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These are hypothetical performance results that have certain inherent limitations. Learn more

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 07/11/2017
Most recent certification approved 7/11/17 10:17 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 2,827
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 1,454
Percent signals followed since 07/11/2017 51.4%
This information was last updated 3/20/19 21:33 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 07/11/2017, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Alpha Corgi
(111561811)

Created by: RodCasilli RodCasilli
Started: 05/2017
Futures
Last trade: Today
Trading style: Futures Trend-following Commodities

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 $197.00 per month.

Trading Category: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
17.3%
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.

(24.0%)
Max Drawdown
1042
Num Trades
72.9%
Win Trades
1.4 : 1
Profit Factor
34.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                            (0.4%)(0.4%)+0.1%(3.2%)(1.3%)(1.6%)(4.8%)+0.1%(11.1%)
2018(4.8%)+66.4%(9.1%)+6.5%+0.9%(0.1%)(0.2%)(0.3%)(0.3%)(1.1%)+1.1%+1.8%+55.9%
2019  -  (3.7%)+1.1%                                                      (2.6%)

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 1,777 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/19/19 14:05 SMH1918P107 SMH Apr18'19 107 put LONG 2 2.50 3/20 9:55 2.75 n/a $47
Includes Typical Broker Commissions trade costs of $2.80
3/18/19 10:51 @YMM9 MINI DOW SHORT 1 25908 3/18 10:54 25901 0.06%
Trade id #122952498
Max drawdown($50)
Time3/18/19 10:54
Quant open-1
Worst price25918
Drawdown as % of equity-0.06%
$27
Includes Typical Broker Commissions trade costs of $8.00
3/14/19 9:31 GLD1918D123 GLD Apr18'19 123 call LONG 3 1.23 3/15 13:15 1.52 0.02%
Trade id #122909215
Max drawdown($18)
Time3/14/19 9:43
Quant open3
Worst price1.17
Drawdown as % of equity-0.02%
$83
Includes Typical Broker Commissions trade costs of $4.50
3/15/19 9:37 BA1918D385 BA Apr18'19 385 call LONG 1 8.02 3/15 12:02 13.81 0.07%
Trade id #122925261
Max drawdown($61)
Time3/15/19 10:39
Quant open1
Worst price7.40
Drawdown as % of equity-0.07%
$578
Includes Typical Broker Commissions trade costs of $2.00
3/13/19 14:32 BA1918D385 BA Apr18'19 385 call LONG 1 10.11 3/13 15:03 11.56 0.06%
Trade id #122897764
Max drawdown($45)
Time3/13/19 14:51
Quant open1
Worst price9.65
Drawdown as % of equity-0.06%
$143
Includes Typical Broker Commissions trade costs of $2.00
3/12/19 11:52 BA1918D385 BA Apr18'19 385 call LONG 1 13.62 3/12 14:08 15.04 0.2%
Trade id #122880555
Max drawdown($167)
Time3/12/19 12:53
Quant open1
Worst price11.95
Drawdown as % of equity-0.20%
$140
Includes Typical Broker Commissions trade costs of $2.00
