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Featured Strategy Lazy Trading ES +44.1% Cumul. Return since Sep 25, 2024 Hypothetical

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High Frequency Algo
(140022552)

Created by: High-Frequency-Algo High-Frequency-Algo
Started: 04/2022
Options
Last trade: 138 days ago
Trading style: Equity Momentum

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 $225.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
-
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
676
Num Trades
53.3%
Win Trades
1.0 : 1
Profit Factor
43.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                     +496.0%+33.5%+77.6%(20.8%)(5.2%)+48.5%+8.8%(0.3%)+4.5%+1685.9%
2023+26.7%+1.1%(3.2%)(12.4%)+52.4%+17.0%+29.6%(20.1%)+0.6%(8.1%)(10.9%)+67.1%+175.9%
2024(58.2%)+99.4%(100.6%)(1690%)(0.7%)(2.2%)(1.7%)(1.1%)(1.1%)(1.1%)(1.1%)      (109.7%)

Model Account Details

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

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

Trading Record

This strategy has placed 2,729 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/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/24/24 14:36 IWM2405G204 IWM Jul5'24 204 call LONG 1 1.67 7/6 9:35 0.00 0.74%
Trade id #148486709
Max drawdown($166)
Time7/5/24 0:00
Quant open1
Worst price0.01
Drawdown as % of equity0.74%
 ($168)
Includes Typical Broker Commissions trade costs of $1.00
6/17/24 14:34 IWM2425F204 IWM Jun25'24 204 call LONG 1 0.76 6/24 11:50 0.14 0.32%
Trade id #148431371
Max drawdown($69)
Time6/21/24 0:00
Quant open1
Worst price0.06
Drawdown as % of equity0.32%
 ($64)
Includes Typical Broker Commissions trade costs of $2.00
6/17/24 14:33 IWM2426F203 IWM Jun26'24 203 call LONG 3 1.19 6/24 11:50 0.59 1.3%
Trade id #148431360
Max drawdown($286)
Time6/21/24 0:00
Quant open3
Worst price0.23
Drawdown as % of equity1.30%
 ($183)
Includes Typical Broker Commissions trade costs of $5.10
6/14/24 10:24 SPY2420F544 SPY Jun20'24 544 call LONG 1 1.25 6/17 14:32 4.78 0.13%
Trade id #148409468
Max drawdown($29)
Time6/14/24 10:38
Quant open1
Worst price0.96
Drawdown as % of equity0.13%
 $351
Includes Typical Broker Commissions trade costs of $2.00
6/11/24 12:28 IWM2418F204 IWM Jun18'24 204 call LONG 4 1.05 6/14 10:02 0.12 1.7%
Trade id #148382173
Max drawdown($373)
Time6/14/24 10:02
Quant open4
Worst price0.12
Drawdown as % of equity1.70%
 ($380)
Includes Typical Broker Commissions trade costs of $6.80
6/7/24 13:24 IWM2414F204 IWM Jun14'24 204 call LONG 2 1.60 6/7 14:02 1.33 0.25%
Trade id #148359608
Max drawdown($55)
Time6/7/24 14:00
Quant open2
Worst price1.33
Drawdown as % of equity0.25%
 ($58)
Includes Typical Broker Commissions trade costs of $3.40
6/6/24 10:06 IWM2414R200 IWM Jun14'24 200 put LONG 2 1.48 6/7 9:46 1.90 0.1%
Trade id #148344527
Max drawdown($22)
Time6/6/24 10:10
Quant open2
Worst price1.37
Drawdown as % of equity0.10%
 $80
