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Infinity 2020
(131202173)

Created by: LeonardoFranci_Nexit LeonardoFranci_Nexit
Started: 09/2020
Stocks
Last trade: 7 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 $595.00 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.
88.7%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(26.3%)
Max Drawdown
2256
Num Trades
46.5%
Win Trades
1.7 : 1
Profit Factor
64.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                        +6.4%+2.4%+53.9%+14.4%+91.8%
2021+20.6%+8.7%(0.9%)(8.3%)+1.4%(0.5%)(7.4%)+5.9%+2.2%(1.5%)(8.2%)+0.8%+9.9%
2022+12.0%                                                                  +12.0%

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 3,776 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
1/11/22 13:26 BXH2 Euro-Buxl LONG 6 202.73 1/12 13:12 204.42 0.2%
Trade id #138907623
Max drawdown($1,167)
Time1/12/22 3:41
Quant open6
Worst price202.56
Drawdown as % of equity-0.20%
$11,553
Includes Typical Broker Commissions trade costs of $48.00
1/11/22 12:07 @USH2 US T-BOND LONG 10 155 22/32 1/12 11:29 155 31/32 0.09%
Trade id #138905994
Max drawdown($470)
Time1/11/22 12:11
Quant open5
Worst price155 16/32
Drawdown as % of equity-0.09%
$2,735
Includes Typical Broker Commissions trade costs of $80.00
1/11/22 13:33 GBP/USD GBP/USD SHORT 40 1.36177 1/11 14:49 1.36252 0.08%
Trade id #138907760
Max drawdown($380)
Time1/11/22 14:16
Quant open40
Worst price1.36272
Drawdown as % of equity-0.08%
($300)
1/11/22 13:25 CAD/CHF CAD/CHF SHORT 60 0.73453 1/11 14:49 0.73428 0.08%
Trade id #138907584
Max drawdown($389)
Time1/11/22 13:49
Quant open60
Worst price0.73513
Drawdown as % of equity-0.08%
$162
1/11/22 12:33 GBP/CAD GBP/CAD SHORT 80 1.71478 1/11 14:49 1.71401 0.05%
Trade id #138906485
Max drawdown($235)
Time1/11/22 12:50
Quant open80
Worst price1.71515
Drawdown as % of equity-0.05%
$490
1/6/22 15:54 @NQH2 E-MINI NASDAQ 100 STK IDX LONG 12 15577.41 1/11 13:22 15800.56 8.38%
Trade id #138856111
Max drawdown($43,988)
Time1/10/22 0:00
Quant open4
Worst price15152.50
Drawdown as % of equity-8.38%
$53,460
Includes Typical Broker Commissions trade costs of $96.00
1/11/22 12:06 @UBH2 ULTRA US TREASURY BOND LONG 5 189.68800 1/11 12:06 189.66880 0.02%
Trade id #138905981
Max drawdown($96)
Time1/11/22 12:06
Quant open5
Worst price189.66900
Drawdown as % of equity-0.02%
($136)
Includes Typical Broker Commissions trade costs of $40.00
1/11/22 12:06 @UBH2 ULTRA US TREASURY BOND LONG 5 189.75000 1/11 12:06 189.68800 0.06%
Trade id #138905969
Max drawdown($310)
Time1/11/22 12:06
Quant open5
Worst price189.68800
Drawdown as % of equity-0.06%
($350)
Includes Typical Broker Commissions trade costs of $40.00
1/6/22 5:17 CAD/JPY CAD/JPY LONG 90 90.756 1/6 15:53 91.024 0.4%
Trade id #138839511
Max drawdown($2,127)
Time1/6/22 10:11
Quant open90
Worst price90.482
Drawdown as % of equity-0.40%
$2,081
1/6/22 5:10 CHF/JPY CHF/JPY LONG 90 126.136 1/6 15:09 125.700 0.67%
Trade id #138839465
Max drawdown($3,572)
Time1/6/22 14:04
Quant open90
Worst price125.676
Drawdown as % of equity-0.67%
($3,385)
1/6/22 4:59 @CH2 CORN LONG 6 598 3/4 1/6 13:01 604 3/4 0.16%
Trade id #138839359
Max drawdown($825)
Time1/6/22 10:54
Quant open6
Worst price596
Drawdown as % of equity-0.16%
$1,752
Includes Typical Broker Commissions trade costs of $48.00
1/6/22 12:15 AUD/NZD AUD/NZD LONG 80 1.06178 1/6 12:46 1.06192 0.02%
Trade id #138848717
Max drawdown($129)
Time1/6/22 12:28
Quant open80
Worst price1.06154
Drawdown as % of equity-0.02%
$76
1/5/22 15:57 NZD/USD NZD/USD SHORT 65 0.67959 1/6 5:17 0.67580 0.04%
Trade id #138834243
Max drawdown($227)
Time1/5/22 16:50
Quant open65
Worst price0.67994
Drawdown as % of equity-0.04%
$2,464
12/31/21 12:35 NZD/CAD NZD/CAD SHORT 60 0.86510 1/6/22 5:17 0.86282 0.32%
Trade id #138768617
Max drawdown($1,754)
Time1/5/22 0:00
Quant open60
Worst price0.86883
Drawdown as % of equity-0.32%
$1,072
1/5/22 4:15 @KCH2 COFFEE LONG 1 232.15 1/6 4:15 230.40 0.28%
Trade id #138822658
Max drawdown($1,537)
Time1/6/22 0:00
Quant open1
Worst price228.05
Drawdown as % of equity-0.28%
($664)
Includes Typical Broker Commissions trade costs of $8.00
