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

SK FinTech
(133129548)

Created by: ChartFreak ChartFreak
Started: 01/2021
Futures, Options
Last trade: 895 days ago
Trading style: Equity Trend-following Sector Rotation

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $125.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

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

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
5.1%
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.

(100.0%)
Max Drawdown
58
Num Trades
63.8%
Win Trades
1.3 : 1
Profit Factor
15.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021(1.9%)+9.4%+8.0%+4.2%(2.8%)+4.7%+9.4%+14.6%(103.6%)(2235.7%)  -    -  +17.5%
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/27/21 11:05 @ESZ1 E-MINI S&P 500 LONG 20 4436.50 10/15 8:37 4418.26 2247.18%
Trade id #137544670
Max drawdown($61,775)
Time10/1/21 0:00
Quant open7
Worst price4260.00
Drawdown as % of equity2247.18%
($18,398)
Includes Typical Broker Commissions trade costs of $160.00
9/20/21 15:16 @MESZ1 MICRO E-MINI S&P 500 LONG 1 4295.00 9/20 15:53 4339.50 0%
Trade id #137449627
Max drawdown($3)
Time9/20/21 15:19
Quant open1
Worst price4294.25
Drawdown as % of equity-0.00%
$222
Includes Typical Broker Commissions trade costs of $0.94
8/18/21 15:47 @MESU1 MICRO E-MINI S&P 500 LONG 31 4392.87 8/23 11:10 4451.52 10.43%
Trade id #137024984
Max drawdown($7,032)
Time8/19/21 0:00
Quant open31
Worst price4347.50
Drawdown as % of equity-10.43%
$9,061
Includes Typical Broker Commissions trade costs of $29.14
8/17/21 10:10 @MESU1 MICRO E-MINI S&P 500 SHORT 7 4445.14 8/17 12:39 4426.75 0.44%
Trade id #136998624
Max drawdown($292)
Time8/17/21 10:50
Quant open7
Worst price4453.50
Drawdown as % of equity-0.44%
$637
Includes Typical Broker Commissions trade costs of $6.58
8/17/21 10:00 @ESU1 E-MINI S&P 500 SHORT 2 4438.25 8/17 12:38 4426.88 2.3%
Trade id #136998219
Max drawdown($1,525)
Time8/17/21 10:50
Quant open2
Worst price4453.50
Drawdown as % of equity-2.30%
$1,122
Includes Typical Broker Commissions trade costs of $16.00
8/3/21 10:42 SPY2104T432 SPY Aug4'21 432 put LONG 20 0.41 8/5 8:05 0.00 1.19%
Trade id #136804707
Max drawdown($800)
Time8/4/21 0:00
Quant open20
Worst price0.01
Drawdown as % of equity-1.19%
($834)
Includes Typical Broker Commissions trade costs of $14.00
7/19/21 3:36 @MESU1 MICRO E-MINI S&P 500 LONG 45 4285.00 7/20 12:51 4299.41 24.51%
Trade id #136548431
Max drawdown($13,725)
Time7/19/21 13:33
Quant open45
Worst price4224.00
Drawdown as % of equity-24.51%
$3,201
Includes Typical Broker Commissions trade costs of $42.30
7/16/21 10:25 @MESU1 MICRO E-MINI S&P 500 LONG 10 4337.75 7/16 10:55 4346.25 0.08%
Trade id #136528379
Max drawdown($50)
Time7/16/21 10:30
Quant open10
Worst price4336.75
Drawdown as % of equity-0.08%
$416
Includes Typical Broker Commissions trade costs of $9.40
7/8/21 3:33 @MESU1 MICRO E-MINI S&P 500 LONG 22 4296.00 7/9 11:39 4318.57 3%
Trade id #136372462
Max drawdown($1,842)
Time7/8/21 8:11
Quant open22
Worst price4279.25
Drawdown as % of equity-3.00%
$2,462
Includes Typical Broker Commissions trade costs of $20.68
6/18/21 8:21 @MESU1 MICRO E-MINI S&P 500 LONG 23 4170.22 6/21 20:53 4189.87 7.2%
Trade id #136110019
Max drawdown($4,071)
Time6/21/21 0:00
Quant open20
Worst price4129.50
Drawdown as % of equity-7.20%
$2,238
Includes Typical Broker Commissions trade costs of $21.62
6/11/21 10:40 @ESM1 E-MINI S&P 500 LONG 2 4236.88 6/11 11:13 4236.00 0.7%
Trade id #136023466
Max drawdown($412)
Time6/11/21 11:04
Quant open2
Worst price4232.75
Drawdown as % of equity-0.70%
($104)
Includes Typical Broker Commissions trade costs of $16.00
6/3/21 8:03 @MESM1 MICRO E-MINI S&P 500 LONG 6 4167.50 6/3 18:54 4194.00 0.13%
Trade id #135886054
Max drawdown($75)
Time6/3/21 9:49
Quant open3
Worst price4165.00
Drawdown as % of equity-0.13%
$789
Includes Typical Broker Commissions trade costs of $5.64
5/28/21 15:48 @ESM1 E-MINI S&P 500 LONG 2 4210.00 5/31 6:30 4198.00 2.05%
Trade id #135828266
Max drawdown($1,225)
Time5/31/21 6:30
Quant open2
Worst price4197.75
Drawdown as % of equity-2.05%
($1,216)
