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AI AlternativeInvestment
(120350787)

Created by: CarloFerrari CarloFerrari
Started: 10/2018
Stocks
Last trade: 1,696 days ago
Trading style: Equity Hedged Equity Event-driven

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 $25.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
Event-driven
Category: Equity

Event-driven

Seeks to exploit pricing inefficiencies that may occur before or after a corporate event, such as an earnings call, bankruptcy, merger, acquisition, or spinoff.
-15.8%
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.

(71.5%)
Max Drawdown
163
Num Trades
58.9%
Win Trades
0.3 : 1
Profit Factor
34.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                               (0.2%)(2.4%)+0.6%(2%)
2019(3.5%)(3.3%)(0.6%)(5.8%)+3.0%(4.2%)(2.9%)+6.6%(7.8%)(4.4%)(6.3%)(0.8%)(26.9%)
2020(1%)  -  +20.7%+1.4%(9.7%)  -  (1.1%)(10.9%)+6.2%+15.8%
2021+3.2%(11.5%)(7.1%)(7%)+1.7%(9.8%)(0.9%)(5.9%)(8.1%)+7.9%(6%)(15%)(46.4%)
2022(3.4%)+21.0%(3.4%)+4.6%(8.8%)+0.6%(9.1%)(5.5%)+20.2%(9.9%)(6.9%)+12.9%+5.9%
2023+1.3%(14.7%)  -  +5.6%(8%)(9.3%)+1.4%+4.4%+15.6%(12.7%)(5.3%)(23.7%)
2024(17.1%)(2.5%)+16.9%+13.7%                                                

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/31/19 15:31 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 500 51.37 9/12 13:13 50.47 1.73%
Trade id #124704135
Max drawdown($776)
Time8/6/19 0:00
Quant open180
Worst price49.43
Drawdown as % of equity-1.73%
 ($461)
Includes Typical Broker Commissions trade costs of $10.00
7/31/19 15:32 TLT ISHARES 20+ YEAR TREASURY BOND SHORT 60 142.33 9/4 12:33 147.30 0.86%
Trade id #124704149
Max drawdown($380)
Time9/3/19 0:00
Quant open60
Worst price148.67
Drawdown as % of equity-0.86%
 ($299)
Includes Typical Broker Commissions trade costs of $1.20
8/22/19 11:43 QQQ POWERSHARES QQQ LONG 60 185.07 8/30 11:23 185.13 0.27%
Trade id #125038085
Max drawdown($120)
Time8/23/19 0:00
Quant open20
Worst price181.56
Drawdown as % of equity-0.27%
 $2
Includes Typical Broker Commissions trade costs of $1.20
8/14/19 13:46 EEM ISHARES MSCI EMERGING MARKETS LONG 40 38.91 8/16 11:19 39.51 0.02%
Trade id #124935246
Max drawdown($7)
Time8/14/19 13:46
Quant open40
Worst price38.72
Drawdown as % of equity-0.02%
 $23
Includes Typical Broker Commissions trade costs of $0.80
8/14/19 11:14 QQQ POWERSHARES QQQ LONG 40 183.79 8/16 11:17 184.92 0.23%
Trade id #124931500
Max drawdown($105)
Time8/14/19 11:14
Quant open40
Worst price181.16
Drawdown as % of equity-0.23%
 $44
Includes Typical Broker Commissions trade costs of $0.80
8/8/19 10:52 QQQ POWERSHARES QQQ LONG 60 185.45 8/14 9:51 186.62 0.22%
Trade id #124836862
Max drawdown($97)
Time8/8/19 10:52
Quant open40
Worst price183.50
Drawdown as % of equity-0.22%
 $69
Includes Typical Broker Commissions trade costs of $1.20
8/7/19 9:48 QQQ POWERSHARES QQQ LONG 20 180.31 8/7 11:11 183.01 0.01%
Trade id #124811705
Max drawdown($5)
Time8/7/19 9:48
Quant open20
Worst price180.06
Drawdown as % of equity-0.01%
 $54
Includes Typical Broker Commissions trade costs of $0.40
8/6/19 11:23 QQQ POWERSHARES QQQ SHORT 20 181.59 8/7 9:47 180.18 0.13%
Trade id #124793046
Max drawdown($58)
Time8/6/19 11:23
Quant open20
Worst price184.51
Drawdown as % of equity-0.13%
 $28
Includes Typical Broker Commissions trade costs of $0.40
8/5/19 10:49 QQQ POWERSHARES QQQ LONG 20 181.30 8/6 11:22 181.51 0.09%
Trade id #124769033
Max drawdown($42)
Time8/5/19 10:49
Quant open20
Worst price179.20
Drawdown as % of equity-0.09%
 $4
Includes Typical Broker Commissions trade costs of $0.40
7/8/19 9:45 GBTC GRAYSCALE BITCOIN TRUST (BTC) LONG 80 14.40 8/2 10:03 15.24 0.28%
Trade id #124370901
Max drawdown($115)