Includes Typical Broker Commissions trade costs of $3.40
5/31/24 10:13 IWM2407R202 IWM Jun7'24 202 put LONG 4 1.08 6/5 11:15 0.81 1.4%
Trade id #148299495
Max drawdown($306)
Time6/3/24 0:00
Quant open4
Worst price0.31
Drawdown as % of equity1.40%
 ($115)
Includes Typical Broker Commissions trade costs of $6.80
5/24/24 14:22 IWM2404R202 IWM Jun4'24 202 put LONG 4 0.70 5/31 9:37 0.26 0.82%
Trade id #148252299
Max drawdown($175)
Time5/31/24 9:37
Quant open4
Worst price0.26
Drawdown as % of equity0.82%
 ($182)
Includes Typical Broker Commissions trade costs of $6.80
5/24/24 14:29 IWM2404R201 IWM Jun4'24 201 put LONG 4 0.54 5/31 9:37 0.15 0.73%
Trade id #148252348
Max drawdown($156)
Time5/31/24 9:37
Quant open4
Worst price0.15
Drawdown as % of equity0.73%
 ($163)
Includes Typical Broker Commissions trade costs of $6.80
5/24/24 14:13 IWM2431Q204 IWM May31'24 204 put LONG 4 0.89 5/24 14:19 0.84 0.09%
Trade id #148252195
Max drawdown($20)
Time5/24/24 14:19
Quant open4
Worst price0.84
Drawdown as % of equity0.09%
 ($27)
Includes Typical Broker Commissions trade costs of $6.80
5/23/24 12:53 IWM2430Q203 IWM May30'24 203 put LONG 4 0.79 5/23 14:39 1.74 n/a $374
Includes Typical Broker Commissions trade costs of $5.60
5/22/24 12:30 IWM2428E209 IWM May28'24 209 call LONG 4 0.97 5/22 14:19 0.50 0.88%
Trade id #148227147
Max drawdown($187)
Time5/22/24 14:19
Quant open4
Worst price0.50
Drawdown as % of equity0.88%
 ($194)
Includes Typical Broker Commissions trade costs of $6.80
5/22/24 12:31 IWM2431E209 IWM May31'24 209 call LONG 1 1.54 5/22 14:19 0.97 0.27%
Trade id #148227159
Max drawdown($57)
Time5/22/24 14:19
Quant open1
Worst price0.97
Drawdown as % of equity0.27%
 ($59)
Includes Typical Broker Commissions trade costs of $2.00
5/14/24 11:01 SOXL2414F50 SOXL Jun14'24 50 call LONG 2 1.60 5/21 12:00 3.11 0.02%
Trade id #148163439
Max drawdown($4)
Time5/14/24 12:24
Quant open2
Worst price1.58
Drawdown as % of equity0.02%
 $299
Includes Typical Broker Commissions trade costs of $3.40
5/9/24 10:32 SPY2413E519 SPY May13'24 519 call LONG 1 1.67 5/13 9:34 3.03 0.04%
Trade id #148132263
Max drawdown($9)
Time5/9/24 11:58
Quant open1
Worst price1.58
Drawdown as % of equity0.04%
 $134
Includes Typical Broker Commissions trade costs of $2.00
5/3/24 14:13 IWM2408E203 IWM May8'24 203 call LONG 1 1.15 5/6 10:24 2.24 0.12%
Trade id #148088107
Max drawdown($27)
Time5/3/24 15:39
Quant open1
Worst price0.88
Drawdown as % of equity0.12%
 $107
Includes Typical Broker Commissions trade costs of $2.00
4/1/24 12:52 IWM2426D210 IWM Apr26'24 210 call LONG 66 3.79 4/27 9:35 0.00 117.2%
Trade id #147774947
Max drawdown($24,917)
Time4/22/24 0:00
Quant open66
Worst price0.01
Drawdown as % of equity117.20%
 ($25,031)
Includes Typical Broker Commissions trade costs of $48.00
3/15/24 11:23 BA2419P180 BA Apr19'24 180 put LONG 89 5.23 4/1 12:52 1.34 3139.91%
Trade id #147649649
Max drawdown($37,961)
Time4/1/24 9:30
Quant open89
