Collective2 Collective2
Featured Strategy Easiest +110.8% Annual Return (Compounded) since Mar 27, 2023 Hypothetical

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ED Invest
(142695867)

Created by: ED-Invest ED-Invest
Started: 11/2022
Stocks
Last trade: 152 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $18.00 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.

-
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.

(100.0%)
Max Drawdown
47
Num Trades
78.7%
Win Trades
0.1 : 1
Profit Factor
38.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                      +6.1%(7.3%)(1.6%)
2023+16.9%+2.5%+4.0%(0.2%)(14%)(15.4%)(12.3%)+3.5%+16.6%+5.6%(13.9%)(14.3%)(25.4%)
2024(72.2%)(380.1%)(86.9%)(43.9%)                                                (181.6%)

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

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/27/23 10:15 QQQ POWERSHARES QQQ SHORT 594 341.83 11/14 10:55 380.64 53.88%
Trade id #144445014
Max drawdown($20,101)
Time7/18/23 0:00
Quant open311
Worst price387.13
Drawdown as % of equity-53.88%
 ($23,064)
Includes Typical Broker Commissions trade costs of $11.88
4/13/23 9:33 QQQ POWERSHARES QQQ SHORT 180 315.58 4/25 11:41 312.98 1.82%
Trade id #144282339
Max drawdown($1,050)
Time4/18/23 0:00
Quant open180
Worst price321.42
Drawdown as % of equity-1.82%
 $465
Includes Typical Broker Commissions trade costs of $3.60
4/10/23 14:50 QQQ POWERSHARES QQQ SHORT 150 317.15 4/11 11:37 315.46 0.2%
Trade id #144243883
Max drawdown($115)
Time4/10/23 15:59
Quant open150
Worst price317.92
Drawdown as % of equity-0.20%
 $250
Includes Typical Broker Commissions trade costs of $3.00
4/4/23 14:49 VOO VANGUARD S&P 500 ETF LONG 150 375.00 4/6 15:59 375.94 0.59%
Trade id #144186066
Max drawdown($341)
Time4/6/23 9:48
Quant open150
Worst price372.72
Drawdown as % of equity-0.59%
 $138
Includes Typical Broker Commissions trade costs of $3.00
4/4/23 9:55 VOO VANGUARD S&P 500 ETF SHORT 150 377.45 4/4 11:00 376.35 0.25%
Trade id #144172745
Max drawdown($143)
Time4/4/23 10:01
Quant open150
Worst price378.40
Drawdown as % of equity-0.25%
 $161
Includes Typical Broker Commissions trade costs of $3.00
3/28/23 13:56 VOO VANGUARD S&P 500 ETF LONG 157 361.90 3/28 15:03 362.93 0.06%
Trade id #144095153
Max drawdown($32)
Time3/28/23 13:59
Quant open157
Worst price361.69
Drawdown as % of equity-0.06%
 $158
Includes Typical Broker Commissions trade costs of $3.14
3/23/23 14:53 VOO VANGUARD S&P 500 ETF LONG 155 360.96 3/27 9:30 365.78 0.88%
Trade id #144016870
Max drawdown($501)
Time3/24/23 0:00
Quant open155
Worst price357.72
Drawdown as % of equity-0.88%
 $744
Includes Typical Broker Commissions trade costs of $3.10
3/21/23 9:34 VOO VANGUARD S&P 500 ETF SHORT 100 366.99 3/21 10:29 365.68 0.08%
Trade id #143976229
Max drawdown($43)
Time3/21/23 10:01
