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This is an archived track record. This track record was archived on 12/4/19 9:40 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Point Break Options
(120336648)

Created by: DS_Capital_Trading DS_Capital_Trading
Started: 10/2018
Forex
Last trade: 1,576 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $79.00 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.

-16.7%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(25.2%)
Max Drawdown
184
Num Trades
37.0%
Win Trades
1.1 : 1
Profit Factor
15.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                               +5.5%+7.2%+8.2%+22.4%
2019(7%)+8.0%+2.1%+1.9%(10.5%)(4.8%)+1.1%+2.3%+0.4%(15.5%)+10.7%(20.6%)(31.4%)
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

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

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

Trading Record

This strategy has placed 287 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1603 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/2/19 13:36 SPY1906L312 SPY Dec6'19 312 call LONG 4 1.67 12/4 9:40 0.95 10.95%
Trade id #126445419
Max drawdown($552)
Time12/3/19 0:00
Quant open4
Worst price0.29
Drawdown as % of equity-10.95%
($294)
Includes Typical Broker Commissions trade costs of $5.60
12/2/19 13:35 SPY1906L308 SPY Dec6'19 308 call LONG 1 4.68 12/4 9:40 3.72 5.51%
Trade id #126445417
Max drawdown($278)
Time12/3/19 0:00
Quant open1
Worst price1.90
Drawdown as % of equity-5.51%
($98)
Includes Typical Broker Commissions trade costs of $2.00
11/15/19 14:06 SPY2017A311 SPY Jan17'20 311 call LONG 4 5.86 12/4 9:40 5.49 13.17%
Trade id #126232390
Max drawdown($664)
Time12/3/19 0:00
Quant open4
Worst price4.20
Drawdown as % of equity-13.17%
($154)
Includes Typical Broker Commissions trade costs of $5.60
11/12/19 3:34 EUR/USD EUR/USD SHORT 4 1.10198 11/15 12:11 1.10456 2.66%
Trade id #126164414
Max drawdown($140)
Time11/15/19 10:30
Quant open4
Worst price1.10548
Drawdown as % of equity-2.66%
($103)
11/7/19 9:34 EUR/USD EUR/USD SHORT 4 1.10622 11/8 12:57 1.10197 0.27%
Trade id #126109588
Max drawdown($14)
Time11/7/19 9:51
Quant open4
Worst price1.10657
Drawdown as % of equity-0.27%
$170
11/5/19 7:10 EUR/USD EUR/USD SHORT 4 1.11082 11/6 21:17 1.10652 0.32%
Trade id #126073112
Max drawdown($15)
Time11/5/19 7:19
Quant open4
Worst price1.11121
Drawdown as % of equity-0.32%
$172
11/4/19 7:11 EUR/USD EUR/USD LONG 4 1.11699 11/4 8:40 1.11518 1.39%
Trade id #126057887
Max drawdown($68)
Time11/4/19 8:40
Quant open4
Worst price1.11527
Drawdown as % of equity-1.39%
($72)
11/1/19 8:30 EUR/USD EUR/USD SHORT 4 1.11383 11/1 10:00 1.11590 1.19%
Trade id #126036228
Max drawdown($60)
Time11/1/19 9:30
Quant open4
Worst price1.11535
Drawdown as % of equity-1.19%
($83)
10/31/19 10:20 EUR/USD EUR/USD SHORT 4 1.11382 10/31 11:42 1.11570 1.05%
Trade id #126020709
Max drawdown($54)
Time10/31/19 11:42
Quant open4
Worst price1.11518
Drawdown as % of equity-1.05%
($75)
10/30/19 14:36 EUR/USD EUR/USD SHORT 4 1.11012 10/30 14:55 1.11176 1.08%
Trade id #126009691
Max drawdown($56)
Time10/30/19 14:55
Quant open4
Worst price1.11154
Drawdown as % of equity-1.08%
($66)
10/25/19 8:36 EUR/USD EUR/USD SHORT 4 1.11005 10/29 11:59 1.11178 1.25%
Trade id #125946174
Max drawdown($66)
Time10/29/19 11:54
Quant open4
Worst price1.11171
Drawdown as % of equity-1.25%
($69)
10/24/19 8:30 EUR/USD EUR/USD LONG 4 1.11342 10/24 9:48 1.11172 0.83%
Trade id #125931861
Max drawdown($44)
Time10/24/19 9:47
Quant open4