Worst price0.96
Drawdown as % of equity3139.91%
 ($34,681)
Includes Typical Broker Commissions trade costs of $124.60
3/15/24 10:02 BA2412P180 BA Apr12'24 180 put LONG 79 5.16 4/1 12:52 0.78 851.53%
Trade id #147648217
Max drawdown($36,573)
Time3/28/24 0:00
Quant open79
Worst price0.53
Drawdown as % of equity-851.53%
 ($34,709)
Includes Typical Broker Commissions trade costs of $110.60
3/15/24 11:21 BA2405P180 BA Apr5'24 180 put LONG 111 3.96 3/27 9:33 0.62 315.97%
Trade id #147649618
Max drawdown($38,668)
Time3/26/24 0:00
Quant open111
Worst price0.48
Drawdown as % of equity-315.97%
 ($37,224)
Includes Typical Broker Commissions trade costs of $155.40
2/12/24 10:40 IWM2428C201 IWM Mar28'24 201 call LONG 120 6.73 3/15 11:23 3.85 22.76%
Trade id #147288260
Max drawdown($44,231)
Time3/14/24 0:00
Quant open120
Worst price3.04
Drawdown as % of equity-22.76%
 ($34,706)
Includes Typical Broker Commissions trade costs of $168.00
2/9/24 12:20 IWM2428C200 IWM Mar28'24 200 call LONG 100 5.22 3/15 11:21 4.40 8.73%
Trade id #147271301
Max drawdown($16,971)
Time3/14/24 0:00
Quant open100
Worst price3.52
Drawdown as % of equity-8.73%
 ($8,312)
Includes Typical Broker Commissions trade costs of $140.00
2/9/24 12:10 IWM2422C200 IWM Mar22'24 200 call LONG 110 4.81 3/15 10:02 3.70 10.74%
Trade id #147271049
Max drawdown($20,869)
Time3/14/24 0:00
Quant open110
Worst price2.91
Drawdown as % of equity-10.74%
 ($12,335)
Includes Typical Broker Commissions trade costs of $154.00
2/9/24 12:10 IWM2422C200 IWM Mar22'24 200 call SHORT 10 4.74 2/9 12:10 4.78 0.02%
Trade id #147271035
Max drawdown($41)
Time2/9/24 12:10
Quant open10
Worst price4.78
Drawdown as % of equity-0.02%
 ($55)
Includes Typical Broker Commissions trade costs of $14.00
2/9/24 12:08 IWM2408C199 IWM Mar8'24 199 call LONG 90 4.11 2/9 12:10 4.08 0.16%
Trade id #147270968
Max drawdown($265)
Time2/9/24 12:10
Quant open90
Worst price4.08
Drawdown as % of equity-0.16%
 ($391)
Includes Typical Broker Commissions trade costs of $126.00
2/2/24 9:47 SPY2415C500 SPY Mar15'24 500 call LONG 60 4.66 2/7 13:36 7.37 1.77%
Trade id #147202987
Max drawdown($1,752)
Time2/2/24 9:53
Quant open60
Worst price4.37
Drawdown as % of equity-1.77%
 $16,190
Includes Typical Broker Commissions trade costs of $84.00
2/2/24 10:13 SPY2428C500 SPY Mar28'24 500 call LONG 30 5.53 2/7 13:36 8.61 n/a $9,199
Includes Typical Broker Commissions trade costs of $42.00
2/2/24 10:10 SPY2401C492 SPY Mar1'24 492 call LONG 40 6.32 2/7 13:36 10.47 0.21%
Trade id #147203536
Max drawdown($287)
Time2/5/24 0:00
Quant open40
Worst price6.25
Drawdown as % of equity-0.21%
 $16,525
Includes Typical Broker Commissions trade costs of $56.00
2/2/24 10:11 SPY2408C492 SPY Mar8'24 492 call LONG 60 7.42 2/7 13:35 11.69 0.12%
Trade id #147203552
Max drawdown($163)
Time2/5/24 0:00
Quant open60
Worst price7.39
Drawdown as % of equity-0.12%
 $25,542
Includes Typical Broker Commissions trade costs of $84.00
Next

