Collective2 Collective2
Featured Strategy Lazy Trading ES +44.1% Cumul. Return since Sep 25, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Code5y
(143059487)

Created by: Had Had
Started: 01/2023
Forex
Last trade: Yesterday
Trading style: Futures Currencies

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 $66.00 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: Futures
Currencies
Category: Equity

Currencies

Focuses on currency futures.
34.6%
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.

(19.5%)
Max Drawdown
228
Num Trades
99.6%
Win Trades
41.3 : 1
Profit Factor
73.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023+4.3%+0.5%+10.2%  -  +2.2%+2.7%+3.4%+3.4%+1.4%+2.2%+2.4%(1.1%)+36.0%
2024+5.4%(0.3%)(5.8%)(4.3%)  -  +7.5%+4.0%+14.9%+4.3%+1.4%+0.6%      +29.4%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 168 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/6/24 7:16 GBP/CHF GBP/CHF LONG 10 1.12810 11/6 12:05 1.13003 0.45%
Trade id #150005801
Max drawdown($399)
Time11/6/24 9:50
Quant open10
Worst price1.12460
Drawdown as % of equity-0.45%
 $221
11/5/24 0:20 GBP/CHF GBP/CHF LONG 10 1.12045 11/5 9:22 1.12245 0.28%
Trade id #149977175
Max drawdown($245)
Time11/5/24 4:55
Quant open10
Worst price1.11833
Drawdown as % of equity-0.28%
 $231
10/31/24 4:26 GBP/CHF GBP/CHF LONG 10 1.12335 11/1 9:40 1.12530 1.67%
Trade id #149913192
Max drawdown($1,461)
Time10/31/24 11:56
Quant open10
Worst price1.11065
Drawdown as % of equity-1.67%
 $224
10/30/24 5:24 GBP/CHF GBP/CHF SHORT 10 1.12725 10/30 6:16 1.12595 0.11%
Trade id #149891523
Max drawdown($96)
Time10/30/24 5:29
Quant open10
Worst price1.12809
Drawdown as % of equity-0.11%
 $150
10/29/24 4:39 GBP/CHF GBP/CHF LONG 10 1.12515 10/29 7:55 1.12710 0.22%
Trade id #149871760
Max drawdown($189)
Time10/29/24 5:13
Quant open10
Worst price1.12351
Drawdown as % of equity-0.22%
 $225
10/24/24 1:58 GBP/CHF GBP/CHF LONG 10 1.12005 10/24 3:05 1.12185 0.13%
Trade id #149814435
Max drawdown($114)
Time10/24/24 2:07
Quant open10
Worst price1.11906
Drawdown as % of equity-0.13%
 $208
10/15/24 7:43 GBP/CHF GBP/CHF LONG 10 1.12855 10/18 2:07 1.13050 1.23%
Trade id #149661072
Max drawdown($1,078)
Time10/16/24 0:00
Quant open10
Worst price1.11921
Drawdown as % of equity-1.23%
 $225
10/10/24 7:16 GBP/CHF GBP/CHF LONG 10 1.12395 10/14 7:37 1.12590 1.02%
Trade id #149625639
Max drawdown($887)
Time10/10/24 13:14
Quant open10
Worst price1.11629
Drawdown as % of equity-1.02%
 $226
10/9/24 5:01 GBP/CHF GBP/CHF LONG 10 1.12225 10/9 11:08 1.12400 0.22%
Trade id #149614141
Max drawdown($192)
Time10/9/24 5:41
Quant open10
Worst price1.12059
Drawdown as % of equity-0.22%
 $204
10/8/24 9:11 GBP/CHF GBP/CHF SHORT 10 1.12235 10/9 2:55 1.12150 0.23%
Trade id #149603614
Max drawdown($197)
Time10/9/24 1:38
Quant open10
Worst price1.12404
Drawdown as % of equity-0.23%
 $99
10/7/24 7:01 GBP/CHF GBP/CHF LONG 10 1.12015 10/8 6:50 1.12165 0.67%
Trade id #149592205
Max drawdown($581)
Time10/8/24 3:13
Quant open10
Worst price1.11517
Drawdown as % of equity-0.67%
 $175
10/4/24 2:42 GBP/CHF GBP/CHF LONG 10 1.11870 10/4 3:55 1.12005 0.1%
Trade id #149575405
Max drawdown($84)
Time10/4/24 3:07
Quant open10
Worst price1.11798
Drawdown as % of equity-0.10%
 $158
10/3/24 5:14 GBP/CHF GBP/CHF LONG 10 1.11675 10/3 10:47 1.11855 0.64%
Trade id #149566581
Max drawdown($557)
Time10/3/24 7:34
Quant open10
Worst price1.11200
Drawdown as % of equity-0.64%
 $211
10/3/24 2:24 GBP/CHF GBP/CHF LONG 10 1.12130 10/3 2:30 1.12320 0.17%
Trade id #149566065
Max drawdown($150)
Time10/3/24 2:30
Quant open10
Worst price1.12002
Drawdown as % of equity-0.17%
 $223
10/2/24 4:31 GBP/CHF GBP/CHF LONG 10 1.12520 10/2 6:51 1.12713 0.11%
Trade id #149557301
Max drawdown($94)
Time10/2/24 5:25
Quant open10
Worst price1.12440
Drawdown as % of equity-0.11%
 $227
9/27/24 10:04 GBP/CHF GBP/CHF LONG 10 1.12870 9/30 4:24 1.13065 0.93%
Trade id #149523965
Max drawdown($792)
Time9/27/24 16:57
Quant open10
Worst price1.12202
Drawdown as % of equity-0.93%
 $231
