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Community Risk Warning

Based on analysis of trading style, and additional community feedback, this strategy exhibits higher risk than is visible in its track record.

Among other things, you should be aware of:

  • Unachievable Scalping. This strategy exhibits a scalping trading pattern that is unlikely to be achievable as more AutoTraders begin to follow the strategy.
What is this?

What is "Community Risk Warning?"

All trading is risky, and most traders lose money.

Beyond this general warning, there are some trading strategies that exhibit (or have demonstrated in historical performance) behavior which suggests increased risk of financial loss. These increased risks may not be immediately obvious to a casual observer of a strategy. Therefore, on occasion our software flags strategies that exhibit hidden risk.

Our members may still want to follow this strategy. Our goal is only to ensure prospective subscribers are aware of non-obvious risks of following strategies.

It's important to remember that, even if a strategy does not show a Community Risk Warning, it still may be extremely risky. A lack of this warning on other strategies does not imply those other strategies are low-risk or appropriate for all traders.

This is an archived track record. This track record was archived on 5/11/21 5:22 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Tax the Rich
(130147277)

Created by: TTR TTR
Started: 07/2020
Futures
Last trade: 130 days ago

Subscription terms. Subscriptions to this system cost $299.00 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.

-30.0%
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.

(79.4%)
Max Drawdown
260
Num Trades
62.7%
Win Trades
1.0 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                          +24.9%+7.3%+17.4%+13.9%+8.9%+7.7%+110.2%
2021+29.6%+3.1%+15.2%(19.5%)(68.9%)  -    -    -    -                    (61.4%)

