Collective2 Collective2
Featured Strategy Gold and Silver +133.9% Cumul. Return since Jan 14, 2025 Hypothetical

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


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CROOT by FDG
(135199482)

Creato da: FDominguez FDominguez
Started: 04/2021
Stocks
Last trade: 350 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 $59.00 per month.

C2Star

C2Star è un programma di certificazione per le strategie di trading. Per diventare "Certificato C2Star", una strategia deve applicare controlli di rischio rigorosi e deve mostrare caratteristiche di performance eccellenti, tra cui riduzioni limitate.

Puoi leggere di più sui requisiti di certificazione C2Star qui.

Nota che: tutte le strategie di trading comportano rischi e la certificazione C2Star non implica che una strategia sia a basso rischio.


6.6%
Annual Return (Compounded)

Calcolo del rendimento

Panoramica

Per conformarsi alle normative NFA, mostriamo il tasso di rendimento cumulativo per le strategie con un track record inferiore a un anno. Per le strategie con track record più lunghi, mostriamo il tasso di rendimento annuale (composto).

Come si calcola il tasso di rendimento annuale (composto)

= ((Patrimonio_finale / Patrimonio_iniziale) ^ (1 / anni)) - 1

Ricorda che, in base ai requisiti NFA, i costi di abbonamento alle strategie e le commissioni stimate sono inclusi nei calcoli del patrimonio valutato a mercato.

Tutti i risultati sono ipotetici.

(20.2%)
Max Drawdown
348
Num Trades
56.6%
Win Trades
1.7 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                     (0.6%)+1.1%+7.9%+2.0%+1.1%(2.5%)+2.4%(2.6%)+2.4%+11.1%
2022(8.9%)(0.1%)+1.3%(1.7%)(0.2%)+0.1%+0.6%(0.5%)(0.5%)(0.3%)+1.1%+0.2%(8.9%)
2023+0.4%(0.8%)+2.0%+3.1%(0.8%)+17.7%+4.6%(1.2%)(1.2%)(2.3%)+1.5%+0.4%+24.4%
2024(0.6%)+9.4%+0.7%(4.4%)(0.9%)+1.2%(1.7%)(0.5%)+0.4%(1.4%)+1.0%(0.5%)+2.2%
2025  -  (0.6%)(2.5%)(1.1%)+3.9%+2.4%+0.8%+0.5%(0.2%)                  +3.0%


Dettagli Account Modello

Una strategia di trading su Collective2. Seguila nel tuo account di brokeraggio o utilizza un account di trading simulato gratuito.

