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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 07/27/2020
Most recent certification approved 7/27/20 12:44 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 640
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 639
Percent signals followed since 07/27/2020 99.8%
This information was last updated 12/1/20 15:51 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 07/27/2020, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

OptionQuant
(130297124)

Created by: JacobRichardson JacobRichardson
Started: 07/2020
Options
Last trade: Yesterday

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 $150.00 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.

22.7%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(14.4%)
Max Drawdown
315
Num Trades
50.5%
Win Trades
1.2 : 1
Profit Factor
83.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                          +7.9%+5.9%+5.6%+1.1%+1.8%(1.1%)+22.7%

Model Account Details

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

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

Trading Record

This strategy has placed 639 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/25/20 15:53 BAC2004X27.5 BAC Dec4'20 27.5 put LONG 8 0.13 11/30 14:00 0.13 0.05%
Trade id #132465176
Max drawdown($32)
Time11/27/20 0:00
Quant open8
Worst price0.09
Drawdown as % of equity-0.05%
($11)
Includes Typical Broker Commissions trade costs of $11.20
11/23/20 15:13 AAPL2004X111 AAPL Dec4'20 111 put LONG 2 1.12 11/30 13:59 0.07 0.29%
Trade id #132409944
Max drawdown($180)
Time11/27/20 0:00
Quant open2
Worst price0.22
Drawdown as % of equity-0.29%
($213)
Includes Typical Broker Commissions trade costs of $2.80
11/25/20 15:51 BIDU2004X131 BIDU Dec4'20 131 put LONG 1 1.08 11/30 13:56 0.48 0.12%
Trade id #132465128
Max drawdown($76)
Time11/27/20 0:00
Quant open1
Worst price0.32
Drawdown as % of equity-0.12%
($63)
Includes Typical Broker Commissions trade costs of $2.00
11/25/20 15:46 AXP2004X116 AXP Dec4'20 116 put LONG 2 0.77 11/30 13:56 0.57 0.07%
Trade id #132464966
Max drawdown($46)
Time11/27/20 0:00
Quant open2
Worst price0.54
Drawdown as % of equity-0.07%
($43)
Includes Typical Broker Commissions trade costs of $2.80
11/23/20 15:15 FB2004X260 FB Dec4'20 260 put LONG 1 2.45 11/30 13:56 0.46 0.33%
Trade id #132410000
Max drawdown($207)
Time11/27/20 0:00
Quant open1
Worst price0.38
Drawdown as % of equity-0.33%
($201)
Includes Typical Broker Commissions trade costs of $2.00
11/24/20 15:49 SNAP2004X41.5 SNAP Dec4'20 41.5 put SHORT 5 0.53 11/30 13:55 0.19 n/a $163
Includes Typical Broker Commissions trade costs of $7.00
11/24/20 15:45 ETSY2004X130 ETSY Dec4'20 130 put SHORT 2 1.85 11/30 13:55 0.03 n/a $362
Includes Typical Broker Commissions trade costs of $2.80
11/23/20 15:16 ROKU2004X260 ROKU Dec4'20 260 put SHORT 1 4.14 11/30 13:55 0.52 0.33%
Trade id #132410026
Max drawdown($210)
Time11/24/20 0:00
Quant open1
Worst price6.25
Drawdown as % of equity-0.33%
$361
Includes Typical Broker Commissions trade costs of $2.00
11/24/20 15:47 TDOC2004X177.5 TDOC Dec4'20 177.5 put SHORT 1 2.65 11/30 13:55 0.30 0.03%
Trade id #132436233
Max drawdown($15)
Time11/24/20 15:58
Quant open1
Worst price2.80
Drawdown as % of equity-0.03%
$233
Includes Typical Broker Commissions trade costs of $2.00
11/25/20 15:42 SQ2004X202.5 SQ Dec4'20 202.5 put SHORT 1 2.31 11/30 10:37 4.89 0.25%
Trade id #132464787
Max drawdown($154)
Time11/27/20 0:00
Quant open1
Worst price3.85
Drawdown as % of equity-0.25%
($261)
Includes Typical Broker Commissions trade costs of $2.00
11/24/20 15:55 JPM2004X119 JPM Dec4'20 119 put LONG 2 0.77 11/25 15:52 0.87 n/a $17
Includes Typical Broker Commissions trade costs of $2.80
11/24/20 15:51 MSFT2004X207.5 MSFT Dec4'20 207.5 put LONG 1 1.24 11/25 15:51 0.81 0.08%
Trade id #132436290
Max drawdown($48)
Time11/25/20 0:00
Quant open1
Worst price0.76
Drawdown as % of equity-0.08%
($45)
Includes Typical Broker Commissions trade costs of $2.00
11/23/20 15:12 WFC2004X25.5 WFC Dec4'20 25.5 put LONG 10 0.28 11/25 15:47 0.04 0.4%
Trade id #132409897
Max drawdown($250)
Time11/25/20 13:58
Quant open10
Worst price0.03
