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Wave Chaos
(136161097)

Created by: MarselSalahov MarselSalahov
Started: 06/2021
Stocks
Last trade: 2 days ago
Trading style: Equity Trend-following

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $139.00 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.
34.8%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(20.7%)
Max Drawdown
54
Num Trades
42.6%
Win Trades
1.8 : 1
Profit Factor
83.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                   +8.3%+5.0%+10.3%+10.1%+2.6%(4.8%)      +34.8%

Model Account Details

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

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

Trading Record

This strategy has placed 2 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 12 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/17/21 13:14 EPD ENTERPRISE PRODUCTS LONG 948 22.38 11/26 10:03 21.72 2.07%
Trade id #138232703
Max drawdown($758)
Time11/26/21 9:30
Quant open948
Worst price21.58
Drawdown as % of equity-2.07%
($631)
Includes Typical Broker Commissions trade costs of $5.00
11/18/21 11:05 MARA MARATHON DIGITAL HOLDINGS INC LONG 246 49.00 11/19 12:05 56.28 0.99%
Trade id #138246707
Max drawdown($329)
Time11/18/21 12:14
Quant open246
Worst price47.66
Drawdown as % of equity-0.99%
$1,786
Includes Typical Broker Commissions trade costs of $4.92
11/18/21 11:25 RIOT RIOT BLOCKCHAIN INC. COMMON STOCK LONG 610 32.46 11/19 9:36 34.99 1.91%
Trade id #138247063
Max drawdown($634)
Time11/18/21 12:14
Quant open610
Worst price31.42
Drawdown as % of equity-1.91%
$1,538
Includes Typical Broker Commissions trade costs of $5.00
11/9/21 10:09 WMB WILLIAMS COMPANIES LONG 970 28.34 11/18 10:10 27.98 1.01%
Trade id #138129341
Max drawdown($349)
Time11/18/21 10:10
Quant open970
Worst price27.98
Drawdown as % of equity-1.01%
($354)
Includes Typical Broker Commissions trade costs of $5.00
11/17/21 12:36 QS QUANTUMSCAPE CORP LONG 410 35.79 11/18 9:32 34.80 1.29%
Trade id #138231923
Max drawdown($446)
Time11/18/21 9:32
Quant open410
Worst price34.70
Drawdown as % of equity-1.29%
($414)
Includes Typical Broker Commissions trade costs of $8.20
11/17/21 11:09 LVS LAS VEGAS SANDS LONG 685 39.68 11/17 12:31 39.07 1.21%
Trade id #138229046
Max drawdown($417)
Time11/17/21 12:31
Quant open685
Worst price39.07
Drawdown as % of equity-1.21%
($423)
Includes Typical Broker Commissions trade costs of $5.00
11/9/21 10:17 NYCB NEW YORK COMMUNITY BANCORP INC LONG 1,500 12.48 11/17 10:34 12.27 1.16%
Trade id #138129680
Max drawdown($404)
Time11/17/21 9:30
Quant open1,500
Worst price12.21
Drawdown as % of equity-1.16%
($317)
Includes Typical Broker Commissions trade costs of $7.00
11/15/21 11:19 SLM SLM LONG 1,125 18.69 11/17 9:30 18.33 1.14%
Trade id #138197953
Max drawdown($400)
Time11/17/21 9:30
Quant open1,125
Worst price18.33
Drawdown as % of equity-1.14%
($405)
Includes Typical Broker Commissions trade costs of $5.00
11/11/21 9:45 CNK CINEMARK HOLDINGS LONG 276 21.25 11/16 9:34 20.17 0.89%
Trade id #138159563
Max drawdown($314)
Time11/16/21 9:34
Quant open276
Worst price20.11
Drawdown as % of equity-0.89%
($304)
Includes Typical Broker Commissions trade costs of $5.52
11/9/21 11:47 NOVA SUNNOVA ENERGY INTERNATIONAL INC LONG 290 42.49 11/10 9:33 40.95 1.24%
Trade id #138132630
Max drawdown($458)
Time11/10/21 0:00
Quant open290
Worst price40.91
Drawdown as % of equity-1.24%
($453)
Includes Typical Broker Commissions trade costs of $5.80
11/9/21 11:59 PLUG PLUG POWER LONG 284 40.28 11/10 9:30 38.85 1.84%
Trade id #138132831
Max drawdown($678)
Time11/10/21 0:00
Quant open284
Worst price37.89
Drawdown as % of equity-1.84%
($412)
Includes Typical Broker Commissions trade costs of $5.68
11/9/21 9:36 PBCT PEOPLE'S UNITED FINANCIAL LONG 1,500 17.98 11/9 9:42 17.82 0.7%
Trade id #138127650
Max drawdown($255)
Time11/9/21 9:42
Quant open1,500
Worst price17.81
Drawdown as % of equity-0.70%
($245)
Includes Typical Broker Commissions trade costs of $5.00
10/27/21 13:36 BCRX BIOCRYST PHARMACEUTICALS LONG 3,200 15.13 11/2 11:53 15.33 2.83%
Trade id #137979820
Max drawdown($992)
Time10/28/21 0:00
Quant open3,200
Worst price14.82
Drawdown as % of equity-2.83%
$635
Includes Typical Broker Commissions trade costs of $5.00