Quant open100
Worst price367.42
Drawdown as % of equity-0.08%
 $128
Includes Typical Broker Commissions trade costs of $2.00
3/15/23 12:19 VOO VANGUARD S&P 500 ETF LONG 155 353.55 3/15 14:32 357.08 0.27%
Trade id #143914416
Max drawdown($153)
Time3/15/23 12:58
Quant open155
Worst price352.56
Drawdown as % of equity-0.27%
 $544
Includes Typical Broker Commissions trade costs of $3.10
3/13/23 9:03 VOO VANGUARD S&P 500 ETF LONG 155 351.64 3/13 10:02 354.17 0.52%
Trade id #143873633
Max drawdown($291)
Time3/13/23 9:38
Quant open155
Worst price349.76
Drawdown as % of equity-0.52%
 $389
Includes Typical Broker Commissions trade costs of $3.10
3/9/23 19:26 VOO VANGUARD S&P 500 ETF LONG 150 358.83 3/13 4:13 357.77 1.54%
Trade id #143835204
Max drawdown($853)
Time3/10/23 0:00
Quant open150
Worst price353.14
Drawdown as % of equity-1.54%
 ($162)
Includes Typical Broker Commissions trade costs of $3.00
3/10/23 13:00 QQQ POWERSHARES QQQ LONG 100 290.03 3/13 4:12 292.44 0.48%
Trade id #143848991
Max drawdown($265)
Time3/10/23 15:49
Quant open100
Worst price287.38
Drawdown as % of equity-0.48%
 $239
Includes Typical Broker Commissions trade costs of $2.00
2/19/23 17:34 QQQ POWERSHARES QQQ SHORT 175 301.38 2/21 9:32 297.55 n/a $668
Includes Typical Broker Commissions trade costs of $3.50
2/13/23 7:00 QQQ POWERSHARES QQQ SHORT 175 301.00 2/17 12:55 298.19 2.72%
Trade id #143556915
Max drawdown($1,447)
Time2/15/23 0:00
Quant open175
Worst price309.27
Drawdown as % of equity-2.72%
 $489
Includes Typical Broker Commissions trade costs of $3.50
2/1/23 14:56 QQQ POWERSHARES QQQ SHORT 175 302.02 2/10 4:21 301.02 3.77%
Trade id #143419180
Max drawdown($2,035)
Time2/2/23 0:00
Quant open150
Worst price313.68
Drawdown as % of equity-3.77%
 $173
Includes Typical Broker Commissions trade costs of $3.50
2/1/23 10:03 NKE NIKE SHORT 100 127.62 2/1 11:19 126.97 0.01%
Trade id #143412586
Max drawdown($8)
Time2/1/23 10:30
Quant open100
Worst price127.70
Drawdown as % of equity-0.01%
 $63
Includes Typical Broker Commissions trade costs of $2.00
1/23/23 10:43 QQQ POWERSHARES QQQ SHORT 100 287.26 1/23 11:08 288.83 0.32%
Trade id #143303816
Max drawdown($173)
Time1/23/23 11:07
Quant open100
Worst price288.99
Drawdown as % of equity-0.32%
 ($159)
Includes Typical Broker Commissions trade costs of $2.00
1/18/23 16:40 PYPL PAYPAL HOLDINGS CORP LONG 50 77.25 1/20 17:18 79.02 0.13%
Trade id #143259073
Max drawdown($67)
Time1/20/23 9:34
Quant open50
Worst price75.90
Drawdown as % of equity-0.13%
 $88
Includes Typical Broker Commissions trade costs of $1.00
1/18/23 16:35 TSLA TESLA INC. LONG 100 127.47 1/20 17:17 133.38 0.46%
Trade id #143259001
Max drawdown($237)
Time1/19/23 0:00
Quant open55
Worst price124.31
Drawdown as % of equity-0.46%
 $589
Includes Typical Broker Commissions trade costs of $2.00