1/4/22 20:00 @CH2 CORN LONG 6 608 3/4 1/6 3:11 597 2/4 0.67%
Trade id #138820145
Max drawdown($3,750)
Time1/6/22 1:30
Quant open6
Worst price596 1/4
Drawdown as % of equity-0.67%
($3,423)
Includes Typical Broker Commissions trade costs of $48.00
1/2/22 18:00 @YMH2 MINI DOW LONG 2 36332 1/6 3:11 36310 0.4%
Trade id #138778973
Max drawdown($2,120)
Time1/3/22 0:00
Quant open2
Worst price36120
Drawdown as % of equity-0.40%
($236)
Includes Typical Broker Commissions trade costs of $16.00
12/29/21 16:32 QRBG2 RBOB Gasoline LONG 1 2.2668 1/6/22 3:11 2.2828 0.48%
Trade id #138747561
Max drawdown($2,532)
Time12/31/21 0:00
Quant open1
Worst price2.2065
Drawdown as % of equity-0.48%
$664
Includes Typical Broker Commissions trade costs of $8.00
1/4/22 16:13 EUR/AUD EUR/AUD SHORT 30 1.55786 1/6 1:56 1.57732 0.77%
Trade id #138818302
Max drawdown($4,261)
Time1/6/22 1:53
Quant open30
Worst price1.57768
Drawdown as % of equity-0.77%
($4,181)
1/4/22 16:05 CAD/JPY CAD/JPY LONG 47 91.403 1/6 1:56 90.541 0.67%
Trade id #138818207
Max drawdown($3,701)
Time1/6/22 1:31
Quant open47
Worst price90.491
Drawdown as % of equity-0.67%
($3,496)
12/29/21 3:01 @ESH2 E-MINI S&P 500 LONG 1 4788.00 1/5/22 15:49 4704.25 0.76%
Trade id #138737996
Max drawdown($4,250)
Time1/5/22 15:49
Quant open1
Worst price4703.00
Drawdown as % of equity-0.76%
($4,196)
Includes Typical Broker Commissions trade costs of $8.00
1/3/22 15:47 AEXF2 AEX Index LONG 2 806.95 1/5 15:26 793.60 1.11%
Trade id #138798370
Max drawdown($6,199)
Time1/5/22 15:08
Quant open2
Worst price793.25
Drawdown as % of equity-1.11%
($6,055)
Includes Typical Broker Commissions trade costs of $16.00
12/29/21 1:41 XGH2 DAX INDEX LONG 1 15930.00 1/5/22 11:12 16243.00 0.77%
Trade id #138737662
Max drawdown($4,044)
Time12/29/21 10:16
Quant open1
Worst price15787.00
Drawdown as % of equity-0.77%
$8,864
Includes Typical Broker Commissions trade costs of $8.00
1/3/22 16:01 NZD/USD NZD/USD SHORT 65 0.67828 1/4 16:08 0.68130 0.49%
Trade id #138798929
Max drawdown($2,710)
Time1/4/22 10:45
Quant open65
Worst price0.68245
Drawdown as % of equity-0.49%
($1,963)
12/29/21 2:00 EXH2 DJ EURO STOXX 50 LONG 5 4291.50 1/4/22 9:39 4365.00 0.41%
Trade id #138737753
Max drawdown($2,144)
Time12/29/21 10:16
Quant open5
Worst price4253.50
Drawdown as % of equity-0.41%
$4,106
Includes Typical Broker Commissions trade costs of $40.00
12/30/21 4:14 @CTH2 COTTON - #2 LONG 3 11261 1/4/22 9:26 11727 0.17%
Trade id #138751223
Max drawdown($915)
Time12/30/21 6:14
Quant open3
Worst price11200
Drawdown as % of equity-0.17%
$6,961
Includes Typical Broker Commissions trade costs of $24.00
12/30/21 16:19 QNGG2 Natural Gas SHORT 1 3.596 1/3/22 15:54 3.850 0.49%
Trade id #138760044
Max drawdown($2,620)
Time1/3/22 15:01
Quant open1
Worst price3.858
Drawdown as % of equity-0.49%
($2,548)
Includes Typical Broker Commissions trade costs of $8.00
12/29/21 16:34 USD/ZAR USD/ZAR LONG 20 15.94420 1/3/22 15:50 15.84690 0.43%
Trade id #138747578
Max drawdown($2,289)
Time1/3/22 5:17
Quant open20
Worst price15.76280
Drawdown as % of equity-0.43%
($1,228)
12/30/21 9:30 @LEG2 LIVE CATTLE LONG 6 140.525 1/3/22 13:53 139.075 0.67%
Trade id #138753325
Max drawdown($3,600)
Time1/3/22 13:50
Quant open6
Worst price139.025
Drawdown as % of equity-0.67%
($3,528)
Includes Typical Broker Commissions trade costs of $48.00
12/31/21 15:21 AUD/JPY AUD/JPY LONG 45 83.690 1/2/22 17:15 83.679 n/a ($43)

Statistics

  • Strategy began
    9/16/2020
  • Suggested Minimum Cap
    $600,000
  • Strategy Age (days)
    490.83
  • Age
    16 months ago
  • What it trades
    Stocks
  • # Trades
    2256
  • # Profitable
    1049
  • % Profitable
    46.50%
  • Avg trade duration
    22.0 days
  • Max peak-to-valley drawdown
    26.26%
  • drawdown period
    Feb 17, 2021 - Jan 10, 2022
  • Annual Return (Compounded)
    88.7%
  • Avg win
    $851.73
  • Avg loss
    $440.80
  • Model Account Values (Raw)
  • Cash
    $614,818
  • Margin Used
    $29,082
  • Buying Power
    $586,806
  • Ratios
  • W:L ratio
    1.69:1
  • Sharpe Ratio
    2.29
  • Sortino Ratio
    4.84
  • Calmar Ratio
    5.035
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    102.11%