Worst price1.11231
Drawdown as % of equity-0.83%
($68)
10/23/19 8:51 EUR/USD EUR/USD LONG 4 1.11248 10/24 4:27 1.11250 0.93%
Trade id #125912557
Max drawdown($49)
Time10/23/19 10:47
Quant open4
Worst price1.11124
Drawdown as % of equity-0.93%
$1
10/22/19 13:57 EUR/USD EUR/USD LONG 4 1.11471 10/22 14:27 1.11277 0.88%
Trade id #125901504
Max drawdown($48)
Time10/22/19 14:25
Quant open4
Worst price1.11351
Drawdown as % of equity-0.88%
($78)
10/22/19 8:15 EUR/USD EUR/USD SHORT 4 1.11281 10/22 11:33 1.11459 1.13%
Trade id #125890514
Max drawdown($62)
Time10/22/19 11:33
Quant open4
Worst price1.11436
Drawdown as % of equity-1.13%
($71)
10/18/19 8:58 EUR/USD EUR/USD LONG 4 1.11507 10/22 8:09 1.11323 1.21%
Trade id #125850802
Max drawdown($68)
Time10/22/19 4:34
Quant open4
Worst price1.11337
Drawdown as % of equity-1.21%
($74)
10/17/19 8:17 EUR/USD EUR/USD SHORT 4 1.11009 10/17 8:30 1.11193 1.05%
Trade id #125829921
Max drawdown($59)
Time10/17/19 8:29
Quant open4
Worst price1.11157
Drawdown as % of equity-1.05%
($74)
10/16/19 8:22 EUR/USD EUR/USD LONG 4 1.10383 10/16 12:43 1.10833 0.79%
Trade id #125807901
Max drawdown($43)
Time10/16/19 8:30
Quant open4
Worst price1.10275
Drawdown as % of equity-0.79%
$180
10/15/19 8:21 EUR/USD EUR/USD SHORT 4 1.09970 10/15 10:28 1.10152 0.92%
Trade id #125780416
Max drawdown($51)
Time10/15/19 9:04
Quant open4
Worst price1.10098
Drawdown as % of equity-0.92%
($73)
10/14/19 10:18 EUR/USD EUR/USD SHORT 4 1.10192 10/15 7:26 1.10072 1.96%
Trade id #125765345
Max drawdown($107)
Time10/15/19 2:41
Quant open4
Worst price1.10461
Drawdown as % of equity-1.96%
$48
10/11/19 10:51 EUR/USD EUR/USD SHORT 4 1.10282 10/11 11:07 1.10465 1.19%
Trade id #125742175
Max drawdown($66)
Time10/11/19 11:07
Quant open4
Worst price1.10447
Drawdown as % of equity-1.19%
($73)
10/10/19 9:39 EUR/USD EUR/USD SHORT 4 1.10152 10/11 6:38 1.10328 1.01%
Trade id #125717466
Max drawdown($56)
Time10/11/19 6:38
Quant open4
Worst price1.10294
Drawdown as % of equity-1.01%
($70)
10/9/19 16:50 EUR/USD EUR/USD SHORT 4 1.09678 10/9 18:43 1.09859 1.13%
Trade id #125707207
Max drawdown($64)
Time10/9/19 18:42
Quant open4
Worst price1.09840
Drawdown as % of equity-1.13%
($72)
10/8/19 9:07 EUR/USD EUR/USD SHORT 4 1.09798 10/9 3:23 1.09788 0.16%
Trade id #125673606
Max drawdown($9)
Time10/8/19 9:08
Quant open4
Worst price1.09821
Drawdown as % of equity-0.16%
$4
10/7/19 8:08 EUR/USD EUR/USD LONG 4 1.09950 10/7 13:32 1.09764 1.14%
Trade id #125657070
Max drawdown($66)
Time10/7/19 12:33
Quant open4
Worst price1.09783
Drawdown as % of equity-1.14%
($74)
10/4/19 8:25 EUR/USD EUR/USD SHORT 4 1.09730 10/4 8:30 1.10025 0.42%
Trade id #125628610
Max drawdown($25)
Time10/4/19 8:29
Quant open4
Worst price1.09793
Drawdown as % of equity-0.42%
($118)
10/2/19 9:12 EUR/USD EUR/USD LONG 4 1.09389 10/3 10:00 1.09835 0.13%
Trade id #125589281
Max drawdown($7)
Time10/2/19 9:25
Quant open4
Worst price1.09370
Drawdown as % of equity-0.13%
$178
9/30/19 8:13 EUR/USD EUR/USD SHORT 4 1.08903 10/1 10:01 1.09185 3.56%
Trade id #125553089
Max drawdown($210)
Time10/1/19 0:00
Quant open4
Worst price1.09429
Drawdown as % of equity-3.56%
($113)
9/27/19 8:41 EUR/USD EUR/USD LONG 4 1.09438 9/27 9:50 1.09262 1.1%
Trade id #125530541
Max drawdown($65)
Time9/27/19 9:39
Quant open4
Worst price1.09274
Drawdown as % of equity-1.10%
($70)
9/26/19 8:14 EUR/USD EUR/USD LONG 4 1.09403 9/26 12:47 1.09219 1.11%
Trade id #125514430
Max drawdown($66)
Time9/26/19 12:47
Quant open4
Worst price1.09236
Drawdown as % of equity-1.11%
($74)