Drawdown as % of equity-0.40%
($254)
Includes Typical Broker Commissions trade costs of $14.00
11/23/20 15:17 WYNN2004X91 WYNN Dec4'20 91 put SHORT 2 1.52 11/25 15:41 0.50 n/a $200
Includes Typical Broker Commissions trade costs of $2.80
11/23/20 15:13 C2004X51.5 C Dec4'20 51.5 put LONG 4 0.55 11/24 15:55 0.11 0.29%
Trade id #132409959
Max drawdown($176)
Time11/24/20 15:55
Quant open4
Worst price0.11
Drawdown as % of equity-0.29%
($182)
Includes Typical Broker Commissions trade costs of $5.60
11/23/20 15:15 XOM2004X37.5 XOM Dec4'20 37.5 put LONG 6 0.40 11/24 15:50 0.08 0.31%
Trade id #132410004
Max drawdown($192)
Time11/24/20 15:07
Quant open6
Worst price0.08
Drawdown as % of equity-0.31%
($200)
Includes Typical Broker Commissions trade costs of $8.40
11/23/20 15:19 SNAP2004X43.5 SNAP Dec4'20 43.5 put SHORT 5 0.69 11/24 13:13 1.43 0.6%
Trade id #132410116
Max drawdown($370)
Time11/24/20 13:13
Quant open5
Worst price1.43
Drawdown as % of equity-0.60%
($375)
Includes Typical Broker Commissions trade costs of $7.00
11/23/20 15:17 ETSY2004X133 ETSY Dec4'20 133 put SHORT 2 1.95 11/24 12:48 4.16 0.72%
Trade id #132410083
Max drawdown($443)
Time11/24/20 12:48
Quant open2
Worst price4.17
Drawdown as % of equity-0.72%
($444)
Includes Typical Broker Commissions trade costs of $2.80
11/23/20 15:18 TDOC2004X185 TDOC Dec4'20 185 put SHORT 1 3.08 11/24 12:40 6.17 0.5%
Trade id #132410107
Max drawdown($308)
Time11/24/20 12:40
Quant open1
Worst price6.17
Drawdown as % of equity-0.50%
($310)
Includes Typical Broker Commissions trade costs of $2.00
11/20/20 15:54 ETSY2027W136 ETSY Nov27'20 136 put SHORT 1 1.75 11/23 15:15 0.89 0.01%
Trade id #132379993
Max drawdown($9)
Time11/20/20 15:58
Quant open1
Worst price1.84
Drawdown as % of equity-0.01%
$84
Includes Typical Broker Commissions trade costs of $2.00
11/20/20 15:56 FB2027W262.5 FB Nov27'20 262.5 put LONG 1 1.56 11/23 15:14 0.74 0.14%
Trade id #132380142
Max drawdown($88)
Time11/23/20 15:07
Quant open1
Worst price0.67
Drawdown as % of equity-0.14%
($84)
Includes Typical Broker Commissions trade costs of $2.00
11/18/20 15:23 BAC2027W26.5 BAC Nov27'20 26.5 put LONG 4 0.22 11/23 15:11 0.06 0.11%
Trade id #132330234
Max drawdown($72)
Time11/23/20 14:52
Quant open4
Worst price0.04
Drawdown as % of equity-0.11%
($70)
Includes Typical Broker Commissions trade costs of $5.60
11/19/20 15:45 AXP2027W111 AXP Nov27'20 111 put LONG 2 0.78 11/23 15:10 0.17 0.19%
Trade id #132355219
Max drawdown($122)
Time11/23/20 15:10
Quant open2
Worst price0.17
Drawdown as % of equity-0.19%
($125)
Includes Typical Broker Commissions trade costs of $2.80
11/19/20 15:42 JPM2027W113 JPM Nov27'20 113 put LONG 2 0.86 11/23 15:09 0.13 0.23%
Trade id #132355105
Max drawdown($146)
Time11/23/20 15:09
Quant open2
Worst price0.13
Drawdown as % of equity-0.23%
($149)
Includes Typical Broker Commissions trade costs of $2.80
11/20/20 15:55 SE2027W177.5 SE Nov27'20 177.5 put SHORT 1 2.17 11/23 15:09 1.01 0.18%
Trade id #132380054
Max drawdown($112)
Time11/23/20 9:36
Quant open1
Worst price3.30
Drawdown as % of equity-0.18%
$115
Includes Typical Broker Commissions trade costs of $2.00
11/12/20 15:47 AMD2027W81.5 AMD Nov27'20 81.5 put SHORT 3 2.70 11/23 15:08 0.18 0.1%
Trade id #132232290
Max drawdown($63)
Time11/13/20 0:00
Quant open3
Worst price2.91
Drawdown as % of equity-0.10%
$752
Includes Typical Broker Commissions trade costs of $4.20
11/19/20 15:37 SQ2027W185 SQ Nov27'20 185 put SHORT 1 2.38 11/23 15:06 0.16 0.02%
Trade id #132355027
Max drawdown($14)
Time11/19/20 15:53
Quant open1
Worst price2.52
Drawdown as % of equity-0.02%
$220
Includes Typical Broker Commissions trade costs of $2.00
11/19/20 15:41 ROKU2027W242.5 ROKU Nov27'20 242.5 put SHORT 1 3.34 11/23 15:06 0.17 0.02%
Trade id #132355100
Max drawdown($10)
Time11/20/20 0:00
Quant open1
Worst price3.45
Drawdown as % of equity-0.02%
$316
Includes Typical Broker Commissions trade costs of $2.00
11/19/20 15:44 MS2027W57 MS Nov27'20 57 put LONG 4 0.33 11/23 15:06 0.05 0.18%
Trade id #132355188
Max drawdown($112)
Time11/23/20 13:36
Quant open4
Worst price0.05
Drawdown as % of equity-0.18%
($118)
Includes Typical Broker Commissions trade costs of $5.60