Includes Typical Broker Commissions trade costs of $16.00
5/27/21 15:39 @ESM1 E-MINI S&P 500 LONG 3 4202.75 5/28 15:26 4208.67 0.77%
Trade id #135809504
Max drawdown($462)
Time5/27/21 15:59
Quant open2
Worst price4194.25
Drawdown as % of equity-0.77%
$864
Includes Typical Broker Commissions trade costs of $24.00
5/28/21 10:22 SPY2128Q419 SPY May28'21 419 put LONG 50 0.26 5/28 11:18 0.13 1.17%
Trade id #135820913
Max drawdown($710)
Time5/28/21 11:18
Quant open50
Worst price0.12
Drawdown as % of equity-1.17%
($730)
Includes Typical Broker Commissions trade costs of $70.00
5/24/21 15:58 SPY2126E422 SPY May26'21 422 call LONG 50 0.40 5/27 8:05 0.66 2.67%
Trade id #135754630
Max drawdown($1,650)
Time5/25/21 0:00
Quant open50
Worst price0.07
Drawdown as % of equity-2.67%
$1,214
Includes Typical Broker Commissions trade costs of $66.50
5/24/21 12:30 SPY2126E423 SPY May26'21 423 call LONG 50 0.30 5/27 8:05 0.00 2.41%
Trade id #135750670
Max drawdown($1,450)
Time5/26/21 0:00
Quant open50
Worst price0.01
Drawdown as % of equity-2.41%
($1,535)
Includes Typical Broker Commissions trade costs of $35.00
5/25/21 15:33 @ESM1 E-MINI S&P 500 LONG 1 4183.50 5/25 15:48 4184.75 n/a $55
Includes Typical Broker Commissions trade costs of $8.00
5/24/21 10:59 SPY2124E420 SPY May24'21 420 call LONG 50 0.38 5/25 8:05 0.36 2.99%
Trade id #135748095
Max drawdown($1,850)
Time5/24/21 15:59
Quant open50
Worst price0.01
Drawdown as % of equity-2.99%
($156)
Includes Typical Broker Commissions trade costs of $56.00
5/19/21 11:35 SPY2119Q405 SPY May19'21 405 put LONG 40 0.40 5/20 8:05 0.00 2.56%
Trade id #135682880
Max drawdown($1,560)
Time5/19/21 15:30
Quant open40
Worst price0.01
Drawdown as % of equity-2.56%
($1,628)
Includes Typical Broker Commissions trade costs of $28.00
5/19/21 10:19 SPY2119Q403 SPY May19'21 403 put LONG 50 0.40 5/20 8:05 0.49 0.8%
Trade id #135681172
Max drawdown($490)
Time5/19/21 10:27
Quant open50
Worst price0.30
Drawdown as % of equity-0.80%
$387
Includes Typical Broker Commissions trade costs of $63.00
5/18/21 15:31 SPY2119Q410 SPY May19'21 410 put LONG 10 0.40 5/18 16:00 0.90 0.11%
Trade id #135670155
Max drawdown($70)
Time5/18/21 15:42
Quant open10
Worst price0.33
Drawdown as % of equity-0.11%
$486
Includes Typical Broker Commissions trade costs of $14.00
5/18/21 14:58 SPY2119Q409 SPY May19'21 409 put LONG 50 0.40 5/18 15:59 0.55 1.26%
Trade id #135669632
Max drawdown($800)
Time5/18/21 15:42
Quant open50
Worst price0.24
Drawdown as % of equity-1.26%
$680
Includes Typical Broker Commissions trade costs of $70.00
5/17/21 13:39 SPY2117Q413 SPY May17'21 413 put LONG 50 0.39 5/18 8:05 0.00 2.96%
Trade id #135651602
Max drawdown($1,880)
Time5/17/21 15:44
Quant open50
Worst price0.01
Drawdown as % of equity-2.96%
($1,965)
Includes Typical Broker Commissions trade costs of $35.00
5/17/21 10:16 SPY2117Q412 SPY May17'21 412 put LONG 50 0.40 5/18 8:05 0.00 3.07%
Trade id #135646310
Max drawdown($1,950)
Time5/17/21 15:04
Quant open50
Worst price0.01
Drawdown as % of equity-3.07%
($2,035)
Includes Typical Broker Commissions trade costs of $35.00
5/13/21 14:10 SPY2114E415 SPY May14'21 415 call LONG 30 0.40 5/13 14:36 0.59 0%
Trade id #135604945
Max drawdown($0)
Time5/13/21 14:15
Quant open10
Worst price0.40
Drawdown as % of equity-0.00%
$528
Includes Typical Broker Commissions trade costs of $42.00
5/13/21 10:43 SPY2114E416 SPY May14'21 416 call LONG 20 0.40 5/13 11:00 0.55 n/a $272
Includes Typical Broker Commissions trade costs of $28.00
5/12/21 10:17 SPY2112Q407 SPY May12'21 407 put LONG 50 0.42 5/12 11:42 0.61 1.26%
Trade id #135576454
Max drawdown($790)
Time5/12/21 10:21
Quant open50
Worst price0.26
Drawdown as % of equity-1.26%
$880
Includes Typical Broker Commissions trade costs of $70.00
5/11/21 10:23 SPY2112Q404 SPY May12'21 404 put LONG 30 0.68 5/11 10:35 0.82 n/a $388
Includes Typical Broker Commissions trade costs of $42.00
5/10/21 14:19 SPY2112Q412 SPY May12'21 412 put LONG 50 0.40 5/10 16:00 0.60 0.54%
Trade id #135542860
Max drawdown($330)
Time5/10/21 15:46
Quant open50
Worst price0.33
Drawdown as % of equity-0.54%
$950
Includes Typical Broker Commissions trade costs of $70.00

