  • Sharpe ratio (Hedges UMVUE)
    1.79685
  • df
    437.00000
  • t
    2.32726
  • p
    0.01020
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27837
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.31948
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27631
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.31739
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.86859
  • Upside Potential Ratio
    9.97514
  • Upside part of mean
    3.04971
  • Downside part of mean
    -2.17269
  • Upside SD
    0.38253
  • Downside SD
    0.30573
  • N nonnegative terms
    245.00000
  • N negative terms
    193.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    438.00000
  • Mean of predictor
    0.09796
  • Mean of criterion
    0.87702
  • SD of predictor
    0.14034
  • SD of criterion
    0.48725
  • Covariance
    -0.00623
  • r
    -0.09117
  • b (slope, estimate of beta)
    -0.31653
  • a (intercept, estimate of alpha)
    0.90802
  • Mean Square Error
    0.23598
  • DF error
    436.00000
  • t(b)
    -1.91167
  • p(b)
    0.97171
  • t(a)
    2.41460
  • p(a)
    0.00808
  • Lowerbound of 95% confidence interval for beta
    -0.64197
  • Upperbound of 95% confidence interval for beta
    0.00890
  • Lowerbound of 95% confidence interval for alpha
    0.16892
  • Upperbound of 95% confidence interval for alpha
    1.64713
  • Treynor index (mean / b)
    -2.77069
  • Jensen alpha (a)
    0.90802
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04512
  • Expected Shortfall on VaR
    0.05699
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01707
  • Expected Shortfall on VaR
    0.03546
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    438.00000
  • Minimum
    0.85844
  • Quartile 1
    0.98942
  • Median
    1.00274
  • Quartile 3
    1.01691
  • Maximum
    1.24298
  • Mean of quarter 1
    0.97133
  • Mean of quarter 2
    0.99682
  • Mean of quarter 3
    1.00898
  • Mean of quarter 4
    1.03852
  • Inter Quartile Range
    0.02749
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.02511
  • Mean of outliers low
    0.91958
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.02511
  • Mean of outliers high
    1.10529
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25988
  • VaR(95%) (moments method)
    0.02791
  • Expected Shortfall (moments method)
    0.04569
  • Extreme Value Index (regression method)
    0.18347
  • VaR(95%) (regression method)
    0.02641
  • Expected Shortfall (regression method)
    0.04026
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    44.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00585
  • Median
    0.01927
  • Quartile 3
    0.05968
  • Maximum
    0.45510
  • Mean of quarter 1
    0.00195
  • Mean of quarter 2
    0.01243
  • Mean of quarter 3
    0.03637
  • Mean of quarter 4
    0.15036
  • Inter Quartile Range
    0.05384
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.11364
  • Mean of outliers high
    0.23445
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.40925
  • VaR(95%) (moments method)
    0.16234
  • Expected Shortfall (moments method)
    0.30866
  • Extreme Value Index (regression method)
    0.42980
  • VaR(95%) (regression method)
    0.17592
  • Expected Shortfall (regression method)
    0.34535
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.11722
  • Compounded annual return (geometric extrapolation)
    1.47174
  • Calmar ratio (compounded annual return / max draw down)
    3.23389
  • Compounded annual return / average of 25% largest draw downs
    9.78789
  • Compounded annual return / Expected Shortfall lognormal
    25.82270
  • 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
    0.67886
  • SD
    0.75065
  • Sharpe ratio (Glass type estimate)
    0.90436
  • Sharpe ratio (Hedges UMVUE)
    0.89914
  • df
    130.00000
  • t
    0.63948
  • p
    0.47200
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.87131
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.67666
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.87482
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.67310
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.48153
  • Upside Potential Ratio
    9.46131
  • Upside part of mean
    4.33533
  • Downside part of mean
    -3.65647
  • Upside SD
    0.59243
  • Downside SD
    0.45822
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18591
  • Mean of criterion
    0.67886
  • SD of predictor
    0.12618
  • SD of criterion
    0.75065
  • Covariance
    -0.00510
  • r
    -0.05384