11/18/20 15:32 FB2027W267.5 FB Nov27'20 267.5 put LONG 1 2.67 11/20 15:56 3.03 0.11%
Trade id #132330474
Max drawdown($67)
Time11/20/20 14:36
Quant open1
Worst price2.00
Drawdown as % of equity-0.11%
$34
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    7/27/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    127.19
  • Age
    127 days ago
  • What it trades
    Options
  • # Trades
    315
  • # Profitable
    159
  • % Profitable
    50.50%
  • Avg trade duration
    4.2 days
  • Max peak-to-valley drawdown
    14.45%
  • drawdown period
    Nov 06, 2020 - Nov 10, 2020
  • Cumul. Return
    22.7%
  • Avg win
    $558.52
  • Avg loss
    $476.85
  • Model Account Values (Raw)
  • Cash
    $66,078
  • Margin Used
    $19,509
  • Buying Power
    $46,584
  • Ratios
  • W:L ratio
    1.19:1
  • Sharpe Ratio
    1.86
  • Sortino Ratio
    2.51
  • Calmar Ratio
    10.628
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    9.41%
  • Correlation to SP500
    -0.00090
  • Return Percent SP500 (cumu) during strategy life
    13.21%
  • Return Statistics
  • Ann Return (w trading costs)
    77.1%
  • Slump
  • Current Slump as Pcnt Equity
    7.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.19%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.227%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    105.7%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    838
  • Popularity (Last 6 weeks)
    990
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    909
  • Popularity (7 days, Percentile 1000 scale)
    862
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $477
  • Avg Win
    $559
  • Sum Trade PL (losers)
    $74,389.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    5
  • Win / Loss
  • Sum Trade PL (winners)
    $88,805.000
  • # Winners
    159
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    62148
  • Win / Loss
  • # Losers
    156
  • % Winners
    50.5%
  • Frequency
  • Avg Position Time (mins)
    6010.65
  • Avg Position Time (hrs)
    100.18
  • Avg Trade Length
    4.2 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.38
  • Daily leverage (max)
    3.24
  • Regression
  • Alpha
    0.18
  • Beta
    -0.00
  • Treynor Index
    -129.25
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.16
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -36.713
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.452
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.193
  • Hold-and-Hope Ratio
    -0.025
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.79964
  • SD
    0.20843
  • Sharpe ratio (Glass type estimate)
    3.83654
  • Sharpe ratio (Hedges UMVUE)
    2.77612
  • df
    3.00000
  • t
    2.21503
  • p
    0.05678
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79354
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.16089
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.28080
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.83305
  • Statistics related to Sortino ratio
  • Sortino ratio
    54.84160
  • Upside Potential Ratio
    56.57360
  • Upside part of mean
    0.82490
  • Downside part of mean
    -0.02525
  • Upside SD
    0.29267
  • Downside SD
    0.01458
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.33354
  • Mean of criterion
    0.79964
  • SD of predictor
    0.20261
  • SD of criterion
    0.20843
  • Covariance
    -0.00096
  • r
    -0.02266
  • b (slope, estimate of beta)
    -0.02331
  • a (intercept, estimate of alpha)
    0.80742
  • Mean Square Error
    0.06513
  • DF error
    2.00000
  • t(b)
    -0.03206
  • p(b)
    0.51133
  • t(a)
    1.60136
  • p(a)
    0.12523
  • Lowerbound of 95% confidence interval for beta
    -3.15234
  • Upperbound of 95% confidence interval for beta
    3.10572
  • Lowerbound of 95% confidence interval for alpha
    -1.36202
  • Upperbound of 95% confidence interval for alpha
    2.97685
  • Treynor index (mean / b)
    -34.30130
  • Jensen alpha (a)
    0.80742
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.75806
  • SD
    0.19575
  • Sharpe ratio (Glass type estimate)
    3.87265
  • Sharpe ratio (Hedges UMVUE)
    2.80225
