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PxV Forex
(121808714)

Created by: PxVForex PxVForex
Started: 01/2019
Forex
Last trade: 4 days ago

Subscriptions not available

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

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

C2Star

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

You can read more about C2Star certification requirements here.

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

208.1%
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.

(35.4%)
Max Drawdown
217
Num Trades
71.0%
Win Trades
1.9 : 1
Profit Factor
76.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019+10.4%+25.5%+39.8%+16.1%+9.5%+12.0%(16.8%)+25.9%+3.3%+8.0%+10.3%(8.9%)+224.1%
2020(0.2%)                                                                  (0.2%)

Model Account Details

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

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

System developer has asked us to delay this information by 100 hours.

Trading Record

This strategy has placed 501 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/9/20 4:16 GBP/USD GBP/USD LONG 15 1.30448 1/10 15:18 1.30574 1.46%
Trade id #126926501
Max drawdown($469)
Time1/9/20 6:48
Quant open15
Worst price1.30135
Drawdown as % of equity-1.46%
$189
1/8/20 7:29 EUR/USD EUR/USD SHORT 40 1.11177 1/10 15:17 1.11203 1.23%
Trade id #126910406
Max drawdown($394)
Time1/8/20 10:13
Quant open30
Worst price1.11308
Drawdown as % of equity-1.23%
($106)
1/7/20 7:51 USD/CAD USD/CAD SHORT 15 1.29885 1/7 10:43 1.30300 1.35%
Trade id #126895228
Max drawdown($433)
Time1/7/20 10:39
Quant open15
Worst price1.30260
Drawdown as % of equity-1.35%
($478)
1/7/20 3:50 EUR/USD EUR/USD LONG 20 1.11692 1/7 10:23 1.11375 1.83%
Trade id #126893268
Max drawdown($593)
Time1/7/20 10:23
Quant open20
Worst price1.11396
Drawdown as % of equity-1.83%
($634)
1/2/20 10:04 AUD/USD AUD/USD SHORT 5 0.69857 1/3 15:55 0.69541 0.27%
Trade id #126831748
Max drawdown($88)
Time1/2/20 11:00
Quant open5
Worst price0.70033
Drawdown as % of equity-0.27%
$158
1/2/20 10:02 USD/CAD USD/CAD LONG 15 1.29986 1/3 15:55 1.29918 1.32%
Trade id #126831695
Max drawdown($431)
Time1/3/20 0:00
Quant open15
Worst price1.29612
Drawdown as % of equity-1.32%
($79)
12/31/19 3:16 EUR/USD EUR/USD SHORT 20 1.11886 1/3/20 15:55 1.11609 1.1%
Trade id #126798045
Max drawdown($356)
Time12/31/19 9:03
Quant open10
Worst price1.12393
Drawdown as % of equity-1.10%
$554
12/31/19 5:10 USD/CAD USD/CAD LONG 10 1.30316 12/31 10:29 1.29750 1.11%
Trade id #126798432
Max drawdown($366)
Time12/31/19 10:29
Quant open10
Worst price1.29840
Drawdown as % of equity-1.11%
($437)
12/19/19 0:24 AUD/USD AUD/USD SHORT 25 0.68845 12/24 0:35 0.69188 3.32%
Trade id #126678369
Max drawdown($1,105)
Time12/23/19 0:00
Quant open25
Worst price0.69287
Drawdown as % of equity-3.32%
($857)
12/18/19 3:25 USD/CAD USD/CAD LONG 25 1.31490 12/20 13:14 1.31681 2.72%
Trade id #126665501
Max drawdown($889)
Time12/18/19 11:07
Quant open25
Worst price1.31024
Drawdown as % of equity-2.72%
$362
12/18/19 9:11 GBP/CAD GBP/CAD LONG 10 1.71792 12/19 2:47 1.72036 1.3%
Trade id #126667593
Max drawdown($421)
Time12/18/19 11:38
Quant open10
Worst price1.71240
Drawdown as % of equity-1.30%
$186
12/18/19 2:02 EUR/USD EUR/USD SHORT 15 1.11371 12/18 10:47 1.11285 0.25%
Trade id #126665001
Max drawdown($82)
Time12/18/19 4:21
Quant open15
Worst price1.11426
Drawdown as % of equity-0.25%
$129
12/13/19 4:34 EUR/USD EUR/USD SHORT 25 1.11666 12/13 13:57 1.11200 0.37%