Time7/8/19 9:45
Quant open50
Worst price12.10
Drawdown as % of equity-0.28%
 $65
Includes Typical Broker Commissions trade costs of $1.60
7/5/19 10:09 QQQ POWERSHARES QQQ LONG 20 189.66 7/24 13:30 193.38 0.05%
Trade id #124347057
Max drawdown($20)
Time7/5/19 10:09
Quant open20
Worst price188.65
Drawdown as % of equity-0.05%
 $74
Includes Typical Broker Commissions trade costs of $0.40
7/5/19 10:10 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 60 55.71 7/24 13:28 57.42 0.13%
Trade id #124347079
Max drawdown($51)
Time7/5/19 10:10
Quant open60
Worst price54.84
Drawdown as % of equity-0.13%
 $102
Includes Typical Broker Commissions trade costs of $1.20
5/20/19 10:02 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 410 51.52 7/3 12:09 52.54 0.81%
Trade id #123737407
Max drawdown($358)
Time5/20/19 10:02
Quant open190
Worst price49.08
Drawdown as % of equity-0.81%
 $413
Includes Typical Broker Commissions trade costs of $8.20
7/1/19 9:59 GBTC GRAYSCALE BITCOIN TRUST (BTC) LONG 50 12.56 7/3 12:08 14.55 0.06%
Trade id #124288502
Max drawdown($24)
Time7/1/19 9:59
Quant open20
Worst price11.99
Drawdown as % of equity-0.06%
 $99
Includes Typical Broker Commissions trade costs of $1.00
5/9/19 10:56 QQQ POWERSHARES QQQ LONG 220 178.71 6/11 10:02 178.48 1.9%
Trade id #123591128
Max drawdown($849)
Time6/3/19 15:33
Quant open90
Worst price169.27
Drawdown as % of equity-1.90%
 ($53)
Includes Typical Broker Commissions trade costs of $4.40
5/13/19 9:45 TLT ISHARES 20+ YEAR TREASURY BOND SHORT 50 126.77 6/5 14:55 130.67 0.65%
Trade id #123642420
Max drawdown($291)
Time6/3/19 4:36
Quant open-40
Worst price132.80
Drawdown as % of equity-0.65%
 ($196)
Includes Typical Broker Commissions trade costs of $1.00
5/10/19 12:11 GBTC GRAYSCALE BITCOIN TRUST (BTC) SHORT 50 8.47 6/5 14:54 9.82 0.28%
Trade id #123622989
Max drawdown($126)
Time5/14/19 10:16
Quant open-50
Worst price11.00
Drawdown as % of equity-0.28%
 ($68)
Includes Typical Broker Commissions trade costs of $1.00
5/7/19 11:57 EEM ISHARES MSCI EMERGING MARKETS LONG 140 41.37 6/5 14:54 41.02 0.34%
Trade id #123560513
Max drawdown($150)
Time5/13/19 13:12
Quant open100
Worst price40.38
Drawdown as % of equity-0.34%
 ($52)
Includes Typical Broker Commissions trade costs of $2.80
5/7/19 9:47 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 210 50.62 5/17 9:58 51.49 0.58%
Trade id #123556578
Max drawdown($256)
Time5/7/19 15:39
Quant open120
Worst price49.09
Drawdown as % of equity-0.58%
 $180
Includes Typical Broker Commissions trade costs of $4.20
12/4/18 10:22 SPY SPDR S&P 500 SHORT 930 261.86 5/13/19 9:39 266.24 16.35%
Trade id #121331957
Max drawdown($7,397)
Time3/21/19 15:09
Quant open-270
Worst price285.18
Drawdown as % of equity-16.35%
 ($4,093)
Includes Typical Broker Commissions trade costs of $18.60
4/12/19 10:00 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 270 55.44 5/7 9:47 54.16 0.27%
Trade id #123294948
Max drawdown($118)
Time4/23/19 11:48
Quant open-90
Worst price56.64
Drawdown as % of equity-0.27%
 $341
Includes Typical Broker Commissions trade costs of $5.40
4/3/19 10:14 GBTC GRAYSCALE BITCOIN TRUST (BTC) SHORT 20 5.97 4/23 12:03 7.27 0.07%
Trade id #123184722
Max drawdown($30)
Time4/10/19 14:43
Quant open-20
Worst price7.48
Drawdown as % of equity-0.07%
 ($26)
Includes Typical Broker Commissions trade costs of $0.40
4/9/19 14:20 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 80 52.99 4/12 9:59 54.40 0.08%
Trade id #123258059
Max drawdown($38)
Time4/9/19 15:59
Quant open80
Worst price52.51
Drawdown as % of equity-0.08%
 $111
Includes Typical Broker Commissions trade costs of $1.60
3/28/19 13:44 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 250 52.46 4/9 14:20 52.89 0.54%