1/18/23 16:42 GOOGL ALPHABET INC CLASS A LONG 150 91.03 1/20 17:17 97.99 0.12%
Trade id #143259078
Max drawdown($60)
Time1/19/23 0:00
Quant open150
Worst price90.63
Drawdown as % of equity-0.12%
 $1,041
Includes Typical Broker Commissions trade costs of $3.00
1/18/23 16:39 AMZN AMAZON.COM LONG 136 95.18 1/20 17:17 97.20 0.59%
Trade id #143259061
Max drawdown($306)
Time1/19/23 0:00
Quant open125
Worst price92.86
Drawdown as % of equity-0.59%
 $271
Includes Typical Broker Commissions trade costs of $2.72
1/18/23 16:50 ARKK ARK INNOVATION ETF LONG 250 35.93 1/20 17:16 36.43 0.72%
Trade id #143259806
Max drawdown($373)
Time1/19/23 0:00
Quant open250
Worst price34.44
Drawdown as % of equity-0.72%
 $119
Includes Typical Broker Commissions trade costs of $5.00
1/18/23 16:39 META META PLATFORMS INC. CLASS A LONG 50 132.92 1/19 11:18 135.28 0.07%
Trade id #143259067
Max drawdown($39)
Time1/19/23 9:30
Quant open50
Worst price132.14
Drawdown as % of equity-0.07%
 $117
Includes Typical Broker Commissions trade costs of $1.00
11/30/22 9:35 ARKK ARK INNOVATION ETF LONG 255 35.44 1/17/23 13:48 36.59 3.47%
Trade id #142718392
Max drawdown($1,522)
Time12/28/22 0:00
Quant open250
Worst price29.43
Drawdown as % of equity-3.47%
 $287
Includes Typical Broker Commissions trade costs of $5.10
12/16/22 10:38 GOOGL ALPHABET INC CLASS A LONG 180 89.53 1/17/23 13:47 91.04 1.42%
Trade id #142904812
Max drawdown($646)
Time1/6/23 0:00
Quant open135
Worst price84.86
Drawdown as % of equity-1.42%
 $269
Includes Typical Broker Commissions trade costs of $3.60
12/6/22 14:30 TSLA TESLA INC. LONG 150 129.63 1/17/23 13:47 127.83 6.55%
Trade id #142788256
Max drawdown($2,876)
Time12/28/22 0:00
Quant open100
Worst price108.24
Drawdown as % of equity-6.55%
 ($273)
Includes Typical Broker Commissions trade costs of $3.00
11/30/22 9:31 AMZN AMAZON.COM LONG 172 89.59 1/17/23 13:47 93.85 2.82%
Trade id #142718196
Max drawdown($1,240)
Time12/28/22 0:00
Quant open130
Worst price81.69
Drawdown as % of equity-2.82%
 $730
Includes Typical Broker Commissions trade costs of $3.44
12/2/22 14:27 PYPL PAYPAL HOLDINGS CORP LONG 80 74.19 1/17/23 13:47 78.12 0.88%
Trade id #142754937
Max drawdown($407)
Time12/22/22 0:00
Quant open50
Worst price66.39
Drawdown as % of equity-0.88%
 $313
Includes Typical Broker Commissions trade costs of $1.60
1/5/23 12:59 QQQ POWERSHARES QQQ LONG 150 261.87 1/6 8:50 264.00 0.2%
Trade id #143111995
Max drawdown($91)
Time1/5/23 15:55
Quant open150
Worst price261.26
Drawdown as % of equity-0.20%
 $317
Includes Typical Broker Commissions trade costs of $3.00
12/29/22 15:42 META META PLATFORMS INC. CLASS A LONG 50 120.91 1/4/23 4:05 125.81 0.34%
Trade id #143037974
Max drawdown($158)
Time12/30/22 0:00
Quant open50
Worst price117.74
Drawdown as % of equity-0.34%
 $244
Includes Typical Broker Commissions trade costs of $1.00
Next

