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TGTBT A B
(112810155)

Created by: TGTBT_AB TGTBT_AB
Started: 07/2017
Forex
Last trade: Today

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

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.

38.0%
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.

(20.2%)
Max Drawdown
136
Num Trades
94.9%
Win Trades
3.9 : 1
Profit Factor
57.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                          +0.4%+18.2%+4.0%+5.7%  -  (0.1%)+30.4%
2018+0.6%+4.5%+0.5%(0.1%)+1.5%+1.0%+0.7%  -  +1.4%  -    -    -  +10.5%
2019  -    -  +5.7%(4.6%)+10.2%+1.9%(3.9%)+24.8%                        +35.7%

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 58 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/22/19 1:01 NZD/USD NZD/USD LONG 10 0.63746 8/22 4:00 0.63885 0.31%
Trade id #125029816
Max drawdown($30)
Time8/22/19 1:16
Quant open10
Worst price0.63716
Drawdown as % of equity-0.31%
$139
8/8/19 6:48 AUD/NZD AUD/NZD SHORT 5 1.05094 8/8 19:05 1.04787 0.99%
Trade id #124831240
Max drawdown($95)
Time8/8/19 19:05
Quant open-5
Worst price1.04800
Drawdown as % of equity-0.99%
$100
8/7/19 11:58 USD/JPY USD/JPY LONG 5 105.619 8/7 12:31 105.750 0.61%
Trade id #124816418
Max drawdown($58)
Time8/7/19 11:58
Quant open5
Worst price105.495
Drawdown as % of equity-0.61%
$62
8/7/19 1:14 NZD/USD NZD/USD LONG 5 0.63970 8/7 3:21 0.64087 0.21%
Trade id #124804521
Max drawdown($19)
Time8/7/19 1:14
Quant open5
Worst price0.63931
Drawdown as % of equity-0.21%
$58
8/4/19 23:18 AUD/NZD AUD/NZD LONG 25 1.03609 8/6 22:00 1.04664 5.53%
Trade id #124759548
Max drawdown($433)
Time8/4/19 23:18
Quant open25
Worst price1.03343
Drawdown as % of equity-5.53%
$1,708
8/4/19 23:19 USD/JPY USD/JPY LONG 10 105.879 8/4 23:22 105.826 0.64%
Trade id #124759554
Max drawdown($50)
Time8/4/19 23:22
Quant open10
Worst price105.826
Drawdown as % of equity-0.64%
($50)
7/30/19 13:27 AUD/NZD AUD/NZD LONG 13 1.03934 7/31 9:55 1.04337 0.85%
Trade id #124681872
Max drawdown($63)
Time7/30/19 13:27
Quant open13
Worst price1.03860
Drawdown as % of equity-0.85%
$346
5/15/19 22:40 EUR/GBP EUR/GBP SHORT 3 0.87250 7/30 6:36 0.91483 20.3%
Trade id #123688986
Max drawdown($1,704)
Time5/15/19 22:40
Quant open3
Worst price0.91900
Drawdown as % of equity-20.30%
($1,547)
6/26/19 2:32 AUD/NZD AUD/NZD LONG 8 1.04645 6/26 22:16 1.04743 1.49%
Trade id #124232363
Max drawdown($121)
Time6/26/19 2:32
Quant open8
Worst price1.04419
Drawdown as % of equity-1.49%
$52
6/19/19 20:59 AUD/NZD AUD/NZD LONG 7 1.04882 6/20 9:59 1.05195 n/a $144
6/14/19 15:19 NZD/USD NZD/USD LONG 2 0.64934 6/19 21:04 0.65775 n/a $168
6/14/19 15:20 AUD/USD AUD/USD LONG 2 0.68696 6/19 21:04 0.69024 n/a $66
6/7/19 8:34 AUD/NZD AUD/NZD LONG 6 1.05129 6/11 2:49 1.05430 0.72%
Trade id #123975642
Max drawdown($56)
Time6/9/19 20:44
Quant open6
Worst price1.04987
Drawdown as % of equity-0.72%
$119
6/5/19 23:04 AUD/NZD AUD/NZD LONG 10 1.05120 6/6 1:19 1.05183 0.13%
Trade id #123956452
Max drawdown($9)
Time6/5/19 23:10
Quant open10
Worst price1.05105