9/24/24 8:21 GBP/CHF GBP/CHF LONG 10 1.13495 9/25 10:13 1.13620 1%
Trade id #149491241
Max drawdown($852)
Time9/25/24 2:27
Quant open10
Worst price1.12770
Drawdown as % of equity-1.00%
 $147
9/23/24 7:55 GBP/CHF GBP/CHF LONG 10 1.13175 9/23 9:57 1.13358 0.13%
Trade id #149481450
Max drawdown($109)
Time9/23/24 8:06
Quant open10
Worst price1.13082
Drawdown as % of equity-0.13%
 $215
9/20/24 5:27 GBP/CHF GBP/CHF LONG 10 1.12845 9/20 8:05 1.13035 0.18%
Trade id #149465184
Max drawdown($157)
Time9/20/24 6:26
Quant open10
Worst price1.12711
Drawdown as % of equity-0.18%
 $224
9/19/24 9:33 GBP/CHF GBP/CHF SHORT 10 1.12445 9/19 10:07 1.12305 0.09%
Trade id #149453253
Max drawdown($77)
Time9/19/24 9:38
Quant open10
Worst price1.12511
Drawdown as % of equity-0.09%
 $165
9/19/24 5:05 GBP/CHF GBP/CHF SHORT 10 1.12325 9/19 6:53 1.12180 0.08%
Trade id #149449058
Max drawdown($66)
Time9/19/24 6:08
Quant open10
Worst price1.12381
Drawdown as % of equity-0.08%
 $172
9/16/24 11:22 GBP/CHF GBP/CHF LONG 10 1.11630 9/18 14:01 1.11840 0.62%
Trade id #149407853
Max drawdown($522)
Time9/18/24 0:57
Quant open10
Worst price1.11188
Drawdown as % of equity-0.62%
 $249
9/13/24 7:11 GBP/CHF GBP/CHF LONG 10 1.11305 9/13 10:43 1.11500 0.45%
Trade id #149381683
Max drawdown($384)
Time9/13/24 9:23
Quant open10
Worst price1.10979
Drawdown as % of equity-0.45%
 $230
9/11/24 8:30 GBP/CHF GBP/CHF LONG 10 1.11148 9/11 16:08 1.11245 1.28%
Trade id #149354366
Max drawdown($1,073)
Time9/11/24 10:49
Quant open10
Worst price1.10233
Drawdown as % of equity-1.28%
 $114
9/10/24 10:11 GBP/CHF GBP/CHF SHORT 10 1.10630 9/10 12:12 1.10515 0.07%
Trade id #149337245
Max drawdown($56)
Time9/10/24 10:59
Quant open10
Worst price1.10678
Drawdown as % of equity-0.07%
 $136
9/6/24 11:30 GBP/CHF GBP/CHF LONG 10 1.10715 9/8 20:26 1.10910 0.41%
Trade id #149303011
Max drawdown($347)
Time9/8/24 17:51
Quant open10
Worst price1.10420
Drawdown as % of equity-0.41%
 $231
9/6/24 2:07 GBP/CHF GBP/CHF LONG 10 1.11015 9/6 8:30 1.11230 0.47%
Trade id #149284721
Max drawdown($397)
Time9/6/24 5:01
Quant open10
Worst price1.10680
Drawdown as % of equity-0.47%
 $255
9/4/24 0:21 GBP/CHF GBP/CHF LONG 10 1.11210 9/4 8:11 1.11510 0.15%
Trade id #149242706
Max drawdown($125)
Time9/4/24 3:36
Quant open10
Worst price1.11104
Drawdown as % of equity-0.15%
 $353
9/3/24 10:27 GBP/CHF GBP/CHF LONG 10 1.11360 9/3 16:24 1.11500 0.25%
Trade id #149205823
Max drawdown($211)
Time9/3/24 10:54
Quant open10
Worst price1.11180
Drawdown as % of equity-0.25%
 $165
8/30/24 3:44 GBP/CHF GBP/CHF LONG 10 1.11855 9/2 9:13 1.12050 0.64%
Trade id #149126251
Max drawdown($529)
Time8/30/24 16:58
Quant open10
Worst price1.11404
Drawdown as % of equity-0.64%
 $229
Next

Statistics

  • Strategy began
    1/2/2023
  • Suggested Minimum Cap
    $90,000
  • Strategy Age (days)
    690.96
  • Age
    23 months ago
  • What it trades
    Forex
  • # Trades
    228
  • # Profitable
    227
  • % Profitable
    99.60%
  • Avg trade duration
    2.1 days
  • Max peak-to-valley drawdown
    19.49%
  • drawdown period
    Feb 08, 2024 - May 27, 2024
  • Annual Return (Compounded)
    34.6%
  • Avg win
    $181.65
  • Avg loss
    $998.00
  • Model Account Values (Raw)
  • Cash
    $91,233
  • Margin Used
    $3,757
  • Buying Power
    $87,226
  • Ratios
  • W:L ratio
    41.32:1
  • Sharpe Ratio
    1.48
  • Sortino Ratio
    2.52
  • Calmar Ratio
    2.081
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    20.44%
  • Correlation to SP500
    -0.00940
  • Return Percent SP500 (cumu) during strategy life
    55.47%
  • Return Statistics
  • Ann Return (w trading costs)
    34.6%
  • Slump
  • Current Slump as Pcnt Equity
    1.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.346%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    36.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    8.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    806
  • Popularity (Last 6 weeks)
    961
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    993
  • Popularity (7 days, Percentile 1000 scale)
