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

Mega Capital Growth
(130046986)

Created by: EnnoHochhuth3 EnnoHochhuth3
Started: 07/2020
Stocks
Last trade: 175 days ago
Trading style: Equity Non-hedged Equity Trend-following

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $199.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
99.8%
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.

(57.4%)
Max Drawdown
165
Num Trades
75.2%
Win Trades
2.9 : 1
Profit Factor
44.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                          (0.5%)+3.3%(1.8%)(9.1%)+36.3%+6.6%+33.3%
2021+51.4%+16.0%+1.3%(9.6%)(4.1%)+36.7%(6.6%)+1.3%(15.3%)(12.4%)(9.3%)(3.1%)+30.0%
2022(8.6%)(16.7%)+2.7%+252.8%  -  (0.2%)+0.7%+0.3%(1%)                  

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 203 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 536 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/4/21 9:51 ZSAN ZOSANA PHARMA CORP LONG 55,000 0.80 4/12/22 9:30 3.33 n/a $139,203
Includes Typical Broker Commissions trade costs of $50.00
7/27/21 12:42 GLPGF GALAPAGOS NV ORDINARY SHARES LONG 200 59.50 12/23 10:37 55.10 2.51%
Trade id #136699351
Max drawdown($2,190)
Time11/24/21 0:00
Quant open200
Worst price48.55
Drawdown as % of equity-2.51%
($884)
Includes Typical Broker Commissions trade costs of $4.00
10/14/21 12:00 VYGR VOYAGER THERAPEUTICS INC. COMMON STOCK LONG 11,000 4.12 11/23 12:20 3.09 13.7%
Trade id #137809422
Max drawdown($12,910)
Time11/22/21 0:00
Quant open11,000
Worst price2.95
Drawdown as % of equity-13.70%
($11,388)
Includes Typical Broker Commissions trade costs of $17.50
3/20/21 9:35 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,600 13.29 10/18 11:11 10.37 3.27%
Trade id #134744569
Max drawdown($4,293)
Time9/7/21 0:00
Quant open700
Worst price7.16
Drawdown as % of equity-3.27%
($4,692)
Includes Typical Broker Commissions trade costs of $18.50
7/15/21 11:09 UWMC UWM HOLDINGS CORP LONG 3,000 8.59 10/18 11:10 6.79 6.6%
Trade id #136507436
Max drawdown($6,670)
Time10/13/21 0:00
Quant open3,000
Worst price6.37
Drawdown as % of equity-6.60%
($5,407)
Includes Typical Broker Commissions trade costs of $11.00
8/24/21 15:46 ALJJ ALJ REGIONAL HOLDINGS INC. LONG 11,000 1.27 10/18 11:09 1.18 2.73%
Trade id #137105612
Max drawdown($2,810)
Time10/6/21 0:00
Quant open11,000
Worst price1.01
Drawdown as % of equity-2.73%
($948)
Includes Typical Broker Commissions trade costs of $7.50
8/30/21 14:14 GEO GEO GROUP LONG 1,000 7.68 10/18 11:09 8.30 0.68%
Trade id #137180728
Max drawdown($840)
Time9/20/21 0:00
Quant open1,000
Worst price6.84
Drawdown as % of equity-0.68%
$615
Includes Typical Broker Commissions trade costs of $5.00
9/21/21 12:04 BBBY2115V23 BBBY Oct15'21 23 put SHORT 11 7.29 10/14 12:30 8.80 1.88%
Trade id #137464088
Max drawdown($1,933)
Time10/14/21 9:31
Quant open11
Worst price9.05
Drawdown as % of equity-1.88%
($1,674)
Includes Typical Broker Commissions trade costs of $15.70
7/24/21 9:35 BBBY BED BATH & BEYOND LONG 1,400 30.45 10/6 11:50 14.42 21.4%
Trade id #136661807
Max drawdown($22,560)
Time10/6/21 11:28
Quant open1,400
Worst price14.34
Drawdown as % of equity-21.40%
($22,459)
Includes Typical Broker Commissions trade costs of $12.00
8/30/21 14:14 GEO2117I8 GEO Sep17'21 8 call SHORT 10 0.20 9/18 9:36 0.00 0.09%
Trade id #137180731
Max drawdown($120)
Time9/2/21 0:00
Quant open10
Worst price0.32
Drawdown as % of equity-0.09%
$193
Includes Typical Broker Commissions trade costs of $7.00
3/17/21 13:42 VHC2117U6 VHC Sep17'21 6 put SHORT 20 1.22 9/18 9:36 0.00 1.88%
Trade id #134679375
Max drawdown($1,883)
Time5/13/21 0:00
Quant open20
Worst price2.16
Drawdown as % of equity-1.88%
$2,422
Includes Typical Broker Commissions trade costs of $14.00
8/30/21 14:01 BBBY2103I29 BBBY Sep3'21 29 call SHORT 13 0.57 9/4 9:35 0.00 0.01%
Trade id #137180487
Max drawdown($13)
Time8/30/21 14:24
Quant open13
Worst price0.58