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 497 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 157 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/7/21 11:18 @NQM1 E-MINI NASDAQ 100 STK IDX LONG 24 13552.95 5/11 5:22 13204.57 69.06%
Trade id #135509240
Max drawdown($135,155)
Time5/10/21 16:54
Quant open15
Worst price13305.50
Drawdown as % of equity-69.06%
($167,414)
Includes Typical Broker Commissions trade costs of $192.00
5/7/21 11:21 QGCM1 Gold 100 oz LONG 5 1835.2 5/7 12:59 1833.3 1.46%
Trade id #135509358
Max drawdown($2,800)
Time5/7/21 12:37
Quant open5
Worst price1829.6
Drawdown as % of equity-1.46%
($990)
Includes Typical Broker Commissions trade costs of $40.00
5/7/21 10:25 @NQM1 E-MINI NASDAQ 100 STK IDX SHORT 10 13790.75 5/7 10:27 13780.38 n/a $1,995
Includes Typical Broker Commissions trade costs of $80.00
5/7/21 9:09 @NQM1 E-MINI NASDAQ 100 STK IDX LONG 15 13718.55 5/7 10:14 13768.67 9.17%
Trade id #135503710
Max drawdown($15,220)
Time5/7/21 9:34
Quant open10
Worst price13661.50
Drawdown as % of equity-9.17%
$14,915
Includes Typical Broker Commissions trade costs of $120.00
5/5/21 8:56 QGCM1 Gold 100 oz LONG 5 1782.2 5/6 9:42 1808.0 1.22%
Trade id #135457288
Max drawdown($1,900)
Time5/5/21 9:25
Quant open5
Worst price1778.4
Drawdown as % of equity-1.22%
$12,860
Includes Typical Broker Commissions trade costs of $40.00
5/6/21 5:46 QCLM1 CRUDE OIL LONG 5 65.36 5/6 9:27 65.58 1.39%
Trade id #135478784
Max drawdown($2,300)
Time5/6/21 8:11
Quant open5
Worst price64.90
Drawdown as % of equity-1.39%
$1,060
Includes Typical Broker Commissions trade costs of $40.00
5/5/21 5:06 QSIN1 Silver 5000 oz LONG 7 26.445 5/6 9:21 26.937 6.31%
Trade id #135453732
Max drawdown($9,800)
Time5/5/21 8:30
Quant open7
Worst price26.165
Drawdown as % of equity-6.31%
$17,169
Includes Typical Broker Commissions trade costs of $56.00
5/5/21 9:47 @NQM1 E-MINI NASDAQ 100 STK IDX SHORT 5 13637.45 5/5 10:04 13557.50 n/a $7,955
Includes Typical Broker Commissions trade costs of $40.00
5/5/21 9:47 @NQM1 E-MINI NASDAQ 100 STK IDX SHORT 5 13640.55 5/5 9:47 13638.00 n/a $215
Includes Typical Broker Commissions trade costs of $40.00
5/5/21 9:35 @NQM1 E-MINI NASDAQ 100 STK IDX SHORT 5 13617.50 5/5 9:45 13656.00 3.24%
Trade id #135458761
Max drawdown($4,475)
Time5/5/21 9:45
Quant open5
Worst price13662.20
Drawdown as % of equity-3.24%
($3,890)
Includes Typical Broker Commissions trade costs of $40.00
4/15/21 11:45 QCLM1 CRUDE OIL LONG 10 63.16 5/4 16:35 66.12 24.59%
Trade id #135168702
Max drawdown($25,500)
Time4/22/21 0:00
Quant open10
Worst price60.61
Drawdown as % of equity-24.59%
$29,520
Includes Typical Broker Commissions trade costs of $80.00
4/14/21 16:01 QCLK1 CRUDE OIL SHORT 1 62.93 4/15 11:26 63.08 0.43%
Trade id #135154448
Max drawdown($550)
Time4/15/21 2:49
Quant open1
Worst price63.48
Drawdown as % of equity-0.43%
($158)
Includes Typical Broker Commissions trade costs of $8.00
4/14/21 15:35 @NQM1 E-MINI NASDAQ 100 STK IDX SHORT 10 13817.85 4/14 16:00 13820.25 0.82%
Trade id #135153568
Max drawdown($1,130)
Time4/14/21 16:00
Quant open10
Worst price13823.50
Drawdown as % of equity-0.82%
($560)
Includes Typical Broker Commissions trade costs of $80.00
4/14/21 15:27 @NQM1 E-MINI NASDAQ 100 STK IDX LONG 10 13832.75 4/14 15:29 13828.25 0.66%
Trade id #135153313
Max drawdown($900)
Time4/14/21 15:29
Quant open1
Worst price13828.20
Drawdown as % of equity-0.66%
($980)
Includes Typical Broker Commissions trade costs of $80.00
4/14/21 14:17 @NQM1 E-MINI NASDAQ 100 STK IDX LONG 10 13825.85 4/14 15:23 13821.50 6.98%
Trade id #135151582
Max drawdown($9,570)
Time4/14/21 15:10
Quant open10
Worst price13778.00