Gli utenti avanzati potrebbero voler utilizzare queste informazioni per regolare il loro AutoTrade scaling o semplicemente per comprendere le grandezze del grafico vicino.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 1 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/22/24 15:59 JD JD.COM INC LONG 437 30.28 9/24 9:30 28.39 1.7%
Trade id #148229508
Max drawdown($1,121)
Time6/28/24 0:00
Quant open248
Worst price25.75
Drawdown as % of equity-1.70%
 ($835)
Includes Typical Broker Commissions trade costs of $8.74
5/22/24 15:59 ODFL OLD DOMINION FREIGHT LNS LONG 23 173.55 7/18 15:59 180.90 0.07%
Trade id #148229486
Max drawdown($48)
Time6/6/24 0:00
Quant open7
Worst price165.49
Drawdown as % of equity-0.07%
 $169
Includes Typical Broker Commissions trade costs of $0.46
5/29/24 15:59 BMI BADGER METER LONG 11 190.11 7/18 15:59 193.45 0.1%
Trade id #148282957
Max drawdown($64)
Time6/10/24 0:00
Quant open9
Worst price183.79
Drawdown as % of equity-0.10%
 $37
Includes Typical Broker Commissions trade costs of $0.22
6/7/24 15:59 UTSL DIREXION DAILY UTILITIES BULL 3X LONG 39 26.59 7/18 15:59 26.52 0.14%
Trade id #148361226
Max drawdown($95)
Time7/1/24 0:00
Quant open39
Worst price24.15
Drawdown as % of equity-0.14%
 ($4)
Includes Typical Broker Commissions trade costs of $0.78
5/28/24 15:59 PG PROCTER & GAMBLE LONG 53 165.77 7/18 15:59 166.96 0.15%
Trade id #148274330
Max drawdown($101)
Time7/2/24 0:00
Quant open25
Worst price161.71
Drawdown as % of equity-0.15%
 $63
Includes Typical Broker Commissions trade costs of $1.06
5/28/24 15:59 UNH UNITEDHEALTH GROUP LONG 21 497.62 7/18 15:59 511.91 0.59%
Trade id #148274334
Max drawdown($385)
Time5/29/24 0:00
Quant open13
Worst price473.27
Drawdown as % of equity-0.59%
 $300
Includes Typical Broker Commissions trade costs of $0.42
6/13/24 15:59 ETSY ETSY INC. COMMON STOCK LONG 24 59.84 7/18 15:59 62.31 0.13%
Trade id #148403719
Max drawdown($85)
Time7/8/24 0:00
Quant open18
Worst price55.08
Drawdown as % of equity-0.13%
 $59
Includes Typical Broker Commissions trade costs of $0.48
6/24/24 15:59 NVDA NVIDIA LONG 36 121.28 7/18 15:59 123.66 0.13%
Trade id #148487907
Max drawdown($85)
Time7/18/24 11:24
Quant open18
Worst price116.56
Drawdown as % of equity-0.13%
 $85
Includes Typical Broker Commissions trade costs of $0.72
6/18/24 15:59 SH PROSHARES SHORT S&P500 LONG 585 11.40 7/1 15:59 11.38 0.11%
Trade id #148442791
Max drawdown($69)
Time6/28/24 0:00
Quant open585
Worst price11.28
Drawdown as % of equity-0.11%
 ($19)
Includes Typical Broker Commissions trade costs of $8.35
6/24/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 65 71.94 6/28 15:59 74.54 n/a $168
Includes Typical Broker Commissions trade costs of $1.30
6/27/24 15:59 WSM WILLIAMS-SONOMA LONG 5 286.67 6/28 15:59 281.68 0.05%
Trade id #148522758
Max drawdown($32)
Time6/28/24 15:34
Quant open5
Worst price280.19
Drawdown as % of equity-0.05%
 ($25)
Includes Typical Broker Commissions trade costs of $0.10
6/13/24 15:59 FOXA FOX CORP CLASS A LONG 45 33.34 6/26 15:59 33.88 0.03%
Trade id #148403725
Max drawdown($18)
Time6/14/24 0:00
Quant open45
Worst price32.93
Drawdown as % of equity-0.03%
 $24
Includes Typical Broker Commissions trade costs of $0.90
6/24/24 15:59 META META PLATFORMS INC. CLASS A LONG 2 498.93 6/26 15:59 513.02 0.01%
Trade id #148487916
Max drawdown($6)
Time6/25/24 0:00
Quant open2
Worst price495.50
Drawdown as % of equity-0.01%
 $28
Includes Typical Broker Commissions trade costs of $0.04
5/28/24 15:59 SQ BLOCK INC LONG 133 64.69 6/25 15:59 63.97 0.23%
Trade id #148274332
Max drawdown($151)
Time6/17/24 0:00
Quant open40
Worst price60.90
Drawdown as % of equity-0.23%
 ($99)
Includes Typical Broker Commissions trade costs of $2.66
5/28/24 15:59 XLE ENERGY SELECT SECTOR SPDR LONG 5 92.26 6/25 15:59 91.44 0.04%
