Collective2 Collective2
Featured Strategy SK Trader Followed by live capital $39,700 Hypothetical

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Lista osservati Lista osservati

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


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Alkemy
(146853693)

Creato da: Entropy_Algorithmics Entropy_Algorithmics
Started: 01/2024
Stocks
Last trade: 7 days ago
Trading style: Equity Pairs Trading / Relative Value

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 $100.00 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.

Trading Category: Equity
Pairs Trading / Relative Value
Category: Equity

Pairs Trading / Relative Value

Seeks to exploit differences in the price or rate of the same or similar securities. The relative value fund trades on gaps, rather than the price of a specific security alone

23.8%
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.

(19.4%)
Max Drawdown
263
Num Trades
52.9%
Win Trades
1.5 : 1
Profit Factor
55.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024(2.4%)+17.9%+11.6%(11.9%)+9.7%(0.4%)(0.6%)+1.7%+3.9%(0.3%)+10.0%(7.9%)+31.2%
2025+7.2%(4.8%)(4.6%)+0.9%+3.8%+2.4%                                    +4.4%


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 174 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 207 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/9/25 9:30 SPY SPDR S&P 500 LONG 23 599.77 6/10 9:30 600.20 0.04%
Trade id #151958795
Max drawdown($29)
Time6/9/25 9:36
Quant open23
Worst price598.49
Drawdown as % of equity-0.04%
 $10
Includes Typical Broker Commissions trade costs of $0.46
5/22/25 9:30 SSO PROSHARES ULTRA S&P 500 LONG 748 88.93 6/9 9:30 90.57 0.95%
Trade id #151798855
Max drawdown($642)
Time5/23/25 0:00
Quant open296
Worst price85.06
Drawdown as % of equity-0.95%
 $1,214
Includes Typical Broker Commissions trade costs of $14.96
6/5/25 9:30 SPY SPDR S&P 500 LONG 46 596.75 6/9 9:30 598.89 0.39%
Trade id #151930615
Max drawdown($262)
Time6/5/25 15:19
Quant open46
Worst price591.05
Drawdown as % of equity-0.39%
 $97
Includes Typical Broker Commissions trade costs of $0.92
5/22/25 9:30 SPY SPDR S&P 500 LONG 92 585.53 6/4 9:30 593.84 0.24%
Trade id #151798969
Max drawdown($163)
Time5/23/25 0:00
Quant open23
Worst price575.60
Drawdown as % of equity-0.24%
 $763
Includes Typical Broker Commissions trade costs of $1.84
5/5/25 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 659 20.21 5/22 9:30 18.85 2.16%
Trade id #151619184
Max drawdown($1,429)
Time5/19/25 0:00
Quant open659
Worst price18.04
Drawdown as % of equity-2.16%
 ($901)
Includes Typical Broker Commissions trade costs of $5.00
5/20/25 9:30 SPY SPDR S&P 500 LONG 22 593.14 5/21 9:30 588.44 0.16%
Trade id #151774492
Max drawdown($103)
Time5/21/25 9:30
Quant open22
Worst price588.42
Drawdown as % of equity-0.16%
 ($103)
Includes Typical Broker Commissions trade costs of $0.44
5/9/25 9:30 SSO PROSHARES ULTRA S&P 500 LONG 161 82.73 5/16 9:30 89.92 0.26%