Drawdown as % of equity-6.98%
($950)
Includes Typical Broker Commissions trade costs of $80.00
4/13/21 10:09 QCLK1 CRUDE OIL SHORT 10 60.36 4/14 10:30 61.94 12.32%
Trade id #135123429
Max drawdown($16,900)
Time4/14/21 10:30
Quant open10
Worst price62.05
Drawdown as % of equity-12.32%
($15,872)
Includes Typical Broker Commissions trade costs of $80.00
4/13/21 8:25 QCLK1 CRUDE OIL SHORT 10 60.24 4/13 9:15 60.56 2.3%
Trade id #135120231
Max drawdown($3,500)
Time4/13/21 9:15
Quant open10
Worst price60.59
Drawdown as % of equity-2.30%
($3,290)
Includes Typical Broker Commissions trade costs of $80.00
4/7/21 13:42 QCLK1 CRUDE OIL SHORT 10 59.74 4/13 8:21 60.24 6.53%
Trade id #135048184
Max drawdown($10,300)
Time4/12/21 0:00
Quant open10
Worst price60.77
Drawdown as % of equity-6.53%
($5,048)
Includes Typical Broker Commissions trade costs of $80.00
4/7/21 13:04 QCLK1 CRUDE OIL SHORT 10 59.47 4/7 13:22 59.55 0.59%
Trade id #135047699
Max drawdown($912)
Time4/7/21 13:22
Quant open10
Worst price59.56
Drawdown as % of equity-0.59%
($893)
Includes Typical Broker Commissions trade costs of $80.00
4/7/21 12:59 QCLK1 CRUDE OIL SHORT 10 59.42 4/7 13:02 59.58 1.1%
Trade id #135047565
Max drawdown($1,700)
Time4/7/21 13:02
Quant open10
Worst price59.59
Drawdown as % of equity-1.10%
($1,655)
Includes Typical Broker Commissions trade costs of $80.00
4/7/21 10:43 QCLK1 CRUDE OIL SHORT 10 58.78 4/7 12:22 58.53 0.87%
Trade id #135043891
Max drawdown($1,350)
Time4/7/21 11:11
Quant open5
Worst price59.11
Drawdown as % of equity-0.87%
$2,420
Includes Typical Broker Commissions trade costs of $80.00
4/7/21 11:23 @NQM1 E-MINI NASDAQ 100 STK IDX SHORT 6 13615.88 4/7 11:58 13597.65 n/a $2,139
Includes Typical Broker Commissions trade costs of $48.00
4/7/21 11:16 @NQM1 E-MINI NASDAQ 100 STK IDX SHORT 5 13621.34 4/7 11:19 13627.18 0.49%
Trade id #135044933
Max drawdown($766)
Time4/7/21 11:19
Quant open5
Worst price13629.00
Drawdown as % of equity-0.49%
($624)
Includes Typical Broker Commissions trade costs of $40.00
4/7/21 10:52 @NQM1 E-MINI NASDAQ 100 STK IDX SHORT 5 13595.74 4/7 11:00 13612.12 1.24%
Trade id #135044165
Max drawdown($1,926)
Time4/7/21 11:00
Quant open5
Worst price13615.00
Drawdown as % of equity-1.24%
($1,678)
Includes Typical Broker Commissions trade costs of $40.00
4/7/21 8:29 @NQM1 E-MINI NASDAQ 100 STK IDX LONG 5 13561.00 4/7 10:51 13596.68 3.13%
Trade id #135040509
Max drawdown($4,850)
Time4/7/21 9:34
Quant open5
Worst price13512.50
Drawdown as % of equity-3.13%
$3,528
Includes Typical Broker Commissions trade costs of $40.00
4/7/21 7:22 QCLK1 CRUDE OIL LONG 5 59.66 4/7 8:27 59.67 0.03%
Trade id #135038593
Max drawdown($50)
Time4/7/21 8:27
Quant open5
Worst price59.65
Drawdown as % of equity-0.03%
$10
Includes Typical Broker Commissions trade costs of $40.00
3/31/21 8:53 QGCM1 Gold 100 oz LONG 2 1686.0 4/7 8:04 1728.8 n/a $8,534
Includes Typical Broker Commissions trade costs of $16.00
4/7/21 4:25 QCLK1 CRUDE OIL SHORT 5 58.93 4/7 6:05 59.58 2.42%
Trade id #135037546
Max drawdown($3,750)
Time4/7/21 6:05
Quant open5
Worst price59.68
Drawdown as % of equity-2.42%
($3,290)
Includes Typical Broker Commissions trade costs of $40.00
4/5/21 10:10 @NQM1 E-MINI NASDAQ 100 STK IDX SHORT 5 13494.78 4/5 13:51 13589.75 5.82%
Trade id #135004324
Max drawdown($9,522)
Time4/5/21 13:51
Quant open5
Worst price13590.00
Drawdown as % of equity-5.82%
($9,537)
Includes Typical Broker Commissions trade costs of $40.00
4/1/21 11:44 QCLK1 CRUDE OIL SHORT 5 59.75 4/1 11:45 59.86 0.36%
Trade id #134970283
Max drawdown($570)
Time4/1/21 11:45
Quant open5
Worst price59.86
Drawdown as % of equity-0.36%
($610)
Includes Typical Broker Commissions trade costs of $40.00