3/7/19 13:59 TLT1915O120 TLT Mar15'19 120 put LONG 10 0.21 3/11 10:16 0.08 0.19%
Trade id #122824693
Max drawdown($157)
Time3/8/19 14:40
Quant open10
Worst price0.05
Drawdown as % of equity-0.19%
($142)
Includes Typical Broker Commissions trade costs of $14.00
3/7/19 11:06 JPM1915C103 JPM Mar15'19 103 call LONG 5 1.01 3/11 9:33 1.53 0.16%
Trade id #122820379
Max drawdown($128)
Time3/8/19 9:35
Quant open5
Worst price0.75
Drawdown as % of equity-0.16%
$256
Includes Typical Broker Commissions trade costs of $7.30
3/8/19 15:09 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7032.25 3/8 15:09 7030.50 n/a $27
Includes Typical Broker Commissions trade costs of $8.00
3/7/19 10:31 QQQ1915C172 QQQ Mar15'19 172 call LONG 5 1.77 3/8 14:19 0.88 0.61%
Trade id #122819442
Max drawdown($495)
Time3/8/19 10:07
Quant open5
Worst price0.78
Drawdown as % of equity-0.61%
($452)
Includes Typical Broker Commissions trade costs of $7.00
3/7/19 13:59 EWZ1918D42 EWZ Apr18'19 42 call LONG 3 1.25 3/8 11:48 1.41 0.03%
Trade id #122824699
Max drawdown($21)
Time3/7/19 14:53
Quant open3
Worst price1.18
Drawdown as % of equity-0.03%
$44
Includes Typical Broker Commissions trade costs of $4.50
3/7/19 14:49 @YMH9 MINI DOW LONG 1 25419 3/7 14:53 25412 0.07%
Trade id #122825321
Max drawdown($55)
Time3/7/19 14:53
Quant open1
Worst price25408
Drawdown as % of equity-0.07%
($43)
Includes Typical Broker Commissions trade costs of $8.00
3/7/19 13:05 @NQH9 E-MINI NASDAQ 100 STK IDX SHORT 1 7075.31 3/7 13:07 7074.00 n/a $18
Includes Typical Broker Commissions trade costs of $8.00
3/5/19 11:49 EA1915C95 EA Mar15'19 95 call LONG 3 2.50 3/7 9:34 2.43 0.2%
Trade id #122791525
Max drawdown($162)
Time3/6/19 13:16
Quant open2
Worst price1.69
Drawdown as % of equity-0.20%
($25)
Includes Typical Broker Commissions trade costs of $4.50
2/26/19 9:32 HD1915C185 HD Mar15'19 185 call LONG 8 2.27 3/6 9:41 1.90 0.96%
Trade id #122684267
Max drawdown($779)
Time3/1/19 11:14
Quant open8
Worst price1.30
Drawdown as % of equity-0.96%
($313)
Includes Typical Broker Commissions trade costs of $12.10
3/5/19 13:23 SPY1908O280 SPY Mar8'19 280 put LONG 5 1.43 3/6 9:33 1.42 0.13%
Trade id #122792852
Max drawdown($105)
Time3/5/19 15:49
Quant open5
Worst price1.22
Drawdown as % of equity-0.13%
($13)
Includes Typical Broker Commissions trade costs of $7.30
3/5/19 15:47 QQQ1908O175 QQQ Mar8'19 175 put LONG 3 0.91 3/6 9:32 1.05 0.01%
Trade id #122795157
Max drawdown($8)
Time3/5/19 15:50
Quant open3
Worst price0.88
Drawdown as % of equity-0.01%
$39
Includes Typical Broker Commissions trade costs of $4.50
3/1/19 9:53 EWZ1915C43 EWZ Mar15'19 43 call LONG 10 0.76 3/5 11:24 0.69 0.39%
Trade id #122748403
Max drawdown($317)
Time3/4/19 12:08
Quant open10
Worst price0.44
Drawdown as % of equity-0.39%
($78)
Includes Typical Broker Commissions trade costs of $14.00
2/27/19 10:59 UNH1915C250 UNH Mar15'19 250 call LONG 6 2.99 3/5 10:30 1.50 1.38%