Statistics

  • Strategy began
    11/28/2022
  • Suggested Minimum Cap
    $47,000
  • Strategy Age (days)
    513.33
  • Age
    17 months ago
  • What it trades
    Stocks
  • # Trades
    47
  • # Profitable
    37
  • % Profitable
    78.70%
  • Avg trade duration
    15.9 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Feb 05, 2024 - Feb 23, 2024
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $352.32
  • Avg loss
    $8,698
  • Model Account Values (Raw)
  • Cash
    $137,845
  • Margin Used
    $153,401
  • Buying Power
    ($78,220)
  • Ratios
  • W:L ratio
    0.15:1
  • Sharpe Ratio
    -0.76
  • Sortino Ratio
    -0.76
  • Calmar Ratio
    -1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -187.82%
  • Correlation to SP500
    -0.16970
  • Return Percent SP500 (cumu) during strategy life
    27.94%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.69%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • 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)
    0
  • Popularity (Last 6 weeks)
    333
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    67
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $8,699
  • Avg Win
    $352
  • Sum Trade PL (losers)
    $86,988.000
  • Age
  • Num Months filled monthly returns table
    16
  • Win / Loss
  • Sum Trade PL (winners)
    $13,036.000
  • # Winners
    37
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    -132
  • Win / Loss
  • # Losers
    10
  • % Winners
    78.7%
  • Frequency
  • Avg Position Time (mins)
    22899.20
  • Avg Position Time (hrs)
    381.65
  • Avg Trade Length
    15.9 days
  • Last Trade Ago
    152
  • Leverage
  • Daily leverage (average)
    2.01
  • Daily leverage (max)
    3.01
  • Regression
  • Alpha
    0.00
  • Beta
    -1.69
  • Treynor Index
    0.00
  • 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)
    0.47
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    -1.689
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    1.105
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.332
  • Hold-and-Hope Ratio
    -0.324
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.44319
  • SD
    1.12117
  • Sharpe ratio (Glass type estimate)
    -1.28722
  • Sharpe ratio (Hedges UMVUE)
    -1.22158
  • df
    15.00000
  • t
    -1.48635
  • p
    0.72312
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.02512
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.49034
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.97434
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53118
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.27378
  • Upside Potential Ratio
    0.37898
  • Upside part of mean
    0.42938
  • Downside part of mean
    -1.87257
  • Upside SD
    0.26143
  • Downside SD
    1.13299
  • N nonnegative terms
    7.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.18784
  • Mean of criterion
    -1.44319
  • SD of predictor
    0.14432
  • SD of criterion
    1.12117
  • Covariance
    -0.04762
  • r
    -0.29427
  • b (slope, estimate of beta)
    -2.28608
  • a (intercept, estimate of alpha)
    -1.01377
  • Mean Square Error
    1.23017
  • DF error
    14.00000
  • t(b)
    -1.15208
  • p(b)
    0.64714
  • t(a)
    -0.98394
  • p(a)
    0.62716
  • Lowerbound of 95% confidence interval for beta
    -6.54200
  • Upperbound of 95% confidence interval for beta
    1.96984
  • Lowerbound of 95% confidence interval for alpha
    -3.22359
  • Upperbound of 95% confidence interval for alpha
    1.19604
  • Treynor index (mean / b)
    0.63129
  • Jensen alpha (a)
    -1.01377
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -8.09633
  • SD
    7.86885
  • Sharpe ratio (Glass type estimate)
    -1.02891
  • Sharpe ratio (Hedges UMVUE)
    -0.97644
  • df
    15.00000
  • t
    -1.18808
  • p
    0.68399
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.74889
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.72352
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.70941
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.75653
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.01638
  • Upside Potential Ratio
    0.05000
  • Upside part of mean
    0.39830
  • Downside part of mean
    -8.49463
  • Upside SD
    0.23797
  • Downside SD
    7.96585
  • N nonnegative terms
    7.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.17650
  • Mean of criterion
    -8.09633
  • SD of predictor
    0.14220