Statistics

  • Strategy began
    7/18/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    425.84
  • Age
    14 months ago
  • What it trades
    Futures
  • # Trades
    260
  • # Profitable
    163
  • % Profitable
    62.70%
  • Avg trade duration
    1.0 days
  • Max peak-to-valley drawdown
    79.38%
  • drawdown period
    Feb 24, 2021 - March 05, 2021
  • Cumul. Return
    -25.4%
  • Avg win
    $1,999
  • Avg loss
    $3,353
  • Model Account Values (Raw)
  • Cash
    $50,657
  • Margin Used
    $0
  • Buying Power
    $50,657
  • Ratios
  • W:L ratio
    1.00:1
  • Sharpe Ratio
    0.45
  • Sortino Ratio
    0.58
  • Calmar Ratio
    0.02
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -55.28%
  • Correlation to SP500
    0.18160
  • Return Percent SP500 (cumu) during strategy life
    37.47%
  • Return Statistics
  • Ann Return (w trading costs)
    -30.0%
  • Slump
  • Current Slump as Pcnt Equity
    410.10%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.30%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.254%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    94.50%
  • Chance of 20% account loss
    86.00%
  • Chance of 30% account loss
    73.50%
  • Chance of 40% account loss
    66.50%
  • Chance of 60% account loss (Monte Carlo)
    46.00%
  • Chance of 70% account loss (Monte Carlo)
    32.00%
  • Chance of 80% account loss (Monte Carlo)
    9.00%
  • Chance of 90% account loss (Monte Carlo)
    3.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    99.55%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    57.00%
  • Popularity
  • Popularity (Today)
    443
  • Popularity (Last 6 weeks)
    913
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    534
  • 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
    $3,353
  • Avg Win
    $2,000
  • Sum Trade PL (losers)
    $325,270.000
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $325,931.000
  • # Winners
    163
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    97
  • % Winners
    62.7%
  • Frequency
  • Avg Position Time (mins)
    1379.82
  • Avg Position Time (hrs)
    23.00
  • Avg Trade Length
    1.0 days
  • Last Trade Ago
    129
  • Leverage
  • Daily leverage (average)
    4.76
  • Daily leverage (max)
    40.04
  • Regression
  • Alpha
    0.06
  • Beta
    1.49
  • Treynor Index
    0.11
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.70
  • MAE:Equity, average, winning trades
    0.05
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -6.288
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.549
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.101
  • Hold-and-Hope Ratio
    -0.159
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.40755
  • SD
    0.58882
  • Sharpe ratio (Glass type estimate)
    2.39047
  • Sharpe ratio (Hedges UMVUE)
    2.15789
  • df
    8.00000
  • t
    2.07021
  • p
    0.03610
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20673
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.87202
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34009
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.65587
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.60348
  • Upside Potential Ratio
    5.75818
  • Upside part of mean
    1.76061
  • Downside part of mean
    -0.35306
  • Upside SD
    0.61627
  • Downside SD
    0.30576
  • N nonnegative terms
    8.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.31536
  • Mean of criterion
    1.40755
  • SD of predictor
    0.09292
  • SD of criterion
    0.58882
  • Covariance
    -0.02816
  • r
    -0.51461
  • b (slope, estimate of beta)
    -3.26105
  • a (intercept, estimate of alpha)
    2.43594
  • Mean Square Error
    0.29130
  • DF error
    7.00000
  • t(b)
    -1.58795
  • p(b)
    0.92184
  • t(a)
    2.71026
  • p(a)
    0.01509
  • Lowerbound of 95% confidence interval for beta
    -8.11713
  • Upperbound of 95% confidence interval for beta
    1.59502
  • Lowerbound of 95% confidence interval for alpha
    0.31064
  • Upperbound of 95% confidence interval for alpha
    4.56125
  • Treynor index (mean / b)
    -0.43162
  • Jensen alpha (a)
    2.43594
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.18447
  • SD
    0.59202
  • Sharpe ratio (Glass type estimate)
    2.00072
  • Sharpe ratio (Hedges UMVUE)
    1.80606
  • df