Trade id #126609856
Max drawdown($116)
Time12/13/19 6:21
Quant open10
Worst price1.11861
Drawdown as % of equity-0.37%
$1,167
12/13/19 8:42 USD/CAD USD/CAD LONG 15 1.31683 12/13 13:57 1.31829 0.59%
Trade id #126611806
Max drawdown($187)
Time12/13/19 10:09
Quant open15
Worst price1.31519
Drawdown as % of equity-0.59%
$166
12/13/19 8:43 AUD/USD AUD/USD SHORT 10 0.69094 12/13 13:57 0.68706 0.18%
Trade id #126611816
Max drawdown($57)
Time12/13/19 10:05
Quant open10
Worst price0.69151
Drawdown as % of equity-0.18%
$388
12/12/19 8:47 EUR/USD EUR/USD SHORT 25 1.11304 12/12 17:13 1.11738 3.64%
Trade id #126593355
Max drawdown($1,185)
Time12/12/19 17:03
Quant open25
Worst price1.11778
Drawdown as % of equity-3.64%
($1,087)
12/11/19 15:04 EUR/USD EUR/USD SHORT 25 1.11375 12/11 15:07 1.11448 0.23%
Trade id #126584996
Max drawdown($76)
Time12/11/19 15:07
Quant open25
Worst price1.11405
Drawdown as % of equity-0.23%
($185)
12/2/19 10:02 EUR/USD EUR/USD SHORT 30 1.10831 12/11 14:50 1.11361 4.42%
Trade id #126440349
Max drawdown($1,485)
Time12/11/19 14:50
Quant open30
Worst price1.11326
Drawdown as % of equity-4.42%
($1,591)
12/2/19 10:03 AUD/USD AUD/USD SHORT 25 0.68163 12/10 0:19 0.68254 3.11%
Trade id #126440378
Max drawdown($1,025)
Time12/6/19 0:00
Quant open25
Worst price0.68573
Drawdown as % of equity-3.11%
($228)
12/4/19 5:03 GBP/USD GBP/USD SHORT 10 1.30509 12/6 15:35 1.31363 3.39%
Trade id #126473702
Max drawdown($1,152)
Time12/5/19 0:00
Quant open10
Worst price1.31662
Drawdown as % of equity-3.39%
($854)
11/21/19 23:35 AUD/USD AUD/USD SHORT 10 0.67873 11/29 9:56 0.67648 0.46%
Trade id #126317221
Max drawdown($159)
Time11/22/19 0:00
Quant open10
Worst price0.68032
Drawdown as % of equity-0.46%
$225
11/14/19 8:33 EUR/USD EUR/USD SHORT 25 1.10684 11/29 6:41 1.10254 1.96%
Trade id #126206589
Max drawdown($660)
Time11/21/19 0:00
Quant open15
Worst price1.10970
Drawdown as % of equity-1.96%
$1,076
11/25/19 10:18 GBP/USD GBP/USD SHORT 5 1.29079 11/26 1:17 1.28985 0.03%
Trade id #126353417
Max drawdown($10)
Time11/25/19 10:19
Quant open5
Worst price1.29100
Drawdown as % of equity-0.03%
$47
11/20/19 1:39 EUR/CAD EUR/CAD SHORT 10 1.47042 11/21 23:28 1.46968 1.51%
Trade id #126278896
Max drawdown($508)
Time11/21/19 0:00
Quant open10
Worst price1.47717
Drawdown as % of equity-1.51%
$55
11/20/19 6:04 USD/CAD USD/CAD SHORT 10 1.33107 11/21 8:43 1.33217 0.38%
Trade id #126280847
Max drawdown($127)
Time11/20/19 12:59
Quant open10
Worst price1.33276
Drawdown as % of equity-0.38%
($83)
11/14/19 13:03 GBP/USD GBP/USD SHORT 10 1.28927 11/18 3:08 1.29347 1%
Trade id #126214066
Max drawdown($340)
Time11/18/19 3:08
Quant open5
Worst price1.29607
Drawdown as % of equity-1.00%
($420)
11/14/19 13:03 USD/JPY USD/JPY LONG 5 108.372 11/15 11:43 108.832 0.17%
Trade id #126214045
Max drawdown($59)
Time11/14/19 13:58
Quant open5
Worst price108.242
Drawdown as % of equity-0.17%
$211
11/7/19 7:29 AUD/USD AUD/USD SHORT 5 0.68951 11/7 23:38 0.68832 0.26%
Trade id #126107747
Max drawdown($91)
Time11/7/19 12:35
Quant open5
Worst price0.69133
Drawdown as % of equity-0.26%
$60
10/23/19 1:35 AUD/USD AUD/USD SHORT 15 0.68624 11/7 0:08 0.68674 3.12%
Trade id #125909534
Max drawdown($1,010)
Time10/31/19 0:00
Quant open15
Worst price0.69297
Drawdown as % of equity-3.12%
($76)
10/28/19 10:28 GBP/USD GBP/USD SHORT 10 1.28838 11/7 0:08 1.28435 2.84%
Trade id #125973819
Max drawdown($917)
Time10/31/19 0:00
Quant open10
Worst price1.29755
Drawdown as % of equity-2.84%
$403