Statistics

  • Strategy began
    4/4/2022
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    962.19
  • Age
    32 months ago
  • What it trades
    Options
  • # Trades
    676
  • # Profitable
    360
  • % Profitable
    53.30%
  • Avg trade duration
    4.3 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    April 01, 2024 - April 27, 2024
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $2,235
  • Avg loss
    $2,562
  • Model Account Values (Raw)
  • Cash
    $23
  • Margin Used
    $0
  • Buying Power
    $23
  • Ratios
  • W:L ratio
    0.99:1
  • Sharpe Ratio
    -0.4
  • Sortino Ratio
    -0.42
  • Calmar Ratio
    -0.879
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -608.70%
  • Correlation to SP500
    -0.00870
  • Return Percent SP500 (cumu) during strategy life
    29.81%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.01%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.27%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    0.99%
  • Percent Trades Stocks
    0.00%
  • Percent Trades Forex
    0.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -86.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    797
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    0
  • Popularity (7 days, Percentile 1000 scale)
    550
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,562
  • Avg Win
    $2,236
  • Sum Trade PL (losers)
    $809,750.000
  • Age
  • Num Months filled monthly returns table
    24
  • Win / Loss
  • Sum Trade PL (winners)
    $804,832.000
  • # Winners
    360
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    316
  • % Winners
    53.2%
  • Frequency
  • Avg Position Time (mins)
    6142.98
  • Avg Position Time (hrs)
    102.38
  • Avg Trade Length
    4.3 days
  • Last Trade Ago
    138
  • Leverage
  • Daily leverage (average)
    11.57
  • Daily leverage (max)
    271.28
  • Regression
  • Alpha
    0.00
  • Beta
    -12350.50
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.07
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    -28.958
  • 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
    0.23
  • Avg(MAE) / Avg(PL) - Winning trades
    0.364
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.024
  • Hold-and-Hope Ratio
    -0.035
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.47936
  • SD
    3.25489
  • Sharpe ratio (Glass type estimate)
    0.76173
  • Sharpe ratio (Hedges UMVUE)
    0.74183
  • df
    29.00000
  • t
    1.20440
  • p
    0.11909
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49949
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01022
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51237
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99604
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.27198
  • Upside Potential Ratio
    3.79515
  • Upside part of mean
    4.14155
  • Downside part of mean
    -1.66220
  • Upside SD
    3.09234
  • Downside SD
    1.09128
  • N nonnegative terms
    13.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.09707
  • Mean of criterion
    2.47936
  • SD of predictor
    0.18417
  • SD of criterion
    3.25489
  • Covariance
    -0.19011
  • r
    -0.31714
  • b (slope, estimate of beta)
    -5.60489
  • a (intercept, estimate of alpha)
    3.02341
  • Mean Square Error
    9.86913
  • DF error
    28.00000
  • t(b)
    -1.76946
  • p(b)
    0.95615
  • t(a)
    1.50380
  • p(a)
    0.07192
  • Lowerbound of 95% confidence interval for beta
    -12.09330
  • Upperbound of 95% confidence interval for beta
    0.88357
  • Lowerbound of 95% confidence interval for alpha
    -1.09495
  • Upperbound of 95% confidence interval for alpha
    7.14177
  • Treynor index (mean / b)
    -0.44236
  • Jensen alpha (a)
    3.02341
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.16124
  • SD
    4.17519
  • Sharpe ratio (Glass type estimate)
    -0.51764
  • Sharpe ratio (Hedges UMVUE)
    -0.50411
  • df
    29.00000
  • t
    -0.81846
  • p
    0.79012
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.75994
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.73340
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.75047
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.74225
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.55488
  • Upside Potential Ratio
    0.63265
  • Upside part of mean
    2.46416
  • Downside part of mean
    -4.62540
  • Upside SD
    1.43862
  • Downside SD
    3.89497
  • N nonnegative terms
    13.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.07998