  • Correlation to SP500
    0.27910
  • Return Percent SP500 (cumu) during strategy life
    33.89%
  • Return Statistics
  • Ann Return (w trading costs)
    88.7%
  • Slump
  • Current Slump as Pcnt Equity
    10.70%
  • Instruments
  • Percent Trades Futures
    0.06%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.69%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.887%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.92%
  • Percent Trades Forex
    0.02%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    94.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    12.50%
  • Chance of 20% account loss
    0.50%
  • 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)
    694
  • Popularity (Last 6 weeks)
    890
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    955
  • Popularity (7 days, Percentile 1000 scale)
    849
  • 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
    $441
  • Avg Win
    $853
  • Sum Trade PL (losers)
    $533,294.000
  • AUM
  • AUM (AutoTrader num accounts)
    2
  • Age
  • Num Months filled monthly returns table
    17
  • Win / Loss
  • Sum Trade PL (winners)
    $892,088.000
  • # Winners
    1046
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    3645
  • AUM
  • AUM (AutoTrader live capital)
    694866
  • Win / Loss
  • # Losers
    1209
  • % Winners
    46.4%
  • Frequency
  • Avg Position Time (mins)
    44061.00
  • Avg Position Time (hrs)
    734.35
  • Avg Trade Length
    30.6 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.36
  • Daily leverage (max)
    11.71
  • Regression
  • Alpha
    0.15
  • Beta
    0.47
  • Treynor Index
    0.38
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.59
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    17.699
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.548
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.308
  • Hold-and-Hope Ratio
    0.057
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.75390
  • SD
    0.42015
  • Sharpe ratio (Glass type estimate)
    1.79435
  • Sharpe ratio (Hedges UMVUE)
    1.70285
  • df
    15.00000
  • t
    2.07193
  • p
    0.21124
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04444
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.58114
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10059
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.50629
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.20802
  • Upside Potential Ratio
    7.89275
  • Upside part of mean
    0.95849
  • Downside part of mean
    -0.20459
  • Upside SD
    0.44510
  • Downside SD
    0.12144
  • N nonnegative terms
    10.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.20337
  • Mean of criterion
    0.75390
  • SD of predictor
    0.08047
  • SD of criterion
    0.42015
  • Covariance
    0.00366
  • r
    0.10817
  • b (slope, estimate of beta)
    0.56480
  • a (intercept, estimate of alpha)
    0.63903
  • Mean Square Error
    0.18692
  • DF error
    14.00000
  • t(b)
    0.40713
  • p(b)
    0.44592
  • t(a)
    1.36307
  • p(a)
    0.32886
  • Lowerbound of 95% confidence interval for beta
    -2.41063
  • Upperbound of 95% confidence interval for beta
    3.54023
  • Lowerbound of 95% confidence interval for alpha
    -0.36649
  • Upperbound of 95% confidence interval for alpha
    1.64455
  • Treynor index (mean / b)
    1.33480
  • Jensen alpha (a)
    0.63903
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.65851
  • SD
    0.38671
  • Sharpe ratio (Glass type estimate)
    1.70285
  • Sharpe ratio (Hedges UMVUE)
    1.61601
  • df
    15.00000
  • t
    1.96628
  • p
    0.22198
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12379
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.47955
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17716
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.40919
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.19518
  • Upside Potential Ratio
    6.86700
  • Upside part of mean
    0.87043
  • Downside part of mean
    -0.21191
  • Upside SD
    0.40034
  • Downside SD
    0.12676
  • N nonnegative terms