  • SD of criterion
    7.86885
  • Covariance
    -0.23835
  • r
    -0.21302
  • b (slope, estimate of beta)
    -11.78800
  • a (intercept, estimate of alpha)
    -6.01580
  • Mean Square Error
    63.33120
  • DF error
    14.00000
  • t(b)
    -0.81577
  • p(b)
    0.60651
  • t(a)
    -0.81863
  • p(a)
    0.60687
  • Lowerbound of 95% confidence interval for beta
    -42.78060
  • Upperbound of 95% confidence interval for beta
    19.20460
  • Lowerbound of 95% confidence interval for alpha
    -21.77710
  • Upperbound of 95% confidence interval for alpha
    9.74552
  • Treynor index (mean / b)
    0.68683
  • Jensen alpha (a)
    -6.01580
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.98786
  • Expected Shortfall on VaR
    0.99396
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.38612
  • Expected Shortfall on VaR
    0.75250
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.00012
  • Quartile 1
    0.84355
  • Median
    0.99271
  • Quartile 3
    1.04169
  • Maximum
    1.24424
  • Mean of quarter 1
    0.46535
  • Mean of quarter 2
    0.91570
  • Mean of quarter 3
    1.01730
  • Mean of quarter 4
    1.12990
  • Inter Quartile Range
    0.19814
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.12500
  • Mean of outliers low
    0.11533
  • 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)
    0.09709
  • VaR(95%) (moments method)
    0.43507
  • Expected Shortfall (moments method)
    0.68166
  • Extreme Value Index (regression method)
    0.07952
  • VaR(95%) (regression method)
    0.68740
  • Expected Shortfall (regression method)
    1.08142
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.07170
  • Quartile 1
    0.30377
  • Median
    0.53584
  • Quartile 3
    0.76791
  • Maximum
    0.99998
  • Mean of quarter 1
    0.07170
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99998
  • Inter Quartile Range
    0.46414
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.74998
  • Compounded annual return (geometric extrapolation)
    -0.99969
  • Calmar ratio (compounded annual return / max draw down)
    -0.99970
  • Compounded annual return / average of 25% largest draw downs
    -0.99970
  • Compounded annual return / Expected Shortfall lognormal
    -1.00576
  • 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
    -2.31294
  • SD
    1.19696
  • Sharpe ratio (Glass type estimate)
    -1.93234
  • Sharpe ratio (Hedges UMVUE)
    -1.92836
  • df
    364.00000
  • t
    -2.28076
  • p
    0.98843
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.59751
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.26457
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.59481
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26191
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.99650
  • Upside Potential Ratio
    1.49954
  • Upside part of mean
    1.73720
  • Downside part of mean
    -4.05014
  • Upside SD
    0.32726
  • Downside SD
    1.15849
  • N nonnegative terms
    137.00000
  • N negative terms
    228.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    365.00000
  • Mean of predictor
    0.15794
  • Mean of criterion
    -2.31294
  • SD of predictor
    0.13369
  • SD of criterion
    1.19696
  • Covariance
    -0.02256
  • r
    -0.14096
  • b (slope, estimate of beta)
    -1.26204
  • a (intercept, estimate of alpha)
    -2.11400
  • Mean Square Error
    1.40811
  • DF error
    363.00000
  • t(b)
    -2.71277
  • p(b)
    0.99650
  • t(a)
    -2.09674
  • p(a)
    0.98165
  • Lowerbound of 95% confidence interval for beta
    -2.17691
  • Upperbound of 95% confidence interval for beta
    -0.34717
  • Lowerbound of 95% confidence interval for alpha
    -4.09595
  • Upperbound of 95% confidence interval for alpha
    -0.13127
  • Treynor index (mean / b)
    1.83270
  • Jensen alpha (a)
    -2.11361
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -7.75002
  • SD
    6.65558
  • Sharpe ratio (Glass type estimate)
    -1.16444
  • Sharpe ratio (Hedges UMVUE)
    -1.16204
  • df
    364.00000
  • t
    -1.37440
  • p
    0.91492
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.82636
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.49905
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.82473
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.50066
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.16424
  • Upside Potential Ratio
    0.25366
  • Upside part of mean
    1.68855