Statistics

  • Strategy began
    1/1/2021
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1173.5
  • Age
    39 months ago
  • What it trades
    Options, Futures
  • # Trades
    58
  • # Profitable
    37
  • % Profitable
    63.80%
  • Avg trade duration
    2.6 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Sept 30, 2021 - Sept 30, 2021
  • Annual Return (Compounded)
    5.1%
  • Avg win
    $1,357
  • Avg loss
    $1,827
  • Model Account Values (Raw)
  • Cash
    $61,890
  • Margin Used
    $0
  • Buying Power
    $61,890
  • Ratios
  • W:L ratio
    1.31:1
  • Sharpe Ratio
    0.44
  • Sortino Ratio
    2.79
  • Calmar Ratio
    0.192
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -20.40%
  • Correlation to SP500
    0.30350
  • Return Percent SP500 (cumu) during strategy life
    39.80%
  • Return Statistics
  • Ann Return (w trading costs)
    5.1%
  • Slump
  • Current Slump as Pcnt Equity
    31.60%
  • Instruments
  • Percent Trades Futures
    0.52%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.77%
  • 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)
    0.051%
  • Instruments
  • Percent Trades Options
    0.38%
  • Percent Trades Stocks
    0.11%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    93.50%
  • Chance of 40% account loss
    91.50%
  • Chance of 60% account loss (Monte Carlo)
    86.50%
  • Chance of 70% account loss (Monte Carlo)
    80.00%
  • Chance of 80% account loss (Monte Carlo)
    76.00%
  • Chance of 90% account loss (Monte Carlo)
    65.00%
  • 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
    89.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,828
  • Avg Win
    $1,358
  • Sum Trade PL (losers)
    $38,379.000
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $50,233.000
  • # Winners
    37
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    39
  • Win / Loss
  • # Losers
    21
  • % Winners
    63.8%
  • Frequency
  • Avg Position Time (mins)
    3769.62
  • Avg Position Time (hrs)
    62.83
  • Avg Trade Length
    2.6 days
  • Last Trade Ago
    901
  • Leverage
  • Daily leverage (average)
    8.22
  • Daily leverage (max)
    110.44
  • Regression
  • Alpha
    0.00
  • Beta
    1.68
  • Treynor Index
    0.00
  • 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)
    -0.41
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    12.117
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.954
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.259
  • Hold-and-Hope Ratio
    0.083
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.84233
  • SD
    1.29956
  • Sharpe ratio (Glass type estimate)
    0.64816
  • Sharpe ratio (Hedges UMVUE)
    0.61270
  • df
    14.00000
  • t
    0.72467
  • p
    0.40493
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.13217
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40602
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.15497
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.38037
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.42958
  • Upside Potential Ratio
    2.35188
  • Upside part of mean
    1.38576
  • Downside part of mean
    -0.54343
  • Upside SD
    1.13500
  • Downside SD
    0.58922
  • N nonnegative terms
    8.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.10981
  • Mean of criterion
    0.84233
  • SD of predictor
    0.13467
  • SD of criterion
    1.29956
  • Covariance
    0.00746
  • r
    0.04264
  • b (slope, estimate of beta)
    0.41143
  • a (intercept, estimate of alpha)
    0.79715
  • Mean Square Error
    1.81547
  • DF error
    13.00000
  • t(b)
    0.15386
  • p(b)
    0.47287
  • t(a)
    0.64266
  • p(a)
    0.38887
  • Lowerbound of 95% confidence interval for beta
    -5.36541
  • Upperbound of 95% confidence interval for beta
    6.18827
  • Lowerbound of 95% confidence interval for alpha
    -1.88257
  • Upperbound of 95% confidence interval for alpha
    3.47688
  • Treynor index (mean / b)
    2.04733
  • Jensen alpha (a)
    0.79715
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14277
  • SD
    1.25574
  • Sharpe ratio (Glass type estimate)
    0.11370
  • Sharpe ratio (Hedges UMVUE)
    0.10748
  • df
    14.00000
  • t
    0.12712
  • p
    0.48302
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.64183
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.86527
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64602