Drawdown as % of equity-0.13%
$42
6/5/19 23:03 AUD/USD AUD/USD LONG 5 0.69702 6/6 0:57 0.69723 0.11%
Trade id #123956443
Max drawdown($8)
Time6/6/19 0:03
Quant open5
Worst price0.69685
Drawdown as % of equity-0.11%
$11
5/21/19 0:17 AUD/USD AUD/USD SHORT 2 0.68822 5/21 4:20 0.68713 0.07%
Trade id #123747051
Max drawdown($5)
Time5/21/19 0:40
Quant open-2
Worst price0.68849
Drawdown as % of equity-0.07%
$22
5/15/19 22:35 AUD/USD AUD/USD LONG 3 0.69147 5/20 0:39 0.69197 1.86%
Trade id #123688932
Max drawdown($150)
Time5/17/19 15:12
Quant open3
Worst price0.68647
Drawdown as % of equity-1.86%
$15
5/13/19 18:19 USD/CHF USD/CHF LONG 4 1.00563 5/13 21:09 1.00624 0.27%
Trade id #123653601
Max drawdown($22)
Time5/13/19 18:42
Quant open4
Worst price1.00506
Drawdown as % of equity-0.27%
$24
4/17/19 10:06 USD/CHF USD/CHF SHORT 10 1.00926 5/12 17:34 1.00846 20.15%
Trade id #123342828
Max drawdown($1,427)
Time4/26/19 8:31
Quant open-10
Worst price1.02369
Drawdown as % of equity-20.15%
$79
4/18/19 10:53 NZD/USD NZD/USD LONG 5 0.66585 4/30 5:31 0.66763 5.8%
Trade id #123359398
Max drawdown($392)
Time4/25/19 4:22
Quant open5
Worst price0.65800
Drawdown as % of equity-5.80%
$89
4/15/19 10:05 AUD/NZD AUD/NZD SHORT 3 1.06167 4/15 21:58 1.05866 0.14%
Trade id #123313871
Max drawdown($11)
Time4/15/19 11:00
Quant open-3
Worst price1.06225
Drawdown as % of equity-0.14%
$61
4/12/19 12:18 USD/JPY USD/JPY SHORT 9 112.059 4/14 20:59 111.973 0.27%
Trade id #123298276
Max drawdown($21)
Time4/12/19 15:02
Quant open-4
Worst price112.097
Drawdown as % of equity-0.27%
$69
4/12/19 5:06 AUD/NZD AUD/NZD SHORT 10 1.06147 4/12 10:49 1.06035 0.91%
Trade id #123291633
Max drawdown($72)
Time4/12/19 7:10
Quant open-10
Worst price1.06254
Drawdown as % of equity-0.91%
$76
4/12/19 6:42 USD/JPY USD/JPY SHORT 3 111.969 4/12 10:07 111.872 0.08%
Trade id #123292133
Max drawdown($6)
Time4/12/19 8:44
Quant open-3
Worst price111.993
Drawdown as % of equity-0.08%
$26
4/11/19 3:12 AUD/NZD AUD/NZD SHORT 11 1.06004 4/11 4:07 1.05940 0.32%
Trade id #123277749
Max drawdown($24)
Time4/11/19 3:33
Quant open-11
Worst price1.06038
Drawdown as % of equity-0.32%
$48
4/10/19 10:54 USD/JPY USD/JPY LONG 14 110.917 4/10 14:13 110.959 1.2%
Trade id #123268199
Max drawdown($93)
Time4/10/19 13:56
Quant open14
Worst price110.843
Drawdown as % of equity-1.20%
$52
4/9/19 8:56 USD/JPY USD/JPY LONG 11 111.080 4/9 10:26 111.104 1.27%
Trade id #123251663
Max drawdown($99)
Time4/9/19 9:37
Quant open11
Worst price110.980
Drawdown as % of equity-1.27%
$23
4/4/19 15:07 USD/JPY USD/JPY SHORT 9 111.621 4/7 20:53 111.487 2.14%
Trade id #123206891
Max drawdown($164)
Time4/5/19 8:44
Quant open-9
Worst price111.824
Drawdown as % of equity-2.14%
$108
4/4/19 10:57 USD/JPY USD/JPY SHORT 1 111.593 4/4 11:12 111.542 0%
Trade id #123202039
Max drawdown$0
Time4/4/19 10:59
Quant open-1
Worst price111.593
Drawdown as % of equity0.00%
$5
4/4/19 9:42 USD/JPY USD/JPY SHORT 9 111.597 4/4 9:57 111.542 0.34%
Trade id #123199602
Max drawdown($25)
Time4/4/19 9:49
Quant open-9
Worst price111.629
Drawdown as % of equity-0.34%
$44