Drawdown as % of equity-0.01%
$732
Includes Typical Broker Commissions trade costs of $9.10
3/17/21 15:59 MOON DIREXION MOONSHOOT INNOVATORS ETF LONG 160 33.22 8/30 14:04 33.28 0.41%
Trade id #134684285
Max drawdown($492)
Time8/19/21 0:00
Quant open160
Worst price30.14
Drawdown as % of equity-0.41%
$7
Includes Typical Broker Commissions trade costs of $3.20
6/30/21 15:08 VHC VIRNETX HOLDING LONG 3,700 3.93 8/30 14:03 4.28 1.57%
Trade id #136273663
Max drawdown($1,854)
Time8/18/21 0:00
Quant open2,500
Worst price3.36
Drawdown as % of equity-1.57%
$1,277
Includes Typical Broker Commissions trade costs of $26.50
8/16/21 14:29 VERO VENUS CONCEPT INC LONG 7,000 2.01 8/30 14:01 2.29 1.37%
Trade id #136986758
Max drawdown($1,650)
Time8/19/21 0:00
Quant open7,000
Worst price1.77
Drawdown as % of equity-1.37%
$1,983
Includes Typical Broker Commissions trade costs of $7.50
8/23/21 13:32 BBBY2127H28.5 BBBY Aug27'21 28.5 call SHORT 13 0.25 8/28 9:36 0.00 1.46%
Trade id #137084652
Max drawdown($1,885)
Time8/26/21 0:00
Quant open13
Worst price1.70
Drawdown as % of equity-1.46%
$316
Includes Typical Broker Commissions trade costs of $9.10
7/15/21 11:11 ALJJ ALJ REGIONAL HOLDINGS INC. LONG 13,000 1.38 8/23 10:51 1.20 1.9%
Trade id #136507458
Max drawdown($2,290)
Time8/23/21 10:06
Quant open13,000
Worst price1.20
Drawdown as % of equity-1.90%
($2,305)
Includes Typical Broker Commissions trade costs of $15.00
7/6/21 11:05 BBBY2120T31 BBBY Aug20'21 31 put SHORT 12 3.53 8/21 9:36 0.00 2.16%
Trade id #136344003
Max drawdown($2,600)
Time8/19/21 0:00
Quant open12
Worst price5.70
Drawdown as % of equity-2.16%
$4,232
Includes Typical Broker Commissions trade costs of $8.40
7/6/21 11:08 UWMC2120T9 UWMC Aug20'21 9 put SHORT 20 1.30 8/21 9:36 0.00 1.27%
Trade id #136344119
Max drawdown($1,500)
Time8/18/21 0:00
Quant open20
Worst price2.05
Drawdown as % of equity-1.27%
$2,586
Includes Typical Broker Commissions trade costs of $14.00
7/19/21 12:11 GEO2120H7 GEO Aug20'21 7 call SHORT 30 0.30 8/21 9:36 0.00 3.15%
Trade id #136560640
Max drawdown($4,050)
Time8/16/21 0:00
Quant open30
Worst price1.65
Drawdown as % of equity-3.15%
$879
Includes Typical Broker Commissions trade costs of $21.00
6/19/21 9:35 GEO GEO GROUP LONG 3,000 8.00 8/21 9:36 7.00 3.89%
Trade id #136126454
Max drawdown($5,460)
Time7/19/21 0:00
Quant open3,000
Worst price6.18
Drawdown as % of equity-3.89%
($3,010)
Includes Typical Broker Commissions trade costs of $10.00
7/19/21 12:15 BBBY2123S31 BBBY Jul23'21 31 put SHORT 1 3.85 7/24 9:35 0.00 0.01%
Trade id #136560732
Max drawdown($17)
Time7/19/21 15:58
Quant open1
Worst price4.02
Drawdown as % of equity-0.01%
$384
Includes Typical Broker Commissions trade costs of $1.00
6/21/21 10:03 GEO2116G9 GEO Jul16'21 9 call SHORT 20 0.50 7/17 9:35 0.00 n/a $986
Includes Typical Broker Commissions trade costs of $14.00
6/22/21 9:47 GEO2116G8 GEO Jul16'21 8 call SHORT 10 0.55 7/17 9:35 0.00 0.02%
Trade id #136159192
Max drawdown($30)
Time6/22/21 9:51
Quant open10
Worst price0.58
Drawdown as % of equity-0.02%
$543
Includes Typical Broker Commissions trade costs of $7.00
6/21/21 10:04 GEO2116S7 GEO Jul16'21 7 put SHORT 10 0.40 7/17 9:35 0.00 0.12%
Trade id #136141505
Max drawdown($150)
Time7/16/21 0:00
Quant open10
Worst price0.55
Drawdown as % of equity-0.12%
$393
Includes Typical Broker Commissions trade costs of $7.00
6/14/21 15:04 ALJJ ALJ REGIONAL HOLDINGS INC. LONG 11,000 1.64 6/30 11:42 1.65 1.8%
Trade id #136051973
Max drawdown($2,464)
Time6/21/21 0:00
Quant open10,000
Worst price1.41
Drawdown as % of equity-1.80%
$63
Includes Typical Broker Commissions trade costs of $7.50
6/9/21 12:51 GEO2118R9 GEO Jun18'21 9 put SHORT 10 1.25 6/19 9:36 0.00 0.85%
Trade id #135989484
Max drawdown($1,150)
Time6/15/21 0:00
Quant open10
Worst price2.40
Drawdown as % of equity-0.85%
$1,243
Includes Typical Broker Commissions trade costs of $7.00
