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Rocket Trades
(128847412)

Created by: Agira Agira
Started: 05/2020
Stocks
Last trade: 2 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 $10.00 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.

50.8%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(9.9%)
Max Drawdown
30
Num Trades
56.7%
Win Trades
3.7 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                            +32.9%+1.0%+3.5%+1.8%+2.1%+4.4%            +50.8%

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 13 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
10/12/20 15:52 UTSL DIREXION DAILY UTILITIES BULL 3X LONG 104 28.92 10/20 15:51 28.85 1.17%
Trade id #131654942
Max drawdown($180)
Time10/15/20 0:00
Quant open104
Worst price27.19
Drawdown as % of equity-1.17%
($9)
Includes Typical Broker Commissions trade costs of $2.08
10/1/20 15:58 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 97 22.75 10/15 15:51 20.46 2.36%
Trade id #131470397
Max drawdown($368)
Time10/12/20 0:00
Quant open97
Worst price18.95
Drawdown as % of equity-2.36%
($224)
Includes Typical Broker Commissions trade costs of $1.94
10/7/20 15:51 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 81 37.02 10/12 15:51 38.08 0.13%
Trade id #131573763
Max drawdown($19)
Time10/9/20 0:00
Quant open81
Worst price36.78
Drawdown as % of equity-0.13%
$84
Includes Typical Broker Commissions trade costs of $1.62
9/21/20 15:53 UTSL DIREXION DAILY UTILITIES BULL 3X LONG 140 21.31 10/7 15:50 26.68 0.96%
Trade id #131279434
Max drawdown($125)
Time9/24/20 0:00
Quant open140
Worst price20.41
Drawdown as % of equity-0.96%
$748
Includes Typical Broker Commissions trade costs of $2.80
7/6/20 10:50 SQQQ PROSHARES ULTRAPRO SHORT QQQ SHORT 263 25.95 10/1 15:58 22.84 1.08%
Trade id #129925001
Max drawdown($146)
Time7/24/20 0:00
Quant open79
Worst price35.20
Drawdown as % of equity-1.08%
$812
Includes Typical Broker Commissions trade costs of $5.26
7/6/20 10:50 UCO PROSHARES ULTRA BLOOMBERG CRUD SHORT 86 30.80 10/1 11:40 26.26 2.48%
Trade id #129925042
Max drawdown($345)
Time8/26/20 0:00
Quant open86
Worst price34.82
Drawdown as % of equity-2.48%
$389
Includes Typical Broker Commissions trade costs of $1.72
9/3/20 9:36 TQQQ PROSHARES ULTRAPRO QQQ LONG 77 144.63 10/1 9:48 136.98 8.99%
Trade id #130971209
Max drawdown($1,245)
Time9/17/20 0:00
Quant open25
Worst price116.05
Drawdown as % of equity-8.99%
($591)
Includes Typical Broker Commissions trade costs of $1.54
9/17/20 9:51 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 74 40.79 9/21 15:54 40.71 0.42%
Trade id #131220542
Max drawdown($56)
Time9/18/20 0:00
Quant open74
Worst price40.03
Drawdown as % of equity-0.42%
($7)
Includes Typical Broker Commissions trade costs of $1.48
9/14/20 9:50 UTSL DIREXION DAILY UTILITIES BULL 3X LONG 131 22.97 9/17 9:50 22.73 0.35%
Trade id #131159029
Max drawdown($48)
Time9/17/20 9:31
Quant open131
Worst price22.60
Drawdown as % of equity-0.35%
($34)
Includes Typical Broker Commissions trade costs of $2.62
7/6/20 10:50 SDP PROSHARES ULTRASHORT UTILITIES SHORT 221 12.05 9/10 10:06 11.38 0.75%
Trade id #129925025
Max drawdown($99)
Time7/9/20 0:00
Quant open221
Worst price12.50
Drawdown as % of equity-0.75%
$144
Includes Typical Broker Commissions trade costs of $4.42
7/6/20 10:48 SQQQ PROSHARES ULTRAPRO SHORT QQQ SHORT 399 6.67 7/6 10:49 6.68 0.03%
Trade id #129924971
Max drawdown($4)
Time7/6/20 10:49
Quant open399
Worst price6.68
Drawdown as % of equity-0.03%
($12)
Includes Typical Broker Commissions trade costs of $7.98
6/1/20 10:05 BOIL PROSHARES ULTRA BLOOMBERG NATU SHORT 60 33.55 7/6 10:47 30.73 1.41%
Trade id #129287357
Max drawdown($180)