Trade id #151675216
Max drawdown($173)
Time5/9/25 10:39
Quant open161
Worst price81.65
Drawdown as % of equity-0.26%
 $1,155
Includes Typical Broker Commissions trade costs of $3.22
5/14/25 9:30 SPY SPDR S&P 500 LONG 44 586.86 5/16 9:30 589.42 0.1%
Trade id #151720721
Max drawdown($62)
Time5/15/25 0:00
Quant open22
Worst price585.10
Drawdown as % of equity-0.10%
 $112
Includes Typical Broker Commissions trade costs of $0.88
5/7/25 9:30 SH PROSHARES SHORT S&P500 LONG 296 43.97 5/12 9:30 42.35 0.73%
Trade id #151646302
Max drawdown($483)
Time5/12/25 9:30
Quant open296
Worst price42.33
Drawdown as % of equity-0.73%
 ($484)
Includes Typical Broker Commissions trade costs of $5.92
4/22/25 9:30 IBIT ISHARES BITCOIN TRUST LONG 732 52.64 5/8 9:30 55.53 n/a $2,095
Includes Typical Broker Commissions trade costs of $14.64
5/5/25 9:30 SSO PROSHARES ULTRA S&P 500 LONG 158 81.67 5/8 9:30 82.41 0.45%
Trade id #151619176
Max drawdown($298)
Time5/7/25 0:00
Quant open158
Worst price79.78
Drawdown as % of equity-0.45%
 $114
Includes Typical Broker Commissions trade costs of $3.16
5/2/25 9:48 SPY SPDR S&P 500 LONG 46 560.87 5/7 9:30 560.15 0.24%
Trade id #151602696
Max drawdown($157)
Time5/6/25 0:00
Quant open23
Worst price556.96
Drawdown as % of equity-0.24%
 ($34)
Includes Typical Broker Commissions trade costs of $0.92
4/25/25 9:30 SSO PROSHARES ULTRA S&P 500 LONG 315 77.30 5/2 9:31 80.42 0.43%
Trade id #151527211
Max drawdown($278)
Time4/25/25 10:31
Quant open315
Worst price76.42
Drawdown as % of equity-0.43%
 $977
Includes Typical Broker Commissions trade costs of $6.30
2/28/25 9:30 DBC INVESCO DB COMMODITY INDEX LONG 548 22.16 4/30 9:30 21.02 2.14%
Trade id #150978779
Max drawdown($1,265)
Time4/9/25 0:00
Quant open546
Worst price19.84
Drawdown as % of equity-2.14%
 ($638)
Includes Typical Broker Commissions trade costs of $10.96
3/28/25 9:30 VEA VANGUARD MSCI EAFE ETF LONG 116 51.62 4/29 9:30 51.69 0.63%
Trade id #151216644
Max drawdown($375)
Time4/8/25 0:00
Quant open58
Worst price45.14
Drawdown as % of equity-0.63%
 $6
Includes Typical Broker Commissions trade costs of $2.32
3/20/25 9:30 VWO VANGUARD FTSE EMERGING MARKETS LONG 130 45.96 4/29 9:30 44.34 1.41%
Trade id #151143362
Max drawdown($836)
Time4/8/25 0:00
Quant open130
Worst price39.53
Drawdown as % of equity-1.41%
 ($215)
Includes Typical Broker Commissions trade costs of $2.60
4/23/25 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 549 21.83 4/25 9:30 21.36 0.46%
Trade id #151497387
Max drawdown($296)
Time4/24/25 0:00
Quant open549
Worst price21.29
Drawdown as % of equity-0.46%
 ($263)
Includes Typical Broker Commissions trade costs of $5.00
4/23/25 11:32 SPY SPDR S&P 500 LONG 24 537.25 4/25 9:30 546.79 0.13%
Trade id #151500576
Max drawdown($80)
Time4/23/25 15:36
Quant open24
Worst price533.88
Drawdown as % of equity-0.13%
 $229
Includes Typical Broker Commissions trade costs of $0.48
4/15/25 9:30 SSO PROSHARES ULTRA S&P 500 LONG 498 73.61 4/24 9:30 72.79 2.73%