    911
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $998
  • Avg Win
    $182
  • Sum Trade PL (losers)
    $998.000
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $41,234.000
  • # Winners
    227
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    189891
  • Win / Loss
  • # Losers
    1
  • % Winners
    99.6%
  • Frequency
  • Avg Position Time (mins)
    2982.45
  • Avg Position Time (hrs)
    49.71
  • Avg Trade Length
    2.1 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    3.19
  • Daily leverage (max)
    7.64
  • Regression
  • Alpha
    0.08
  • Beta
    -0.01
  • Treynor Index
    -6.64
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.36
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    2.615
  • 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
    2.333
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.007
  • Hold-and-Hope Ratio
    0.404
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32076
  • SD
    0.18242
  • Sharpe ratio (Glass type estimate)
    1.75835
  • Sharpe ratio (Hedges UMVUE)
    1.69467
  • df
    21.00000
  • t
    2.38082
  • p
    0.21726
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.19895
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.28098
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15909
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.23025
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.65213
  • Upside Potential Ratio
    7.20502
  • Upside part of mean
    0.40888
  • Downside part of mean
    -0.08813
  • Upside SD
    0.19266
  • Downside SD
    0.05675
  • N nonnegative terms
    16.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.22294
  • Mean of criterion
    0.32076
  • SD of predictor
    0.10584
  • SD of criterion
    0.18242
  • Covariance
    -0.00646
  • r
    -0.33469
  • b (slope, estimate of beta)
    -0.57686
  • a (intercept, estimate of alpha)
    0.44937
  • Mean Square Error
    0.03103
  • DF error
    20.00000
  • t(b)
    -1.58838
  • p(b)
    0.66734
  • t(a)
    2.93262
  • p(a)
    0.22582
  • Lowerbound of 95% confidence interval for beta
    -1.33444
  • Upperbound of 95% confidence interval for beta
    0.18071
  • Lowerbound of 95% confidence interval for alpha
    0.12973
  • Upperbound of 95% confidence interval for alpha
    0.76900
  • Treynor index (mean / b)
    -0.55604
  • Jensen alpha (a)
    0.44937
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30158
  • SD
    0.17059
  • Sharpe ratio (Glass type estimate)
    1.76786
  • Sharpe ratio (Hedges UMVUE)
    1.70383
  • df
    21.00000
  • t
    2.39369
  • p
    0.21615
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20741
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.29138
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16732
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.24034
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.21754
  • Upside Potential Ratio
    6.76712
  • Upside part of mean
    0.39115
  • Downside part of mean
    -0.08957
  • Upside SD
    0.17893
  • Downside SD
    0.05780
  • N nonnegative terms
    16.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.21519
  • Mean of criterion
    0.30158
  • SD of predictor
    0.10478
  • SD of criterion
    0.17059
  • Covariance
    -0.00581
  • r
    -0.32495
  • b (slope, estimate of beta)
    -0.52904
  • a (intercept, estimate of alpha)
    0.41543
  • Mean Square Error
    0.02733
  • DF error
    20.00000
  • t(b)
    -1.53663
  • p(b)
    0.66248
  • t(a)
    2.90884
  • p(a)
    0.22738
  • Lowerbound of 95% confidence interval for beta
    -1.24722
  • Upperbound of 95% confidence interval for beta
    0.18913
  • Lowerbound of 95% confidence interval for alpha
    0.11752
  • Upperbound of 95% confidence interval for alpha
    0.71333
  • Treynor index (mean / b)
    -0.57005
  • Jensen alpha (a)
    0.41543
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05434
  • Expected Shortfall on VaR
    0.07344