  • Downside part of mean
    -9.43857
  • Upside SD
    0.30397
  • Downside SD
    6.65674
  • N nonnegative terms
    137.00000
  • N negative terms
    228.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    365.00000
  • Mean of predictor
    0.14898
  • Mean of criterion
    -7.75002
  • SD of predictor
    0.13357
  • SD of criterion
    6.65558
  • Covariance
    -0.00831
  • r
    -0.00934
  • b (slope, estimate of beta)
    -0.46550
  • a (intercept, estimate of alpha)
    -7.68067
  • Mean Square Error
    44.41490
  • DF error
    363.00000
  • t(b)
    -0.17800
  • p(b)
    0.57059
  • t(a)
    -1.35706
  • p(a)
    0.91220
  • Lowerbound of 95% confidence interval for beta
    -5.60822
  • Upperbound of 95% confidence interval for beta
    4.67722
  • Lowerbound of 95% confidence interval for alpha
    -18.81080
  • Upperbound of 95% confidence interval for alpha
    3.44942
  • Treynor index (mean / b)
    16.64880
  • Jensen alpha (a)
    -7.68067
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.50634
  • Expected Shortfall on VaR
    0.57974
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03960
  • Expected Shortfall on VaR
    0.09097
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    365.00000
  • Minimum
    0.00045
  • Quartile 1
    0.99007
  • Median
    1.00000
  • Quartile 3
    1.00479
  • Maximum
    1.27853
  • Mean of quarter 1
    0.94192
  • Mean of quarter 2
    0.99698
  • Mean of quarter 3
    1.00138
  • Mean of quarter 4
    1.02537
  • Inter Quartile Range
    0.01473
  • Number outliers low
    38.00000
  • Percentage of outliers low
    0.10411
  • Mean of outliers low
    0.88505
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.07397
  • Mean of outliers high
    1.05262
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.81365
  • VaR(95%) (moments method)
    0.04745
  • Expected Shortfall (moments method)
    0.27202
  • Extreme Value Index (regression method)
    0.60455
  • VaR(95%) (regression method)
    0.04137
  • Expected Shortfall (regression method)
    0.11847
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00107
  • Median
    0.00993
  • Quartile 3
    0.02153
  • Maximum
    0.99998
  • Mean of quarter 1
    0.00053
  • Mean of quarter 2
    0.00670
  • Mean of quarter 3
    0.01852
  • Mean of quarter 4
    0.38494
  • Inter Quartile Range
    0.02046
  • 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
    0.18182
  • Mean of outliers high
    0.56564
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.39260
  • VaR(95%) (moments method)
    0.11429
  • Expected Shortfall (moments method)
    0.15305
  • Extreme Value Index (regression method)
    2.01112
  • VaR(95%) (regression method)
    1.18281
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.71779
  • Compounded annual return (geometric extrapolation)
    -0.99956
  • Calmar ratio (compounded annual return / max draw down)
    -0.99957
  • Compounded annual return / average of 25% largest draw downs
    -2.59669
  • Compounded annual return / Expected Shortfall lognormal
    -1.72415
  • 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
    -6.39488
  • SD
    1.93885
  • Sharpe ratio (Glass type estimate)
    -3.29828
  • Sharpe ratio (Hedges UMVUE)
    -3.27922
  • df
    130.00000
  • t
    -2.33224
  • p
    0.60020
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.09271
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.49153
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.07953
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47890
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.34149
  • Upside Potential Ratio
    1.00186
  • Upside part of mean
    1.91734
  • Downside part of mean
    -8.31222
  • Upside SD
    0.47326
  • Downside SD
    1.91378
  • N nonnegative terms
    24.00000
  • N negative terms
    107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34470
  • Mean of criterion
    -6.39488
  • SD of predictor
    0.11604
  • SD of criterion
    1.93885
  • Covariance
    -0.03787
  • r
    -0.16835
  • b (slope, estimate of beta)
    -2.81291
  • a (intercept, estimate of alpha)
    -5.42526
  • Mean Square Error
    3.68092
  • DF error
    129.00000
  • t(b)
    -1.93974
  • p(b)
    0.60666
  • t(a)
    -1.96643
  • p(a)
    0.60808
  • Lowerbound of 95% confidence interval for beta
    -5.68207
  • Upperbound of 95% confidence interval for beta
    0.05625
  • Lowerbound of 95% confidence interval for alpha