Statistics

  • Strategy began
    1/6/2019
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    377.71
  • Age
    13 months ago
  • What it trades
    Forex
  • # Trades
    217
  • # Profitable
    154
  • % Profitable
    71.00%
  • Avg trade duration
    2.1 days
  • Max peak-to-valley drawdown
    35.39%
  • drawdown period
    July 25, 2019 - Aug 07, 2019
  • Annual Return (Compounded)
    208.1%
  • Avg win
    $325.35
  • Avg loss
    $415.08
  • Model Account Values (Raw)
  • Cash
    $35,069
  • Margin Used
    $9,979
  • Buying Power
    $23,974
  • Ratios
  • W:L ratio
    1.92:1
  • Sharpe Ratio
    2.39
  • Sortino Ratio
    4.08
  • Calmar Ratio
    9.385
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    191.81%
  • Correlation to SP500
    0.15130
  • Return Percent SP500 (cumu) during strategy life
    31.50%
  • Return Statistics
  • Ann Return (w trading costs)
    208.1%
  • Slump
  • Current Slump as Pcnt Equity
    0.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.13%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    2.081%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    224.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    35.50%
  • Chance of 20% account loss
    14.00%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    973
  • Popularity (Last 6 weeks)
    997
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    768
  • Popularity (7 days, Percentile 1000 scale)
    988
  • 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
    $415
  • Avg Win
    $325
  • Sum Trade PL (losers)
    $26,150.000
  • AUM
  • AUM (AutoTrader num accounts)
    29
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $50,104.000
  • # Winners
    154
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    1948990
  • Win / Loss
  • # Losers
    63
  • % Winners
    71.0%
  • Frequency
  • Avg Position Time (mins)
    3040.83
  • Avg Position Time (hrs)
    50.68
  • Avg Trade Length
    2.1 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    10.62
  • Daily leverage (max)
    28.61
  • Regression
  • Alpha
    0.30
  • Beta
    0.55
  • Treynor Index
    0.61
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    60.43
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    42.33
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -10.70
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    3.550
  • 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
    0.877
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.511
  • Hold-and-Hope Ratio
    0.280
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.36714
  • SD
    0.47852
  • Sharpe ratio (Glass type estimate)
    2.85706
  • Sharpe ratio (Hedges UMVUE)
    2.65695
  • df
    11.00000
  • t
    2.85706
  • p
    0.00780
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.52266
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.09754
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40437
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.90952
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.13660
  • Upside Potential Ratio
    11.43080
  • Upside part of mean
    1.54170
  • Downside part of mean
    -0.17456
  • Upside SD
    0.58946
  • Downside SD
    0.13487
  • N nonnegative terms
    9.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.22665
  • Mean of criterion
    1.36714
  • SD of predictor
    0.10170
  • SD of criterion
    0.47852
  • Covariance
    0.02176
  • r
    0.44725
  • b (slope, estimate of beta)
    2.10440
  • a (intercept, estimate of alpha)
    0.89019
  • Mean Square Error
    0.20149
  • DF error
    10.00000
  • t(b)
    1.58128
  • p(b)
    0.07245
  • t(a)
    1.64604
  • p(a)
    0.06539
  • Lowerbound of 95% confidence interval for beta
    -0.86086
  • Upperbound of 95% confidence interval for beta
    5.06966
  • Lowerbound of 95% confidence interval for alpha
    -0.31480
  • Upperbound of 95% confidence interval for alpha
    2.09518
  • Treynor index (mean / b)
    0.64966
  • Jensen alpha (a)
    0.89019
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.20686
  • SD
    0.43221
  • Sharpe ratio (Glass type estimate)
    2.79228
  • Sharpe ratio (Hedges UMVUE)
    2.59671
  • df
    11.00000
  • t
    2.79228
  • p
    0.00876
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47210
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.01963