Trade id #148274339
Max drawdown($23)
Time6/17/24 0:00
Quant open5
Worst price87.60
Drawdown as % of equity-0.04%
 ($4)
Includes Typical Broker Commissions trade costs of $0.10
6/10/24 15:59 MCD MCDONALD'S LONG 8 253.59 6/21 15:59 257.37 0.02%
Trade id #148375342
Max drawdown($12)
Time6/18/24 0:00
Quant open3
Worst price249.35
Drawdown as % of equity-0.02%
 $30
Includes Typical Broker Commissions trade costs of $0.16
6/14/24 15:59 ZS ZSCALER INC. COMMON STOCK LONG 8 184.31 6/21 15:59 179.51 0.1%
Trade id #148413413
Max drawdown($64)
Time6/21/24 9:45
Quant open8
Worst price176.24
Drawdown as % of equity-0.10%
 ($38)
Includes Typical Broker Commissions trade costs of $0.16
6/20/24 15:59 LYFT LYFT INC. CLASS A COMMON STOCK LONG 131 13.76 6/21 15:59 13.44 0.11%
Trade id #148462635
Max drawdown($74)
Time6/21/24 15:09
Quant open131
Worst price13.19
Drawdown as % of equity-0.11%
 ($45)
Includes Typical Broker Commissions trade costs of $2.62
6/12/24 15:59 AXP AMERICAN EXPRESS LONG 7 224.00 6/18 15:59 229.04 0.03%
Trade id #148394016
Max drawdown($22)
Time6/13/24 0:00
Quant open7
Worst price220.74
Drawdown as % of equity-0.03%
 $35
Includes Typical Broker Commissions trade costs of $0.14
5/28/24 15:59 GOOG ALPHABET INC CLASS C LONG 14 176.37 6/17 15:59 177.76 0.03%
Trade id #148274312
Max drawdown($20)
Time5/31/24 0:00
Quant open3
Worst price170.97
Drawdown as % of equity-0.03%
 $20
Includes Typical Broker Commissions trade costs of $0.28
5/28/24 15:59 EEM ISHARES MSCI EMERGING MARKETS LONG 24 42.96 6/6 15:59 42.53 0.06%
Trade id #148274308
Max drawdown($37)
Time6/4/24 0:00
Quant open24
Worst price41.41
Drawdown as % of equity-0.06%
 ($10)
Includes Typical Broker Commissions trade costs of $0.48
5/31/24 15:59 MRK MERCK LONG 50 125.43 6/6 15:59 128.81 n/a $168
Includes Typical Broker Commissions trade costs of $1.00
5/28/24 15:59 EA ELECTRONIC ARTS LONG 16 132.09 6/5 15:59 136.75 0.06%
Trade id #148274349
Max drawdown($39)
Time5/31/24 0:00
Quant open13
Worst price129.08
Drawdown as % of equity-0.06%
 $75
Includes Typical Broker Commissions trade costs of $0.32
5/29/24 15:59 GOVT ISHARES U.S. TREASURY BOND ETF LONG 187 22.37 6/5 15:59 22.61 n/a $41
Includes Typical Broker Commissions trade costs of $3.74
5/30/24 15:59 SPY SPDR S&P 500 LONG 8 522.63 6/3 15:59 526.85 0.05%
Trade id #148294691
Max drawdown($34)
Time5/31/24 0:00
Quant open8
Worst price518.36
Drawdown as % of equity-0.05%
 $34
Includes Typical Broker Commissions trade costs of $0.16
5/31/24 15:59 GOOGL ALPHABET INC CLASS A LONG 22 172.49 6/3 15:59 172.98 0.04%
Trade id #148305007
Max drawdown($29)
Time6/3/24 12:34
Quant open22
Worst price171.16
Drawdown as % of equity-0.04%
 $11
Includes Typical Broker Commissions trade costs of $0.44
5/28/24 15:59 NOW SERVICENOW LONG 1 728.46 6/3 15:59 658.82 0.14%
Trade id #148274328
Max drawdown($90)
Time5/31/24 0:00
Quant open1
Worst price637.99
Drawdown as % of equity-0.14%
 ($70)
Includes Typical Broker Commissions trade costs of $0.02
5/31/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 5 62.34 6/3 15:59 62.90 0.01%
Trade id #148305052
Max drawdown($6)
Time6/3/24 13:11
Quant open5
Worst price60.96
Drawdown as % of equity-0.01%
 $3
Includes Typical Broker Commissions trade costs of $0.10
5/31/24 15:59 VTI VANGUARD TOTAL STOCK MARKET ET LONG 13 260.27 6/3 15:59 260.27 0.04%
Trade id #148305057
Max drawdown($28)
Time6/3/24 13:11
Quant open13
Worst price258.08
Drawdown as % of equity-0.04%
 $0
Includes Typical Broker Commissions trade costs of $0.26
5/22/24 15:59 META META PLATFORMS INC. CLASS A LONG 41 467.68 5/30 15:59 476.73 0.38%
Trade id #148229479
Max drawdown($251)
Time5/23/24 0:00
Quant open41
Worst price461.54
Drawdown as % of equity-0.38%
 $370
Includes Typical Broker Commissions trade costs of $0.82