  • Mean of criterion
    -2.16124
  • SD of predictor
    0.18586
  • SD of criterion
    4.17519
  • Covariance
    -0.05139
  • r
    -0.06623
  • b (slope, estimate of beta)
    -1.48768
  • a (intercept, estimate of alpha)
    -2.04226
  • Mean Square Error
    17.97560
  • DF error
    28.00000
  • t(b)
    -0.35121
  • p(b)
    0.63597
  • t(a)
    -0.75561
  • p(a)
    0.77190
  • Lowerbound of 95% confidence interval for beta
    -10.16460
  • Upperbound of 95% confidence interval for beta
    7.18922
  • Lowerbound of 95% confidence interval for alpha
    -7.57865
  • Upperbound of 95% confidence interval for alpha
    3.49413
  • Treynor index (mean / b)
    1.45275
  • Jensen alpha (a)
    -2.04226
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.88497
  • Expected Shortfall on VaR
    0.92454
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.34253
  • Expected Shortfall on VaR
    0.69113
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    30.00000
  • Minimum
    0.00788
  • Quartile 1
    0.91295
  • Median
    1.00000
  • Quartile 3
    1.42672
  • Maximum
    5.33106
  • Mean of quarter 1
    0.51572
  • Mean of quarter 2
    0.96548
  • Mean of quarter 3
    1.14422
  • Mean of quarter 4
    2.17182
  • Inter Quartile Range
    0.51376
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.05702
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    4.03488
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.02226
  • VaR(95%) (moments method)
    0.30533
  • Expected Shortfall (moments method)
    0.45070
  • Extreme Value Index (regression method)
    -0.10159
  • VaR(95%) (regression method)
    0.33227
  • Expected Shortfall (regression method)
    0.45537
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.11584
  • Quartile 1
    0.17871
  • Median
    0.23167
  • Quartile 3
    0.24050
  • Maximum
    0.99991
  • Mean of quarter 1
    0.14727
  • Mean of quarter 2
    0.23167
  • Mean of quarter 3
    0.24050
  • Mean of quarter 4
    0.99991
  • Inter Quartile Range
    0.06179
  • 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
    0.20000
  • Mean of outliers high
    0.99991
  • 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)
    -0.39807
  • Compounded annual return (geometric extrapolation)
    -0.88156
  • Calmar ratio (compounded annual return / max draw down)
    -0.88164
  • Compounded annual return / average of 25% largest draw downs
    -0.88164
  • Compounded annual return / Expected Shortfall lognormal
    -0.95351
  • 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
    1.71810
  • SD
    3.02470
  • Sharpe ratio (Glass type estimate)
    0.56802
  • Sharpe ratio (Hedges UMVUE)
    0.56738
  • df
    662.00000
  • t
    0.90359
  • p
    0.18327
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66463
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80030
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66509
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79985
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.07083
  • Upside Potential Ratio
    6.34140
  • Upside part of mean
    10.17450
  • Downside part of mean
    -8.45643
  • Upside SD
    2.56359
  • Downside SD
    1.60446
  • N nonnegative terms
    259.00000
  • N negative terms
    404.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    663.00000
  • Mean of predictor
    0.09058
  • Mean of criterion
    1.71810
  • SD of predictor
    0.17537
  • SD of criterion
    3.02470
  • Covariance
    0.00287
  • r
    0.00541
  • b (slope, estimate of beta)
    0.09326
  • a (intercept, estimate of alpha)
    1.71000
  • Mean Square Error
    9.16240
  • DF error
    661.00000
  • t(b)
    0.13902
  • p(b)
    0.44474
  • t(a)
    0.89803
  • p(a)
    0.18475
  • Lowerbound of 95% confidence interval for beta
    -1.22397
  • Upperbound of 95% confidence interval for beta
    1.41048
  • Lowerbound of 95% confidence interval for alpha
    -2.02856
  • Upperbound of 95% confidence interval for alpha
    5.44787
  • Treynor index (mean / b)
    18.42330
  • Jensen alpha (a)
    1.70966
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.13549
  • SD
    2.83161
  • Sharpe ratio (Glass type estimate)
    -0.75416
  • Sharpe ratio (Hedges UMVUE)
    -0.75331
  • df
    662.00000
  • t
    -1.19970
  • p
    0.88466
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.98664
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.47888
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.98606
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47945