Statistics

  • Strategy began
    7/27/2017
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    756.68
  • Age
    25 months ago
  • What it trades
    Forex
  • # Trades
    136
  • # Profitable
    129
  • % Profitable
    94.90%
  • Avg trade duration
    1.7 days
  • Max peak-to-valley drawdown
    20.17%
  • drawdown period
    April 15, 2019 - April 25, 2019
  • Annual Return (Compounded)
    38.0%
  • Avg win
    $50.12
  • Avg loss
    $235.57
  • Model Account Values (Raw)
  • Cash
    $9,844
  • Margin Used
    $3,040
  • Buying Power
    $6,775
  • Ratios
  • W:L ratio
    3.92:1
  • Sharpe Ratio
    1.26
  • Sortino Ratio
    2.52
  • Calmar Ratio
    2.736
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.02490
  • Return Statistics
  • Ann Return (w trading costs)
    38.0%
  • Ann Return (Compnd, No Fees)
    38.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    36.50%
  • Chance of 20% account loss
    5.50%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    342
  • Popularity (Last 6 weeks)
    786
  • C2 Score
    56
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $242
  • Avg Win
    $50
  • # Winners
    129
  • # Losers
    7
  • % Winners
    94.8%
  • Frequency
  • Avg Position Time (mins)
    2401.22
  • Avg Position Time (hrs)
    40.02
  • Avg Trade Length
    1.7 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    8.39
  • Daily leverage (max)
    30.93
  • Regression
  • Alpha
    0.09
  • Beta
    0.04
  • Treynor Index
    2.39
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    2.404
  • Avg(MAE) / Avg(PL) - Winning trades
    1.391
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.324
  • Hold-and-Hope Ratio
    0.408
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25465
  • SD
    0.15694
  • Sharpe ratio (Glass type estimate)
    1.62260
  • Sharpe ratio (Hedges UMVUE)
    1.55755
  • df
    19.00000
  • t
    2.09477
  • p
    0.23313
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00121
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.20586
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03935
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.15446
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.09557
  • Upside Potential Ratio
    9.14411
  • Upside part of mean
    0.28763
  • Downside part of mean
    -0.03298
  • Upside SD
    0.16677
  • Downside SD
    0.03146
  • N nonnegative terms
    16.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.08684
  • Mean of criterion
    0.25465
  • SD of predictor
    0.13224
  • SD of criterion
    0.15694
  • Covariance
    -0.00360
  • r
    -0.17360
  • b (slope, estimate of beta)
    -0.20603
  • a (intercept, estimate of alpha)
    0.27254
  • Mean Square Error
    0.02521
  • DF error
    18.00000
  • t(b)
    -0.74787
  • p(b)
    0.58680
  • t(a)
    2.17503
  • p(a)
    0.27190
  • Lowerbound of 95% confidence interval for beta
    -0.78480
  • Upperbound of 95% confidence interval for beta
    0.37275
  • Lowerbound of 95% confidence interval for alpha
    0.00929
  • Upperbound of 95% confidence interval for alpha
    0.53579
  • Treynor index (mean / b)
    -1.23599
  • Jensen alpha (a)
    0.27254
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24095
  • SD
    0.14602
  • Sharpe ratio (Glass type estimate)
    1.65015
  • Sharpe ratio (Hedges UMVUE)
    1.58399
  • df
    19.00000
  • t
    2.13033
  • p
    0.22973
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02570
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23594
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01554
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.18353
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.53620
  • Upside Potential Ratio
    8.58119
  • Upside part of mean
    0.27436
  • Downside part of mean
    -0.03341
  • Upside SD
    0.15515
  • Downside SD
    0.03197
  • N nonnegative terms
    16.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.07805
  • Mean of criterion
    0.24095
  • SD of predictor
    0.13243
  • SD of criterion
    0.14602
  • Covariance