    10.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.19827
  • Mean of criterion
    0.65851
  • SD of predictor
    0.07919
  • SD of criterion
    0.38671
  • Covariance
    0.00276
  • r
    0.09026
  • b (slope, estimate of beta)
    0.44074
  • a (intercept, estimate of alpha)
    0.57113
  • Mean Square Error
    0.15892
  • DF error
    14.00000
  • t(b)
    0.33909
  • p(b)
    0.45487
  • t(a)
    1.32568
  • p(a)
    0.33302
  • Lowerbound of 95% confidence interval for beta
    -2.34701
  • Upperbound of 95% confidence interval for beta
    3.22850
  • Lowerbound of 95% confidence interval for alpha
    -0.35289
  • Upperbound of 95% confidence interval for alpha
    1.49515
  • Treynor index (mean / b)
    1.49410
  • Jensen alpha (a)
    0.57113
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12080
  • Expected Shortfall on VaR
    0.16017
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03250
  • Expected Shortfall on VaR
    0.06667
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.89390
  • Quartile 1
    0.98495
  • Median
    1.00330
  • Quartile 3
    1.16467
  • Maximum
    1.31755
  • Mean of quarter 1
    0.93825
  • Mean of quarter 2
    0.99852
  • Mean of quarter 3
    1.09596
  • Mean of quarter 4
    1.22788
  • Inter Quartile Range
    0.17972
  • 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)
    -2.00693
  • VaR(95%) (moments method)
    0.06480
  • Expected Shortfall (moments method)
    0.06654
  • Extreme Value Index (regression method)
    -0.07511
  • VaR(95%) (regression method)
    0.08745
  • Expected Shortfall (regression method)
    0.11977
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.16847
  • Quartile 1
    0.16847
  • Median
    0.16847
  • Quartile 3
    0.16847
  • Maximum
    0.16847
  • 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)
    1.12301
  • Compounded annual return (geometric extrapolation)
    0.98659
  • Calmar ratio (compounded annual return / max draw down)
    5.85617
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    6.15983
  • 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
    0.67015
  • SD
    0.23268
  • Sharpe ratio (Glass type estimate)
    2.88010
  • Sharpe ratio (Hedges UMVUE)
    2.87393
  • df
    350.00000
  • t
    3.33358
  • p
    0.00047
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.17137
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.58484
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.16725
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.58060
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.07792
  • Upside Potential Ratio
    14.06420
  • Upside part of mean
    1.55072
  • Downside part of mean
    -0.88057
  • Upside SD
    0.20867
  • Downside SD
    0.11026
  • N nonnegative terms
    188.00000
  • N negative terms
    163.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    351.00000
  • Mean of predictor
    0.19999
  • Mean of criterion
    0.67015
  • SD of predictor
    0.14132
  • SD of criterion
    0.23268
  • Covariance
    0.00918
  • r
    0.27923
  • b (slope, estimate of beta)
    0.45975
  • a (intercept, estimate of alpha)
    0.57800
  • Mean Square Error
    0.05006
  • DF error
    349.00000
  • t(b)
    5.43242
  • p(b)
    0.00000
  • t(a)
    2.97966
  • p(a)
    0.00154
  • Lowerbound of 95% confidence interval for beta
    0.29330
  • Upperbound of 95% confidence interval for beta
    0.62621
  • Lowerbound of 95% confidence interval for alpha
    0.19655
  • Upperbound of 95% confidence interval for alpha
    0.95986
  • Treynor index (mean / b)
    1.45763
  • Jensen alpha (a)
    0.57820
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.64289
  • SD
    0.22876
  • Sharpe ratio (Glass type estimate)
    2.81035
  • Sharpe ratio (Hedges UMVUE)
    2.80432
  • df
    350.00000
  • t
    3.25284
  • p
    0.00063
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.10230
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.51449
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.09828
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.51036
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.77580