Statistics

  • Strategy began
    10/13/2018
  • Suggested Minimum Cap
    $4,950
  • Strategy Age (days)
    1990.16
  • Age
    66 months ago
  • What it trades
    Forex
  • # Trades
    184
  • # Profitable
    68
  • % Profitable
    37.00%
  • Avg trade duration
    1.0 days
  • Max peak-to-valley drawdown
    25.18%
  • drawdown period
    April 24, 2019 - Nov 22, 2019
  • Annual Return (Compounded)
    -16.7%
  • Avg win
    $144.38
  • Avg loss
    $78.53
  • Model Account Values (Raw)
  • Cash
    $5,660
  • Margin Used
    $0
  • Buying Power
    $5,660
  • Ratios
  • W:L ratio
    1.08:1
  • Sharpe Ratio
    -0.28
  • Sortino Ratio
    -0.37
  • Calmar Ratio
    0.425
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -30.75%
  • Correlation to SP500
    0.00150
  • Return Percent SP500 (cumu) during strategy life
    89.67%
  • Return Statistics
  • Ann Return (w trading costs)
    -16.7%
  • Slump
  • Current Slump as Pcnt Equity
    52.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.90%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.167%
  • Instruments
  • Percent Trades Options
    0.02%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.98%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.00%
  • Chance of 20% account loss
    3.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    29.05%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    375
  • Popularity (Last 6 weeks)
    914
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    806
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $79
  • Avg Win
    $144
  • Sum Trade PL (losers)
    $9,109.000
  • Age
  • Num Months filled monthly returns table
    66
  • Win / Loss
  • Sum Trade PL (winners)
    $9,818.000
  • # Winners
    68
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    116
  • % Winners
    37.0%
  • Frequency
  • Avg Position Time (mins)
    1385.88
  • Avg Position Time (hrs)
    23.10
  • Avg Trade Length
    1.0 days
  • Last Trade Ago
    1574
  • Leverage
  • Daily leverage (average)
    8.34
  • Daily leverage (max)
    26.97
  • Regression
  • Alpha
    -0.01
  • Beta
    0.00
  • Treynor Index
    -11.63
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    4.22
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    3.23
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.17
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -134.847
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.238
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.097
  • Hold-and-Hope Ratio
    -0.007
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30657
  • SD
    0.27237
  • Sharpe ratio (Glass type estimate)
    1.12555
  • Sharpe ratio (Hedges UMVUE)
    1.05345
  • df
    12.00000
  • t
    1.17151
  • p
    0.33982
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83142
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.03864
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87621
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98311
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.20452
  • Upside Potential Ratio
    3.96176
  • Upside part of mean
    0.55094
  • Downside part of mean
    -0.24437
  • Upside SD
    0.23869
  • Downside SD
    0.13906
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.10628
  • Mean of criterion
    0.30657
  • SD of predictor
    0.12624
  • SD of criterion
    0.27237
  • Covariance
    0.00509
  • r
    0.14797
  • b (slope, estimate of beta)
    0.31925
  • a (intercept, estimate of alpha)
    0.27264
  • Mean Square Error
    0.07916
  • DF error
    11.00000
  • t(b)
    0.49623
  • p(b)
    0.31475
  • t(a)
    0.97781
  • p(a)
    0.17459
  • Lowerbound of 95% confidence interval for beta
    -1.09676
  • Upperbound of 95% confidence interval for beta
    1.73525
  • Lowerbound of 95% confidence interval for alpha
    -0.34106
  • Upperbound of 95% confidence interval for alpha
    0.88634
  • Treynor index (mean / b)
    0.96030
  • Jensen alpha (a)
    0.27264
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26944
  • SD
    0.26614
  • Sharpe ratio (Glass type estimate)
    1.01240
  • Sharpe ratio (Hedges UMVUE)
    0.94755
  • df
    12.00000
  • t
    1.05374
  • p
    0.35449
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93270