    8.00000
  • t
    1.73267
  • p
    0.06069
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51092
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.40893
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.62398
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.23609
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.34384
  • Upside Potential Ratio
    4.49854
  • Upside part of mean
    1.59350
  • Downside part of mean
    -0.40902
  • Upside SD
    0.55044
  • Downside SD
    0.35423
  • N nonnegative terms
    8.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.30693
  • Mean of criterion
    1.18447
  • SD of predictor
    0.09051
  • SD of criterion
    0.59202
  • Covariance
    -0.02923
  • r
    -0.54545
  • b (slope, estimate of beta)
    -3.56769
  • a (intercept, estimate of alpha)
    2.27952
  • Mean Square Error
    0.28139
  • DF error
    7.00000
  • t(b)
    -1.72183
  • p(b)
    0.93561
  • t(a)
    2.58162
  • p(a)
    0.01819
  • Lowerbound of 95% confidence interval for beta
    -8.46730
  • Upperbound of 95% confidence interval for beta
    1.33192
  • Lowerbound of 95% confidence interval for alpha
    0.19160
  • Upperbound of 95% confidence interval for alpha
    4.36744
  • Treynor index (mean / b)
    -0.33200
  • Jensen alpha (a)
    2.27952
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16673
  • Expected Shortfall on VaR
    0.22265
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01582
  • Expected Shortfall on VaR
    0.05754
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.73753
  • Quartile 1
    1.08457
  • Median
    1.13027
  • Quartile 3
    1.22434
  • Maximum
    1.33164
  • Mean of quarter 1
    0.94899
  • Mean of quarter 2
    1.12547
  • Mean of quarter 3
    1.20175
  • Mean of quarter 4
    1.28760
  • Inter Quartile Range
    0.13978
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.73753
  • 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
    0.26247
  • Quartile 1
    0.26247
  • Median
    0.26247
  • Quartile 3
    0.26247
  • Maximum
    0.26247
  • 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)
    1.97673
  • Compounded annual return (geometric extrapolation)
    2.36147
  • Calmar ratio (compounded annual return / max draw down)
    8.99727
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    10.60630
  • 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
    1.00819
  • SD
    1.16570
  • Sharpe ratio (Glass type estimate)
    0.86489
  • Sharpe ratio (Hedges UMVUE)
    0.86176
  • df
    208.00000
  • t
    0.77247
  • p
    0.22036
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.33212
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.05993
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.33425
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.05777
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.06458
  • Upside Potential Ratio
    4.60661
  • Upside part of mean
    4.36263
  • Downside part of mean
    -3.35443
  • Upside SD
    0.67775
  • Downside SD
    0.94704
  • N nonnegative terms
    134.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    209.00000
  • Mean of predictor
    0.30221
  • Mean of criterion
    1.00819
  • SD of predictor
    0.15909
  • SD of criterion
    1.16570
  • Covariance
    0.03335
  • r
    0.17983
  • b (slope, estimate of beta)
    1.31766
  • a (intercept, estimate of alpha)
    0.29600
  • Mean Square Error
    1.32126
  • DF error
    207.00000
  • t(b)
    2.63020
  • p(b)
    0.00459
  • t(a)
    0.47072
  • p(a)
    0.31917
  • Lowerbound of 95% confidence interval for beta
    0.32999
  • Upperbound of 95% confidence interval for beta
    2.30533
  • Lowerbound of 95% confidence interval for alpha
    -1.94478
  • Upperbound of 95% confidence interval for alpha
    3.16475
  • Treynor index (mean / b)
    0.76514
  • Jensen alpha (a)
    0.60998
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15424
  • SD
    1.40402
  • Sharpe ratio (Glass type estimate)
    0.10986
  • Sharpe ratio (Hedges UMVUE)
    0.10946
  • df
    208.00000
  • t
    0.09812
  • p
    0.46097
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.08469
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.30426
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.08501
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30394