  • Upside Potential Ratio
    13.74150
  • Upside part of mean
    1.52952
  • Downside part of mean
    -0.88663
  • Upside SD
    0.20339
  • Downside SD
    0.11131
  • N nonnegative terms
    188.00000
  • N negative terms
    163.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    351.00000
  • Mean of predictor
    0.18993
  • Mean of criterion
    0.64289
  • SD of predictor
    0.14146
  • SD of criterion
    0.22876
  • Covariance
    0.00921
  • r
    0.28450
  • b (slope, estimate of beta)
    0.46006
  • a (intercept, estimate of alpha)
    0.55551
  • Mean Square Error
    0.04823
  • DF error
    349.00000
  • t(b)
    5.54390
  • p(b)
    0.00000
  • t(a)
    2.91764
  • p(a)
    0.00188
  • Lowerbound of 95% confidence interval for beta
    0.29685
  • Upperbound of 95% confidence interval for beta
    0.62327
  • Lowerbound of 95% confidence interval for alpha
    0.18104
  • Upperbound of 95% confidence interval for alpha
    0.92998
  • Treynor index (mean / b)
    1.39740
  • Jensen alpha (a)
    0.55551
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02058
  • Expected Shortfall on VaR
    0.02633
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00740
  • Expected Shortfall on VaR
    0.01455
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    351.00000
  • Minimum
    0.96712
  • Quartile 1
    0.99555
  • Median
    1.00086
  • Quartile 3
    1.00812
  • Maximum
    1.09182
  • Mean of quarter 1
    0.98837
  • Mean of quarter 2
    0.99850
  • Mean of quarter 3
    1.00417
  • Mean of quarter 4
    1.01963
  • Inter Quartile Range
    0.01258
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.01994
  • Mean of outliers low
    0.97170
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.03704
  • Mean of outliers high
    1.05145
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.05300
  • VaR(95%) (moments method)
    0.01067
  • Expected Shortfall (moments method)
    0.01491
  • Extreme Value Index (regression method)
    -0.25171
  • VaR(95%) (regression method)
    0.01074
  • Expected Shortfall (regression method)
    0.01325
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00016
  • Quartile 1
    0.00589
  • Median
    0.01100
  • Quartile 3
    0.01692
  • Maximum
    0.18984
  • Mean of quarter 1
    0.00313
  • Mean of quarter 2
    0.00838
  • Mean of quarter 3
    0.01365
  • Mean of quarter 4
    0.08473
  • Inter Quartile Range
    0.01103
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.14536
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.07429
  • VaR(95%) (moments method)
    0.05819
  • Expected Shortfall (moments method)
    0.08281
  • Extreme Value Index (regression method)
    0.59203
  • VaR(95%) (regression method)
    0.15908
  • Expected Shortfall (regression method)
    0.48569
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.08704
  • Compounded annual return (geometric extrapolation)
    0.95579
  • Calmar ratio (compounded annual return / max draw down)
    5.03476
  • Compounded annual return / average of 25% largest draw downs
    11.28020
  • Compounded annual return / Expected Shortfall lognormal
    36.29870
  • 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
    0.19485
  • SD
    0.21016
  • Sharpe ratio (Glass type estimate)
    0.92719
  • Sharpe ratio (Hedges UMVUE)
    0.92183
  • df
    130.00000
  • t
    0.65562
  • p
    0.47130
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.84860
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.69960
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.85224
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.69590
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.83292
  • Upside Potential Ratio
    10.20380
  • Upside part of mean
    1.08474
  • Downside part of mean
    -0.88989
  • Upside SD
    0.18075
  • Downside SD
    0.10631
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05876
  • Mean of criterion
    0.19485
  • SD of predictor
    0.12952
  • SD of criterion
    0.21016
  • Covariance
    0.00512
  • r
    0.18796
  • b (slope, estimate of beta)
    0.30499
  • a (intercept, estimate of alpha)
    0.17693