Time6/3/20 0:00
Quant open60
Worst price36.55
Drawdown as % of equity-1.41%
$168
Includes Typical Broker Commissions trade costs of $1.20
6/1/20 10:05 SDP PROSHARES ULTRASHORT UTILITIES SHORT 173 11.58 7/6 10:47 12.06 2.33%
Trade id #129287345
Max drawdown($295)
Time6/29/20 0:00
Quant open173
Worst price13.29
Drawdown as % of equity-2.33%
($86)
Includes Typical Broker Commissions trade costs of $3.46
6/1/20 10:04 SQQQ PROSHARES ULTRAPRO SHORT QQQ SHORT 212 9.40 7/6 10:47 6.69 0.25%
Trade id #129287320
Max drawdown($31)
Time6/2/20 0:00
Quant open212
Worst price9.55
Drawdown as % of equity-0.25%
$571
Includes Typical Broker Commissions trade costs of $4.24
6/1/20 10:03 UCO PROSHARES ULTRA BLOOMBERG CRUD SHORT 83 24.08 7/6 10:47 30.80 5.21%
Trade id #129287293
Max drawdown($644)
Time6/23/20 0:00
Quant open83
Worst price31.84
Drawdown as % of equity-5.21%
($560)
Includes Typical Broker Commissions trade costs of $1.66
5/8/20 14:10 SQQQ PROSHARES ULTRAPRO SHORT QQQ SHORT 267 10.84 6/1 9:59 9.71 1.77%
Trade id #128930518
Max drawdown($202)
Time5/14/20 0:00
Quant open184
Worst price11.94
Drawdown as % of equity-1.77%
$297
Includes Typical Broker Commissions trade costs of $5.34
5/8/20 14:09 SOXS DIREXION DAILY SEMICONDCT BEAR SHORT 331 8.74 6/1 9:59 7.61 3.39%
Trade id #128930510
Max drawdown($387)
Time5/14/20 0:00
Quant open229
Worst price10.43
Drawdown as % of equity-3.39%
$367
Includes Typical Broker Commissions trade costs of $6.62
5/8/20 14:09 BOIL PROSHARES ULTRA BLOOMBERG NATU SHORT 61 47.09 6/1 9:58 37.47 0.98%
Trade id #128930501
Max drawdown($112)
Time5/11/20 0:00
Quant open61
Worst price48.94
Drawdown as % of equity-0.98%
$586
Includes Typical Broker Commissions trade costs of $1.22
5/8/20 14:07 SDP PROSHARES ULTRASHORT UTILITIES SHORT 225 13.20 6/1 9:58 12.22 1.59%
Trade id #128930480
Max drawdown($181)
Time5/14/20 0:00
Quant open151
Worst price14.40
Drawdown as % of equity-1.59%
$217
Includes Typical Broker Commissions trade costs of $4.50
5/6/20 11:11 UCO PROSHARES ULTRA BLOOMBERG CRUD SHORT 216 16.15 5/8 14:01 16.78 3.14%
Trade id #128890832
Max drawdown($343)
Time5/7/20 0:00
Quant open216
Worst price17.74
Drawdown as % of equity-3.14%
($140)
Includes Typical Broker Commissions trade costs of $4.32
5/6/20 11:10 SQQQ PROSHARES ULTRAPRO SHORT QQQ SHORT 309 11.30 5/8 14:01 10.81 0.79%
Trade id #128890807
Max drawdown($86)
Time5/6/20 15:51
Quant open309
Worst price11.58
Drawdown as % of equity-0.79%
$145
Includes Typical Broker Commissions trade costs of $6.18
5/6/20 11:09 SOXS DIREXION DAILY SEMICONDCT BEAR SHORT 380 9.18 5/8 14:01 8.71 1.63%
Trade id #128890786
Max drawdown($178)
Time5/6/20 15:51
Quant open380
Worst price9.65
Drawdown as % of equity-1.63%
$171
Includes Typical Broker Commissions trade costs of $7.60
5/4/20 9:31 SQQQ PROSHARES ULTRAPRO SHORT QQQ SHORT 554 12.82 5/6 11:06 11.57 0.53%
Trade id #128854010
Max drawdown($49)
Time5/4/20 9:34
Quant open554
Worst price12.91
Drawdown as % of equity-0.53%
$684
Includes Typical Broker Commissions trade costs of $8.04
5/4/20 9:31 SOXS DIREXION DAILY SEMICONDCT BEAR SHORT 650 11.10 5/6 11:06 9.53 0.41%
Trade id #128854007
Max drawdown($38)
Time5/4/20 9:36
Quant open650
Worst price11.16
Drawdown as % of equity-0.41%
$1,012
Includes Typical Broker Commissions trade costs of $6.19

Statistics

  • Strategy began
    5/3/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    173.13
  • Age
    173 days ago
  • What it trades
    Stocks
  • # Trades
    30
  • # Profitable
    17
  • % Profitable
    56.70%
  • Avg trade duration
    22.8 days
  • Max peak-to-valley drawdown
    9.88%
  • drawdown period
    Sept 02, 2020 - Sept 23, 2020
  • Cumul. Return
    50.8%
  • Avg win