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.12278
  • Upside Potential Ratio
    3.31038
  • Upside part of mean
    4.15868
  • Downside part of mean
    -4.00444
  • Upside SD
    0.61948
  • Downside SD
    1.25626
  • N nonnegative terms
    134.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    209.00000
  • Mean of predictor
    0.28938
  • Mean of criterion
    0.15424
  • SD of predictor
    0.15945
  • SD of criterion
    1.40402
  • Covariance
    0.03643
  • r
    0.16271
  • b (slope, estimate of beta)
    1.43271
  • a (intercept, estimate of alpha)
    -0.26036
  • Mean Square Error
    1.92836
  • DF error
    207.00000
  • t(b)
    2.37258
  • p(b)
    0.00929
  • t(a)
    -0.16641
  • p(a)
    0.56600
  • Lowerbound of 95% confidence interval for beta
    0.24220
  • Upperbound of 95% confidence interval for beta
    2.62322
  • Lowerbound of 95% confidence interval for alpha
    -3.34491
  • Upperbound of 95% confidence interval for alpha
    2.82420
  • Treynor index (mean / b)
    0.10766
  • Jensen alpha (a)
    -0.26036
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13245
  • Expected Shortfall on VaR
    0.16291
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02194
  • Expected Shortfall on VaR
    0.05458
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    209.00000
  • Minimum
    0.44688
  • Quartile 1
    0.99943
  • Median
    1.00176
  • Quartile 3
    1.01583
  • Maximum
    1.34836
  • Mean of quarter 1
    0.94968
  • Mean of quarter 2
    1.00052
  • Mean of quarter 3
    1.00691
  • Mean of quarter 4
    1.05975
  • Inter Quartile Range
    0.01640
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.09569
  • Mean of outliers low
    0.88021
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.11005
  • Mean of outliers high
    1.09803
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.46019
  • VaR(95%) (moments method)
    0.01319
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.72195
  • VaR(95%) (regression method)
    0.02952
  • Expected Shortfall (regression method)
    0.14039
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00169
  • Median
    0.01248
  • Quartile 3
    0.06737
  • Maximum
    0.72248
  • Mean of quarter 1
    0.00078
  • Mean of quarter 2
    0.00523
  • Mean of quarter 3
    0.03035
  • Mean of quarter 4
    0.35895
  • Inter Quartile Range
    0.06568
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15790
  • Mean of outliers high
    0.54275
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.51791
  • VaR(95%) (moments method)
    0.32371
  • Expected Shortfall (moments method)
    0.81855
  • Extreme Value Index (regression method)
    1.01929
  • VaR(95%) (regression method)
    0.35550
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19605
  • Compounded annual return (geometric extrapolation)
    0.19979
  • Calmar ratio (compounded annual return / max draw down)
    0.27654
  • Compounded annual return / average of 25% largest draw downs
    0.55661
  • Compounded annual return / Expected Shortfall lognormal
    1.22643
  • 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
    0.24177
  • SD
    1.45840
  • Sharpe ratio (Glass type estimate)
    0.16578
  • Sharpe ratio (Hedges UMVUE)
    0.16482
  • df
    130.00000
  • t
    0.11722
  • p
    0.49486
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.60634
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.93742
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.60706
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.93670
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.20257
  • Upside Potential Ratio
    4.44544
  • Upside part of mean
    5.30583
  • Downside part of mean
    -5.06405
  • Upside SD
    0.82848
  • Downside SD
    1.19354
  • N nonnegative terms
    83.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33448
  • Mean of criterion
    0.24177
  • SD of predictor
    0.13453
  • SD of criterion
    1.45840
  • Covariance
    0.05158
  • r
    0.26288
  • b (slope, estimate of beta)
    2.84979
  • a (intercept, estimate of alpha)
    -0.71142
  • Mean Square Error
    1.99531
  • DF error
    129.00000
  • t(b)
    3.09458
  • p(b)
    0.33459
  • t(a)
    -0.35197
  • p(a)
    0.51972
  • Lowerbound of 95% confidence interval for beta