Trade id #151408616
Max drawdown($1,719)
Time4/16/25 0:00
Quant open317
Worst price70.20
Drawdown as % of equity-2.73%
 ($416)
Includes Typical Broker Commissions trade costs of $9.96
4/21/25 9:30 GLD SPDR GOLD SHARES LONG 10 315.01 4/22 9:30 317.49 0.02%
Trade id #151468206
Max drawdown($10)
Time4/21/25 9:35
Quant open10
Worst price313.94
Drawdown as % of equity-0.02%
 $25
Includes Typical Broker Commissions trade costs of $0.20
4/21/25 9:30 SPY SPDR S&P 500 LONG 23 521.33 4/22 9:30 520.10 0.48%
Trade id #151468285
Max drawdown($296)
Time4/21/25 14:06
Quant open23
Worst price508.46
Drawdown as % of equity-0.48%
 ($28)
Includes Typical Broker Commissions trade costs of $0.46
4/16/25 9:30 IBIT ISHARES BITCOIN TRUST LONG 264 47.59 4/21 9:30 49.63 0.1%
Trade id #151424751
Max drawdown($62)
Time4/16/25 14:00
Quant open264
Worst price47.35
Drawdown as % of equity-0.10%
 $534
Includes Typical Broker Commissions trade costs of $5.28
4/16/25 9:30 SPY SPDR S&P 500 LONG 23 531.78 4/17 9:30 527.81 0.42%
Trade id #151424846
Max drawdown($264)
Time4/16/25 15:27
Quant open23
Worst price520.29
Drawdown as % of equity-0.42%
 ($91)
Includes Typical Broker Commissions trade costs of $0.46
4/11/25 9:30 IBIT ISHARES BITCOIN TRUST LONG 546 46.63 4/15 9:30 48.55 0.4%
Trade id #151371285
Max drawdown($245)
Time4/11/25 10:28
Quant open546
Worst price46.18
Drawdown as % of equity-0.40%
 $1,038
Includes Typical Broker Commissions trade costs of $7.96
4/9/25 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 441 27.16 4/15 9:30 21.99 4.1%
Trade id #151334755
Max drawdown($2,511)
Time4/9/25 15:52
Quant open441
Worst price21.46
Drawdown as % of equity-4.10%
 ($2,289)
Includes Typical Broker Commissions trade costs of $8.82
4/14/25 9:30 SPY SPDR S&P 500 LONG 23 544.28 4/15 9:30 539.61 0.38%
Trade id #151394001
Max drawdown($239)
Time4/14/25 12:11
Quant open23
Worst price533.86
Drawdown as % of equity-0.38%
 ($107)
Includes Typical Broker Commissions trade costs of $0.46
4/1/25 9:30 SPY SPDR S&P 500 LONG 45 545.19 4/14 9:30 534.53 2.89%
Trade id #151244716
Max drawdown($1,742)
Time4/7/25 0:00
Quant open23
Worst price481.80
Drawdown as % of equity-2.89%
 ($481)
Includes Typical Broker Commissions trade costs of $0.90
3/28/25 9:30 GLD SPDR GOLD SHARES LONG 11 283.82 4/11 9:30 297.01 0.19%
Trade id #151216652
Max drawdown($112)
Time4/7/25 0:00
Quant open10
Worst price272.58
Drawdown as % of equity-0.19%
 $145
Includes Typical Broker Commissions trade costs of $0.22
4/9/25 9:30 IBIT ISHARES BITCOIN TRUST LONG 542 43.58 4/10 9:30 46.41 0.05%
Trade id #151334738
Max drawdown($27)
Time4/9/25 10:59
Quant open542
Worst price43.53
Drawdown as % of equity-0.05%
 $1,529
Includes Typical Broker Commissions trade costs of $5.00
4/3/25 9:30 SSO PROSHARES ULTRA S&P 500 LONG 313 69.53 4/10 9:30 72.72 3.94%
Trade id #151269752
Max drawdown($2,371)
Time4/7/25 0:00
Quant open134
Worst price60.84
Drawdown as % of equity-3.94%
 $993
Includes Typical Broker Commissions trade costs of $6.26