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.86097
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.14911
  • Upside Potential Ratio
    1.06072
  • Upside part of mean
    1.01564
  • Downside part of mean
    -0.87286
  • Upside SD
    0.74610
  • Downside SD
    0.95750
  • N nonnegative terms
    8.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.10078
  • Mean of criterion
    0.14277
  • SD of predictor
    0.13326
  • SD of criterion
    1.25574
  • Covariance
    0.02455
  • r
    0.14672
  • b (slope, estimate of beta)
    1.38258
  • a (intercept, estimate of alpha)
    0.00344
  • Mean Square Error
    1.66163
  • DF error
    13.00000
  • t(b)
    0.53480
  • p(b)
    0.40693
  • t(a)
    0.00291
  • p(a)
    0.49949
  • Lowerbound of 95% confidence interval for beta
    -4.20249
  • Upperbound of 95% confidence interval for beta
    6.96765
  • Lowerbound of 95% confidence interval for alpha
    -2.55016
  • Upperbound of 95% confidence interval for alpha
    2.55705
  • Treynor index (mean / b)
    0.10327
  • Jensen alpha (a)
    0.00344
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.44254
  • Expected Shortfall on VaR
    0.51680
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09527
  • Expected Shortfall on VaR
    0.22232
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.34365
  • Quartile 1
    1.00000
  • Median
    1.03591
  • Quartile 3
    1.06923
  • Maximum
    2.25390
  • Mean of quarter 1
    0.83425
  • Mean of quarter 2
    1.00898
  • Mean of quarter 3
    1.04703
  • Mean of quarter 4
    1.39346
  • Inter Quartile Range
    0.06923
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.06667
  • Mean of outliers low
    0.34365
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    2.25390
  • 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)
    5.61275
  • VaR(95%) (regression method)
    0.40478
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00664
  • Quartile 1
    0.16907
  • Median
    0.33150
  • Quartile 3
    0.49392
  • Maximum
    0.65635
  • Mean of quarter 1
    0.00664
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.65635
  • Inter Quartile Range
    0.32486
  • 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)
    0.19026
  • Compounded annual return (geometric extrapolation)
    0.18611
  • Calmar ratio (compounded annual return / max draw down)
    0.28356
  • Compounded annual return / average of 25% largest draw downs
    0.28356
  • Compounded annual return / Expected Shortfall lognormal
    0.36012
  • 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
    3.34514
  • SD
    4.70152
  • Sharpe ratio (Glass type estimate)
    0.71150
  • Sharpe ratio (Hedges UMVUE)
    0.70996
  • df
    347.00000
  • t
    0.82000
  • p
    0.20639
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99045
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.41245
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99148
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41141
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.11757
  • Upside Potential Ratio
    6.83944
  • Upside part of mean
    5.55640
  • Downside part of mean
    -2.21126
  • Upside SD
    4.62855
  • Downside SD
    0.81241
  • N nonnegative terms
    72.00000
  • N negative terms
    276.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    348.00000
  • Mean of predictor
    0.24502
  • Mean of criterion
    3.34514
  • SD of predictor
    0.24942
  • SD of criterion
    4.70152
  • Covariance
    0.06516
  • r
    0.05556
  • b (slope, estimate of beta)
    1.04734
  • a (intercept, estimate of alpha)
    3.08900
  • Mean Square Error
    22.09970
  • DF error
    346.00000
  • t(b)
    1.03513
  • p(b)
    0.15067
  • t(a)
    0.75578
  • p(a)
    0.22515
  • Lowerbound of 95% confidence interval for beta
    -0.94271
  • Upperbound of 95% confidence interval for beta
    3.03740
  • Lowerbound of 95% confidence interval for alpha
    -4.94905
  • Upperbound of 95% confidence interval for alpha
    11.12610
  • Treynor index (mean / b)
    3.19393
  • Jensen alpha (a)
    3.08852
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13272
  • SD
    1.97861
  • Sharpe ratio (Glass type estimate)
    0.06708
  • Sharpe ratio (Hedges UMVUE)
    0.06693
  • df
    347.00000
  • t
    0.07731
  • p
    0.46921
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.63356