    1.02777
  • Upperbound of 95% confidence interval for beta
    4.67181
  • Lowerbound of 95% confidence interval for alpha
    -4.71053
  • Upperbound of 95% confidence interval for alpha
    3.28770
  • Treynor index (mean / b)
    0.08484
  • Jensen alpha (a)
    -0.71142
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.09454
  • SD
    1.76003
  • Sharpe ratio (Glass type estimate)
    -0.62188
  • Sharpe ratio (Hedges UMVUE)
    -0.61829
  • df
    130.00000
  • t
    -0.43974
  • p
    0.51927
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.39364
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15204
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.39111
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15454
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.69068
  • Upside Potential Ratio
    3.15726
  • Upside part of mean
    5.00334
  • Downside part of mean
    -6.09788
  • Upside SD
    0.75321
  • Downside SD
    1.58471
  • N nonnegative terms
    83.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32526
  • Mean of criterion
    -1.09454
  • SD of predictor
    0.13453
  • SD of criterion
    1.76003
  • Covariance
    0.05667
  • r
    0.23934
  • b (slope, estimate of beta)
    3.13140
  • a (intercept, estimate of alpha)
    -2.11304
  • Mean Square Error
    2.94290
  • DF error
    129.00000
  • t(b)
    2.79979
  • p(b)
    0.34910
  • t(a)
    -0.86135
  • p(a)
    0.54809
  • VAR (95 Confidence Intrvl)
    0.13200
  • Lowerbound of 95% confidence interval for beta
    0.91854
  • Upperbound of 95% confidence interval for beta
    5.34426
  • Lowerbound of 95% confidence interval for alpha
    -6.96673
  • Upperbound of 95% confidence interval for alpha
    2.74065
  • Treynor index (mean / b)
    -0.34954
  • Jensen alpha (a)
    -2.11304
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16726
  • Expected Shortfall on VaR
    0.20361
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03395
  • Expected Shortfall on VaR
    0.08257
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.44688
  • Quartile 1
    0.99761
  • Median
    1.00126
  • Quartile 3
    1.01491
  • Maximum
    1.34836
  • Mean of quarter 1
    0.92378
  • Mean of quarter 2
    1.00003
  • Mean of quarter 3
    1.00489
  • Mean of quarter 4
    1.07553
  • Inter Quartile Range
    0.01730
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.12977
  • Mean of outliers low
    0.86457
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.15267
  • Mean of outliers high
    1.10627
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.98652
  • VaR(95%) (moments method)
    0.02847
  • Expected Shortfall (moments method)
    2.41778
  • Extreme Value Index (regression method)
    0.55392
  • VaR(95%) (regression method)
    0.05335
  • Expected Shortfall (regression method)
    0.16004
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00172
  • Median
    0.00883
  • Quartile 3
    0.06082
  • Maximum
    0.72248
  • Mean of quarter 1
    0.00073
  • Mean of quarter 2
    0.00342
  • Mean of quarter 3
    0.02554
  • Mean of quarter 4
    0.42822
  • Inter Quartile Range
    0.05910
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.18750
  • Mean of outliers high
    0.54275
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -10.75640
  • VaR(95%) (moments method)
    0.25126
  • Expected Shortfall (moments method)
    0.25126
  • Extreme Value Index (regression method)
    -1.56522
  • VaR(95%) (regression method)
    0.82410
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.86793
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -312273000
  • Max Equity Drawdown (num days)
    9
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.82669
  • Compounded annual return (geometric extrapolation)
    -0.65583
  • Calmar ratio (compounded annual return / max draw down)
    -0.90776
  • Compounded annual return / average of 25% largest draw downs
    -1.53153
  • Compounded annual return / Expected Shortfall lognormal
    -3.22102

Strategy Description

Summary Statistics

Strategy began
2020-07-18
Suggested Minimum Capital
$60,000
# Trades
260
# Profitable
163
% Profitable
62.7%
Correlation S&P500
0.182
Sharpe Ratio
0.45
Sortino Ratio
0.58
Beta
1.49
Alpha
0.06
Leverage
4.76 Average
40.04 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.