Trade id #123117118
Max drawdown($244)
Time4/3/19 8:17
Quant open-200
Worst price53.38
Drawdown as % of equity-0.54%
 ($114)
Includes Typical Broker Commissions trade costs of $5.00
1/22/19 14:49 GBTC GRAYSCALE BITCOIN TRUST (BTC) LONG 200 4.32 4/1 15:05 4.85 0.28%
Trade id #122115800
Max drawdown($132)
Time2/6/19 10:28
Quant open200
Worst price3.66
Drawdown as % of equity-0.28%
 $102
Includes Typical Broker Commissions trade costs of $4.00
3/28/19 12:12 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 50 51.01 3/28 13:44 51.29 0.01%
Trade id #123115900
Max drawdown($4)
Time3/28/19 12:17
Quant open50
Worst price50.92
Drawdown as % of equity-0.01%
 $13
Includes Typical Broker Commissions trade costs of $1.00
3/26/19 15:27 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 100 51.02 3/28 12:12 50.86 0.07%
Trade id #123085915
Max drawdown($30)
Time3/28/19 10:11
Quant open-50
Worst price51.63
Drawdown as % of equity-0.07%
 $14
Includes Typical Broker Commissions trade costs of $2.00
3/20/19 11:15 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 750 51.63 3/26 15:26 51.58 2.02%
Trade id #122991985
Max drawdown($925)
Time3/22/19 12:46
Quant open430
Worst price49.83
Drawdown as % of equity-2.02%
 ($57)
Includes Typical Broker Commissions trade costs of $15.00
1/18/19 11:53 SLV ISHARES SILVER TRUST LONG 70 14.65 3/22 11:06 14.70 0.04%
Trade id #122059192
Max drawdown($18)
Time3/7/19 9:35
Quant open30
Worst price14.05
Drawdown as % of equity-0.04%
 $2
Includes Typical Broker Commissions trade costs of $1.40
3/20/19 10:42 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 50 52.59 3/20 11:15 52.90 0.05%
Trade id #122990332
Max drawdown($22)
Time3/20/19 11:10
Quant open-50
Worst price53.05
Drawdown as % of equity-0.05%
 ($17)
Includes Typical Broker Commissions trade costs of $1.00
Next

Statistics

  • Strategy began
    10/15/2018
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    2021.09
  • Age
    68 months ago
  • What it trades
    Stocks
  • # Trades
    163
  • # Profitable
    96
  • % Profitable
    58.90%
  • Avg trade duration
    103.2 days
  • Max peak-to-valley drawdown
    71.54%
  • drawdown period
    Oct 23, 2018 - Feb 11, 2024
  • Annual Return (Compounded)
    -15.8%
  • Avg win
    $155.77
  • Avg loss
    $618.38
  • Model Account Values (Raw)
  • Cash
    $56,833
  • Margin Used
    $46,819
  • Buying Power
    ($13,093)
  • Ratios
  • W:L ratio
    0.35:1
  • Sharpe Ratio
    -0.39
  • Sortino Ratio
    -0.54
  • Calmar Ratio
    -0.618
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -146.78%
  • Correlation to SP500
    -0.56960
  • Return Percent SP500 (cumu) during strategy life
    86.41%
  • Return Statistics
  • Ann Return (w trading costs)
    -15.8%
  • Slump
  • Current Slump as Pcnt Equity
    160.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    1.00%
  • 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)
    -0.158%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -15.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    25.50%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $616
  • Avg Win
    $157
  • Sum Trade PL (losers)
    $41,256.000
  • Age
  • Num Months filled monthly returns table
    67
  • Win / Loss
  • Sum Trade PL (winners)
    $15,045.000
  • # Winners
    96
  • Num Months Winners
    22
  • Dividends
  • Dividends Received in Model Acct
    -3501
  • Win / Loss
  • # Losers
    67
  • % Winners
    58.9%
  • Frequency
  • Avg Position Time (mins)
    148458.00
  • Avg Position Time (hrs)
    2474.31
  • Avg Trade Length
    103.1 days
  • Last Trade Ago
    1689
  • Leverage
  • Daily leverage (average)
    1.43
  • Daily leverage (max)
    1.93
  • Regression
  • Alpha