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.91771
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97330
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.86840
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.85531
  • Upside Potential Ratio
    3.60448
  • Upside part of mean
    0.52348
  • Downside part of mean
    -0.25403
  • Upside SD
    0.22437
  • Downside SD
    0.14523
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.09825
  • Mean of criterion
    0.26944
  • SD of predictor
    0.12648
  • SD of criterion
    0.26614
  • Covariance
    0.00588
  • r
    0.17467
  • b (slope, estimate of beta)
    0.36756
  • a (intercept, estimate of alpha)
    0.23333
  • Mean Square Error
    0.07491
  • DF error
    11.00000
  • t(b)
    0.58835
  • p(b)
    0.28409
  • t(a)
    0.86409
  • p(a)
    0.20299
  • Lowerbound of 95% confidence interval for beta
    -1.00745
  • Upperbound of 95% confidence interval for beta
    1.74257
  • Lowerbound of 95% confidence interval for alpha
    -0.36101
  • Upperbound of 95% confidence interval for alpha
    0.82768
  • Treynor index (mean / b)
    0.73307
  • Jensen alpha (a)
    0.23333
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09870
  • Expected Shortfall on VaR
    0.12683
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03976
  • Expected Shortfall on VaR
    0.07943
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.90471
  • Quartile 1
    0.97437
  • Median
    1.03364
  • Quartile 3
    1.07633
  • Maximum
    1.17402
  • Mean of quarter 1
    0.93644
  • Mean of quarter 2
    1.02047
  • Mean of quarter 3
    1.05766
  • Mean of quarter 4
    1.12741
  • Inter Quartile Range
    0.10196
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.49348
  • VaR(95%) (moments method)
    0.06181
  • Expected Shortfall (moments method)
    0.06239
  • Extreme Value Index (regression method)
    -2.36648
  • VaR(95%) (regression method)
    0.10377
  • Expected Shortfall (regression method)
    0.10467
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02563
  • Quartile 1
    0.04439
  • Median
    0.06315
  • Quartile 3
    0.08191
  • Maximum
    0.10067
  • Mean of quarter 1
    0.02563
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10067
  • Inter Quartile Range
    0.03752
  • 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)
    0.35083
  • Compounded annual return (geometric extrapolation)
    0.34629
  • Calmar ratio (compounded annual return / max draw down)
    3.43999
  • Compounded annual return / average of 25% largest draw downs
    3.43999
  • Compounded annual return / Expected Shortfall lognormal
    2.73042
  • 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
    0.02291
  • SD
    0.28750
  • Sharpe ratio (Glass type estimate)
    0.07969
  • Sharpe ratio (Hedges UMVUE)
    0.07948
  • df
    287.00000
  • t
    0.08355
  • p
    0.46674
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.78978
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94905
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.78993
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94889
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.09736
  • Upside Potential Ratio
    5.40694
  • Upside part of mean
    1.27235
  • Downside part of mean
    -1.24944
  • Upside SD
    0.16430
  • Downside SD
    0.23532
  • N nonnegative terms
    122.00000
  • N negative terms
    166.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    288.00000
  • Mean of predictor
    0.09155
  • Mean of criterion
    0.02291
  • SD of predictor
    0.15964
  • SD of criterion
    0.28750
  • Covariance
    0.00156
  • r
    0.03407
  • b (slope, estimate of beta)
    0.06136
  • a (intercept, estimate of alpha)
    0.06900
  • Mean Square Error
    0.08285
  • DF error
    286.00000
  • t(b)
    0.57659
  • p(b)
    0.28233
  • t(a)
    0.06295
  • p(a)
    0.47493
  • Lowerbound of 95% confidence interval for beta
    -0.14811
  • Upperbound of 95% confidence interval for beta
    0.27084
  • Lowerbound of 95% confidence interval for alpha
    -0.52340
  • Upperbound of 95% confidence interval for alpha
    0.55799
  • Treynor index (mean / b)
    0.37335
  • Jensen alpha (a)
    0.01729
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02093
  • SD
    0.30159
  • Sharpe ratio (Glass type estimate)