    -0.00331
  • r
    -0.17141
  • b (slope, estimate of beta)
    -0.18899
  • a (intercept, estimate of alpha)
    0.25570
  • Mean Square Error
    0.02184
  • DF error
    18.00000
  • t(b)
    -0.73817
  • p(b)
    0.58571
  • t(a)
    2.20025
  • p(a)
    0.26981
  • Lowerbound of 95% confidence interval for beta
    -0.72689
  • Upperbound of 95% confidence interval for beta
    0.34890
  • Lowerbound of 95% confidence interval for alpha
    0.01154
  • Upperbound of 95% confidence interval for alpha
    0.49986
  • Treynor index (mean / b)
    -1.27490
  • Jensen alpha (a)
    0.25570
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04806
  • Expected Shortfall on VaR
    0.06457
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00291
  • Expected Shortfall on VaR
    0.00804
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.96335
  • Quartile 1
    1.00436
  • Median
    1.01081
  • Quartile 3
    1.02294
  • Maximum
    1.18818
  • Mean of quarter 1
    0.99168
  • Mean of quarter 2
    1.00691
  • Mean of quarter 3
    1.01611
  • Mean of quarter 4
    1.07950
  • Inter Quartile Range
    0.01858
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05000
  • Mean of outliers low
    0.96335
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    1.09178
  • 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)
    1.43172
  • VaR(95%) (regression method)
    0.01645
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00126
  • Quartile 1
    0.00479
  • Median
    0.00832
  • Quartile 3
    0.02249
  • Maximum
    0.03665
  • Mean of quarter 1
    0.00126
  • Mean of quarter 2
    0.00832
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03665
  • Inter Quartile Range
    0.01769
  • 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)
    0.33919
  • Compounded annual return (geometric extrapolation)
    0.30846
  • Calmar ratio (compounded annual return / max draw down)
    8.41551
  • Compounded annual return / average of 25% largest draw downs
    8.41551
  • Compounded annual return / Expected Shortfall lognormal
    4.77749
  • 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
    0.38846
  • SD
    0.23593
  • Sharpe ratio (Glass type estimate)
    1.64649
  • Sharpe ratio (Hedges UMVUE)
    1.64375
  • df
    451.00000
  • t
    2.16261
  • p
    0.01555
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14954
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.14165
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14769
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.13981
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.35427
  • Upside Potential Ratio
    7.79576
  • Upside part of mean
    0.90282
  • Downside part of mean
    -0.51437
  • Upside SD
    0.20665
  • Downside SD
    0.11581
  • N nonnegative terms
    139.00000
  • N negative terms
    313.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    452.00000
  • Mean of predictor
    0.08083
  • Mean of criterion
    0.38846
  • SD of predictor
    0.15704
  • SD of criterion
    0.23593
  • Covariance
    0.00036
  • r
    0.00975
  • b (slope, estimate of beta)
    0.01465
  • a (intercept, estimate of alpha)
    0.38700
  • Mean Square Error
    0.05578
  • DF error
    450.00000
  • t(b)
    0.20683
  • p(b)
    0.41812
  • t(a)
    2.15264
  • p(a)
    0.01594
  • Lowerbound of 95% confidence interval for beta
    -0.12453
  • Upperbound of 95% confidence interval for beta
    0.15383
  • Lowerbound of 95% confidence interval for alpha
    0.03371
  • Upperbound of 95% confidence interval for alpha
    0.74083
  • Treynor index (mean / b)
    26.51940
  • Jensen alpha (a)
    0.38727
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36161
  • SD
    0.22823
  • Sharpe ratio (Glass type estimate)
    1.58441
  • Sharpe ratio (Hedges UMVUE)
    1.58177
  • df
    451.00000
  • t
    2.08107
  • p
    0.01900
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.08778
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07935
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08600