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76771
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63370
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76757
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.12833
  • Upside Potential Ratio
    2.70525
  • Upside part of mean
    2.79780
  • Downside part of mean
    -2.66508
  • Upside SD
    1.68349
  • Downside SD
    1.03421
  • N nonnegative terms
    72.00000
  • N negative terms
    276.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    348.00000
  • Mean of predictor
    0.21387
  • Mean of criterion
    0.13272
  • SD of predictor
    0.24952
  • SD of criterion
    1.97861
  • Covariance
    0.03351
  • r
    0.06788
  • b (slope, estimate of beta)
    0.53829
  • a (intercept, estimate of alpha)
    0.01759
  • Mean Square Error
    3.90812
  • DF error
    346.00000
  • t(b)
    1.26561
  • p(b)
    0.10325
  • t(a)
    0.01024
  • p(a)
    0.49592
  • Lowerbound of 95% confidence interval for beta
    -0.29825
  • Upperbound of 95% confidence interval for beta
    1.37482
  • Lowerbound of 95% confidence interval for alpha
    -3.36091
  • Upperbound of 95% confidence interval for alpha
    3.39610
  • Treynor index (mean / b)
    0.24656
  • Jensen alpha (a)
    0.01759
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18173
  • Expected Shortfall on VaR
    0.22169
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02528
  • Expected Shortfall on VaR
    0.05757
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    348.00000
  • Minimum
    0.51974
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    6.28048
  • Mean of quarter 1
    0.96658
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.08492
  • Inter Quartile Range
    0.00000
  • Number outliers low
    46.00000
  • Percentage of outliers low
    0.13218
  • Mean of outliers low
    0.93679
  • Number of outliers high
    72.00000
  • Percentage of outliers high
    0.20690
  • Mean of outliers high
    1.10261
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.77841
  • VaR(95%) (moments method)
    0.00671
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.99708
  • VaR(95%) (regression method)
    0.01181
  • Expected Shortfall (regression method)
    6.25794
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00301
  • Quartile 1
    0.00981
  • Median
    0.01264
  • Quartile 3
    0.05101
  • Maximum
    0.90901
  • Mean of quarter 1
    0.00532
  • Mean of quarter 2
    0.01177
  • Mean of quarter 3
    0.02600
  • Mean of quarter 4
    0.28448
  • Inter Quartile Range
    0.04120
  • 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
    0.06667
  • Mean of outliers high
    0.90901
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.11885
  • VaR(95%) (moments method)
    0.28806
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    3.15662
  • VaR(95%) (regression method)
    0.40963
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17905
  • Compounded annual return (geometric extrapolation)
    0.17425
  • Calmar ratio (compounded annual return / max draw down)
    0.19169
  • Compounded annual return / average of 25% largest draw downs
    0.61250
  • Compounded annual return / Expected Shortfall lognormal
    0.78600
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31350
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.35410
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25116
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.35396
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6859970000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.18200
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -922408000000000041307843327950848.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • 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
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -410829000
  • Max Equity Drawdown (num days)
    4
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • 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
    0.00000

Strategy Description

Summary Statistics

Strategy began
2021-01-01
Suggested Minimum Capital
$25,000
# Trades
58
# Profitable
37
% Profitable
63.8%
Net Dividends
Correlation S&P500
0.303
Sharpe Ratio
0.44
Sortino Ratio
2.79
Beta
1.68
Alpha
0.00
Leverage
8.22 Average
110.44 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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