    -0.01
  • Beta
    -1.05
  • Treynor Index
    0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    58.51
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    49.77
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.32
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -2.538
  • 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
    1.73
  • Avg(MAE) / Avg(PL) - Winning trades
    0.832
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.373
  • Hold-and-Hope Ratio
    -0.739
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.58414
  • SD
    0.34925
  • Sharpe ratio (Glass type estimate)
    -1.67258
  • Sharpe ratio (Hedges UMVUE)
    -1.59750
  • df
    17.00000
  • t
    -2.04848
  • p
    0.77361
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.34556
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.04397
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.28549
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09049
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.77143
  • Upside Potential Ratio
    0.59264
  • Upside part of mean
    0.19543
  • Downside part of mean
    -0.77957
  • Upside SD
    0.18679
  • Downside SD
    0.32976
  • N nonnegative terms
    2.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.37276
  • Mean of criterion
    -0.58414
  • SD of predictor
    0.28077
  • SD of criterion
    0.34925
  • Covariance
    -0.04577
  • r
    -0.46671
  • b (slope, estimate of beta)
    -0.58053
  • a (intercept, estimate of alpha)
    -0.36774
  • Mean Square Error
    0.10137
  • DF error
    16.00000
  • t(b)
    -2.11084
  • p(b)
    0.73336
  • t(a)
    -1.31600
  • p(a)
    0.65626
  • Lowerbound of 95% confidence interval for beta
    -1.16354
  • Upperbound of 95% confidence interval for beta
    0.00249
  • Lowerbound of 95% confidence interval for alpha
    -0.96013
  • Upperbound of 95% confidence interval for alpha
    0.22464
  • Treynor index (mean / b)
    1.00623
  • Jensen alpha (a)
    -0.36774
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.65983
  • SD
    0.36297
  • Sharpe ratio (Glass type estimate)
    -1.81783
  • Sharpe ratio (Hedges UMVUE)
    -1.73623
  • df
    17.00000
  • t
    -2.22638
  • p
    0.79068
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.50593
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.08327
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.43963
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03284
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.81766
  • Upside Potential Ratio
    0.49475
  • Upside part of mean
    0.17960
  • Downside part of mean
    -0.83943
  • Upside SD
    0.17011
  • Downside SD
    0.36301
  • N nonnegative terms
    2.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.33198
  • Mean of criterion
    -0.65983
  • SD of predictor
    0.26853
  • SD of criterion
    0.36297
  • Covariance
    -0.04692
  • r
    -0.48140
  • b (slope, estimate of beta)
    -0.65071
  • a (intercept, estimate of alpha)
    -0.44381
  • Mean Square Error
    0.10755
  • DF error
    16.00000
  • t(b)
    -2.19691
  • p(b)
    0.74070
  • t(a)
    -1.55588
  • p(a)
    0.68126
  • Lowerbound of 95% confidence interval for beta
    -1.27862
  • Upperbound of 95% confidence interval for beta
    -0.02281
  • Lowerbound of 95% confidence interval for alpha
    -1.04850
  • Upperbound of 95% confidence interval for alpha
    0.16089
  • Treynor index (mean / b)
    1.01401
  • Jensen alpha (a)
    -0.44381
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20335
  • Expected Shortfall on VaR
    0.23691
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.19216
  • Expected Shortfall on VaR
    0.27029