    $439.88
  • Avg loss
    $157.38
  • Model Account Values (Raw)
  • Cash
    $10,454
  • Margin Used
    $5,598
  • Buying Power
    $5,463
  • Ratios
  • W:L ratio
    3.66:1
  • Sharpe Ratio
    3.35
  • Sortino Ratio
    6.07
  • Calmar Ratio
    16.994
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    28.38%
  • Correlation to SP500
    0.29170
  • Return Percent SP500 (cumu) during strategy life
    22.42%
  • Return Statistics
  • Ann Return (w trading costs)
    133.7%
  • Slump
  • Current Slump as Pcnt Equity
    4.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.03%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.508%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    148.7%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    910
  • Popularity (Last 6 weeks)
    959
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    975
  • Popularity (7 days, Percentile 1000 scale)
    937
  • 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
    $157
  • Avg Win
    $440
  • Sum Trade PL (losers)
    $2,046.000
  • AUM
  • AUM (AutoTrader num accounts)
    3
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $7,478.000
  • # Winners
    17
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    10
  • AUM
  • AUM (AutoTrader live capital)
    26244
  • Win / Loss
  • # Losers
    13
  • % Winners
    56.7%
  • Frequency
  • Avg Position Time (mins)
    32894.90
  • Avg Position Time (hrs)
    548.25
  • Avg Trade Length
    22.8 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.68
  • Daily leverage (max)
    4.52
  • Regression
  • Alpha
    0.20
  • Beta
    0.32
  • Treynor Index
    0.76
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.60
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.272
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.332
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.831
  • Hold-and-Hope Ratio
    0.877
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.99133
  • SD
    0.37425
  • Sharpe ratio (Glass type estimate)
    2.64886
  • Sharpe ratio (Hedges UMVUE)
    2.11348
  • df
    4.00000
  • t
    1.70983
  • p
    0.08124
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.98073
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.04956
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.25763
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.48459
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.99133
  • Downside part of mean
    0.00000
  • Upside SD
    0.44039
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.42494
  • Mean of criterion
    0.99133
  • SD of predictor
    0.15466
  • SD of criterion
    0.37425
  • Covariance
    0.03542
  • r
    0.61197
  • b (slope, estimate of beta)
    1.48082
  • a (intercept, estimate of alpha)
    0.36207
  • Mean Square Error
    0.11681
  • DF error
    3.00000
  • t(b)
    1.34022
  • p(b)
    0.13632
  • t(a)
    0.51165
  • p(a)
    0.32209
  • Lowerbound of 95% confidence interval for beta
    -2.03550
  • Upperbound of 95% confidence interval for beta
    4.99715
  • Lowerbound of 95% confidence interval for alpha
    -1.89003
  • Upperbound of 95% confidence interval for alpha
    2.61418
  • Treynor index (mean / b)
    0.66944
  • Jensen alpha (a)
    0.36207
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.90591
  • SD
    0.32776
  • Sharpe ratio (Glass type estimate)
    2.76390
  • Sharpe ratio (Hedges UMVUE)
    2.20527
  • df
    4.00000
  • t
    1.78409
  • p
    0.07449
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90694
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.20195
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19395