Statistics

  • Strategy began
    4/17/2021
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1602.96
  • Age
    54 months ago
  • What it trades
    Stocks
  • # Trades
    348
  • # Profitable
    197
  • % Profitable
    56.60%
  • Avg trade duration
    32.5 days
  • Max peak-to-valley drawdown
    20.25%
  • drawdown period
    Oct 16, 2021 - June 20, 2022
  • Annual Return (Compounded)
    6.6%
  • Avg win
    $226.41
  • Avg loss
    $179.25
  • Model Account Values (Raw)
  • Cash
    $58,752
  • Margin Used
    $0
  • Buying Power
    $59,010
  • Ratios
  • W:L ratio
    1.70:1
  • Sharpe Ratio
    0.34
  • Sortino Ratio
    0.53
  • Calmar Ratio
    0.55
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -22.35%
  • Correlation to SP500
    0.33710
  • Return Percent SP500 (cumu) during strategy life
    55.60%
  • Return Statistics
  • Ann Return (w trading costs)
    6.6%
  • Slump
  • Current Slump as Pcnt Equity
    7.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.36%
  • 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)
    0.066%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    54.00%
  • Chance of 20% account loss
    24.00%
  • Chance of 30% account loss
    6.50%
  • 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
    98.07%
  • 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
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $179
  • Avg Win
    $226
  • Sum Trade PL (losers)
    $27,066.000
  • Age
  • Num Months filled monthly returns table
    54
  • Win / Loss
  • Sum Trade PL (winners)
    $44,602.000
  • # Winners
    197
  • Num Months Winners
    28
  • Dividends
  • Dividends Received in Model Acct
    1283
  • Win / Loss
  • # Losers
    151
  • % Winners
    56.6%
  • Frequency
  • Avg Position Time (mins)
    46843.40
  • Avg Position Time (hrs)
    780.72
  • Avg Trade Length
    32.5 days
  • Last Trade Ago
    402
  • Leverage
  • Daily leverage (average)
    0.79
  • Daily leverage (max)
    2.38
  • Regression
  • Alpha
    0.01
  • Beta
    0.26
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.38
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    3.349
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.430
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.170
  • Hold-and-Hope Ratio
    0.358
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05010
  • SD
    0.12757
  • Sharpe ratio (Glass type estimate)
    0.39273
  • Sharpe ratio (Hedges UMVUE)
    0.38583
  • df
    43.00000
  • t
    0.75201
  • p
    0.22807
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63643
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41737
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64097
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.41263
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.74366
  • Upside Potential Ratio
    2.41202
  • Upside part of mean
    0.16249
  • Downside part of mean
    -0.11239
  • Upside SD
    0.10758
  • Downside SD
    0.06737
  • N nonnegative terms
    25.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    44.00000
  • Mean of predictor
    0.05460
  • Mean of criterion
    0.05010
  • SD of predictor
    0.15248
  • SD of criterion
    0.12757
  • Covariance
    0.01004
  • r
    0.51624
  • b (slope, estimate of beta)
    0.43189
  • a (intercept, estimate of alpha)
    0.02652
  • Mean Square Error
    0.01222
  • DF error
    42.00000
  • t(b)
    3.90644
  • p(b)
    0.00017
  • t(a)
    0.45686
  • p(a)
    0.32506
  • Lowerbound of 95% confidence interval for beta
    0.20877
  • Upperbound of 95% confidence interval for beta
    0.65500
  • Lowerbound of 95% confidence interval for alpha
    -0.09062
  • Upperbound of 95% confidence interval for alpha
    0.14366
  • Treynor index (mean / b)
    0.11600
  • Jensen alpha (a)
    0.02652
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04220
  • SD
    0.12474
  • Sharpe ratio (Glass type estimate)
    0.33828
  • Sharpe ratio (Hedges UMVUE)
    0.33234
  • df
    43.00000
  • t
    0.64777
  • p
    0.26029
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68969
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.36237
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69362