Trade id #122715198
Max drawdown($1,124)
Time2/28/19 13:14
Quant open5
Worst price0.90
Drawdown as % of equity-1.38%
($907)
Includes Typical Broker Commissions trade costs of $10.50
3/1/19 15:47 QQQ1908O173 QQQ Mar8'19 173 put LONG 10 0.52 3/4 12:21 1.42 0.21%
Trade id #122757038
Max drawdown($170)
Time3/4/19 9:31
Quant open5
Worst price0.31
Drawdown as % of equity-0.21%
$886
Includes Typical Broker Commissions trade costs of $14.00
3/1/19 10:22 TLT1915C120 TLT Mar15'19 120 call LONG 10 0.48 3/4 12:10 0.45 0.18%
Trade id #122749399
Max drawdown($143)
Time3/1/19 15:49
Quant open10
Worst price0.34
Drawdown as % of equity-0.18%
($48)
Includes Typical Broker Commissions trade costs of $14.00
3/1/19 15:47 IWM1908O157 IWM Mar8'19 157 put LONG 5 0.61 3/4 10:14 0.63 0.1%
Trade id #122757022
Max drawdown($85)
Time3/4/19 9:33
Quant open5
Worst price0.44
Drawdown as % of equity-0.10%
$3
Includes Typical Broker Commissions trade costs of $7.00
3/1/19 9:49 GLD1915C124 GLD Mar15'19 124 call LONG 15 0.50 3/4 9:52 0.15 0.65%
Trade id #122748266
Max drawdown($529)
Time3/4/19 9:52
Quant open0
Worst price0.15
Drawdown as % of equity-0.65%
($550)
Includes Typical Broker Commissions trade costs of $21.00
2/28/19 14:46 JPM1915C105 JPM Mar15'19 105 call LONG 7 1.22 3/4 9:31 1.52 0.09%
Trade id #122737749
Max drawdown($77)
Time3/1/19 15:59
Quant open5
Worst price1.07
Drawdown as % of equity-0.09%
$200
Includes Typical Broker Commissions trade costs of $10.40
2/28/19 13:43 UNH1901C245 UNH Mar1'19 245 call SHORT 3 0.83 3/1 15:29 1.38 0.83%
Trade id #122736753
Max drawdown($679)
Time3/1/19 9:44
Quant open-3
Worst price3.10
Drawdown as % of equity-0.83%
($167)
Includes Typical Broker Commissions trade costs of $4.80
2/28/19 10:47 HD1901C185 HD Mar1'19 185 call SHORT 3 0.57 3/1 9:47 0.34 0.38%
Trade id #122733198
Max drawdown($308)
Time3/1/19 9:32
Quant open-3
Worst price1.60
Drawdown as % of equity-0.38%
$64
Includes Typical Broker Commissions trade costs of $4.50
2/28/19 13:54 FB1915C160 FB Mar15'19 160 call LONG 1 3.85 3/1 9:30 4.74 0.01%
Trade id #122737002
Max drawdown($5)
Time2/28/19 14:11
Quant open1
Worst price3.80
Drawdown as % of equity-0.01%
$87
Includes Typical Broker Commissions trade costs of $2.00
2/28/19 9:52 UNH1901C252.5 UNH Mar1'19 252.5 call SHORT 1 1.12 2/28 11:54 0.14 n/a $97
Includes Typical Broker Commissions trade costs of $2.00
2/27/19 10:59 UNH1915C260 UNH Mar15'19 260 call SHORT 1 1.33 2/28 9:34 0.90 0.01%
Trade id #122715208
Max drawdown($11)
Time2/27/19 12:44
Quant open-1
Worst price1.45
Drawdown as % of equity-0.01%
$41
Includes Typical Broker Commissions trade costs of $2.00
2/26/19 15:03 QQQ1901O174 QQQ Mar1'19 174 put LONG 8 0.98 2/28 9:31 1.28 0.05%
Trade id #122691585
Max drawdown($45)
Time2/26/19 15:18
Quant open5
Worst price0.91
Drawdown as % of equity-0.05%
$225
Includes Typical Broker Commissions trade costs of $11.20