2/18/21 10:04 GEO2118R7 GEO Jun18'21 7 put SHORT 30 0.59 6/19 9:35 0.00 2.91%
Trade id #134132718
Max drawdown($2,774)
Time5/27/21 0:00
Quant open20
Worst price2.10
Drawdown as % of equity-2.91%
$1,755
Includes Typical Broker Commissions trade costs of $21.00
6/9/21 12:51 GEO2118R8 GEO Jun18'21 8 put SHORT 10 0.70 6/19 9:35 0.00 0.54%
Trade id #135989486
Max drawdown($730)
Time6/15/21 0:00
Quant open10
Worst price1.43
Drawdown as % of equity-0.54%
$693
Includes Typical Broker Commissions trade costs of $7.00
4/1/21 12:56 ELSE ELECTRO-SENSORS LONG 1,700 4.88 6/10 13:49 5.20 1.54%
Trade id #134972295
Max drawdown($1,653)
Time4/15/21 0:00
Quant open1,500
Worst price3.88
Drawdown as % of equity-1.54%
$529
Includes Typical Broker Commissions trade costs of $7.00

Statistics

  • Strategy began
    7/13/2020
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    807.86
  • Age
    27 months ago
  • What it trades
    Stocks, Options
  • # Trades
    165
  • # Profitable
    124
  • % Profitable
    75.20%
  • Avg trade duration
    31.0 days
  • Max peak-to-valley drawdown
    57.41%
  • drawdown period
    Aug 10, 2021 - Feb 24, 2022
  • Annual Return (Compounded)
    99.8%
  • Avg win
    $2,303
  • Avg loss
    $2,406
  • Model Account Values (Raw)
  • Cash
    $243,302
  • Margin Used
    $0
  • Buying Power
    $232,082
  • Ratios
  • W:L ratio
    2.92:1
  • Sharpe Ratio
    0.62
  • Sortino Ratio
    5.5
  • Calmar Ratio
    2.695
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    347.18%
  • Correlation to SP500
    -0.06840
  • Return Percent SP500 (cumu) during strategy life
    19.63%
  • Return Statistics
  • Ann Return (w trading costs)
    99.8%
  • Slump
  • Current Slump as Pcnt Equity
    1.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Instruments
  • Short Options - Percent Covered
    42.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.998%
  • Instruments
  • Percent Trades Options
    0.27%
  • Percent Trades Stocks
    0.73%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    101.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    56.00%
  • Chance of 20% account loss
    34.00%
  • Chance of 30% account loss
    12.00%
  • Chance of 40% account loss
    5.50%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,406
  • Avg Win
    $2,303
  • Sum Trade PL (losers)
    $98,648.000
  • Age
  • Num Months filled monthly returns table
    27
  • Win / Loss
  • Sum Trade PL (winners)
    $285,576.000
  • # Winners
    124
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    2140
  • Win / Loss
  • # Losers
    41
  • % Winners
    75.2%
  • Frequency
  • Avg Position Time (mins)
    44652.10
  • Avg Position Time (hrs)
    744.20
  • Avg Trade Length
    31.0 days
  • Last Trade Ago
    310
  • Leverage
  • Daily leverage (average)
    1.19
  • Daily leverage (max)
    7.37
  • Regression
  • Alpha
    0.39
  • Beta
    -0.69
  • Treynor Index
    -0.54
  • 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)
    1.41
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    7.555
  • 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
    0.731
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.279
  • Hold-and-Hope Ratio
    0.135
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.66113
  • SD
    1.79864
  • Sharpe ratio (Glass type estimate)
    0.92355
  • Sharpe ratio (Hedges UMVUE)
    0.88840
  • df
    20.00000
  • t
    1.22174
  • p
    0.36823
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59614
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42113
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.61855
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.39536
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.18282
  • Upside Potential Ratio
    7.99664
  • Upside part of mean
    2.14844
  • Downside part of mean
    -0.48731
  • Upside SD
    1.79967
  • Downside SD
    0.26867
  • N nonnegative terms