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.77099
  • Quartile 1
    0.90598
  • Median
    0.96015
  • Quartile 3
    0.99175
  • Maximum
    1.21735
  • Mean of quarter 1
    0.83953
  • Mean of quarter 2
    0.94249
  • Mean of quarter 3
    0.97941
  • Mean of quarter 4
    1.05608
  • Inter Quartile Range
    0.08577
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05556
  • Mean of outliers low
    0.77099
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.05556
  • Mean of outliers high
    1.21735
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.88979
  • VaR(95%) (moments method)
    0.18232
  • Expected Shortfall (moments method)
    0.19632
  • Extreme Value Index (regression method)
    -0.95606
  • VaR(95%) (regression method)
    0.21222
  • Expected Shortfall (regression method)
    0.22631
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.61244
  • Quartile 1
    0.61244
  • Median
    0.61244
  • Quartile 3
    0.61244
  • Maximum
    0.61244
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    -0.40829
  • Compounded annual return (geometric extrapolation)
    -0.46843
  • Calmar ratio (compounded annual return / max draw down)
    -0.76486
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.97727
  • 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
    -0.44284
  • SD
    0.54024
  • Sharpe ratio (Glass type estimate)
    -0.81972
  • Sharpe ratio (Hedges UMVUE)
    -0.81820
  • df
    404.00000
  • t
    -1.01916
  • p
    0.84563
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.39668
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.75818
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.39562
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.75923
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.23646
  • Upside Potential Ratio
    5.71323
  • Upside part of mean
    2.04620
  • Downside part of mean
    -2.48904
  • Upside SD
    0.40449
  • Downside SD
    0.35815
  • N nonnegative terms
    162.00000
  • N negative terms
    243.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    405.00000
  • Mean of predictor
    0.39726
  • Mean of criterion
    -0.44284
  • SD of predictor
    0.27181
  • SD of criterion
    0.54024
  • Covariance
    -0.08410
  • r
    -0.57274
  • b (slope, estimate of beta)
    -1.13832
  • a (intercept, estimate of alpha)
    0.00900
  • Mean Square Error
    0.19660
  • DF error
    403.00000
  • t(b)
    -14.02600
  • p(b)
    1.00000
  • t(a)
    0.02617
  • p(a)
    0.48957
  • Lowerbound of 95% confidence interval for beta
    -1.29787
  • Upperbound of 95% confidence interval for beta
    -0.97878
  • Lowerbound of 95% confidence interval for alpha
    -0.69458
  • Upperbound of 95% confidence interval for alpha
    0.71332
  • Treynor index (mean / b)
    0.38903
  • Jensen alpha (a)
    0.00937
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.58553
  • SD
    0.53144
  • Sharpe ratio (Glass type estimate)
    -1.10178
  • Sharpe ratio (Hedges UMVUE)
    -1.09973
  • df
    404.00000
  • t
    -1.36984
  • p
    0.91425
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.67940
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.47710
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.67797
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47851
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.56772
  • Upside Potential Ratio
    5.27739
  • Upside part of mean
    1.97106
  • Downside part of mean
    -2.55658
  • Upside SD
    0.37887
  • Downside SD
    0.37349
  • N nonnegative terms
    162.00000
  • N negative terms
    243.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    405.00000
  • Mean of predictor
    0.36009