Successivo

Statistics

  • Strategy began
    1/1/2024
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    533.44
  • Age
    18 months ago
  • What it trades
    Stocks
  • # Trades
    263
  • # Profitable
    139
  • % Profitable
    52.90%
  • Avg trade duration
    12.8 days
  • Max peak-to-valley drawdown
    19.44%
  • drawdown period
    Dec 05, 2024 - April 07, 2025
  • Annual Return (Compounded)
    23.8%
  • Avg win
    $504.17
  • Avg loss
    $395.54
  • Model Account Values (Raw)
  • Cash
    $44,081
  • Margin Used
    $0
  • Buying Power
    $44,300
  • Ratios
  • W:L ratio
    1.48:1
  • Sharpe Ratio
    1.06
  • Sortino Ratio
    1.5
  • Calmar Ratio
    1.87
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    11.50%
  • Correlation to SP500
    0.46830
  • Return Percent SP500 (cumu) during strategy life
    25.43%
  • Return Statistics
  • Ann Return (w trading costs)
    23.8%
  • Slump
  • Current Slump as Pcnt Equity
    4.80%
  • 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)
    0.238%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    28.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    21.00%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    0.50%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    736
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    947
  • Popularity (7 days, Percentile 1000 scale)
    630
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $399
  • Avg Win
    $506
  • Sum Trade PL (losers)
    $49,475.000
  • Age
  • Num Months filled monthly returns table
    18
  • Win / Loss
  • Sum Trade PL (winners)
    $70,395.000
  • # Winners
    139
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    1224
  • Win / Loss
  • # Losers
    124
  • % Winners
    52.9%
  • Frequency
  • Avg Position Time (mins)
    18426.40
  • Avg Position Time (hrs)
    307.11
  • Avg Trade Length
    12.8 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.37
  • Daily leverage (max)
    2.13
  • Regression
  • Alpha
    0.04
  • Beta
    0.46
  • Treynor Index
    0.13
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.94
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    5.905
  • 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
    0.372
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.552
  • Hold-and-Hope Ratio
    0.163
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25281
  • SD
    0.25472
  • Sharpe ratio (Glass type estimate)
    0.99251
  • Sharpe ratio (Hedges UMVUE)
    0.94512
  • df
    16.00000
  • t
    1.18132
  • p
    0.35838
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70389
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.65943
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73382
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62406
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.88396
  • Upside Potential Ratio
    3.55262
  • Upside part of mean
    0.47673
  • Downside part of mean
    -0.22392
  • Upside SD
    0.21996
  • Downside SD
    0.13419
  • N nonnegative terms
    11.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.14347
  • Mean of criterion
    0.25281
  • SD of predictor
    0.18097
  • SD of criterion
    0.25472
  • Covariance
    0.03838
  • r
    0.83254
  • b (slope, estimate of beta)
    1.17185
  • a (intercept, estimate of alpha)
    0.08469
  • Mean Square Error
    0.02124
  • DF error
    15.00000
  • t(b)
    5.82068
  • p(b)
    0.04008
  • t(a)
    0.67321
  • p(a)
    0.39151
  • Lowerbound of 95% confidence interval for beta
    0.74273
  • Upperbound of 95% confidence interval for beta
    1.60096
  • Lowerbound of 95% confidence interval for alpha
    -0.18345
  • Upperbound of 95% confidence interval for alpha
    0.35283
  • Treynor index (mean / b)
    0.21574
  • Jensen alpha (a)
    0.08469
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22044
  • SD
    0.24915
  • Sharpe ratio (Glass type estimate)
    0.88477
  • Sharpe ratio (Hedges UMVUE)
    0.84253
  • df
    16.00000
  • t
    1.05309
  • p
    0.37270
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80302
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54605
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82984
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.51490
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.56687
  • Upside Potential Ratio
    3.22284
  • Upside part of mean
    0.45341
  • Downside part of mean
    -0.23297
  • Upside SD
    0.20659
  • Downside SD
    0.14069
  • N nonnegative terms
    11.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.12688
  • Mean of criterion
    0.22044
  • SD of predictor
    0.18229
  • SD of criterion
    0.24915
  • Covariance
    0.03837
  • r
    0.84474
  • b (slope, estimate of beta)
    1.15454
  • a (intercept, estimate of alpha)
    0.07395
  • Mean Square Error
    0.01896
  • DF error
    15.00000
  • t(b)
    6.11336
  • p(b)
    0.03585
  • t(a)
    0.62589
  • p(a)
    0.39887
  • Lowerbound of 95% confidence interval for beta
    0.75201
  • Upperbound of 95% confidence interval for beta
    1.55708
  • Lowerbound of 95% confidence interval for alpha
    -0.17789
  • Upperbound of 95% confidence interval for alpha
    0.32579
  • Treynor index (mean / b)
    0.19093
  • Jensen alpha (a)
    0.07395
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09510
  • Expected Shortfall on VaR
    0.12158
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03404
  • Expected Shortfall on VaR
    0.07094
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.88650
  • Quartile 1
    0.99049