10/20/21 14:59 RPRX ROYALTY PHARMA PLC LONG 594 37.48 10/28 9:40 37.49 2.11%
Trade id #137892011
Max drawdown($752)
Time10/27/21 0:00
Quant open579
Worst price36.18
Drawdown as % of equity-2.11%
$1
Includes Typical Broker Commissions trade costs of $5.15
10/18/21 14:18 ISBC INVESTORS BANCORP INC. COMMON SHORT 2,000 15.60 10/27 10:27 15.60 3.47%
Trade id #137860519
Max drawdown($1,200)
Time10/20/21 0:00
Quant open2,000
Worst price16.20
Drawdown as % of equity-3.47%
($5)
Includes Typical Broker Commissions trade costs of $5.00
10/19/21 15:10 ASO ACADEMY SPORTS AND OUTDOORS INC. COMMON STOCK LONG 397 40.88 10/25 11:32 44.71 0.41%
Trade id #137880795
Max drawdown($142)
Time10/20/21 0:00
Quant open397
Worst price40.52
Drawdown as % of equity-0.41%
$1,513
Includes Typical Broker Commissions trade costs of $7.94
10/19/21 10:11 CNK CINEMARK HOLDINGS LONG 870 20.42 10/20 9:38 20.01 1.36%
Trade id #137871626
Max drawdown($478)
Time10/20/21 0:00
Quant open870
Worst price19.87
Drawdown as % of equity-1.36%
($362)
Includes Typical Broker Commissions trade costs of $5.00
10/12/21 13:18 VIAC VIACOMCBS INC CLASS B LONG 553 39.22 10/18 9:40 38.58 1.21%
Trade id #137775040
Max drawdown($425)
Time10/18/21 9:40
Quant open553
Worst price38.45
Drawdown as % of equity-1.21%
($359)
Includes Typical Broker Commissions trade costs of $5.00
10/13/21 15:59 M MACY'S LONG 1,400 22.46 10/15 9:30 23.70 0.06%
Trade id #137794764
Max drawdown($21)
Time10/14/21 0:00
Quant open1,400
Worst price22.45
Drawdown as % of equity-0.06%
$1,731
Includes Typical Broker Commissions trade costs of $5.00
10/12/21 14:30 DDD 3D SYSTEMS SHORT 1,120 26.70 10/13 9:33 26.88 1.16%
Trade id #137776160
Max drawdown($393)
Time10/13/21 0:00
Quant open715
Worst price27.25
Drawdown as % of equity-1.16%
($213)
Includes Typical Broker Commissions trade costs of $9.05
10/12/21 14:24 STEM STEM INC SHORT 870 22.36 10/13 9:30 22.79 1.23%
Trade id #137776069
Max drawdown($417)
Time10/13/21 0:00
Quant open870
Worst price22.84
Drawdown as % of equity-1.23%
($379)
Includes Typical Broker Commissions trade costs of $5.00
10/11/21 13:07 TRIP TRIPADVISOR LONG 870 36.23 10/12 15:58 36.37 1.18%
Trade id #137756580
Max drawdown($400)
Time10/12/21 0:00
Quant open870
Worst price35.77
Drawdown as % of equity-1.18%
$117
Includes Typical Broker Commissions trade costs of $5.00
10/11/21 11:20 NKLA NIKOLA CORP LONG 1,800 10.76 10/11 15:43 10.57 0.99%
Trade id #137753605
Max drawdown($342)
Time10/11/21 15:43
Quant open1,800
Worst price10.57
Drawdown as % of equity-0.99%
($347)
Includes Typical Broker Commissions trade costs of $5.00
9/8/21 10:24 DXC DXC TECHNOLOGY CO LONG 1,800 35.35 9/14 9:30 36.73 5.49%
Trade id #137287995
Max drawdown($1,782)
Time9/10/21 0:00
Quant open1,800
Worst price34.36
Drawdown as % of equity-5.49%
$2,479
Includes Typical Broker Commissions trade costs of $5.00
9/7/21 9:57 MGM MGM RESORTS INTERNATIONAL LONG 1,001 42.44 9/8 10:18 43.48 0.38%
Trade id #137272353
Max drawdown($120)
Time9/7/21 11:10
Quant open1,001
Worst price42.32
Drawdown as % of equity-0.38%
$1,036
Includes Typical Broker Commissions trade costs of $5.00
9/7/21 9:49 CRSR CORSAIR GAMING INC. COMMON STOCK LONG 688 28.85 9/8 9:38 28.61 1.14%
Trade id #137272064
Max drawdown($371)
Time9/8/21 0:00
Quant open688
Worst price28.31
Drawdown as % of equity-1.14%
($170)
Includes Typical Broker Commissions trade costs of $5.00
8/26/21 13:24 WISH CONTEXTLOGIC INC. CLASS A COMMON STOCK LONG 8,022 6.73 8/30 10:54 7.34 2.13%
Trade id #137137626
Max drawdown($561)
Time8/26/21 15:54
Quant open8,022
Worst price6.66
Drawdown as % of equity-2.13%
$4,888
Includes Typical Broker Commissions trade costs of $5.00
8/13/21 11:53 AAL AMERICAN AIRLINES GROUP INC. C LONG 2,130 20.14 8/25 11:59 20.15 16.68%
Trade id #136958304
Max drawdown($3,940)
Time8/20/21 0:00
Quant open2,130
Worst price18.29
Drawdown as % of equity-16.68%
$16
Includes Typical Broker Commissions trade costs of $5.00
8/17/21 13:49 FSR FISKER INC. LONG 470 13.82 8/18 13:06 14.75 0.1%
Trade id #137004906
Max drawdown($23)
Time8/17/21 13:55
Quant open470
Worst price13.77
Drawdown as % of equity-0.10%
$428
Includes Typical Broker Commissions trade costs of $9.40
7/14/21 11:13 CVE CENOVUS ENERGY LONG 1,285 8.94 8/17 11:03 7.87 6.6%
Trade id #136489082
Max drawdown($1,820)
Time7/20/21 0:00