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.93643
  • Upside Potential Ratio
    3.65940
  • Upside part of mean
    8.34515
  • Downside part of mean
    -10.48060
  • Upside SD
    1.68010
  • Downside SD
    2.28047
  • N nonnegative terms
    259.00000
  • N negative terms
    404.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    663.00000
  • Mean of predictor
    0.07519
  • Mean of criterion
    -2.13549
  • SD of predictor
    0.17551
  • SD of criterion
    2.83161
  • Covariance
    0.00083
  • r
    0.00167
  • b (slope, estimate of beta)
    0.02697
  • a (intercept, estimate of alpha)
    -2.13752
  • Mean Square Error
    8.03010
  • DF error
    661.00000
  • t(b)
    0.04298
  • p(b)
    0.48286
  • t(a)
    -1.19951
  • p(a)
    0.88462
  • Lowerbound of 95% confidence interval for beta
    -1.20523
  • Upperbound of 95% confidence interval for beta
    1.25917
  • Lowerbound of 95% confidence interval for alpha
    -5.63658
  • Upperbound of 95% confidence interval for alpha
    1.36153
  • Treynor index (mean / b)
    -79.17210
  • Jensen alpha (a)
    -2.13752
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.25614
  • Expected Shortfall on VaR
    0.30716
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08233
  • Expected Shortfall on VaR
    0.17948
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    663.00000
  • Minimum
    0.23793
  • Quartile 1
    0.98126
  • Median
    1.00000
  • Quartile 3
    1.01643
  • Maximum
    3.53471
  • Mean of quarter 1
    0.87723
  • Mean of quarter 2
    0.99412
  • Mean of quarter 3
    1.00429
  • Mean of quarter 4
    1.15100
  • Inter Quartile Range
    0.03517
  • Number outliers low
    61.00000
  • Percentage of outliers low
    0.09201
  • Mean of outliers low
    0.72652
  • Number of outliers high
    79.00000
  • Percentage of outliers high
    0.11915
  • Mean of outliers high
    1.27772
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.05220
  • VaR(95%) (moments method)
    0.11817
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.58224
  • VaR(95%) (regression method)
    0.07853
  • Expected Shortfall (regression method)
    0.21547
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    32.00000
  • Minimum
    0.00066
  • Quartile 1
    0.02170
  • Median
    0.06473
  • Quartile 3
    0.14968
  • Maximum
    0.99992
  • Mean of quarter 1
    0.00583
  • Mean of quarter 2
    0.04001
  • Mean of quarter 3
    0.10124
  • Mean of quarter 4
    0.41991
  • Inter Quartile Range
    0.12798
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.63332
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.37917
  • VaR(95%) (moments method)
    0.43362
  • Expected Shortfall (moments method)
    0.82149
  • Extreme Value Index (regression method)
    0.65582
  • VaR(95%) (regression method)
    0.49464
  • Expected Shortfall (regression method)
    1.47918
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.39327
  • Compounded annual return (geometric extrapolation)
    -0.87847
  • Calmar ratio (compounded annual return / max draw down)
    -0.87854
  • Compounded annual return / average of 25% largest draw downs
    -2.09203
  • Compounded annual return / Expected Shortfall lognormal
    -2.86002
  • 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
    5.67906
  • SD
    5.63365
  • Sharpe ratio (Glass type estimate)
    1.00806
  • Sharpe ratio (Hedges UMVUE)
    1.00223
  • df
    130.00000
  • t
    0.71281
  • p
    0.46880
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.76827
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.78064
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.77225
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.77672
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.29442
  • Upside Potential Ratio
    7.70146
  • Upside part of mean
    19.06240
  • Downside part of mean
    -13.38330
  • Upside SD
    5.04900
  • Downside SD
    2.47516
  • N nonnegative terms
    18.00000
  • N negative terms
    113.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24180
  • Mean of criterion
    5.67906
  • SD of predictor
    0.13278
  • SD of criterion
    5.63365
  • Covariance
    0.02992
  • r
    0.03999
  • b (slope, estimate of beta)
    1.69679
  • a (intercept, estimate of alpha)
    5.26876
  • Mean Square Error
    31.93290
  • DF error
    129.00000
  • t(b)
    0.45459
  • p(b)
    0.47455
  • t(a)
    0.65512
  • p(a)
    0.46336
  • Lowerbound of 95% confidence interval for beta
    -5.68813