  • Median
    1.02335
  • Quartile 3
    1.07082
  • Maximum
    1.18162
  • Mean of quarter 1
    0.94105
  • Mean of quarter 2
    1.00879
  • Mean of quarter 3
    1.04627
  • Mean of quarter 4
    1.11807
  • Inter Quartile Range
    0.08033
  • 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)
    -7.47771
  • VaR(95%) (moments method)
    0.03024
  • Expected Shortfall (moments method)
    0.03024
  • Extreme Value Index (regression method)
    -0.70743
  • VaR(95%) (regression method)
    0.10303
  • Expected Shortfall (regression method)
    0.11943
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00848
  • Quartile 1
    0.00925
  • Median
    0.04707
  • Quartile 3
    0.10112
  • Maximum
    0.15059
  • Mean of quarter 1
    0.00848
  • Mean of quarter 2
    0.00951
  • Mean of quarter 3
    0.08463
  • Mean of quarter 4
    0.15059
  • Inter Quartile Range
    0.09187
  • 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)
    0.29764
  • Compounded annual return (geometric extrapolation)
    0.28190
  • Calmar ratio (compounded annual return / max draw down)
    1.87203
  • Compounded annual return / average of 25% largest draw downs
    1.87203
  • Compounded annual return / Expected Shortfall lognormal
    2.31862
  • 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
    0.24586
  • SD
    0.17122
  • Sharpe ratio (Glass type estimate)
    1.43595
  • Sharpe ratio (Hedges UMVUE)
    1.43310
  • df
    378.00000
  • t
    1.72707
  • p
    0.04249
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19777
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.06784
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19969
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.06589
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.05723
  • Upside Potential Ratio
    9.65930
  • Upside part of mean
    1.15439
  • Downside part of mean
    -0.90853
  • Upside SD
    0.12323
  • Downside SD
    0.11951
  • N nonnegative terms
    213.00000
  • N negative terms
    166.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    379.00000
  • Mean of predictor
    0.14406
  • Mean of criterion
    0.24586
  • SD of predictor
    0.17566
  • SD of criterion
    0.17122
  • Covariance
    0.01370
  • r
    0.45538
  • b (slope, estimate of beta)
    0.44387
  • a (intercept, estimate of alpha)
    0.18200
  • Mean Square Error
    0.02330
  • DF error
    377.00000
  • t(b)
    9.93132
  • p(b)
    -0.00000
  • t(a)
    1.43160
  • p(a)
    0.07654
  • Lowerbound of 95% confidence interval for beta
    0.35599
  • Upperbound of 95% confidence interval for beta
    0.53175
  • Lowerbound of 95% confidence interval for alpha
    -0.06794
  • Upperbound of 95% confidence interval for alpha
    0.43177
  • Treynor index (mean / b)
    0.55391
  • Jensen alpha (a)
    0.18192
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23107
  • SD
    0.17158
  • Sharpe ratio (Glass type estimate)
    1.34668
  • Sharpe ratio (Hedges UMVUE)
    1.34400
  • df
    378.00000
  • t
    1.61969
  • p
    0.05307
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28658
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.97826
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28840
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.97641
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.90932
  • Upside Potential Ratio
    9.47569
  • Upside part of mean
    1.14676
  • Downside part of mean
    -0.91569
  • Upside SD
    0.12215
  • Downside SD
    0.12102
  • N nonnegative terms
    213.00000
  • N negative terms
    166.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    379.00000
  • Mean of predictor
    0.12872
  • Mean of criterion
    0.23107
  • SD of predictor
    0.17493
  • SD of criterion
    0.17158
  • Covariance
    0.01381
  • r
    0.46007
  • b (slope, estimate of beta)
    0.45126
  • a (intercept, estimate of alpha)
    0.17298
  • Mean Square Error
    0.02327
  • DF error
    377.00000
  • t(b)
    10.06080
  • p(b)
    -0.00000
  • t(a)
    1.36244
  • p(a)
    0.08694
  • Lowerbound of 95% confidence interval for beta
    0.36306
  • Upperbound of 95% confidence interval for beta
    0.53945
  • Lowerbound of 95% confidence interval for alpha
    -0.07667
  • Upperbound of 95% confidence interval for alpha
    0.42264
  • Treynor index (mean / b)
    0.51206
  • Jensen alpha (a)
    0.17298
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01642
  • Expected Shortfall on VaR
    0.02076
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00730
  • Expected Shortfall on VaR
    0.01485
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    379.00000
  • Minimum
    0.94598
  • Quartile 1
    0.99547
  • Median
    1.00164
  • Quartile 3
    1.00699
  • Maximum
    1.03206
  • Mean of quarter 1
    0.98794
  • Mean of quarter 2
    0.99865
  • Mean of quarter 3
    1.00409
  • Mean of quarter 4
    1.01353
  • Inter Quartile Range
    0.01152
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.02639
  • Mean of outliers low
    0.96952
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.02111
  • Mean of outliers high
    1.02732
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17252
  • VaR(95%) (moments method)
    0.01151
  • Expected Shortfall (moments method)
    0.01745
  • Extreme Value Index (regression method)
    0.12158
  • VaR(95%) (regression method)
    0.01138
  • Expected Shortfall (regression method)
    0.01664
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00245
  • Quartile 1
    0.00852
  • Median
    0.02589
  • Quartile 3
    0.03303