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35831
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.61142
  • Upside Potential Ratio
    2.27011
  • Upside part of mean
    0.15667
  • Downside part of mean
    -0.11447
  • Upside SD
    0.10291
  • Downside SD
    0.06901
  • N nonnegative terms
    25.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    44.00000
  • Mean of predictor
    0.04285
  • Mean of criterion
    0.04220
  • SD of predictor
    0.15439
  • SD of criterion
    0.12474
  • Covariance
    0.00988
  • r
    0.51281
  • b (slope, estimate of beta)
    0.41432
  • a (intercept, estimate of alpha)
    0.02444
  • Mean Square Error
    0.01174
  • DF error
    42.00000
  • t(b)
    3.87116
  • p(b)
    0.00019
  • t(a)
    0.43052
  • p(a)
    0.33451
  • Lowerbound of 95% confidence interval for beta
    0.19833
  • Upperbound of 95% confidence interval for beta
    0.63031
  • Lowerbound of 95% confidence interval for alpha
    -0.09013
  • Upperbound of 95% confidence interval for alpha
    0.13901
  • Treynor index (mean / b)
    0.10185
  • Jensen alpha (a)
    0.02444
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05419
  • Expected Shortfall on VaR
    0.06823
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01961
  • Expected Shortfall on VaR
    0.03948
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    44.00000
  • Minimum
    0.93069
  • Quartile 1
    0.99338
  • Median
    1.00356
  • Quartile 3
    1.01001
  • Maximum
    1.10833
  • Mean of quarter 1
    0.96842
  • Mean of quarter 2
    0.99889
  • Mean of quarter 3
    1.00690
  • Mean of quarter 4
    1.05180
  • Inter Quartile Range
    0.01663
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.11364
  • Mean of outliers low
    0.95131
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.11364
  • Mean of outliers high
    1.09154
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.75413
  • VaR(95%) (moments method)
    0.02537
  • Expected Shortfall (moments method)
    0.02874
  • Extreme Value Index (regression method)
    -0.25733
  • VaR(95%) (regression method)
    0.03796
  • Expected Shortfall (regression method)
    0.04986
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00074
  • Quartile 1
    0.01174
  • Median
    0.02480
  • Quartile 3
    0.09937
  • Maximum
    0.11596
  • Mean of quarter 1
    0.00624
  • Mean of quarter 2
    0.02480
  • Mean of quarter 3
    0.09937
  • Mean of quarter 4
    0.11596
  • Inter Quartile Range
    0.08763
  • 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)
    0.07994
  • Compounded annual return (geometric extrapolation)
    0.07262
  • Calmar ratio (compounded annual return / max draw down)
    0.62622
  • Compounded annual return / average of 25% largest draw downs
    0.62622
  • Compounded annual return / Expected Shortfall lognormal
    1.06432
  • 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
    0.06820
  • SD
    0.13798
  • Sharpe ratio (Glass type estimate)
    0.49430
  • Sharpe ratio (Hedges UMVUE)
    0.49392
  • df
    970.00000
  • t
    0.95160
  • p
    0.17077
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.52413
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51254
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52441
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51225
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.77499
  • Upside Potential Ratio
    6.72780
  • Upside part of mean
    0.59207
  • Downside part of mean
    -0.52387
  • Upside SD
    0.10626
  • Downside SD
    0.08800
  • N nonnegative terms
    470.00000
  • N negative terms
    501.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    971.00000
  • Mean of predictor
    0.10732
  • Mean of criterion
    0.06820
  • SD of predictor
    0.18127
  • SD of criterion
    0.13798
  • Covariance
    0.00846
  • r
    0.33843
  • b (slope, estimate of beta)
    0.25761
  • a (intercept, estimate of alpha)
    0.04100
  • Mean Square Error
    0.01687
  • DF error
    969.00000
  • t(b)
    11.19560
  • p(b)
    -0.00000
  • t(a)
    0.60063
  • p(a)
    0.27411
  • Lowerbound of 95% confidence interval for beta
    0.21245
  • Upperbound of 95% confidence interval for beta
    0.30276
  • Lowerbound of 95% confidence interval for alpha