Quant open1,285
Worst price7.52
Drawdown as % of equity-6.60%
($1,380)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    6/22/2021
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    158.55
  • Age
    159 days ago
  • What it trades
    Stocks
  • # Trades
    54
  • # Profitable
    23
  • % Profitable
    42.60%
  • Avg trade duration
    3.7 days
  • Max peak-to-valley drawdown
    20.68%
  • drawdown period
    Aug 10, 2021 - Aug 20, 2021
  • Cumul. Return
    34.8%
  • Avg win
    $1,005
  • Avg loss
    $421.81
  • Model Account Values (Raw)
  • Cash
    $3,434
  • Margin Used
    $0
  • Buying Power
    $1,250
  • Ratios
  • W:L ratio
    1.77:1
  • Sharpe Ratio
    1.59
  • Sortino Ratio
    2.6
  • Calmar Ratio
    6.548
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    26.63%
  • Correlation to SP500
    0.17590
  • Return Percent SP500 (cumu) during strategy life
    8.20%
  • Return Statistics
  • Ann Return (w trading costs)
    96.3%
  • Slump
  • Current Slump as Pcnt Equity
    10.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.12%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.348%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    116.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    20.50%
  • Chance of 20% account loss
    3.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    556
  • Popularity (Last 6 weeks)
    962
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    977
  • Popularity (7 days, Percentile 1000 scale)
    941
  • 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
    $422
  • Avg Win
    $1,005
  • Sum Trade PL (losers)
    $13,076.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $23,118.000
  • # Winners
    23
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    31
  • % Winners
    42.6%
  • Frequency
  • Avg Position Time (mins)
    5278.32
  • Avg Position Time (hrs)
    87.97
  • Avg Trade Length
    3.7 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.52
  • Daily leverage (max)
    3.02
  • Regression
  • Alpha
    0.17
  • Beta
    0.65
  • Treynor Index
    0.31
  • 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)
    7.12
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    3.226
  • 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
    0.579
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.164
  • Hold-and-Hope Ratio
    0.325
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.29175
  • SD
    0.61306
  • Sharpe ratio (Glass type estimate)
    2.10704
  • Sharpe ratio (Hedges UMVUE)
    1.52466
  • df
    3.00000
  • t
    1.21650
  • p
    0.15539
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.77940
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.73156
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.08265
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.13196
  • Statistics related to Sortino ratio
  • Sortino ratio
    19.10730
  • Upside Potential Ratio
    20.83930
  • Upside part of mean
    1.40885
  • Downside part of mean
    -0.11710
  • Upside SD
    0.64527
  • Downside SD
    0.06761
  • 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
    0.21401
  • Mean of criterion
    1.29175
  • SD of predictor
    0.07327
  • SD of criterion
    0.61306
  • Covariance
    -0.03404
  • r
    -0.75791
  • b (slope, estimate of beta)
    -6.34168
  • a (intercept, estimate of alpha)
    2.64891
  • Mean Square Error
    0.23993
  • DF error
    2.00000
  • t(b)
    -1.64302
  • p(b)
    0.87895
  • t(a)
    2.23707
  • p(a)
    0.07737
  • Lowerbound of 95% confidence interval for beta
    -22.94900
  • Upperbound of 95% confidence interval for beta
    10.26560
  • Lowerbound of 95% confidence interval for alpha
    -2.44585
  • Upperbound of 95% confidence interval for alpha
    7.74368
  • Treynor index (mean / b)
    -0.20369
  • Jensen alpha (a)
    2.64891
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.11747
  • SD
    0.52398
  • Sharpe ratio (Glass type estimate)
    2.13264
  • Sharpe ratio (Hedges UMVUE)
    1.54318
  • df
    3.00000
  • t
    1.23128
  • p
    0.15297
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.76307
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.76462
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.06916