  • df
    3.00000
  • t
    2.23587
  • p
    0.05569
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77508
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.21507
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.26615
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.87066
  • Statistics related to Sortino ratio
  • Sortino ratio
    51.89140
  • Upside Potential Ratio
    53.62340
  • Upside part of mean
    0.78336
  • Downside part of mean
    -0.02530
  • Upside SD
    0.27643
  • Downside SD
    0.01461
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.31333
  • Mean of criterion
    0.75806
  • SD of predictor
    0.20076
  • SD of criterion
    0.19575
  • Covariance
    -0.00173
  • r
    -0.04411
  • b (slope, estimate of beta)
    -0.04301
  • a (intercept, estimate of alpha)
    0.77153
  • Mean Square Error
    0.05736
  • DF error
    2.00000
  • t(b)
    -0.06244
  • p(b)
    0.52206
  • t(a)
    1.64993
  • p(a)
    0.12037
  • Lowerbound of 95% confidence interval for beta
    -3.00658
  • Upperbound of 95% confidence interval for beta
    2.92057
  • Lowerbound of 95% confidence interval for alpha
    -1.24046
  • Upperbound of 95% confidence interval for alpha
    2.78352
  • Treynor index (mean / b)
    -17.62600
  • Jensen alpha (a)
    0.77153
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02934
  • Expected Shortfall on VaR
    0.05178
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00299
  • Expected Shortfall on VaR
    0.00659
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.99391
  • Quartile 1
    1.04900
  • Median
    1.07042
  • Quartile 3
    1.09039
  • Maximum
    1.14111
  • Mean of quarter 1
    0.99391
  • Mean of quarter 2
    1.06736
  • Mean of quarter 3
    1.07348
  • Mean of quarter 4
    1.14111
  • Inter Quartile Range
    0.04139
  • 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
    1.00000
  • Minimum
    0.00609
  • Quartile 1
    0.00609
  • Median
    0.00609
  • Quartile 3
    0.00609
  • Maximum
    0.00609
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.89853
  • Compounded annual return (geometric extrapolation)
    1.19452
  • Calmar ratio (compounded annual return / max draw down)
    196.14300
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    23.06930
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.74692
  • SD
    0.28618
  • Sharpe ratio (Glass type estimate)
    2.60998
  • Sharpe ratio (Hedges UMVUE)
    2.58817
  • df
    90.00000
  • t
    1.53818
  • p
    0.06376
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74446
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.95026
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75892
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.93525
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.65365
  • Upside Potential Ratio
    10.50760
  • Upside part of mean
    2.14808
  • Downside part of mean
    -1.40116
  • Upside SD
    0.20331
  • Downside SD
    0.20443
  • N nonnegative terms
    60.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    91.00000
  • Mean of predictor
    0.34919
  • Mean of criterion
    0.74692
  • SD of predictor
    0.18740
  • SD of criterion
    0.28618
  • Covariance
    -0.00138
  • r
    -0.02579
  • b (slope, estimate of beta)
    -0.03938
  • a (intercept, estimate of alpha)
    0.76100
  • Mean Square Error
    0.08276
  • DF error
    89.00000
  • t(b)
    -0.24337
  • p(b)
    0.59586
  • t(a)
    1.54795
  • p(a)
    0.06259
  • Lowerbound of 95% confidence interval for beta
    -0.36092
  • Upperbound of 95% confidence interval for beta
    0.28216
  • Lowerbound of 95% confidence interval for alpha
    -0.21574
  • Upperbound of 95% confidence interval for alpha
    1.73709
  • Treynor index (mean / b)
    -18.96580
  • Jensen alpha (a)
    0.76067
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.70492
  • SD
    0.28854
  • Sharpe ratio (Glass type estimate)
    2.44308
  • Sharpe ratio (Hedges UMVUE)
    2.42266
  • df
    90.00000
  • t
    1.43982
  • p
    0.07669
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90832