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35644
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.83699
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.43344
  • Upside Potential Ratio
    9.71906
  • Upside part of mean
    1.39084
  • Downside part of mean
    -0.18398
  • Upside SD
    0.52167
  • Downside SD
    0.14310
  • N nonnegative terms
    9.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.21949
  • Mean of criterion
    1.20686
  • SD of predictor
    0.09930
  • SD of criterion
    0.43221
  • Covariance
    0.01842
  • r
    0.42909
  • b (slope, estimate of beta)
    1.86760
  • a (intercept, estimate of alpha)
    0.79695
  • Mean Square Error
    0.16765
  • DF error
    10.00000
  • t(b)
    1.50221
  • p(b)
    0.08197
  • t(a)
    1.61963
  • p(a)
    0.06819
  • Lowerbound of 95% confidence interval for beta
    -0.90251
  • Upperbound of 95% confidence interval for beta
    4.63772
  • Lowerbound of 95% confidence interval for alpha
    -0.29942
  • Upperbound of 95% confidence interval for alpha
    1.89331
  • Treynor index (mean / b)
    0.64621
  • Jensen alpha (a)
    0.79695
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09936
  • Expected Shortfall on VaR
    0.14422
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01942
  • Expected Shortfall on VaR
    0.04797
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.87599
  • Quartile 1
    1.04761
  • Median
    1.11308
  • Quartile 3
    1.20001
  • Maximum
    1.38321
  • Mean of quarter 1
    0.94414
  • Mean of quarter 2
    1.07560
  • Mean of quarter 3
    1.15872
  • Mean of quarter 4
    1.28656
  • Inter Quartile Range
    0.15241
  • 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)
    -0.22403
  • VaR(95%) (regression method)
    0.12972
  • Expected Shortfall (regression method)
    0.18841
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04489
  • Quartile 1
    0.06467
  • Median
    0.08445
  • Quartile 3
    0.10423
  • Maximum
    0.12401
  • Mean of quarter 1
    0.04489
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.12401
  • Inter Quartile Range
    0.03956
  • 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)
    2.43758
  • Compounded annual return (geometric extrapolation)
    2.43758
  • Calmar ratio (compounded annual return / max draw down)
    19.65710
  • Compounded annual return / average of 25% largest draw downs
    19.65710
  • Compounded annual return / Expected Shortfall lognormal
    16.90200
  • 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
    1.27362
  • SD
    0.41137
  • Sharpe ratio (Glass type estimate)
    3.09606
  • Sharpe ratio (Hedges UMVUE)
    3.08732
  • df
    266.00000
  • t
    3.12546
  • p
    0.00099
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.13398
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.05246
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.12815
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.04649
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.34342
  • Upside Potential Ratio
    10.88510
  • Upside part of mean
    2.59448
  • Downside part of mean
    -1.32087
  • Upside SD
    0.34347
  • Downside SD
    0.23835
  • N nonnegative terms
    140.00000
  • N negative terms
    127.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    267.00000
  • Mean of predictor
    0.24100
  • Mean of criterion
    1.27362
  • SD of predictor
    0.11742
  • SD of criterion
    0.41137
  • Covariance
    0.00707
  • r
    0.14631
  • b (slope, estimate of beta)
    0.51260
  • a (intercept, estimate of alpha)
    1.15000
  • Mean Square Error
    0.16623
  • DF error
    265.00000
  • t(b)
    2.40772
  • p(b)
    0.00837
  • t(a)
    2.82493
  • p(a)
    0.00254
  • Lowerbound of 95% confidence interval for beta
    0.09341
  • Upperbound of 95% confidence interval for beta
    0.93179
  • Lowerbound of 95% confidence interval for alpha
    0.34848
  • Upperbound of 95% confidence interval for alpha
    1.95167
  • Treynor index (mean / b)
    2.48461
  • Jensen alpha (a)
    1.15008
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.18700
  • SD
    0.40932
  • Sharpe ratio (Glass type estimate)
    2.89996
  • Sharpe ratio (Hedges UMVUE)
    2.89178
  • df
    266.00000
  • t
    2.92750
  • p
    0.00186
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.94024
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.85438