    -10.88390
  • Upperbound of 95% confidence interval for alpha
    0.03336
  • Treynor index (mean / b)
    2.27340
  • Jensen alpha (a)
    -5.42526
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -21.46830
  • SD
    11.07920
  • Sharpe ratio (Glass type estimate)
    -1.93771
  • Sharpe ratio (Hedges UMVUE)
    -1.92651
  • df
    130.00000
  • t
    -1.37017
  • p
    0.55966
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.71587
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.84772
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.70819
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.85517
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.93270
  • Upside Potential Ratio
    0.16371
  • Upside part of mean
    1.81845
  • Downside part of mean
    -23.28680
  • Upside SD
    0.43075
  • Downside SD
    11.10790
  • N nonnegative terms
    24.00000
  • N negative terms
    107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33778
  • Mean of criterion
    -21.46830
  • SD of predictor
    0.11587
  • SD of criterion
    11.07920
  • Covariance
    0.01309
  • r
    0.01019
  • b (slope, estimate of beta)
    0.97479
  • a (intercept, estimate of alpha)
    -21.79760
  • Mean Square Error
    123.68800
  • DF error
    129.00000
  • t(b)
    0.11579
  • p(b)
    0.49351
  • t(a)
    -1.36378
  • p(a)
    0.57572
  • VAR (95 Confidence Intrvl)
    0.50600
  • Lowerbound of 95% confidence interval for beta
    -15.68090
  • Upperbound of 95% confidence interval for beta
    17.63050
  • Lowerbound of 95% confidence interval for alpha
    -53.42060
  • Upperbound of 95% confidence interval for alpha
    9.82551
  • Treynor index (mean / b)
    -22.02350
  • Jensen alpha (a)
    -21.79760
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.70115
  • Expected Shortfall on VaR
    0.76894
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09735
  • Expected Shortfall on VaR
    0.21241
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00045
  • Quartile 1
    0.98352
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.27853
  • Mean of quarter 1
    0.87866
  • Mean of quarter 2
    0.99574
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02913
  • Inter Quartile Range
    0.01648
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.16794
  • Mean of outliers low
    0.83050
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.07124
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.89727
  • VaR(95%) (moments method)
    0.09772
  • Expected Shortfall (moments method)
    1.03025
  • Extreme Value Index (regression method)
    0.79559
  • VaR(95%) (regression method)
    0.08707
  • Expected Shortfall (regression method)
    0.46654
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01573
  • Quartile 1
    0.26179
  • Median
    0.50785
  • Quartile 3
    0.75392
  • Maximum
    0.99998
  • Mean of quarter 1
    0.01573
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99998
  • Inter Quartile Range
    0.49212
  • 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
  • Last 4 Months - Pcnt Negative
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -369495000
  • Max Equity Drawdown (num days)
    18
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99996
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00002
  • Compounded annual return / average of 25% largest draw downs
    -1.00002
  • Compounded annual return / Expected Shortfall lognormal
    -1.30049

Strategy Description

The true investor scarcely ever is forced so sell his shares, and at all other times he is free to disregard the current price quotation. He need pay attention to it and act upon it only to the extent that it suits his book, and no more.
Thus the investor who permits himself to be stampeded or unduly worried by unjustified market declines in his holdings is perversely transforming his basic advantage into a basic disadvantage.
That man would be better off if his stocks had no market quotation at all, for he would then be spared the mental anguish caused him by 'other persons' mistakes of judgment.

-Benjamin Graham-

Summary Statistics

Strategy began
2022-11-28
Suggested Minimum Capital
$15,000
# Trades
47
# Profitable
37
% Profitable
78.7%
Net Dividends
($132)
Correlation S&P500
-0.170
Sharpe Ratio
-0.76
Sortino Ratio
-0.76
Beta
-1.69
Alpha
0.00
Leverage
2.01 Average
3.01 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.