  • b (slope, estimate of beta)
    -0.32030
  • a (intercept, estimate of alpha)
    0.73841
  • Mean Square Error
    0.56620
  • DF error
    129.00000
  • t(b)
    -0.61237
  • p(b)
    0.53426
  • t(a)
    0.69102
  • p(a)
    0.46136
  • Lowerbound of 95% confidence interval for beta
    -1.35515
  • Upperbound of 95% confidence interval for beta
    0.71456
  • Lowerbound of 95% confidence interval for alpha
    -1.37579
  • Upperbound of 95% confidence interval for alpha
    2.85260
  • Treynor index (mean / b)
    -2.11948
  • Jensen alpha (a)
    0.73841
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40656
  • SD
    0.73577
  • Sharpe ratio (Glass type estimate)
    0.55257
  • Sharpe ratio (Hedges UMVUE)
    0.54937
  • df
    130.00000
  • t
    0.39072
  • p
    0.48288
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.22102
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.32422
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.22324
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.32198
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.84831
  • Upside Potential Ratio
    8.70939
  • Upside part of mean
    4.17406
  • Downside part of mean
    -3.76750
  • Upside SD
    0.55512
  • Downside SD
    0.47926
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17789
  • Mean of criterion
    0.40656
  • SD of predictor
    0.12664
  • SD of criterion
    0.73577
  • Covariance
    -0.00487
  • r
    -0.05227
  • b (slope, estimate of beta)
    -0.30370
  • a (intercept, estimate of alpha)
    0.46059
  • Mean Square Error
    0.54406
  • DF error
    129.00000
  • t(b)
    -0.59450
  • p(b)
    0.53326
  • t(a)
    0.43988
  • p(a)
    0.47537
  • VAR (95 Confidence Intrvl)
    0.04500
  • Lowerbound of 95% confidence interval for beta
    -1.31441
  • Upperbound of 95% confidence interval for beta
    0.70702
  • Lowerbound of 95% confidence interval for alpha
    -1.61109
  • Upperbound of 95% confidence interval for alpha
    2.53226
  • Treynor index (mean / b)
    -1.33871
  • Jensen alpha (a)
    0.46059
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07060
  • Expected Shortfall on VaR
    0.08796
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03203
  • Expected Shortfall on VaR
    0.06244
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.85844
  • Quartile 1
    0.97985
  • Median
    1.00046
  • Quartile 3
    1.02092
  • Maximum
    1.24298
  • Mean of quarter 1
    0.95317
  • Mean of quarter 2
    0.99165
  • Mean of quarter 3
    1.00994
  • Mean of quarter 4
    1.05624
  • Inter Quartile Range
    0.04107
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.87590
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.15923
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32177
  • VaR(95%) (moments method)
    0.04978
  • Expected Shortfall (moments method)
    0.08471
  • Extreme Value Index (regression method)
    0.18523
  • VaR(95%) (regression method)
    0.04661
  • Expected Shortfall (regression method)
    0.06977
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00635
  • Quartile 1
    0.01896
  • Median
    0.05050
  • Quartile 3
    0.16459
  • Maximum
    0.45510
  • Mean of quarter 1
    0.01313
  • Mean of quarter 2
    0.03857
  • Mean of quarter 3
    0.15274
  • Mean of quarter 4
    0.32783
  • Inter Quartile Range
    0.14563
  • 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
    0.45510
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00857
  • VaR(95%) (moments method)
    0.31466
  • Expected Shortfall (moments method)
    0.41679
  • Extreme Value Index (regression method)
    1.82309
  • VaR(95%) (regression method)
    0.63978
  • 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?
    -279170000
  • Max Equity Drawdown (num days)
    21
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.48527
  • Compounded annual return (geometric extrapolation)
    0.54414
  • Calmar ratio (compounded annual return / max draw down)
    1.19565
  • Compounded annual return / average of 25% largest draw downs
    1.65982
  • Compounded annual return / Expected Shortfall lognormal
    6.18638

Strategy Description

Summary Statistics

Strategy began
2018-05-09
Suggested Minimum Capital
$90,000
# Trades
272
# Profitable
258
% Profitable
94.9%
Correlation S&P500
-0.082
Sharpe Ratio
1.58
Sortino Ratio
2.68
Beta
-0.31
Alpha
0.28
Leverage
13.30 Average
35.60 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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