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.93476
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.84879
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.75963
  • Upside Potential Ratio
    10.17640
  • Upside part of mean
    2.53789
  • Downside part of mean
    -1.35089
  • Upside SD
    0.33181
  • Downside SD
    0.24939
  • N nonnegative terms
    140.00000
  • N negative terms
    127.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    267.00000
  • Mean of predictor
    0.23398
  • Mean of criterion
    1.18700
  • SD of predictor
    0.11769
  • SD of criterion
    0.40932
  • Covariance
    0.00688
  • r
    0.14274
  • b (slope, estimate of beta)
    0.49645
  • a (intercept, estimate of alpha)
    1.07084
  • Mean Square Error
    0.16475
  • DF error
    265.00000
  • t(b)
    2.34766
  • p(b)
    0.00981
  • t(a)
    2.64338
  • p(a)
    0.00435
  • Lowerbound of 95% confidence interval for beta
    0.08008
  • Upperbound of 95% confidence interval for beta
    0.91281
  • Lowerbound of 95% confidence interval for alpha
    0.27321
  • Upperbound of 95% confidence interval for alpha
    1.86847
  • Treynor index (mean / b)
    2.39099
  • Jensen alpha (a)
    1.07084
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03639
  • Expected Shortfall on VaR
    0.04647
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01090
  • Expected Shortfall on VaR
    0.02429
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    267.00000
  • Minimum
    0.85512
  • Quartile 1
    0.99575
  • Median
    1.00110
  • Quartile 3
    1.01205
  • Maximum
    1.12447
  • Mean of quarter 1
    0.98082
  • Mean of quarter 2
    0.99938
  • Mean of quarter 3
    1.00605
  • Mean of quarter 4
    1.03364
  • Inter Quartile Range
    0.01630
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.03745
  • Mean of outliers low
    0.93913
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.07491
  • Mean of outliers high
    1.06430
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40993
  • VaR(95%) (moments method)
    0.01569
  • Expected Shortfall (moments method)
    0.03210
  • Extreme Value Index (regression method)
    0.53873
  • VaR(95%) (regression method)
    0.01496
  • Expected Shortfall (regression method)
    0.03636
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    30.00000
  • Minimum
    0.00024
  • Quartile 1
    0.00189
  • Median
    0.00904
  • Quartile 3
    0.03302
  • Maximum
    0.25253
  • Mean of quarter 1
    0.00077
  • Mean of quarter 2
    0.00481
  • Mean of quarter 3
    0.01873
  • Mean of quarter 4
    0.10591
  • Inter Quartile Range
    0.03112
  • 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
    0.16667
  • Mean of outliers high
    0.13836
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.04323
  • VaR(95%) (moments method)
    0.09334
  • Expected Shortfall (moments method)
    0.10088
  • Extreme Value Index (regression method)
    0.07876
  • VaR(95%) (regression method)
    0.14735
  • Expected Shortfall (regression method)
    0.22699
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.40317
  • Compounded annual return (geometric extrapolation)
    2.36998
  • Calmar ratio (compounded annual return / max draw down)
    9.38511
  • Compounded annual return / average of 25% largest draw downs
    22.37680
  • Compounded annual return / Expected Shortfall lognormal
    50.99790
  • 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
    0.31568
  • SD
    0.42034
  • Sharpe ratio (Glass type estimate)
    0.75101
  • Sharpe ratio (Hedges UMVUE)
    0.74667
  • df
    130.00000
  • t
    0.53104
  • p
    0.47674
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.02363
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.52299
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.02663
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.51996
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.13945
  • Upside Potential Ratio
    6.83529
  • Upside part of mean
    1.89366
  • Downside part of mean
    -1.57798
  • Upside SD
    0.31458
  • Downside SD
    0.27704
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18591
  • Mean of criterion
    0.31568
  • SD of predictor
    0.12618
  • SD of criterion
    0.42034
  • Covariance
    0.01318
  • r
    0.24847
  • b (slope, estimate of beta)
    0.82776
  • a (intercept, estimate of alpha)