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01089
  • Expected Shortfall on VaR
    0.02475
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.95015
  • Quartile 1
    1.00460
  • Median
    1.03067
  • Quartile 3
    1.04654
  • Maximum
    1.21519
  • Mean of quarter 1
    0.97540
  • Mean of quarter 2
    1.02051
  • Mean of quarter 3
    1.03935
  • Mean of quarter 4
    1.08126
  • Inter Quartile Range
    0.04194
  • 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
    0.04545
  • Mean of outliers high
    1.21519
  • 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)
    -0.98102
  • VaR(95%) (regression method)
    0.04155
  • Expected Shortfall (regression method)
    0.04683
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02335
  • Quartile 1
    0.03787
  • Median
    0.05239
  • Quartile 3
    0.06691
  • Maximum
    0.08142
  • Mean of quarter 1
    0.02335
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08142
  • Inter Quartile Range
    0.02904
  • 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)
    0.45248
  • Compounded annual return (geometric extrapolation)
    0.39026
  • Calmar ratio (compounded annual return / max draw down)
    4.79293
  • Compounded annual return / average of 25% largest draw downs
    4.79293
  • Compounded annual return / Expected Shortfall lognormal
    5.31361
  • 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
    0.30252
  • SD
    0.16175
  • Sharpe ratio (Glass type estimate)
    1.87023
  • Sharpe ratio (Hedges UMVUE)
    1.86736
  • df
    489.00000
  • t
    2.55766
  • p
    0.00542
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43136
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.30729
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42941
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30531
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.18792
  • Upside Potential Ratio
    10.23910
  • Upside part of mean
    0.97164
  • Downside part of mean
    -0.66912
  • Upside SD
    0.13212
  • Downside SD
    0.09489
  • N nonnegative terms
    291.00000
  • N negative terms
    199.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    490.00000
  • Mean of predictor
    0.21648
  • Mean of criterion
    0.30252
  • SD of predictor
    0.12915
  • SD of criterion
    0.16175
  • Covariance
    -0.00027
  • r
    -0.01280
  • b (slope, estimate of beta)
    -0.01604
  • a (intercept, estimate of alpha)
    0.30600
  • Mean Square Error
    0.02621
  • DF error
    488.00000
  • t(b)
    -0.28288
  • p(b)
    0.61130
  • t(a)
    2.57080
  • p(a)
    0.00522
  • Lowerbound of 95% confidence interval for beta
    -0.12743
  • Upperbound of 95% confidence interval for beta
    0.09535
  • Lowerbound of 95% confidence interval for alpha
    0.07212
  • Upperbound of 95% confidence interval for alpha
    0.53985
  • Treynor index (mean / b)
    -18.86420
  • Jensen alpha (a)
    0.30599
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28937
  • SD
    0.16078
  • Sharpe ratio (Glass type estimate)
    1.79983
  • Sharpe ratio (Hedges UMVUE)
    1.79707
  • df
    489.00000
  • t
    2.46138
  • p
    0.00709
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36131
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23653
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35947
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.23466
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.02119
  • Upside Potential Ratio
    10.05400
  • Upside part of mean
    0.96298
  • Downside part of mean
    -0.67361
  • Upside SD
    0.13016
  • Downside SD
    0.09578
  • N nonnegative terms
    291.00000
  • N negative terms
    199.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    490.00000
  • Mean of predictor
    0.20805
  • Mean of criterion
    0.28937
  • SD of predictor
    0.12913
  • SD of criterion
    0.16078
  • Covariance
    -0.00028
  • r
    -0.01352
  • b (slope, estimate of beta)
    -0.01684
  • a (intercept, estimate of alpha)
    0.29287
  • Mean Square Error