  • Mean Square Error
    0.04294
  • DF error
    129.00000
  • t(b)
    2.17357
  • p(b)
    0.38105
  • t(a)
    0.60355
  • p(a)
    0.46623
  • Lowerbound of 95% confidence interval for beta
    0.02737
  • Upperbound of 95% confidence interval for beta
    0.58261
  • Lowerbound of 95% confidence interval for alpha
    -0.40308
  • Upperbound of 95% confidence interval for alpha
    0.75694
  • Treynor index (mean / b)
    0.63889
  • Jensen alpha (a)
    0.17693
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17341
  • SD
    0.20622
  • Sharpe ratio (Glass type estimate)
    0.84089
  • Sharpe ratio (Hedges UMVUE)
    0.83603
  • df
    130.00000
  • t
    0.59460
  • p
    0.47396
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.93438
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.61301
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.93764
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.60969
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.61656
  • Upside Potential Ratio
    9.96476
  • Upside part of mean
    1.06892
  • Downside part of mean
    -0.89551
  • Upside SD
    0.17553
  • Downside SD
    0.10727
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05041
  • Mean of criterion
    0.17341
  • SD of predictor
    0.12967
  • SD of criterion
    0.20622
  • Covariance
    0.00506
  • r
    0.18927
  • b (slope, estimate of beta)
    0.30101
  • a (intercept, estimate of alpha)
    0.15823
  • Mean Square Error
    0.04132
  • DF error
    129.00000
  • t(b)
    2.18922
  • p(b)
    0.38023
  • t(a)
    0.55026
  • p(a)
    0.46920
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    0.02897
  • Upperbound of 95% confidence interval for beta
    0.57305
  • Lowerbound of 95% confidence interval for alpha
    -0.41071
  • Upperbound of 95% confidence interval for alpha
    0.72718
  • Treynor index (mean / b)
    0.57609
  • Jensen alpha (a)
    0.15823
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02009
  • Expected Shortfall on VaR
    0.02528
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00819
  • Expected Shortfall on VaR
    0.01539
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96925
  • Quartile 1
    0.99576
  • Median
    0.99972
  • Quartile 3
    1.00469
  • Maximum
    1.08842
  • Mean of quarter 1
    0.98902
  • Mean of quarter 2
    0.99774
  • Mean of quarter 3
    1.00184
  • Mean of quarter 4
    1.01484
  • Inter Quartile Range
    0.00893
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97537
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.04412
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11801
  • VaR(95%) (moments method)
    0.01035
  • Expected Shortfall (moments method)
    0.01512
  • Extreme Value Index (regression method)
    0.05669
  • VaR(95%) (regression method)
    0.01199
  • Expected Shortfall (regression method)
    0.01732
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00099
  • Quartile 1
    0.01061
  • Median
    0.02161
  • Quartile 3
    0.02918
  • Maximum
    0.13503
  • Mean of quarter 1
    0.00485
  • Mean of quarter 2
    0.01473
  • Mean of quarter 3
    0.02650
  • Mean of quarter 4
    0.08388
  • Inter Quartile Range
    0.01857
  • 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
    0.12500
  • Mean of outliers high
    0.13503
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -300722000
  • Max Equity Drawdown (num days)
    327
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21180
  • Compounded annual return (geometric extrapolation)
    0.22301
  • Calmar ratio (compounded annual return / max draw down)
    1.65157
  • Compounded annual return / average of 25% largest draw downs
    2.65862
  • Compounded annual return / Expected Shortfall lognormal
    8.82104

Strategy Description

Summary Statistics

Strategy began
2020-09-16
Suggested Minimum Capital
$600,000
Rank at C2 %
Top 4.5%
Rank # 
#37
# Trades
2256
# Profitable
1049
% Profitable
46.5%
Net Dividends
Correlation S&P500
0.279
Sharpe Ratio
2.29
Sortino Ratio
4.84
Beta
0.47
Alpha
0.15
Leverage
1.36 Average
11.71 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.