Statistics

  • Strategy began
    5/11/2017
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    678.01
  • Age
    23 months ago
  • What it trades
    Futures
  • # Trades
    1042
  • # Profitable
    760
  • % Profitable
    72.90%
  • Avg trade duration
    11.0 hours
  • Max peak-to-valley drawdown
    24.02%
  • drawdown period
    March 05, 2018 - April 09, 2018
  • Annual Return (Compounded)
    17.3%
  • Avg win
    $152.19
  • Avg loss
    $294.48
  • Model Account Values (Raw)
  • Cash
    $80,875
  • Margin Used
    $0
  • Buying Power
    $81,061
  • Ratios
  • W:L ratio
    1.39:1
  • Sharpe Ratio
    1.343
  • Sortino Ratio
    3.598
  • Calmar Ratio
    1.927
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.00400
  • Return Statistics
  • Ann Return (w trading costs)
    17.3%
  • Ann Return (Compnd, No Fees)
    31.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    27.50%
  • Chance of 20% account loss
    3.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    735
  • Trades-Own-System Certification
  • Trades Own System?
    184854
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $294
  • Avg Win
    $152
  • # Winners
    760
  • # Losers
    282
  • % Winners
    72.9%
  • Frequency
  • Avg Position Time (mins)
    658.90
  • Avg Position Time (hrs)
    10.98
  • Avg Trade Length
    0.5 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34461
  • SD
    0.48404
  • Sharpe ratio (Glass type estimate)
    0.71196
  • Sharpe ratio (Hedges UMVUE)
    0.68487
  • df
    20.00000
  • t
    0.94183
  • p
    0.39696
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79440
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.20106
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81185
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.18158
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.26644
  • Upside Potential Ratio
    5.85870
  • Upside part of mean
    0.47323
  • Downside part of mean
    -0.12861
  • Upside SD
    0.47593
  • Downside SD
    0.08077
  • N nonnegative terms
    7.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.06173
  • Mean of criterion
    0.34461
  • SD of predictor
    0.10154
  • SD of criterion
    0.48404
  • Covariance
    -0.01513
  • r
    -0.30775
  • b (slope, estimate of beta)
    -1.46707
  • a (intercept, estimate of alpha)
    0.43517
  • Mean Square Error
    0.22326
  • DF error
    19.00000
  • t(b)
    -1.40988
  • p(b)
    0.69278
  • t(a)
    1.19912
  • p(a)
    0.33314
  • Lowerbound of 95% confidence interval for beta
    -3.64499
  • Upperbound of 95% confidence interval for beta
    0.71086
  • Lowerbound of 95% confidence interval for alpha
    -0.32441
  • Upperbound of 95% confidence interval for alpha
    1.19476
  • Treynor index (mean / b)
    -0.23490
  • Jensen alpha (a)
    0.43517
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25818
  • SD
    0.38620
  • Sharpe ratio (Glass type estimate)
    0.66852
  • Sharpe ratio (Hedges UMVUE)
    0.64308
  • df
    20.00000
  • t
    0.88437
  • p
    0.40300
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83542
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15623
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85186
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13801
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.09220
  • Upside Potential Ratio
    4.66977
  • Upside part of mean
    0.38990
  • Downside part of mean
    -0.13172
  • Upside SD
    0.37501
  • Downside SD
    0.08349
  • N nonnegative terms
    7.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.05650
  • Mean of criterion
    0.25818
  • SD of predictor
    0.10216
  • SD of criterion
    0.38620
  • Covariance
    -0.01197
  • r
    -0.30349
  • b (slope, estimate of beta)
    -1.14731
  • a (intercept, estimate of alpha)
    0.32301
  • Mean Square Error
    0.14254
  • DF error
    19.00000
  • t(b)
    -1.38837
  • p(b)
    0.69020
  • t(a)
    1.11694
  • p(a)
    0.34361
  • Lowerbound of 95% confidence interval for beta
    -2.87692
  • Upperbound of 95% confidence interval for beta
    0.58230
  • Lowerbound of 95% confidence interval for alpha
    -0.28227
  • Upperbound of 95% confidence interval for alpha
    0.92829
  • Treynor index (mean / b)
    -0.22503
  • Jensen alpha (a)
    0.32301
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14944
  • Expected Shortfall on VaR
    0.18747
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02935
  • Expected Shortfall on VaR
    0.05701
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.91848
  • Quartile 1
    0.99370
  • Median
    1.00019
  • Quartile 3
    1.01172
  • Maximum
    1.61487
  • Mean of quarter 1
    0.96795
  • Mean of quarter 2
    0.99943
  • Mean of quarter 3
    1.00370
  • Mean of quarter 4
    1.16572
  • Inter Quartile Range
    0.01802
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.09524
  • Mean of outliers low
    0.93312
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.09524
  • Mean of outliers high
    1.37839
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.12953
  • VaR(95%) (moments method)
    0.02151
  • Expected Shortfall (moments method)
    0.02930
  • Extreme Value Index (regression method)
    1.20101
  • VaR(95%) (regression method)
    0.03607
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01314
  • Quartile 1
    0.04733
  • Median
    0.08152
  • Quartile 3
    0.08954
  • Maximum
    0.09757
  • Mean of quarter 1
    0.01314
  • Mean of quarter 2
    0.08152