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.78111
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92178
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.76710
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.36592
  • Upside Potential Ratio
    10.15860
  • Upside part of mean
    2.12750
  • Downside part of mean
    -1.42258
  • Upside SD
    0.20094
  • Downside SD
    0.20943
  • N nonnegative terms
    60.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    91.00000
  • Mean of predictor
    0.33149
  • Mean of criterion
    0.70492
  • SD of predictor
    0.18805
  • SD of criterion
    0.28854
  • Covariance
    -0.00139
  • r
    -0.02570
  • b (slope, estimate of beta)
    -0.03943
  • a (intercept, estimate of alpha)
    0.71799
  • Mean Square Error
    0.08413
  • DF error
    89.00000
  • t(b)
    -0.24254
  • p(b)
    0.59554
  • t(a)
    1.45016
  • p(a)
    0.07526
  • Lowerbound of 95% confidence interval for beta
    -0.36249
  • Upperbound of 95% confidence interval for beta
    0.28362
  • Lowerbound of 95% confidence interval for alpha
    -0.26579
  • Upperbound of 95% confidence interval for alpha
    1.70177
  • Treynor index (mean / b)
    -17.87610
  • Jensen alpha (a)
    0.71799
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02628
  • Expected Shortfall on VaR
    0.03348
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00931
  • Expected Shortfall on VaR
    0.02063
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    91.00000
  • Minimum
    0.92229
  • Quartile 1
    0.99454
  • Median
    1.00483
  • Quartile 3
    1.01482
  • Maximum
    1.04282
  • Mean of quarter 1
    0.97994
  • Mean of quarter 2
    1.00018
  • Mean of quarter 3
    1.01010
  • Mean of quarter 4
    1.02191
  • Inter Quartile Range
    0.02028
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01099
  • Mean of outliers low
    0.92229
  • 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)
    -0.21399
  • VaR(95%) (moments method)
    0.01590
  • Expected Shortfall (moments method)
    0.02040
  • Extreme Value Index (regression method)
    -0.30078
  • VaR(95%) (regression method)
    0.02331
  • Expected Shortfall (regression method)
    0.02986
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00525
  • Quartile 1
    0.00903
  • Median
    0.01831
  • Quartile 3
    0.05785
  • Maximum
    0.10171
  • Mean of quarter 1
    0.00665
  • Mean of quarter 2
    0.01289
  • Mean of quarter 3
    0.02888
  • Mean of quarter 4
    0.07786
  • Inter Quartile Range
    0.04882
  • 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)
    0.10716
  • VaR(95%) (moments method)
    0.08805
  • Expected Shortfall (moments method)
    0.10800
  • Extreme Value Index (regression method)
    3.37532
  • VaR(95%) (regression method)
    0.14268
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.83454
  • Compounded annual return (geometric extrapolation)
    1.08096
  • Calmar ratio (compounded annual return / max draw down)
    10.62820
  • Compounded annual return / average of 25% largest draw downs
    13.88300
  • Compounded annual return / Expected Shortfall lognormal
    32.28280
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.02600
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -290420000
  • Max Equity Drawdown (num days)
    4

Strategy Description

Positions are adjusted regularly to maintain a portfolio delta goal of 0. Stop orders are placed on all short positions. All positions are liquidated before expiration. The strategy should not be scaled at less than 100%. Doing so would regularly result in some orders not being filled, which could increase strategy exposure to the overall market. While it is possible to invest the minimum suggested 35,000 initial capital, it will expose you to greater risk due to the increased leverage.

Summary Statistics

Strategy began
2020-07-27
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 9.1%
Rank # 
#61
# Trades
315
# Profitable
159
% Profitable
50.5%
Correlation S&P500
-0.001
Sharpe Ratio
1.86
Sortino Ratio
2.51
Beta
-0.00
Alpha
0.18
Leverage
2.38 Average
3.24 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.