    11.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.11796
  • Mean of criterion
    1.66113
  • SD of predictor
    0.13456
  • SD of criterion
    1.79864
  • Covariance
    -0.08129
  • r
    -0.33588
  • b (slope, estimate of beta)
    -4.48973
  • a (intercept, estimate of alpha)
    2.19071
  • Mean Square Error
    3.02119
  • DF error
    19.00000
  • t(b)
    -1.55437
  • p(b)
    0.70974
  • t(a)
    1.61393
  • p(a)
    0.28348
  • Lowerbound of 95% confidence interval for beta
    -10.53530
  • Upperbound of 95% confidence interval for beta
    1.55587
  • Lowerbound of 95% confidence interval for alpha
    -0.65031
  • Upperbound of 95% confidence interval for alpha
    5.03174
  • Treynor index (mean / b)
    -0.36998
  • Jensen alpha (a)
    2.19071
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.88351
  • SD
    1.03858
  • Sharpe ratio (Glass type estimate)
    0.85069
  • Sharpe ratio (Hedges UMVUE)
    0.81831
  • df
    20.00000
  • t
    1.12535
  • p
    0.37799
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66412
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34504
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68483
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32145
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.97734
  • Upside Potential Ratio
    4.75432
  • Upside part of mean
    1.41081
  • Downside part of mean
    -0.52730
  • Upside SD
    1.00213
  • Downside SD
    0.29674
  • N nonnegative terms
    11.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.10854
  • Mean of criterion
    0.88351
  • SD of predictor
    0.13476
  • SD of criterion
    1.03858
  • Covariance
    -0.03484
  • r
    -0.24897
  • b (slope, estimate of beta)
    -1.91876
  • a (intercept, estimate of alpha)
    1.09176
  • Mean Square Error
    1.06504
  • DF error
    19.00000
  • t(b)
    -1.12050
  • p(b)
    0.65684
  • t(a)
    1.36137
  • p(a)
    0.31306
  • Lowerbound of 95% confidence interval for beta
    -5.50288
  • Upperbound of 95% confidence interval for beta
    1.66537
  • Lowerbound of 95% confidence interval for alpha
    -0.58676
  • Upperbound of 95% confidence interval for alpha
    2.77028
  • Treynor index (mean / b)
    -0.46046
  • Jensen alpha (a)
    1.09176
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.34264
  • Expected Shortfall on VaR
    0.41662
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09137
  • Expected Shortfall on VaR
    0.17325
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.78204
  • Quartile 1
    0.94829
  • Median
    1.00818
  • Quartile 3
    1.04866
  • Maximum
    3.27757
  • Mean of quarter 1
    0.87479
  • Mean of quarter 2
    0.98599
  • Mean of quarter 3
    1.02753
  • Mean of quarter 4
    1.72791
  • Inter Quartile Range
    0.10037
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.09524
  • Mean of outliers low
    0.78498
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.23810
  • Mean of outliers high
    1.72791
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.75778
  • VaR(95%) (moments method)
    0.12655
  • Expected Shortfall (moments method)
    0.14081
  • Extreme Value Index (regression method)
    -1.31436
  • VaR(95%) (regression method)
    0.13973
  • Expected Shortfall (regression method)
    0.14575
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00212
  • Quartile 1
    0.00283
  • Median
    0.04636
  • Quartile 3
    0.14412
  • Maximum
    0.49107
  • Mean of quarter 1
    0.00248
  • Mean of quarter 2
    0.04636
  • Mean of quarter 3
    0.14412
  • Mean of quarter 4
    0.49107
  • Inter Quartile Range
    0.14129
  • 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
    0.49107
  • 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)
    2.24468
  • Compounded annual return (geometric extrapolation)
    1.48783
  • Calmar ratio (compounded annual return / max draw down)