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.15553
  • Statistics related to Sortino ratio
  • Sortino ratio
    16.24310
  • Upside Potential Ratio
    17.97510
  • Upside part of mean
    1.23663
  • Downside part of mean
    -0.11916
  • Upside SD
    0.55249
  • Downside SD
    0.06880
  • 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
    0.20968
  • Mean of criterion
    1.11747
  • SD of predictor
    0.07221
  • SD of criterion
    0.52398
  • Covariance
    -0.02780
  • r
    -0.73479
  • b (slope, estimate of beta)
    -5.33182
  • a (intercept, estimate of alpha)
    2.23546
  • Mean Square Error
    0.18948
  • DF error
    2.00000
  • t(b)
    -1.53199
  • p(b)
    0.86739
  • t(a)
    2.13046
  • p(a)
    0.08343
  • Lowerbound of 95% confidence interval for beta
    -20.30640
  • Upperbound of 95% confidence interval for beta
    9.64278
  • Lowerbound of 95% confidence interval for alpha
    -2.27925
  • Upperbound of 95% confidence interval for alpha
    6.75017
  • Treynor index (mean / b)
    -0.20958
  • Jensen alpha (a)
    2.23546
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14417
  • Expected Shortfall on VaR
    0.19535
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01386
  • Expected Shortfall on VaR
    0.03054
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.96330
  • Quartile 1
    1.02246
  • Median
    1.05482
  • Quartile 3
    1.14234
  • Maximum
    1.36696
  • Mean of quarter 1
    0.96330
  • Mean of quarter 2
    1.04218
  • Mean of quarter 3
    1.06746
  • Mean of quarter 4
    1.36696
  • Inter Quartile Range
    0.11988
  • 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
    0.25000
  • Mean of outliers high
    1.36696
  • 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
    0.03670
  • Quartile 1
    0.03670
  • Median
    0.03670
  • Quartile 3
    0.03670
  • Maximum
    0.03670
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.39472
  • Compounded annual return (geometric extrapolation)
    2.14362
  • Calmar ratio (compounded annual return / max draw down)
    58.40350
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    10.97320
  • 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
    0.83049
  • SD
    0.39539
  • Sharpe ratio (Glass type estimate)
    2.10041
  • Sharpe ratio (Hedges UMVUE)
    2.08566
  • df
    107.00000
  • t
    1.34855
  • p
    0.41793
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97003
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.16122
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97982
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.15114
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.53799
  • Upside Potential Ratio
    10.34140
  • Upside part of mean
    2.42749
  • Downside part of mean
    -1.59700
  • Upside SD
    0.32003
  • Downside SD
    0.23473
  • N nonnegative terms
    43.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    108.00000
  • Mean of predictor
    0.16904
  • Mean of criterion
    0.83049
  • SD of predictor
    0.10718
  • SD of criterion
    0.39539
  • Covariance
    0.00680
  • r
    0.16053
  • b (slope, estimate of beta)
    0.59218
  • a (intercept, estimate of alpha)
    0.73000
  • Mean Square Error
    0.15374
  • DF error
    106.00000
  • t(b)
    1.67444
  • p(b)
    0.41974
  • t(a)
    1.19026
  • p(a)
    0.44258
  • Lowerbound of 95% confidence interval for beta
    -0.10898
  • Upperbound of 95% confidence interval for beta
    1.29333
  • Lowerbound of 95% confidence interval for alpha
    -0.48620
  • Upperbound of 95% confidence interval for alpha
    1.94697
  • Treynor index (mean / b)
    1.40244
  • Jensen alpha (a)
    0.73039
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.75247
  • SD
    0.39294
  • Sharpe ratio (Glass type estimate)
    1.91498
  • Sharpe ratio (Hedges UMVUE)
    1.90152
  • df
    107.00000
  • t
    1.22949
  • p
    0.42504
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.15291
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.97405
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.16181
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.96485
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.12384
  • Upside Potential Ratio