    -0.09195
  • Upperbound of 95% confidence interval for alpha
    0.17306
  • Treynor index (mean / b)
    0.26475
  • Jensen alpha (a)
    0.04056
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05879
  • SD
    0.13679
  • Sharpe ratio (Glass type estimate)
    0.42978
  • Sharpe ratio (Hedges UMVUE)
    0.42944
  • df
    970.00000
  • t
    0.82737
  • p
    0.20411
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58860
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.44795
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58883
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44772
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.65976
  • Upside Potential Ratio
    6.58227
  • Upside part of mean
    0.58654
  • Downside part of mean
    -0.52775
  • Upside SD
    0.10376
  • Downside SD
    0.08911
  • N nonnegative terms
    470.00000
  • N negative terms
    501.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    971.00000
  • Mean of predictor
    0.09088
  • Mean of criterion
    0.05879
  • SD of predictor
    0.18125
  • SD of criterion
    0.13679
  • Covariance
    0.00842
  • r
    0.33981
  • b (slope, estimate of beta)
    0.25646
  • a (intercept, estimate of alpha)
    0.03548
  • Mean Square Error
    0.01657
  • DF error
    969.00000
  • t(b)
    11.24710
  • p(b)
    -0.00000
  • t(a)
    0.53041
  • p(a)
    0.29797
  • Lowerbound of 95% confidence interval for beta
    0.21172
  • Upperbound of 95% confidence interval for beta
    0.30121
  • Lowerbound of 95% confidence interval for alpha
    -0.09579
  • Upperbound of 95% confidence interval for alpha
    0.16676
  • Treynor index (mean / b)
    0.22923
  • Jensen alpha (a)
    0.03548
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01358
  • Expected Shortfall on VaR
    0.01706
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00459
  • Expected Shortfall on VaR
    0.00995
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    971.00000
  • Minimum
    0.94505
  • Quartile 1
    0.99879
  • Median
    1.00004
  • Quartile 3
    1.00197
  • Maximum
    1.09945
  • Mean of quarter 1
    0.99265
  • Mean of quarter 2
    0.99958
  • Mean of quarter 3
    1.00085
  • Mean of quarter 4
    1.00840
  • Inter Quartile Range
    0.00318
  • Number outliers low
    90.00000
  • Percentage of outliers low
    0.09269
  • Mean of outliers low
    0.98506
  • Number of outliers high
    91.00000
  • Percentage of outliers high
    0.09372
  • Mean of outliers high
    1.01577
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.71812
  • VaR(95%) (moments method)
    0.00623
  • Expected Shortfall (moments method)
    0.02492
  • Extreme Value Index (regression method)
    0.33744
  • VaR(95%) (regression method)
    0.00556
  • Expected Shortfall (regression method)
    0.01084
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00095
  • Quartile 1
    0.00360
  • Median
    0.01232
  • Quartile 3
    0.02823
  • Maximum
    0.16453
  • Mean of quarter 1
    0.00215
  • Mean of quarter 2
    0.00756
  • Mean of quarter 3
    0.01975
  • Mean of quarter 4
    0.07990
  • Inter Quartile Range
    0.02463
  • 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
    0.09524
  • Mean of outliers high
    0.14795
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.72963
  • VaR(95%) (moments method)
    0.09133
  • Expected Shortfall (moments method)
    0.34182
  • Extreme Value Index (regression method)
    2.04719
  • VaR(95%) (regression method)
    0.07811
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10225
  • Compounded annual return (geometric extrapolation)
    0.09057
  • Calmar ratio (compounded annual return / max draw down)
    0.55045
  • Compounded annual return / average of 25% largest draw downs
    1.13353
  • Compounded annual return / Expected Shortfall lognormal
    5.31003
  • 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
    0.03168
  • SD
    0.09792
  • Sharpe ratio (Glass type estimate)
    0.32354
  • Sharpe ratio (Hedges UMVUE)
    0.32167
  • df
    130.00000
  • t
    0.22878
  • p
    0.48997
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.44915
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09502
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.45041