    3.02977
  • Compounded annual return / average of 25% largest draw downs
    3.02977
  • Compounded annual return / Expected Shortfall lognormal
    3.57120
  • 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
    1.59397
  • SD
    1.85431
  • Sharpe ratio (Glass type estimate)
    0.85960
  • Sharpe ratio (Hedges UMVUE)
    0.85823
  • df
    469.00000
  • t
    1.15132
  • p
    0.12509
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60519
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32359
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60616
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32261
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.68942
  • Upside Potential Ratio
    14.96710
  • Upside part of mean
    3.10259
  • Downside part of mean
    -1.50863
  • Upside SD
    1.84334
  • Downside SD
    0.20729
  • N nonnegative terms
    212.00000
  • N negative terms
    258.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    470.00000
  • Mean of predictor
    0.08439
  • Mean of criterion
    1.59397
  • SD of predictor
    0.20231
  • SD of criterion
    1.85431
  • Covariance
    -0.02545
  • r
    -0.06783
  • b (slope, estimate of beta)
    -0.62169
  • a (intercept, estimate of alpha)
    1.64600
  • Mean Square Error
    3.42997
  • DF error
    468.00000
  • t(b)
    -1.47074
  • p(b)
    0.92898
  • t(a)
    1.19029
  • p(a)
    0.11727
  • Lowerbound of 95% confidence interval for beta
    -1.45234
  • Upperbound of 95% confidence interval for beta
    0.20895
  • Lowerbound of 95% confidence interval for alpha
    -1.07166
  • Upperbound of 95% confidence interval for alpha
    4.36452
  • Treynor index (mean / b)
    -2.56391
  • Jensen alpha (a)
    1.64643
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.85756
  • SD
    0.98999
  • Sharpe ratio (Glass type estimate)
    0.86624
  • Sharpe ratio (Hedges UMVUE)
    0.86485
  • df
    469.00000
  • t
    1.16020
  • p
    0.12328
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59857
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33024
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59955
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32925
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.04216
  • Upside Potential Ratio
    11.25680
  • Upside part of mean
    2.38819
  • Downside part of mean
    -1.53062
  • Upside SD
    0.96736
  • Downside SD
    0.21216
  • N nonnegative terms
    212.00000
  • N negative terms
    258.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    470.00000
  • Mean of predictor
    0.06374
  • Mean of criterion
    0.85756
  • SD of predictor
    0.20389
  • SD of criterion
    0.98999
  • Covariance
    -0.00930
  • r
    -0.04605
  • b (slope, estimate of beta)
    -0.22361
  • a (intercept, estimate of alpha)
    0.87182
  • Mean Square Error
    0.98009
  • DF error
    468.00000
  • t(b)
    -0.99734
  • p(b)
    0.84044
  • t(a)
    1.17926
  • p(a)
    0.11945
  • Lowerbound of 95% confidence interval for beta
    -0.66419
  • Upperbound of 95% confidence interval for beta
    0.21697
  • Lowerbound of 95% confidence interval for alpha
    -0.58092
  • Upperbound of 95% confidence interval for alpha
    2.32456
  • Treynor index (mean / b)
    -3.83507
  • Jensen alpha (a)
    0.87182
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09274
  • Expected Shortfall on VaR
    0.11541
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01398
  • Expected Shortfall on VaR
    0.02806
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    470.00000
  • Minimum
    0.91812
  • Quartile 1
    0.99368
  • Median
    0.99977
  • Quartile 3
    1.00465
  • Maximum
    3.43340
  • Mean of quarter 1
    0.97979
  • Mean of quarter 2
    0.99750
  • Mean of quarter 3
    1.00129
  • Mean of quarter 4
    1.04607
  • Inter Quartile Range
    0.01097