    9.87138
  • Upside part of mean
    2.37781
  • Downside part of mean
    -1.62534
  • Upside SD
    0.31162
  • Downside SD
    0.24088
  • N nonnegative terms
    43.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    108.00000
  • Mean of predictor
    0.16327
  • Mean of criterion
    0.75247
  • SD of predictor
    0.10738
  • SD of criterion
    0.39294
  • Covariance
    0.00707
  • r
    0.16768
  • b (slope, estimate of beta)
    0.61360
  • a (intercept, estimate of alpha)
    0.65229
  • Mean Square Error
    0.15148
  • DF error
    106.00000
  • t(b)
    1.75114
  • p(b)
    0.41616
  • t(a)
    1.07128
  • p(a)
    0.44825
  • Lowerbound of 95% confidence interval for beta
    -0.08110
  • Upperbound of 95% confidence interval for beta
    1.30829
  • Lowerbound of 95% confidence interval for alpha
    -0.55489
  • Upperbound of 95% confidence interval for alpha
    1.85947
  • Treynor index (mean / b)
    1.22633
  • Jensen alpha (a)
    0.65229
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03638
  • Expected Shortfall on VaR
    0.04607
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01562
  • Expected Shortfall on VaR
    0.03181
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    108.00000
  • Minimum
    0.91543
  • Quartile 1
    0.99516
  • Median
    1.00000
  • Quartile 3
    1.01101
  • Maximum
    1.08471
  • Mean of quarter 1
    0.97702
  • Mean of quarter 2
    0.99886
  • Mean of quarter 3
    1.00287
  • Mean of quarter 4
    1.03436
  • Inter Quartile Range
    0.01586
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.06481
  • Mean of outliers low
    0.95309
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.05126
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07774
  • VaR(95%) (moments method)
    0.01596
  • Expected Shortfall (moments method)
    0.02399
  • Extreme Value Index (regression method)
    -0.22381
  • VaR(95%) (regression method)
    0.02165
  • Expected Shortfall (regression method)
    0.02873
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00356
  • Quartile 1
    0.01086
  • Median
    0.03177
  • Quartile 3
    0.08391
  • Maximum
    0.18057
  • Mean of quarter 1
    0.00468
  • Mean of quarter 2
    0.02265
  • Mean of quarter 3
    0.05680
  • Mean of quarter 4
    0.12432
  • Inter Quartile Range
    0.07305
  • 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)
    -0.29802
  • VaR(95%) (moments method)
    0.14222
  • Expected Shortfall (moments method)
    0.16845
  • Extreme Value Index (regression method)
    1.34059
  • VaR(95%) (regression method)
    0.18910
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.92051
  • Compounded annual return (geometric extrapolation)
    1.18229
  • Calmar ratio (compounded annual return / max draw down)
    6.54752
  • Compounded annual return / average of 25% largest draw downs
    9.51032
  • Compounded annual return / Expected Shortfall lognormal
    25.66480
  • 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)
    0.03600
  • 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
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -304376000
  • Max Equity Drawdown (num days)
    10

Strategy Description

Martingale or a variant is not used.
A stop loss and take profit are set for each trade.Then I watch where the price will go - take or loss.I try to take trades with a loss/profit ratio of at least 1/3. If I got a good profit, I can close the trade without waiting for take profit.
Algorithmic trading is not used.Trading is done manually.
I'm using simplified Elliott wave analysis. Entry into the trade occurs in an impulse wave on a pullback in the direction of the trend.Sometimes there are trades against the trend.
The frequency of trades approximately is 5-20 in month.
Transaction duration: from several days to several weeks.

Summary Statistics

Strategy began
2021-06-22
Suggested Minimum Capital
$5,000
Rank at C2 %
Top 2.3%
Rank # 
#19
# Trades
54
# Profitable
23
% Profitable
42.6%
Correlation S&P500
0.176
Sharpe Ratio
1.59
Sortino Ratio
2.60
Beta
0.65
Alpha
0.17
Leverage
1.52 Average
3.02 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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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.