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.60450
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.90591
  • Downside part of mean
    0.00000
  • Upside SD
    0.39285
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.40777
  • Mean of criterion
    0.90591
  • SD of predictor
    0.14871
  • SD of criterion
    0.32776
  • Covariance
    0.02844
  • r
    0.58342
  • b (slope, estimate of beta)
    1.28593
  • a (intercept, estimate of alpha)
    0.38154
  • Mean Square Error
    0.09448
  • DF error
    3.00000
  • t(b)
    1.24423
  • p(b)
    0.15088
  • t(a)
    0.60000
  • p(a)
    0.29540
  • Lowerbound of 95% confidence interval for beta
    -2.00318
  • Upperbound of 95% confidence interval for beta
    4.57503
  • Lowerbound of 95% confidence interval for alpha
    -1.64218
  • Upperbound of 95% confidence interval for alpha
    2.40526
  • Treynor index (mean / b)
    0.70448
  • Jensen alpha (a)
    0.38154
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07701
  • Expected Shortfall on VaR
    0.11225
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    1.01135
  • Quartile 1
    1.02856
  • Median
    1.02858
  • Quartile 3
    1.08440
  • Maximum
    1.27180
  • Mean of quarter 1
    1.01996
  • Mean of quarter 2
    1.02858
  • Mean of quarter 3
    1.08440
  • Mean of quarter 4
    1.27180
  • Inter Quartile Range
    0.05583
  • 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
    0.20000
  • Mean of outliers high
    1.27180
  • 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.14153
  • Compounded annual return (geometric extrapolation)
    1.54420
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    13.75640
  • 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
    0.82008
  • SD
    0.21407
  • Sharpe ratio (Glass type estimate)
    3.83080
  • Sharpe ratio (Hedges UMVUE)
    3.80720
  • df
    122.00000
  • t
    2.62477
  • p
    0.38440
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.92261
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.72374
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90706
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.70734
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.88428
  • Upside Potential Ratio
    14.23210
  • Upside part of mean
    1.69538
  • Downside part of mean
    -0.87530
  • Upside SD
    0.18393
  • Downside SD
    0.11912
  • N nonnegative terms
    76.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    123.00000
  • Mean of predictor
    0.41487
  • Mean of criterion
    0.82008
  • SD of predictor
    0.20269
  • SD of criterion
    0.21407
  • Covariance
    0.01410
  • r
    0.32486
  • b (slope, estimate of beta)
    0.34310
  • a (intercept, estimate of alpha)
    0.67800
  • Mean Square Error
    0.04133
  • DF error
    121.00000
  • t(b)
    3.77841
  • p(b)
    0.29689
  • t(a)
    2.26597
  • p(a)
    0.37243
  • Lowerbound of 95% confidence interval for beta
    0.16333
  • Upperbound of 95% confidence interval for beta
    0.52288
  • Lowerbound of 95% confidence interval for alpha
    0.08560
  • Upperbound of 95% confidence interval for alpha
    1.26987
  • Treynor index (mean / b)
    2.39019
  • Jensen alpha (a)
    0.67774
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.79618
  • SD
    0.21302
  • Sharpe ratio (Glass type estimate)
    3.73767
  • Sharpe ratio (Hedges UMVUE)
    3.71465
  • df
    122.00000
  • t
    2.56096
  • p
    0.38707
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.83166
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.62897
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.81640
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.61290