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09757
  • Inter Quartile Range
    0.04222
  • 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)
    0.37131
  • Compounded annual return (geometric extrapolation)
    0.33121
  • Calmar ratio (compounded annual return / max draw down)
    3.39463
  • Compounded annual return / average of 25% largest draw downs
    3.39463
  • Compounded annual return / Expected Shortfall lognormal
    1.76669
  • 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
    0.26503
  • SD
    0.19703
  • Sharpe ratio (Glass type estimate)
    1.34512
  • Sharpe ratio (Hedges UMVUE)
    1.34302
  • df
    479.00000
  • t
    1.82067
  • p
    0.03464
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10607
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79500
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10751
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79354
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.59776
  • Upside Potential Ratio
    8.48885
  • Upside part of mean
    0.62533
  • Downside part of mean
    -0.36030
  • Upside SD
    0.18325
  • Downside SD
    0.07366
  • N nonnegative terms
    164.00000
  • N negative terms
    316.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    480.00000
  • Mean of predictor
    0.07202
  • Mean of criterion
    0.26503
  • SD of predictor
    0.14000
  • SD of criterion
    0.19703
  • Covariance
    0.00122
  • r
    0.04419
  • b (slope, estimate of beta)
    0.06220
  • a (intercept, estimate of alpha)
    0.26100
  • Mean Square Error
    0.03883
  • DF error
    478.00000
  • t(b)
    0.96714
  • p(b)
    0.16698
  • t(a)
    1.78887
  • p(a)
    0.03713
  • Lowerbound of 95% confidence interval for beta
    -0.06417
  • Upperbound of 95% confidence interval for beta
    0.18856
  • Lowerbound of 95% confidence interval for alpha
    -0.02564
  • Upperbound of 95% confidence interval for alpha
    0.54674
  • Treynor index (mean / b)
    4.26116
  • Jensen alpha (a)
    0.26055
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24654
  • SD
    0.18918
  • Sharpe ratio (Glass type estimate)
    1.30320
  • Sharpe ratio (Hedges UMVUE)
    1.30116
  • df
    479.00000
  • t
    1.76394
  • p
    0.03919
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14784
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.75293
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14921
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.75154
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.30426
  • Upside Potential Ratio
    8.16969
  • Upside part of mean
    0.60956
  • Downside part of mean
    -0.36302
  • Upside SD
    0.17430
  • Downside SD
    0.07461
  • N nonnegative terms
    164.00000
  • N negative terms
    316.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    480.00000
  • Mean of predictor
    0.06220
  • Mean of criterion
    0.24654
  • SD of predictor
    0.14028
  • SD of criterion
    0.18918
  • Covariance
    0.00112
  • r
    0.04209
  • b (slope, estimate of beta)
    0.05676
  • a (intercept, estimate of alpha)
    0.24301
  • Mean Square Error
    0.03580
  • DF error
    478.00000
  • t(b)
    0.92101
  • p(b)
    0.17876
  • t(a)
    1.73775
  • p(a)
    0.04145
  • Lowerbound of 95% confidence interval for beta
    -0.06433
  • Upperbound of 95% confidence interval for beta
    0.17785
  • Lowerbound of 95% confidence interval for alpha
    -0.03177
  • Upperbound of 95% confidence interval for alpha
    0.51779
  • Treynor index (mean / b)
    4.34370
  • Jensen alpha (a)
    0.24301
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01812
  • Expected Shortfall on VaR
    0.02289
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00368
  • Expected Shortfall on VaR
    0.00806
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    480.00000
  • Minimum
    0.95666
  • Quartile 1
    0.99999
  • Median
    1.00000
  • Quartile 3
    1.00078
  • Maximum
    1.16138
  • Mean of quarter 1
    0.99477
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00015
  • Mean of quarter 4
    1.00954
  • Inter Quartile Range
    0.00079
  • Number outliers low
    81.00000
  • Percentage of outliers low
    0.16875
  • Mean of outliers low
    0.99250
  • Number of outliers high
    80.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    1.01367
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54719
  • VaR(95%) (moments method)
    0.00379
  • Expected Shortfall (moments method)
    0.01057
  • Extreme Value Index (regression method)
    0.32818
  • VaR(95%) (regression method)
    0.00544
  • Expected Shortfall (regression method)
    0.01181
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00056
  • Median
    0.00152
  • Quartile 3
    0.02359
  • Maximum
    0.16391
  • Mean of quarter 1
    0.00030
  • Mean of quarter 2
    0.00119
  • Mean of quarter 3
    0.00961
  • Mean of quarter 4
    0.06634
  • Inter Quartile Range
    0.02303
  • 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
    0.08000
  • Mean of outliers high
    0.13213
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.57926
  • VaR(95%) (moments method)
    0.07129
  • Expected Shortfall (moments method)
    0.18128
  • Extreme Value Index (regression method)
    1.15835
  • VaR(95%) (regression method)
    0.07431
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.35662
  • Compounded annual return (geometric extrapolation)
    0.31580
  • Calmar ratio (compounded annual return / max draw down)