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07755
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.05349
  • Upside Potential Ratio
    7.45473
  • Upside part of mean
    0.88283
  • Downside part of mean
    -0.52122
  • Upside SD
    0.19608
  • Downside SD
    0.11843
  • N nonnegative terms
    139.00000
  • N negative terms
    313.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    452.00000
  • Mean of predictor
    0.06842
  • Mean of criterion
    0.36161
  • SD of predictor
    0.15791
  • SD of criterion
    0.22823
  • Covariance
    0.00037
  • r
    0.01031
  • b (slope, estimate of beta)
    0.01490
  • a (intercept, estimate of alpha)
    0.36059
  • Mean Square Error
    0.05220
  • DF error
    450.00000
  • t(b)
    0.21866
  • p(b)
    0.41351
  • t(a)
    2.07226
  • p(a)
    0.01940
  • Lowerbound of 95% confidence interval for beta
    -0.11899
  • Upperbound of 95% confidence interval for beta
    0.14879
  • Lowerbound of 95% confidence interval for alpha
    0.01862
  • Upperbound of 95% confidence interval for alpha
    0.70256
  • Treynor index (mean / b)
    24.27370
  • Jensen alpha (a)
    0.36059
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02158
  • Expected Shortfall on VaR
    0.02731
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00542
  • Expected Shortfall on VaR
    0.01198
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    452.00000
  • Minimum
    0.92703
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00114
  • Maximum
    1.19121
  • Mean of quarter 1
    0.99244
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00016
  • Mean of quarter 4
    1.01375
  • Inter Quartile Range
    0.00114
  • Number outliers low
    63.00000
  • Percentage of outliers low
    0.13938
  • Mean of outliers low
    0.98664
  • Number of outliers high
    86.00000
  • Percentage of outliers high
    0.19026
  • Mean of outliers high
    1.01741
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.37223
  • VaR(95%) (moments method)
    0.00234
  • Expected Shortfall (moments method)
    0.00330
  • Extreme Value Index (regression method)
    0.17095
  • VaR(95%) (regression method)
    0.00842
  • Expected Shortfall (regression method)
    0.01778
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00040
  • Median
    0.00436
  • Quartile 3
    0.02147
  • Maximum
    0.17408
  • Mean of quarter 1
    0.00023
  • Mean of quarter 2
    0.00206
  • Mean of quarter 3
    0.00989
  • Mean of quarter 4
    0.07635
  • Inter Quartile Range
    0.02107
  • 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
    0.18182
  • Mean of outliers high
    0.09996
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.06762
  • VaR(95%) (moments method)
    0.06460
  • Expected Shortfall (moments method)
    0.07002
  • Extreme Value Index (regression method)
    0.10643
  • VaR(95%) (regression method)
    0.10475
  • Expected Shortfall (regression method)
    0.16573
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.55538
  • Compounded annual return (geometric extrapolation)
    0.47627
  • Calmar ratio (compounded annual return / max draw down)
    2.73588
  • Compounded annual return / average of 25% largest draw downs
    6.23791
  • Compounded annual return / Expected Shortfall lognormal
    17.43890
  • 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
    0.66160
  • SD
    0.39377
  • Sharpe ratio (Glass type estimate)
    1.68018
  • Sharpe ratio (Hedges UMVUE)
    1.67046
  • df
    130.00000
  • t
    1.18806
  • p
    0.44818
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10229
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.45635
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.10877
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.44970
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.51151
  • Upside Potential Ratio
    10.41610
  • Upside part of mean
    1.96247
  • Downside part of mean
    -1.30088
  • Upside SD
    0.34647
  • Downside SD
    0.18841
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08392
  • Mean of criterion
    0.66160