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.60325
  • Upside Potential Ratio
    13.92170
  • Upside part of mean
    1.67860
  • Downside part of mean
    -0.88242
  • Upside SD
    0.18135
  • Downside SD
    0.12058
  • N nonnegative terms
    76.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    123.00000
  • Mean of predictor
    0.39397
  • Mean of criterion
    0.79618
  • SD of predictor
    0.20403
  • SD of criterion
    0.21302
  • Covariance
    0.01408
  • r
    0.32405
  • b (slope, estimate of beta)
    0.33832
  • a (intercept, estimate of alpha)
    0.66290
  • Mean Square Error
    0.04095
  • DF error
    121.00000
  • t(b)
    3.76793
  • p(b)
    0.29737
  • t(a)
    2.22867
  • p(a)
    0.37442
  • Lowerbound of 95% confidence interval for beta
    0.16056
  • Upperbound of 95% confidence interval for beta
    0.51608
  • Lowerbound of 95% confidence interval for alpha
    0.07404
  • Upperbound of 95% confidence interval for alpha
    1.25176
  • Treynor index (mean / b)
    2.35335
  • Jensen alpha (a)
    0.66290
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01844
  • Expected Shortfall on VaR
    0.02381
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00638
  • Expected Shortfall on VaR
    0.01348
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    123.00000
  • Minimum
    0.95936
  • Quartile 1
    0.99555
  • Median
    1.00160
  • Quartile 3
    1.00912
  • Maximum
    1.05162
  • Mean of quarter 1
    0.98814
  • Mean of quarter 2
    0.99921
  • Mean of quarter 3
    1.00623
  • Mean of quarter 4
    1.01946
  • Inter Quartile Range
    0.01357
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02439
  • Mean of outliers low
    0.96769
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03252
  • Mean of outliers high
    1.04046
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25176
  • VaR(95%) (moments method)
    0.01167
  • Expected Shortfall (moments method)
    0.01897
  • Extreme Value Index (regression method)
    0.24112
  • VaR(95%) (regression method)
    0.01155
  • Expected Shortfall (regression method)
    0.01850
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00503
  • Quartile 1
    0.00725
  • Median
    0.01459
  • Quartile 3
    0.02270
  • Maximum
    0.07531
  • Mean of quarter 1
    0.00550
  • Mean of quarter 2
    0.01183
  • Mean of quarter 3
    0.01832
  • Mean of quarter 4
    0.04014
  • Inter Quartile Range
    0.01545
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    0.07531
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.14954
  • VaR(95%) (moments method)
    0.04512
  • Expected Shortfall (moments method)
    0.06508
  • Extreme Value Index (regression method)
    1.07792
  • VaR(95%) (regression method)
    0.06343
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.00621
  • Compounded annual return (geometric extrapolation)
    1.27981
  • Calmar ratio (compounded annual return / max draw down)
    16.99420
  • Compounded annual return / average of 25% largest draw downs
    31.88260
  • Compounded annual return / Expected Shortfall lognormal
    53.75790
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.01800
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -278065000
  • Max Equity Drawdown (num days)
    21

Strategy Description

Summary Statistics

Strategy began
2020-05-03
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 2.5%
Rank # 
#17
# Trades
30
# Profitable
17
% Profitable
56.7%
Net Dividends
Correlation S&P500
0.292
Sharpe Ratio
3.35
Sortino Ratio
6.07
Beta
0.32
Alpha
0.20
Leverage
1.68 Average
4.52 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.