  • Number outliers low
    30.00000
  • Percentage of outliers low
    0.06383
  • Mean of outliers low
    0.95893
  • Number of outliers high
    45.00000
  • Percentage of outliers high
    0.09574
  • Mean of outliers high
    1.10197
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21091
  • VaR(95%) (moments method)
    0.01799
  • Expected Shortfall (moments method)
    0.02881
  • Extreme Value Index (regression method)
    0.12045
  • VaR(95%) (regression method)
    0.01831
  • Expected Shortfall (regression method)
    0.02758
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    34.00000
  • Minimum
    0.00020
  • Quartile 1
    0.00465
  • Median
    0.01066
  • Quartile 3
    0.02016
  • Maximum
    0.52835
  • Mean of quarter 1
    0.00199
  • Mean of quarter 2
    0.00740
  • Mean of quarter 3
    0.01521
  • Mean of quarter 4
    0.12655
  • Inter Quartile Range
    0.01551
  • 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
    0.14706
  • Mean of outliers high
    0.20702
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.01746
  • VaR(95%) (moments method)
    0.12560
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.94541
  • VaR(95%) (regression method)
    0.12382
  • Expected Shortfall (regression method)
    2.39522
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.17187
  • Compounded annual return (geometric extrapolation)
    1.42413
  • Calmar ratio (compounded annual return / max draw down)
    2.69543
  • Compounded annual return / average of 25% largest draw downs
    11.25350
  • Compounded annual return / Expected Shortfall lognormal
    12.33980
  • 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
    4.08053
  • SD
    3.45273
  • Sharpe ratio (Glass type estimate)
    1.18183
  • Sharpe ratio (Hedges UMVUE)
    1.17500
  • df
    130.00000
  • t
    0.83568
  • p
    0.46345
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59588
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.95518
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.60049
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.95048
  • Statistics related to Sortino ratio
  • Sortino ratio
    19.70640
  • Upside Potential Ratio
    25.50280
  • Upside part of mean
    5.28075
  • Downside part of mean
    -1.20022
  • Upside SD
    3.44253
  • Downside SD
    0.20707
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.42704
  • Mean of criterion
    4.08053
  • SD of predictor
    0.30569
  • SD of criterion
    3.45273
  • Covariance
    -0.09278
  • r
    -0.08790
  • b (slope, estimate of beta)
    -0.99285
  • a (intercept, estimate of alpha)
    3.65654
  • Mean Square Error
    11.92090
  • DF error
    129.00000
  • t(b)
    -1.00228
  • p(b)
    0.55589
  • t(a)
    0.74607
  • p(a)
    0.45830
  • Lowerbound of 95% confidence interval for beta
    -2.95276
  • Upperbound of 95% confidence interval for beta
    0.96706
  • Lowerbound of 95% confidence interval for alpha
    -6.04040
  • Upperbound of 95% confidence interval for alpha
    13.35350
  • Treynor index (mean / b)
    -4.10991
  • Jensen alpha (a)
    3.65654
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.65418
  • SD
    1.76359
  • Sharpe ratio (Glass type estimate)
    0.93796
  • Sharpe ratio (Hedges UMVUE)
    0.93254
  • df
    130.00000
  • t
    0.66324
  • p
    0.47096
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.83788
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.71042
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.84158
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.70666
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.77187
  • Upside Potential Ratio
    13.51480
  • Upside part of mean
    2.87652
  • Downside part of mean
    -1.22233
  • Upside SD
    1.74690
  • Downside SD
    0.21284
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.47440
  • Mean of criterion