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09375
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.45629
  • Upside Potential Ratio
    7.40281
  • Upside part of mean
    0.51397
  • Downside part of mean
    -0.48229
  • Upside SD
    0.06854
  • Downside SD
    0.06943
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33924
  • Mean of criterion
    0.03168
  • SD of predictor
    0.23959
  • SD of criterion
    0.09792
  • Covariance
    0.01755
  • r
    0.74822
  • b (slope, estimate of beta)
    0.30579
  • a (intercept, estimate of alpha)
    -0.07206
  • Mean Square Error
    0.00425
  • DF error
    129.00000
  • t(b)
    12.80890
  • p(b)
    0.07290
  • t(a)
    -0.77829
  • p(a)
    0.54349
  • Lowerbound of 95% confidence interval for beta
    0.25856
  • Upperbound of 95% confidence interval for beta
    0.35302
  • Lowerbound of 95% confidence interval for alpha
    -0.25523
  • Upperbound of 95% confidence interval for alpha
    0.11112
  • Treynor index (mean / b)
    0.10360
  • Jensen alpha (a)
    -0.07206
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02692
  • SD
    0.09787
  • Sharpe ratio (Glass type estimate)
    0.27506
  • Sharpe ratio (Hedges UMVUE)
    0.27347
  • df
    130.00000
  • t
    0.19450
  • p
    0.49147
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.49743
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.04659
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.49854
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.04548
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.38479
  • Upside Potential Ratio
    7.31241
  • Upside part of mean
    0.51160
  • Downside part of mean
    -0.48468
  • Upside SD
    0.06793
  • Downside SD
    0.06996
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31062
  • Mean of criterion
    0.02692
  • SD of predictor
    0.23903
  • SD of criterion
    0.09787
  • Covariance
    0.01743
  • r
    0.74492
  • b (slope, estimate of beta)
    0.30502
  • a (intercept, estimate of alpha)
    -0.06783
  • Mean Square Error
    0.00430
  • DF error
    129.00000
  • t(b)
    12.68170
  • p(b)
    0.07430
  • t(a)
    -0.72929
  • p(a)
    0.54077
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    0.25743
  • Upperbound of 95% confidence interval for beta
    0.35261
  • Lowerbound of 95% confidence interval for alpha
    -0.25183
  • Upperbound of 95% confidence interval for alpha
    0.11618
  • Treynor index (mean / b)
    0.08826
  • Jensen alpha (a)
    -0.06783
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00979
  • Expected Shortfall on VaR
    0.01229
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00391
  • Expected Shortfall on VaR
    0.00822
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97461
  • Quartile 1
    0.99831
  • Median
    1.00044
  • Quartile 3
    1.00246
  • Maximum
    1.03152
  • Mean of quarter 1
    0.99333
  • Mean of quarter 2
    0.99962
  • Mean of quarter 3
    1.00139
  • Mean of quarter 4
    1.00661
  • Inter Quartile Range
    0.00415
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.98604
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.01587
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17612
  • VaR(95%) (moments method)
    0.00563
  • Expected Shortfall (moments method)
    0.00887
  • Extreme Value Index (regression method)
    -0.14908
  • VaR(95%) (regression method)
    0.00596
  • Expected Shortfall (regression method)
    0.00789
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00654
  • Quartile 1
    0.00815
  • Median
    0.01579
  • Quartile 3
    0.03062
  • Maximum
    0.06146
  • Mean of quarter 1
    0.00707
  • Mean of quarter 2
    0.01225
  • Mean of quarter 3
    0.02875
  • Mean of quarter 4
    0.04697
  • Inter Quartile Range
    0.02247
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -545788000
  • Max Equity Drawdown (num days)
    247
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05559
  • Compounded annual return (geometric extrapolation)
    0.05636
  • Calmar ratio (compounded annual return / max draw down)
    0.91705
  • Compounded annual return / average of 25% largest draw downs
    1.19991
  • Compounded annual return / Expected Shortfall lognormal
    4.58535