    0.02590
  • DF error
    488.00000
  • t(b)
    -0.29877
  • p(b)
    0.61738
  • t(a)
    2.47659
  • p(a)
    0.00680
  • Lowerbound of 95% confidence interval for beta
    -0.12757
  • Upperbound of 95% confidence interval for beta
    0.09390
  • Lowerbound of 95% confidence interval for alpha
    0.06052
  • Upperbound of 95% confidence interval for alpha
    0.52523
  • Treynor index (mean / b)
    -17.18580
  • Jensen alpha (a)
    0.29287
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01512
  • Expected Shortfall on VaR
    0.01919
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00506
  • Expected Shortfall on VaR
    0.01076
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    490.00000
  • Minimum
    0.96665
  • Quartile 1
    0.99760
  • Median
    1.00104
  • Quartile 3
    1.00382
  • Maximum
    1.05826
  • Mean of quarter 1
    0.99058
  • Mean of quarter 2
    0.99965
  • Mean of quarter 3
    1.00230
  • Mean of quarter 4
    1.01252
  • Inter Quartile Range
    0.00621
  • Number outliers low
    33.00000
  • Percentage of outliers low
    0.06735
  • Mean of outliers low
    0.98106
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.06122
  • Mean of outliers high
    1.02787
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21110
  • VaR(95%) (moments method)
    0.00765
  • Expected Shortfall (moments method)
    0.01253
  • Extreme Value Index (regression method)
    0.00037
  • VaR(95%) (regression method)
    0.00938
  • Expected Shortfall (regression method)
    0.01372
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    50.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00128
  • Median
    0.00312
  • Quartile 3
    0.00819
  • Maximum
    0.17941
  • Mean of quarter 1
    0.00062
  • Mean of quarter 2
    0.00211
  • Mean of quarter 3
    0.00503
  • Mean of quarter 4
    0.05065
  • Inter Quartile Range
    0.00691
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.18000
  • Mean of outliers high
    0.06810
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.55807
  • VaR(95%) (moments method)
    0.03990
  • Expected Shortfall (moments method)
    0.10785
  • Extreme Value Index (regression method)
    0.46630
  • VaR(95%) (regression method)
    0.06641
  • Expected Shortfall (regression method)
    0.16146
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43316
  • Compounded annual return (geometric extrapolation)
    0.37339
  • Calmar ratio (compounded annual return / max draw down)
    2.08113
  • Compounded annual return / average of 25% largest draw downs
    7.37241
  • Compounded annual return / Expected Shortfall lognormal
    19.45640
  • 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
    0.73708
  • SD
    0.18221
  • Sharpe ratio (Glass type estimate)
    4.04532
  • Sharpe ratio (Hedges UMVUE)
    4.02194
  • df
    130.00000
  • t
    2.86048
  • p
    0.37833
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.22289
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.85281
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20735
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.83653
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.10390
  • Upside Potential Ratio
    17.44300
  • Upside part of mean
    1.27247
  • Downside part of mean
    -0.53539
  • Upside SD
    0.17233
  • Downside SD
    0.07295
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23133
  • Mean of criterion
    0.73708
  • SD of predictor
    0.13518
  • SD of criterion
    0.18221
  • Covariance
    -0.00612
  • r
    -0.24851
  • b (slope, estimate of beta)
    -0.33495
  • a (intercept, estimate of alpha)
    0.81457
  • Mean Square Error
    0.03139
  • DF error
    129.00000
  • t(b)
    -2.91391
  • p(b)
    0.65656
  • t(a)
    3.23282
  • p(a)
    0.32792
  • Lowerbound of 95% confidence interval for beta
    -0.56238
  • Upperbound of 95% confidence interval for beta
    -0.10752
  • Lowerbound of 95% confidence interval for alpha
    0.31604