    1.65418
  • SD of predictor
    0.30889
  • SD of criterion
    1.76359
  • Covariance
    -0.03873
  • r
    -0.07109
  • b (slope, estimate of beta)
    -0.40589
  • a (intercept, estimate of alpha)
    1.46163
  • Mean Square Error
    3.11853
  • DF error
    129.00000
  • t(b)
    -0.80950
  • p(b)
    0.54522
  • t(a)
    0.58262
  • p(a)
    0.46740
  • VAR (95 Confidence Intrvl)
    0.09300
  • Lowerbound of 95% confidence interval for beta
    -1.39795
  • Upperbound of 95% confidence interval for beta
    0.58616
  • Lowerbound of 95% confidence interval for alpha
    -3.50192
  • Upperbound of 95% confidence interval for alpha
    6.42518
  • Treynor index (mean / b)
    -4.07541
  • Jensen alpha (a)
    1.46163
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15878
  • Expected Shortfall on VaR
    0.19557
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01166
  • Expected Shortfall on VaR
    0.02490
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91812
  • Quartile 1
    0.99851
  • Median
    0.99980
  • Quartile 3
    1.00052
  • Maximum
    3.43340
  • Mean of quarter 1
    0.98272
  • Mean of quarter 2
    0.99936
  • Mean of quarter 3
    1.00016
  • Mean of quarter 4
    1.08002
  • Inter Quartile Range
    0.00201
  • Number outliers low
    25.00000
  • Percentage of outliers low
    0.19084
  • Mean of outliers low
    0.97803
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.11450
  • Mean of outliers high
    1.17467
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59322
  • VaR(95%) (moments method)
    0.00952
  • Expected Shortfall (moments method)
    0.02857
  • Extreme Value Index (regression method)
    0.28952
  • VaR(95%) (regression method)
    0.01772
  • Expected Shortfall (regression method)
    0.03539
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00020
  • Quartile 1
    0.00070
  • Median
    0.00398
  • Quartile 3
    0.01174
  • Maximum
    0.34476
  • Mean of quarter 1
    0.00041
  • Mean of quarter 2
    0.00123
  • Mean of quarter 3
    0.00839
  • Mean of quarter 4
    0.18002
  • Inter Quartile Range
    0.01104
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.34476
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -323794000
  • Max Equity Drawdown (num days)
    198
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.63758
  • Compounded annual return (geometric extrapolation)
    4.37679
  • Calmar ratio (compounded annual return / max draw down)
    12.69530
  • Compounded annual return / average of 25% largest draw downs
    24.31300
  • Compounded annual return / Expected Shortfall lognormal
    22.37920

Strategy Description

Goal of the strategy is capital growth. Please drop me a message before you subscribe with real money and keep into account that I often use the full buying power of my account. I suggest to use IB and I also want to point out that I plan to use options and options spreads every now and then. Scale your positions down according to your needs. The draw downs can be extended and the last cycle had a low of around -20% so this strategy is not for the faint-hearted or those that like to leverage their accounts. However due to technical issues of Collective2 options expiration and assignment is handled in a strange way so some of the sudden 1 day 20% drops during the day don't exist in reality.

To paying subscribers: Make sure to contact me about any open derivative positions before you take them over. These are highly time sensitive.
To non-paying subscribers: Welcome. Please be aware that I have built in a 168 hours delay.

Summary Statistics

Strategy began
2020-07-13
Suggested Minimum Capital
$30,000
# Trades
165
# Profitable
124
% Profitable
75.2%
Net Dividends
Correlation S&P500
-0.068
Sharpe Ratio
0.62
Sortino Ratio
5.50
Beta
-0.69
Alpha
0.39
Leverage
1.19 Average
7.37 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.