  • Maximum
    0.15806
  • Mean of quarter 1
    0.00507
  • Mean of quarter 2
    0.01646
  • Mean of quarter 3
    0.03087
  • Mean of quarter 4
    0.11626
  • Inter Quartile Range
    0.02452
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.17647
  • Mean of outliers high
    0.13773
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.99084
  • VaR(95%) (moments method)
    0.08877
  • Expected Shortfall (moments method)
    0.09055
  • Extreme Value Index (regression method)
    -1.35179
  • VaR(95%) (regression method)
    0.15320
  • Expected Shortfall (regression method)
    0.16074
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31416
  • Compounded annual return (geometric extrapolation)
    0.29560
  • Calmar ratio (compounded annual return / max draw down)
    1.87026
  • Compounded annual return / average of 25% largest draw downs
    2.54270
  • Compounded annual return / Expected Shortfall lognormal
    14.24060
  • 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
    -0.03422
  • SD
    0.16548
  • Sharpe ratio (Glass type estimate)
    -0.20681
  • Sharpe ratio (Hedges UMVUE)
    -0.20561
  • df
    130.00000
  • t
    -0.14624
  • p
    0.50641
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.97837
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.56547
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.97753
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.56630
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.27957
  • Upside Potential Ratio
    7.99970
  • Upside part of mean
    0.97923
  • Downside part of mean
    -1.01346
  • Upside SD
    0.11042
  • Downside SD
    0.12241
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02096
  • Mean of criterion
    -0.03422
  • SD of predictor
    0.24590
  • SD of criterion
    0.16548
  • Covariance
    0.01871
  • r
    0.45973
  • b (slope, estimate of beta)
    0.30937
  • a (intercept, estimate of alpha)
    -0.02774
  • Mean Square Error
    0.02176
  • DF error
    129.00000
  • t(b)
    5.87975
  • p(b)
    0.21799
  • t(a)
    -0.13295
  • p(a)
    0.50745
  • Lowerbound of 95% confidence interval for beta
    0.20527
  • Upperbound of 95% confidence interval for beta
    0.41347
  • Lowerbound of 95% confidence interval for alpha
    -0.44051
  • Upperbound of 95% confidence interval for alpha
    0.38504
  • Treynor index (mean / b)
    -0.11062
  • Jensen alpha (a)
    -0.02774
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04785
  • SD
    0.16584
  • Sharpe ratio (Glass type estimate)
    -0.28851
  • Sharpe ratio (Hedges UMVUE)
    -0.28684
  • df
    130.00000
  • t
    -0.20400
  • p
    0.50894
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.06005
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.48401
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.05886
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.48519
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.38669
  • Upside Potential Ratio
    7.86445
  • Upside part of mean
    0.97310
  • Downside part of mean
    -1.02095
  • Upside SD
    0.10951
  • Downside SD
    0.12373
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05069
  • Mean of criterion
    -0.04785
  • SD of predictor
    0.24427
  • SD of criterion
    0.16584
  • Covariance
    0.01884
  • r
    0.46507
  • b (slope, estimate of beta)
    0.31575
  • a (intercept, estimate of alpha)
    -0.03184
  • Mean Square Error
    0.02172
  • DF error
    129.00000
  • t(b)
    5.96666
  • p(b)
    0.21498
  • t(a)
    -0.15276
  • p(a)
    0.50856
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    0.21105
  • Upperbound of 95% confidence interval for beta
    0.42045
  • Lowerbound of 95% confidence interval for alpha
    -0.44427
  • Upperbound of 95% confidence interval for alpha
    0.38058
  • Treynor index (mean / b)
    -0.15153
  • Jensen alpha (a)
    -0.03184
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01689
  • Expected Shortfall on VaR
    0.02108
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00882
  • Expected Shortfall on VaR
    0.01690
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96362
  • Quartile 1
    0.99472
  • Median
    1.00045
  • Quartile 3
    1.00556
  • Maximum
    1.02713
  • Mean of quarter 1
    0.98730
  • Mean of quarter 2
    0.99758
  • Mean of quarter 3
    1.00304
  • Mean of quarter 4
    1.01208
  • Inter Quartile Range
    0.01085
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97059
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.02463
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02477
  • VaR(95%) (moments method)
    0.01178
  • Expected Shortfall (moments method)
    0.01569
  • Extreme Value Index (regression method)
    0.31524
  • VaR(95%) (regression method)
    0.01283
  • Expected Shortfall (regression method)
    0.02154
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01075
  • Quartile 1
    0.04620
  • Median
    0.08165
  • Quartile 3
    0.11710
  • Maximum
    0.15254
  • Mean of quarter 1
    0.01075
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.15254
  • Inter Quartile Range
    0.07090
  • 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?
    -364319000
  • Max Equity Drawdown (num days)
    123
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01984
  • Compounded annual return (geometric extrapolation)
    -0.01974
  • Calmar ratio (compounded annual return / max draw down)
    -0.12942
  • Compounded annual return / average of 25% largest draw downs
    -0.12942
  • Compounded annual return / Expected Shortfall lognormal
    -0.93637