  • Mean of criterion
    -0.58553
  • SD of predictor
    0.27192
  • SD of criterion
    0.53144
  • Covariance
    -0.08349
  • r
    -0.57773
  • b (slope, estimate of beta)
    -1.12910
  • a (intercept, estimate of alpha)
    -0.17895
  • Mean Square Error
    0.18863
  • DF error
    403.00000
  • t(b)
    -14.20900
  • p(b)
    1.00000
  • t(a)
    -0.51055
  • p(a)
    0.69503
  • Lowerbound of 95% confidence interval for beta
    -1.28532
  • Upperbound of 95% confidence interval for beta
    -0.97289
  • Lowerbound of 95% confidence interval for alpha
    -0.86797
  • Upperbound of 95% confidence interval for alpha
    0.51008
  • Treynor index (mean / b)
    0.51858
  • Jensen alpha (a)
    -0.17895
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05469
  • Expected Shortfall on VaR
    0.06750
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02432
  • Expected Shortfall on VaR
    0.04917
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    405.00000
  • Minimum
    0.85791
  • Quartile 1
    0.99144
  • Median
    0.99902
  • Quartile 3
    1.00356
  • Maximum
    1.25113
  • Mean of quarter 1
    0.96660
  • Mean of quarter 2
    0.99604
  • Mean of quarter 3
    1.00083
  • Mean of quarter 4
    1.03051
  • Inter Quartile Range
    0.01211
  • Number outliers low
    47.00000
  • Percentage of outliers low
    0.11605
  • Mean of outliers low
    0.94433
  • Number of outliers high
    41.00000
  • Percentage of outliers high
    0.10124
  • Mean of outliers high
    1.06105
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.58294
  • VaR(95%) (moments method)
    0.03290
  • Expected Shortfall (moments method)
    0.08885
  • Extreme Value Index (regression method)
    0.21857
  • VaR(95%) (regression method)
    0.02731
  • Expected Shortfall (regression method)
    0.04496
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00048
  • Quartile 1
    0.00182
  • Median
    0.00317
  • Quartile 3
    0.34715
  • Maximum
    0.69112
  • Mean of quarter 1
    0.00048
  • Mean of quarter 2
    0.00317
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.69112
  • Inter Quartile Range
    0.34532
  • 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)
    -0.37370
  • Compounded annual return (geometric extrapolation)
    -0.42743
  • Calmar ratio (compounded annual return / max draw down)
    -0.61846
  • Compounded annual return / average of 25% largest draw downs
    -0.61846
  • Compounded annual return / Expected Shortfall lognormal
    -6.33241
  • 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
    -1.41056
  • SD
    0.82679
  • Sharpe ratio (Glass type estimate)
    -1.70607
  • Sharpe ratio (Hedges UMVUE)
    -1.69621
  • df
    130.00000
  • t
    -1.20638
  • p
    0.55261
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.48236
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.07663
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.47567
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.08325
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.34461
  • Upside Potential Ratio
    6.88881
  • Upside part of mean
    4.14445
  • Downside part of mean
    -5.55501
  • Upside SD
    0.56922
  • Downside SD
    0.60162
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.92318
  • Mean of criterion
    -1.41056
  • SD of predictor
    0.39394
  • SD of criterion
    0.82679
  • Covariance
    -0.19697
  • r
    -0.60473
  • b (slope, estimate of beta)
    -1.26919
  • a (intercept, estimate of alpha)
    -0.23888
  • Mean Square Error
    0.43696
  • DF error
    129.00000
  • t(b)
    -8.62404
  • p(b)
    0.86003
  • t(a)
    -0.25287
  • p(a)
    0.51417
  • Lowerbound of 95% confidence interval for beta