    -0.06939
  • Sharpe ratio (Hedges UMVUE)
    -0.06921
  • df
    287.00000
  • t
    -0.07275
  • p
    0.52897
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.93875
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80007
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.93862
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80020
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.08243
  • Upside Potential Ratio
    4.95899
  • Upside part of mean
    1.25899
  • Downside part of mean
    -1.27991
  • Upside SD
    0.16183
  • Downside SD
    0.25388
  • N nonnegative terms
    122.00000
  • N negative terms
    166.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    288.00000
  • Mean of predictor
    0.07882
  • Mean of criterion
    -0.02093
  • SD of predictor
    0.15972
  • SD of criterion
    0.30159
  • Covariance
    0.00175
  • r
    0.03640
  • b (slope, estimate of beta)
    0.06874
  • a (intercept, estimate of alpha)
    -0.02635
  • Mean Square Error
    0.09116
  • DF error
    286.00000
  • t(b)
    0.61607
  • p(b)
    0.26917
  • t(a)
    -0.09145
  • p(a)
    0.53640
  • Lowerbound of 95% confidence interval for beta
    -0.15088
  • Upperbound of 95% confidence interval for beta
    0.28837
  • Lowerbound of 95% confidence interval for alpha
    -0.59342
  • Upperbound of 95% confidence interval for alpha
    0.54073
  • Treynor index (mean / b)
    -0.30445
  • Jensen alpha (a)
    -0.02635
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03026
  • Expected Shortfall on VaR
    0.03776
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01173
  • Expected Shortfall on VaR
    0.02570
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    288.00000
  • Minimum
    0.80447
  • Quartile 1
    0.99382
  • Median
    1.00000
  • Quartile 3
    1.00722
  • Maximum
    1.06106
  • Mean of quarter 1
    0.98310
  • Mean of quarter 2
    0.99807
  • Mean of quarter 3
    1.00211
  • Mean of quarter 4
    1.01750
  • Inter Quartile Range
    0.01340
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.01736
  • Mean of outliers low
    0.92346
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.02431
  • Mean of outliers high
    1.04129
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32969
  • VaR(95%) (moments method)
    0.01613
  • Expected Shortfall (moments method)
    0.02801
  • Extreme Value Index (regression method)
    0.29699
  • VaR(95%) (regression method)
    0.01450
  • Expected Shortfall (regression method)
    0.02368
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00481
  • Median
    0.02208
  • Quartile 3
    0.03679
  • Maximum
    0.29181
  • Mean of quarter 1
    0.00228
  • Mean of quarter 2
    0.01477
  • Mean of quarter 3
    0.02446
  • Mean of quarter 4
    0.14775
  • Inter Quartile Range
    0.03198
  • 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
    0.08333
  • Mean of outliers high
    0.29181
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.42868
  • VaR(95%) (moments method)
    0.15695
  • Expected Shortfall (moments method)
    0.32348
  • Extreme Value Index (regression method)
    2.65507
  • VaR(95%) (regression method)
    0.30893
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00701
  • Compounded annual return (geometric extrapolation)
    0.00700
  • Calmar ratio (compounded annual return / max draw down)
    0.02400
  • Compounded annual return / average of 25% largest draw downs
    0.04740
  • Compounded annual return / Expected Shortfall lognormal
    0.18547
  • 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
    -0.50854
  • SD
    0.37630
  • Sharpe ratio (Glass type estimate)
    -1.35142
  • Sharpe ratio (Hedges UMVUE)
    -1.34361
  • df
    130.00000
  • t
    -0.95560
  • p
    0.54176
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.12555
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.42779
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.12022
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.43301
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.53224
  • Upside Potential Ratio
    4.02378
  • Upside part of mean
    1.33546
  • Downside part of mean
    -1.84400
  • Upside SD
    0.17707
  • Downside SD
    0.33189
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.21989