    0.16179
  • Mean Square Error
    0.16706
  • DF error
    129.00000
  • t(b)
    2.91347
  • p(b)
    0.34346
  • t(a)
    0.27873
  • p(a)
    0.48438
  • Lowerbound of 95% confidence interval for beta
    0.26563
  • Upperbound of 95% confidence interval for beta
    1.38988
  • Lowerbound of 95% confidence interval for alpha
    -0.98663
  • Upperbound of 95% confidence interval for alpha
    1.31020
  • Treynor index (mean / b)
    0.38136
  • Jensen alpha (a)
    0.16179
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22764
  • SD
    0.42150
  • Sharpe ratio (Glass type estimate)
    0.54008
  • Sharpe ratio (Hedges UMVUE)
    0.53696
  • df
    130.00000
  • t
    0.38189
  • p
    0.48326
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.23347
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.31170
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.23562
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30953
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.77827
  • Upside Potential Ratio
    6.31358
  • Upside part of mean
    1.84669
  • Downside part of mean
    -1.61905
  • Upside SD
    0.30157
  • Downside SD
    0.29250
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17789
  • Mean of criterion
    0.22764
  • SD of predictor
    0.12664
  • SD of criterion
    0.42150
  • Covariance
    0.01277
  • r
    0.23932
  • b (slope, estimate of beta)
    0.79653
  • a (intercept, estimate of alpha)
    0.08594
  • Mean Square Error
    0.16878
  • DF error
    129.00000
  • t(b)
    2.79947
  • p(b)
    0.34911
  • t(a)
    0.14736
  • p(a)
    0.49174
  • VAR (95 Confidence Intrvl)
    0.03600
  • Lowerbound of 95% confidence interval for beta
    0.23358
  • Upperbound of 95% confidence interval for beta
    1.35948
  • Lowerbound of 95% confidence interval for alpha
    -1.06794
  • Upperbound of 95% confidence interval for alpha
    1.23983
  • Treynor index (mean / b)
    0.28579
  • Jensen alpha (a)
    0.08594
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04110
  • Expected Shortfall on VaR
    0.05143
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01480
  • Expected Shortfall on VaR
    0.03195
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.85512
  • Quartile 1
    0.99306
  • Median
    1.00000
  • Quartile 3
    1.00853
  • Maximum
    1.12447
  • Mean of quarter 1
    0.97813
  • Mean of quarter 2
    0.99821
  • Mean of quarter 3
    1.00244
  • Mean of quarter 4
    1.02650
  • Inter Quartile Range
    0.01547
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.93260
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.07731
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49376
  • VaR(95%) (moments method)
    0.02154
  • Expected Shortfall (moments method)
    0.04757
  • Extreme Value Index (regression method)
    0.71392
  • VaR(95%) (regression method)
    0.01720
  • Expected Shortfall (regression method)
    0.05432
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00186
  • Quartile 1
    0.01141
  • Median
    0.01937
  • Quartile 3
    0.08420
  • Maximum
    0.25253
  • Mean of quarter 1
    0.00651
  • Mean of quarter 2
    0.01777
  • Mean of quarter 3
    0.05654
  • Mean of quarter 4
    0.17099
  • Inter Quartile Range
    0.07279
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.25253
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.45604
  • VaR(95%) (moments method)
    0.18844
  • Expected Shortfall (moments method)
    0.36551
  • Extreme Value Index (regression method)
    3.95713
  • VaR(95%) (regression method)
    0.72373
  • 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?
    -247618000
  • Max Equity Drawdown (num days)
    13
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27259
  • Compounded annual return (geometric extrapolation)
    0.29117
  • Calmar ratio (compounded annual return / max draw down)
    1.15303
  • Compounded annual return / average of 25% largest draw downs
    1.70285
  • Compounded annual return / Expected Shortfall lognormal
    5.66165

Strategy Description

Summary Statistics

Strategy began
2019-01-06
Suggested Minimum Capital
$30,000
Rank at C2 
#144
# Trades
217
# Profitable
154
% Profitable
71.0%
Correlation S&P500
0.151
Sharpe Ratio
2.39
Sortino Ratio
4.08
Beta
0.55
Alpha
0.30
Leverage
10.62 Average
28.61 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.