    1.92663
  • Compounded annual return / average of 25% largest draw downs
    4.76063
  • Compounded annual return / Expected Shortfall lognormal
    13.79560
  • 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
    0.04578
  • SD
    0.07314
  • Sharpe ratio (Glass type estimate)
    0.62588
  • Sharpe ratio (Hedges UMVUE)
    0.62226
  • df
    130.00000
  • t
    0.44256
  • p
    0.48061
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.14806
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.39764
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.15058
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.39510
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.99143
  • Upside Potential Ratio
    8.35760
  • Upside part of mean
    0.38590
  • Downside part of mean
    -0.34013
  • Upside SD
    0.05644
  • Downside SD
    0.04617
  • N nonnegative terms
    48.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.06589
  • Mean of criterion
    0.04578
  • SD of predictor
    0.19257
  • SD of criterion
    0.07314
  • Covariance
    0.00231
  • r
    0.16417
  • b (slope, estimate of beta)
    0.06235
  • a (intercept, estimate of alpha)
    0.04989
  • Mean Square Error
    0.00525
  • DF error
    129.00000
  • t(b)
    1.89023
  • p(b)
    0.39596
  • t(a)
    0.48692
  • p(a)
    0.47274
  • Lowerbound of 95% confidence interval for beta
    -0.00291
  • Upperbound of 95% confidence interval for beta
    0.12762
  • Lowerbound of 95% confidence interval for alpha
    -0.15282
  • Upperbound of 95% confidence interval for alpha
    0.25259
  • Treynor index (mean / b)
    0.73418
  • Jensen alpha (a)
    0.04989
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04312
  • SD
    0.07302
  • Sharpe ratio (Glass type estimate)
    0.59053
  • Sharpe ratio (Hedges UMVUE)
    0.58712
  • df
    130.00000
  • t
    0.41757
  • p
    0.48170
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.18329
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.36218
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.18561
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.35984
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.92994
  • Upside Potential Ratio
    8.28731
  • Upside part of mean
    0.38428
  • Downside part of mean
    -0.34116
  • Upside SD
    0.05611
  • Downside SD
    0.04637
  • N nonnegative terms
    48.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08429
  • Mean of criterion
    0.04312
  • SD of predictor
    0.19255
  • SD of criterion
    0.07302
  • Covariance
    0.00231
  • r
    0.16420
  • b (slope, estimate of beta)
    0.06227
  • a (intercept, estimate of alpha)
    0.04837
  • Mean Square Error
    0.00523
  • DF error
    129.00000
  • t(b)
    1.89057
  • p(b)
    0.39594
  • t(a)
    0.47283
  • p(a)
    0.47353
  • Lowerbound of 95% confidence interval for beta
    -0.00290
  • Upperbound of 95% confidence interval for beta
    0.12744
  • Lowerbound of 95% confidence interval for alpha
    -0.15403
  • Upperbound of 95% confidence interval for alpha
    0.25077
  • Treynor index (mean / b)
    0.69249
  • Jensen alpha (a)
    0.04837
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00723
  • Expected Shortfall on VaR
    0.00910
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00345
  • Expected Shortfall on VaR
    0.00676
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98604
  • Quartile 1
    0.99896
  • Median
    1.00000
  • Quartile 3
    1.00160
  • Maximum
    1.01623
  • Mean of quarter 1
    0.99536
  • Mean of quarter 2
    0.99975
  • Mean of quarter 3
    1.00035
  • Mean of quarter 4
    1.00567
  • Inter Quartile Range
    0.00264
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.99258
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.01055
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.26688
  • VaR(95%) (moments method)
    0.00335
  • Expected Shortfall (moments method)
    0.00425
  • Extreme Value Index (regression method)
    -0.17792
  • VaR(95%) (regression method)
    0.00510
  • Expected Shortfall (regression method)
    0.00694
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00015
  • Quartile 1
    0.00128
  • Median
    0.00662
  • Quartile 3
    0.03035
  • Maximum
    0.04060
  • Mean of quarter 1
    0.00056
  • Mean of quarter 2
    0.00230
  • Mean of quarter 3
    0.01950
  • Mean of quarter 4
    0.03754
  • Inter Quartile Range
    0.02907
  • 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)
    0.07230
  • Compounded annual return (geometric extrapolation)
    0.07361
  • Calmar ratio (compounded annual return / max draw down)
    1.81317
  • Compounded annual return / average of 25% largest draw downs
    1.96103
  • Compounded annual return / Expected Shortfall lognormal
    8.09110

Strategy Description

Strategy uses 7D Average True Range (ATR), 30 minute cash opening ranges, and Fib levels to determine probable daily exhaustion points. Primarily generates mean reversion, counter-trend signals. The strategy was mostly dormant for 2017 and is in a walk-forward testing phase.

Disclosure: I work for Collective2. Please message me before subscribing live.

Summary Statistics

Strategy began
2017-05-11
Suggested Minimum Capital
$60,000
# Trades
1042
# Profitable
760
% Profitable
72.9%
Correlation S&P500
0.004
Sharpe Ratio
1.343

Latest Activity

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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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