  • Mean of criterion
    -0.50854
  • SD of predictor
    0.13011
  • SD of criterion
    0.37630
  • Covariance
    0.00739
  • r
    0.15086
  • b (slope, estimate of beta)
    0.43633
  • a (intercept, estimate of alpha)
    -0.60448
  • Mean Square Error
    0.13945
  • DF error
    129.00000
  • t(b)
    1.73331
  • p(b)
    0.40432
  • t(a)
    -1.13837
  • p(a)
    0.56338
  • Lowerbound of 95% confidence interval for beta
    -0.06173
  • Upperbound of 95% confidence interval for beta
    0.93438
  • Lowerbound of 95% confidence interval for alpha
    -1.65509
  • Upperbound of 95% confidence interval for alpha
    0.44613
  • Treynor index (mean / b)
    -1.16550
  • Jensen alpha (a)
    -0.60448
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.58523
  • SD
    0.40013
  • Sharpe ratio (Glass type estimate)
    -1.46262
  • Sharpe ratio (Hedges UMVUE)
    -1.45417
  • df
    130.00000
  • t
    -1.03423
  • p
    0.54517
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.23734
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.31766
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.23160
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.32327
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.62354
  • Upside Potential Ratio
    3.66196
  • Upside part of mean
    1.32002
  • Downside part of mean
    -1.90525
  • Upside SD
    0.17392
  • Downside SD
    0.36047
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.21134
  • Mean of criterion
    -0.58523
  • SD of predictor
    0.13049
  • SD of criterion
    0.40013
  • Covariance
    0.00778
  • r
    0.14893
  • b (slope, estimate of beta)
    0.45665
  • a (intercept, estimate of alpha)
    -0.68174
  • Mean Square Error
    0.15776
  • DF error
    129.00000
  • t(b)
    1.71055
  • p(b)
    0.40554
  • t(a)
    -1.20760
  • p(a)
    0.56718
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    -0.07154
  • Upperbound of 95% confidence interval for beta
    0.98484
  • Lowerbound of 95% confidence interval for alpha
    -1.79870
  • Upperbound of 95% confidence interval for alpha
    0.43522
  • Treynor index (mean / b)
    -1.28158
  • Jensen alpha (a)
    -0.68174
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04199
  • Expected Shortfall on VaR
    0.05179
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01649
  • Expected Shortfall on VaR
    0.03613
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.80447
  • Quartile 1
    0.99058
  • Median
    0.99987
  • Quartile 3
    1.00713
  • Maximum
    1.06106
  • Mean of quarter 1
    0.97672
  • Mean of quarter 2
    0.99557
  • Mean of quarter 3
    1.00263
  • Mean of quarter 4
    1.01788
  • Inter Quartile Range
    0.01655
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.91179
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.05135
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.66007
  • VaR(95%) (moments method)
    0.02511
  • Expected Shortfall (moments method)
    0.07100
  • Extreme Value Index (regression method)
    0.84511
  • VaR(95%) (regression method)
    0.01985
  • Expected Shortfall (regression method)
    0.09386
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.01549
  • Quartile 1
    0.01834
  • Median
    0.04758
  • Quartile 3
    0.08315
  • Maximum
    0.28531
  • Mean of quarter 1
    0.01576
  • Mean of quarter 2
    0.02833
  • Mean of quarter 3
    0.06010
  • Mean of quarter 4
    0.21507
  • Inter Quartile Range
    0.06482
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.28531
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -267759000
  • Max Equity Drawdown (num days)
    212
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.48641
  • Compounded annual return (geometric extrapolation)
    -0.42726
  • Calmar ratio (compounded annual return / max draw down)
    -1.49750
  • Compounded annual return / average of 25% largest draw downs
    -1.98657
  • Compounded annual return / Expected Shortfall lognormal
    -8.24952

Strategy Description

Summary Statistics

Strategy began
2018-10-13
Suggested Minimum Capital
$10,000
# Trades
184
# Profitable
68
% Profitable
37.0%
Correlation S&P500
0.002
Sharpe Ratio
-0.28
Sortino Ratio
-0.37
Beta
0.00
Alpha
-0.01
Leverage
8.34 Average
26.97 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.