    -1.56037
  • Upperbound of 95% confidence interval for beta
    -0.97801
  • Lowerbound of 95% confidence interval for alpha
    -2.10790
  • Upperbound of 95% confidence interval for alpha
    1.63015
  • Treynor index (mean / b)
    1.11139
  • Jensen alpha (a)
    -0.23888
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.75331
  • SD
    0.82495
  • Sharpe ratio (Glass type estimate)
    -2.12535
  • Sharpe ratio (Hedges UMVUE)
    -2.11307
  • df
    130.00000
  • t
    -1.50285
  • p
    0.56534
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.90518
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.66247
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.89675
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.67061
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.78726
  • Upside Potential Ratio
    6.34789
  • Upside part of mean
    3.99312
  • Downside part of mean
    -5.74643
  • Upside SD
    0.53980
  • Downside SD
    0.62905
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.84463
  • Mean of criterion
    -1.75331
  • SD of predictor
    0.39402
  • SD of criterion
    0.82495
  • Covariance
    -0.19697
  • r
    -0.60597
  • b (slope, estimate of beta)
    -1.26871
  • a (intercept, estimate of alpha)
    -0.68173
  • Mean Square Error
    0.43399
  • DF error
    129.00000
  • t(b)
    -8.65185
  • p(b)
    0.86065
  • t(a)
    -0.72536
  • p(a)
    0.54055
  • VAR (95 Confidence Intrvl)
    0.05500
  • Lowerbound of 95% confidence interval for beta
    -1.55884
  • Upperbound of 95% confidence interval for beta
    -0.97858
  • Lowerbound of 95% confidence interval for alpha
    -2.54125
  • Upperbound of 95% confidence interval for alpha
    1.17779
  • Treynor index (mean / b)
    1.38197
  • Jensen alpha (a)
    -0.68173
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08655
  • Expected Shortfall on VaR
    0.10564
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05532
  • Expected Shortfall on VaR
    0.09584
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.85791
  • Quartile 1
    0.96503
  • Median
    0.99472
  • Quartile 3
    1.01991
  • Maximum
    1.19015
  • Mean of quarter 1
    0.93452
  • Mean of quarter 2
    0.98211
  • Mean of quarter 3
    1.00498
  • Mean of quarter 4
    1.05759
  • Inter Quartile Range
    0.05488
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.86365
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.13674
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14484
  • VaR(95%) (moments method)
    0.07016
  • Expected Shortfall (moments method)
    0.09813
  • Extreme Value Index (regression method)
    -0.03978
  • VaR(95%) (regression method)
    0.06006
  • Expected Shortfall (regression method)
    0.07383
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.69032
  • Quartile 1
    0.69032
  • Median
    0.69032
  • Quartile 3
    0.69032
  • Maximum
    0.69032
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -334777000
  • Max Equity Drawdown (num days)
    1937
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.15596
  • Compounded annual return (geometric extrapolation)
    -0.82190
  • Calmar ratio (compounded annual return / max draw down)
    -1.19061
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -7.78052

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2018-10-15
Suggested Minimum Capital
$15,000
# Trades
163
# Profitable
96
% Profitable
58.9%
Net Dividends
($3,676)
Correlation S&P500
-0.570
Sharpe Ratio
-0.39
Sortino Ratio
-0.54
Beta
-1.05
Alpha
-0.01
Leverage
1.43 Average
1.93 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

#PERSONNAME#
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.