  • Upperbound of 95% confidence interval for beta
    9.08172
  • Lowerbound of 95% confidence interval for alpha
    -10.64330
  • Upperbound of 95% confidence interval for alpha
    21.18090
  • Treynor index (mean / b)
    3.34694
  • Jensen alpha (a)
    5.26876
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -5.86345
  • SD
    4.83662
  • Sharpe ratio (Glass type estimate)
    -1.21230
  • Sharpe ratio (Hedges UMVUE)
    -1.20529
  • df
    130.00000
  • t
    -0.85723
  • p
    0.53749
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.98573
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56572
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.98097
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57038
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.53638
  • Upside Potential Ratio
    3.37567
  • Upside part of mean
    12.88290
  • Downside part of mean
    -18.74640
  • Upside SD
    2.96321
  • Downside SD
    3.81640
  • N nonnegative terms
    18.00000
  • N negative terms
    113.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23290
  • Mean of criterion
    -5.86345
  • SD of predictor
    0.13303
  • SD of criterion
    4.83662
  • Covariance
    0.00154
  • r
    0.00239
  • b (slope, estimate of beta)
    0.08689
  • a (intercept, estimate of alpha)
    -5.88369
  • Mean Square Error
    23.57410
  • DF error
    129.00000
  • t(b)
    0.02714
  • p(b)
    0.49848
  • t(a)
    -0.85187
  • p(a)
    0.54757
  • VAR (95 Confidence Intrvl)
    0.25600
  • Lowerbound of 95% confidence interval for beta
    -6.24650
  • Upperbound of 95% confidence interval for beta
    6.42028
  • Lowerbound of 95% confidence interval for alpha
    -19.54900
  • Upperbound of 95% confidence interval for alpha
    7.78162
  • Treynor index (mean / b)
    -67.48240
  • Jensen alpha (a)
    -5.88369
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.40183
  • Expected Shortfall on VaR
    0.46894
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.16264
  • Expected Shortfall on VaR
    0.34006
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.23793
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    3.53471
  • Mean of quarter 1
    0.79759
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.28888
  • Inter Quartile Range
    0.00000
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.14504
  • Mean of outliers low
    0.64844
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.52962
  • 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)
    -0.77259
  • VaR(95%) (regression method)
    0.21629
  • Expected Shortfall (regression method)
    0.28586
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.17200
  • Quartile 1
    0.20251
  • Median
    0.21431
  • Quartile 3
    0.70452
  • Maximum
    0.98369
  • Mean of quarter 1
    0.18726
  • Mean of quarter 2
    0.21431
  • Mean of quarter 3
    0.70452
  • Mean of quarter 4
    0.98369
  • Inter Quartile Range
    0.50201
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -356091000
  • Max Equity Drawdown (num days)
    26
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.89189
  • Compounded annual return (geometric extrapolation)
    -0.99708
  • Calmar ratio (compounded annual return / max draw down)
    -1.01362
  • Compounded annual return / average of 25% largest draw downs
    -1.01362
  • Compounded annual return / Expected Shortfall lognormal
    -2.12622

Strategy Description

I recently rescaled the account to $100k from $1.1M to allow traders with smaller accounts to follow me. The way I was able to reach such a large profit target is by using real time order flows from level 2 and depth of market/ volume profile to determine buy and sell trading decisions. I utilize order flows from a wide variety of markets that include futures, forex, options flows and real volume from level 2 to determine price targets. Some trades can last a few minutes, based on faster moving orders, while others may last up to 2-3 weeks. Typically, I utilize up to 15% of my total account and rarely make trades exceeding this amount = $15k-20k; I do this to protect risk. The goal is to keep myself underexposed to the market and make quality trading decisions versus using higher risk and over exposure.

Summary Statistics

Strategy began
2022-04-04
Suggested Minimum Capital
$25,000
# Trades
676
# Profitable
360
% Profitable
53.3%
Correlation S&P500
-0.009
Sharpe Ratio
-0.40
Sortino Ratio
-0.42
Beta
-12350.50
Alpha
0.00
Leverage
11.57 Average
271.28 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.