Strategy Description

Trade this strategy at Tradier

Summary Statistics


Strategy began
2021-04-17
Suggested Minimum Capital
$15,000
# Trades
348
# Profitable
197
% Profitable
56.6%
Net Dividends
$1,283
Correlation S&P500
0.337
Sharpe Ratio
0.34
Sortino Ratio
0.53
Beta
0.26
Alpha
0.01
Leverage
0.79 Average
2.38 Maximum

Sommario
Leva finanziaria più alta = maggiore rischio.

Ulteriori informazioni sulla leva finanziaria

Collective2 calcola la leva finanziaria massima utilizzata da una strategia in ogni giorno. Mostriamo quindi la media di queste misurazioni (cioè la media della leva finanziaria massima giornaliera) e la più grande di queste misurazioni (leva finanziaria massima giornaliera).

La leva finanziaria è il rapporto tra il valore nozionale totale controllato da una strategia e il patrimonio del Model Account. Generalmente, una leva finanziaria più alta implica un rischio maggiore.

Esempio di calcolo:
La Strategia acquista 100 azioni a $12 per azione.
Il patrimonio del Model Account durante quel giorno è di $5.000.
La leva finanziaria è: $1200 / $5.000 = 0,24

Questa è una misurazione utile, ma deve essere considerata nel contesto. Questa misurazione non tiene conto di fattori importanti, come quando si detengono più posizioni che sono inversamente correlate. Né la misurazione tiene conto della volatilità degli strumenti detenuti.

Inoltre, alcune classi di attività sono per loro natura più leveraged di altre. Ad esempio, i contratti futures sono altamente leveraged. Le posizioni Forex sono spesso ancora più leveraged dei futures.

Latest Activity

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Trade journal

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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.



Riguardo ai risultati che vedi su questo sito web

I risultati passati non sono necessariamente indicativi dei risultati futuri.

Questi risultati si basano su performance simulate o ipotetiche che presentano alcune limitazioni intrinseche. A differenza dei risultati mostrati in un registro delle prestazioni effettive, questi risultati non rappresentano trading effettivo. Inoltre, poiché queste operazioni non sono state effettivamente eseguite, questi risultati potrebbero aver sotto o sovrastimato l'impatto, se presente, di alcuni fattori di mercato, come la mancanza di liquidità. I programmi di trading simulati o ipotetici in generale sono soggetti anche al fatto che sono progettati con il beneficio del senno di poi. Non viene fatta alcuna rappresentazione che qualsiasi conto raggiungerà o sarà probabile ottenere profitti o perdite simili a quelli mostrati.

Inoltre, il trading ipotetico non comporta rischio finanziario e nessun record di trading ipotetico può tener conto completamente dell'impatto del rischio finanziario nel trading effettivo. Ad esempio, la capacità di sopportare perdite o di attenersi a un particolare programma di trading nonostante le perdite commerciali sono punti materiali che possono influire negativamente sui risultati del trading effettivo. Ci sono numerosi altri fattori legati ai mercati in generale o all'attuazione di qualsiasi specifico programma di trading, che non possono essere pienamente contabilizzati nella preparazione dei risultati delle prestazioni ipotetiche e tutti i quali possono influire negativamente sui risultati del trading effettivo.

Ipotesi e metodi materiali utilizzati nel calcolo dei risultati

Le seguenti sono ipotesi materiali utilizzate nel calcolo di eventuali risultati mensili ipotetici che appaiono sul nostro sito web.

  • I profitti vengono reinvestiti. Presumiamo che i profitti (quando ci sono) vengano reinvestiti nella strategia di trading.
  • Dimensione dell'investimento iniziale. Per qualsiasi strategia di trading sul nostro sito, i risultati ipotetici si basano sull'ipotesi che tu abbia investito l'importo iniziale mostrato sul grafico delle prestazioni della strategia. In alcuni casi, gli importi nominali in dollari sul grafico del patrimonio sono stati ridimensionati verso il basso per rendere le dimensioni di trading attuali più gestibili. In questi casi, potrebbe non essere stato possibile scambiare la strategia storicamente ai livelli di patrimonio mostrati sul grafico e un capitale minimo più elevato era richiesto in passato.
  • Tutte le spese sono incluse. Nel calcolo dei rendimenti cumulativi, cerchiamo di stimare e includere tutte le spese che un tipico trader sostiene quando fa AutoTrading utilizzando la tecnologia AutoTrade. Ciò include il costo dell'abbonamento alla strategia, più eventuali commissioni per operazione di AutoTrade, più le commissioni di intermediazione stimate, se presenti.
  • Metodo di calcolo del "Max Drawdown". Calcoliamo la statistica Max Drawdown come segue. Il nostro software informatico esamina il grafico del patrimonio del sistema in questione e trova la percentuale più grande in cui il grafico del patrimonio diminuisce mai da un "picco" locale a un punto successivo nel tempo (quindi questo è formalmente chiamato "Massimo calo dal picco alla valle"). Sebbene queste informazioni siano utili nella valutazione dei sistemi di trading, dovresti tenere presente che le prestazioni passate non garantiscono risultati futuri. Pertanto, i cali futuri potrebbero essere maggiori rispetto ai massimi cali storici che vedi qui.

Il trading è rischioso

C'è un rischio sostanziale di perdita nel trading di futures e forex. Il trading online di azioni e opzioni è estremamente rischioso. Presumi che perderai denaro. Non fare trading con denaro che non puoi permetterti di perdere.

Va bene, capito.

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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.