  • Upperbound of 95% confidence interval for alpha
    1.31309
  • Treynor index (mean / b)
    -2.20058
  • Jensen alpha (a)
    0.81457
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.71980
  • SD
    0.17996
  • Sharpe ratio (Glass type estimate)
    3.99973
  • Sharpe ratio (Hedges UMVUE)
    3.97661
  • df
    130.00000
  • t
    2.82824
  • p
    0.37962
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.17826
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.80638
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.16298
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.79025
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.80475
  • Upside Potential Ratio
    17.13330
  • Upside part of mean
    1.25781
  • Downside part of mean
    -0.53801
  • Upside SD
    0.16949
  • Downside SD
    0.07341
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22212
  • Mean of criterion
    0.71980
  • SD of predictor
    0.13537
  • SD of criterion
    0.17996
  • Covariance
    -0.00606
  • r
    -0.24890
  • b (slope, estimate of beta)
    -0.33091
  • a (intercept, estimate of alpha)
    0.79330
  • Mean Square Error
    0.03062
  • DF error
    129.00000
  • t(b)
    -2.91885
  • p(b)
    0.65680
  • t(a)
    3.18945
  • p(a)
    0.33000
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    -0.55521
  • Upperbound of 95% confidence interval for beta
    -0.10660
  • Lowerbound of 95% confidence interval for alpha
    0.30119
  • Upperbound of 95% confidence interval for alpha
    1.28542
  • Treynor index (mean / b)
    -2.17525
  • Jensen alpha (a)
    0.79330
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01542
  • Expected Shortfall on VaR
    0.01998
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00395
  • Expected Shortfall on VaR
    0.00833
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98144
  • Quartile 1
    0.99791
  • Median
    1.00148
  • Quartile 3
    1.00385
  • Maximum
    1.05175
  • Mean of quarter 1
    0.99243
  • Mean of quarter 2
    1.00001
  • Mean of quarter 3
    1.00253
  • Mean of quarter 4
    1.01669
  • Inter Quartile Range
    0.00594
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.98420
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.03061
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.05407
  • VaR(95%) (moments method)
    0.00611
  • Expected Shortfall (moments method)
    0.00831
  • Extreme Value Index (regression method)
    -0.23818
  • VaR(95%) (regression method)
    0.00761
  • Expected Shortfall (regression method)
    0.00980
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00186
  • Median
    0.00312
  • Quartile 3
    0.00720
  • Maximum
    0.12225
  • Mean of quarter 1
    0.00080
  • Mean of quarter 2
    0.00241
  • Mean of quarter 3
    0.00499
  • Mean of quarter 4
    0.04723
  • Inter Quartile Range
    0.00534
  • 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
    0.23529
  • Mean of outliers high
    0.04723
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.14203
  • VaR(95%) (moments method)
    0.02494
  • Expected Shortfall (moments method)
    0.03390
  • Extreme Value Index (regression method)
    1.04411
  • VaR(95%) (regression method)
    0.04027
  • 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?
    -337525000
  • Max Equity Drawdown (num days)
    109
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.90665
  • Compounded annual return (geometric extrapolation)
    1.11215
  • Calmar ratio (compounded annual return / max draw down)
    9.09765
  • Compounded annual return / average of 25% largest draw downs
    23.54790
  • Compounded annual return / Expected Shortfall lognormal
    55.67620

Strategy Description

Summary Statistics

Strategy began
2023-01-02
Suggested Minimum Capital
$90,000
Rank at C2 %
Top 0.7%
Rank # 
#5
# Trades
228
# Profitable
227
% Profitable
99.6%
Correlation S&P500
-0.009
Sharpe Ratio
1.48
Sortino Ratio
2.52
Beta
-0.01
Alpha
0.08
Leverage
3.19 Average
7.64 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.