  • SD of predictor
    0.12946
  • SD of criterion
    0.39377
  • Covariance
    0.00230
  • r
    0.04504
  • b (slope, estimate of beta)
    0.13700
  • a (intercept, estimate of alpha)
    0.65010
  • Mean Square Error
    0.15594
  • DF error
    129.00000
  • t(b)
    0.51209
  • p(b)
    0.47134
  • t(a)
    1.16316
  • p(a)
    0.43526
  • Lowerbound of 95% confidence interval for beta
    -0.39231
  • Upperbound of 95% confidence interval for beta
    0.66630
  • Lowerbound of 95% confidence interval for alpha
    -0.45571
  • Upperbound of 95% confidence interval for alpha
    1.75591
  • Treynor index (mean / b)
    4.82931
  • Jensen alpha (a)
    0.65010
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.58789
  • SD
    0.37855
  • Sharpe ratio (Glass type estimate)
    1.55300
  • Sharpe ratio (Hedges UMVUE)
    1.54402
  • df
    130.00000
  • t
    1.09814
  • p
    0.45206
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.22813
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.32833
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.23413
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.32218
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.04882
  • Upside Potential Ratio
    9.88942
  • Upside part of mean
    1.90693
  • Downside part of mean
    -1.31904
  • Upside SD
    0.32610
  • Downside SD
    0.19283
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07555
  • Mean of criterion
    0.58789
  • SD of predictor
    0.12986
  • SD of criterion
    0.37855
  • Covariance
    0.00232
  • r
    0.04718
  • b (slope, estimate of beta)
    0.13753
  • a (intercept, estimate of alpha)
    0.57750
  • Mean Square Error
    0.14409
  • DF error
    129.00000
  • t(b)
    0.53644
  • p(b)
    0.46998
  • t(a)
    1.07507
  • p(a)
    0.44010
  • Lowerbound of 95% confidence interval for beta
    -0.36971
  • Upperbound of 95% confidence interval for beta
    0.64476
  • Lowerbound of 95% confidence interval for alpha
    -0.48531
  • Upperbound of 95% confidence interval for alpha
    1.64031
  • Treynor index (mean / b)
    4.27469
  • Jensen alpha (a)
    0.57750
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03558
  • Expected Shortfall on VaR
    0.04492
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01158
  • Expected Shortfall on VaR
    0.02391
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92703
  • Quartile 1
    0.99440
  • Median
    1.00000
  • Quartile 3
    1.00650
  • Maximum
    1.19121
  • Mean of quarter 1
    0.98228
  • Mean of quarter 2
    0.99823
  • Mean of quarter 3
    1.00242
  • Mean of quarter 4
    1.02759
  • Inter Quartile Range
    0.01210
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.96014
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.05605
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37022
  • VaR(95%) (moments method)
    0.01743
  • Expected Shortfall (moments method)
    0.03255
  • Extreme Value Index (regression method)
    0.46324
  • VaR(95%) (regression method)
    0.01656
  • Expected Shortfall (regression method)
    0.03388
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00032
  • Quartile 1
    0.00431
  • Median
    0.03606
  • Quartile 3
    0.09635
  • Maximum
    0.17408
  • Mean of quarter 1
    0.00232
  • Mean of quarter 2
    0.03606
  • Mean of quarter 3
    0.09635
  • Mean of quarter 4
    0.17408
  • Inter Quartile Range
    0.09204
  • 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)
    0.72113
  • Compounded annual return (geometric extrapolation)
    0.85113
  • Calmar ratio (compounded annual return / max draw down)
    4.88924
  • Compounded annual return / average of 25% largest draw downs
    4.88924
  • Compounded annual return / Expected Shortfall lognormal
    18.94810

Strategy Description

Summary Statistics

Strategy began
2017-07-27
Suggested Minimum Capital
$10,000
# Trades
136
# Profitable
129
% Profitable
94.9%
Correlation S&P500
0.025
Sharpe Ratio
1.26
Sortino Ratio
2.52
Beta
0.04
Alpha
0.09
Leverage
8.39 Average
30.93 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.