Strategy Description

Alkemy is a specialized professional-grade algorithm consisting of 7 high-performing multi-asset trading systems focusing on the SP500 index, bonds, bitcoin, hard & soft commodities, real-estate, carbon credits and US treasuries. Trading is scaled across a mix of market & limit-based systems relying on both price dynamics and the capture of derivatives pricing inefficiencies. This long-short algorithm offers 2 layers of risk management through the use of short positions and extreme decorrelation. Each trading system is autonomous and is rebalanced on a daily basis. Trade signals are issued in the morning preceding the next session and are to be placed or executed at the day session's opening. No trading occurs outside of regular trading hours. A maximum leverage of up to 2:1 is set by default.

No matter the heavy focus on enhancing returns and containing maximum drawdown, please understand that all risk-management claims rely on long-term historical volatility assumptions. Therefore, no risk-free or low-risk trading can be guaranteed at any time and unforeseen events can cause you to lose all your money.

For more information, please visit www.fxphysics.com.
Trade this strategy at Interactive Brokers

Summary Statistics


Strategy began
2024-01-01
Suggested Minimum Capital
$5,000
Rank at C2 %
Top 5.3%
Rank # 
#37
# Trades
263
# Profitable
139
% Profitable
52.9%
Net Dividends
$1,224
Correlation S&P500
0.468
Sharpe Ratio
1.06
Sortino Ratio
1.50
Beta
0.46
Alpha
0.04
Leverage
1.37 Average
2.13 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

  • 9/15/2018, 10:03:33 PM BTS 200 EURUSD

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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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