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

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


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Carnelian Strategy
(147774852)

Creato da: PeterDing PeterDing
Started: 04/2024
Stocks
Last trade: Today
Trading style: Equity Sector: Technology

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
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.

26.1%
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.

(9.7%)
Max Drawdown
363
Num Trades
57.0%
Win Trades
1.4 : 1
Profit Factor
73.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                     (3.2%)+3.2%+4.6%+4.6%+2.3%+5.3%(0.9%)+5.4%+6.3%+30.9%
2025+2.4%+1.1%(1.3%)(4.8%)+1.7%+2.5%                                    +1.3%


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.

Trading Record

This strategy has placed 175 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 27 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
6/16/25 15:57 QQQ POWERSHARES QQQ LONG 88 533.86 6/17 9:40 532.05 0.47%
Trade id #152069397
Max drawdown($208)
Time6/17/25 9:30
Quant open88
Worst price531.49
Drawdown as % of equity-0.47%
 ($161)
Includes Typical Broker Commissions trade costs of $1.76
6/13/25 15:57 QQQ POWERSHARES QQQ LONG 88 526.26 6/16 9:40 532.09 n/a $511
Includes Typical Broker Commissions trade costs of $1.76
6/11/25 10:23 QQQ POWERSHARES QQQ LONG 75 535.91 6/12 9:40 532.10 1%
Trade id #151991644
Max drawdown($435)
Time6/11/25 14:17
Quant open75
Worst price530.11
Drawdown as % of equity-1.00%
 ($288)
Includes Typical Broker Commissions trade costs of $1.50
6/10/25 9:30 OMER OMEROS LONG 1,100 3.94 6/11 12:03 3.79 0.38%
Trade id #151978036
Max drawdown($165)
Time6/11/25 11:15
Quant open1,100
Worst price3.79
Drawdown as % of equity-0.38%
 ($170)
Includes Typical Broker Commissions trade costs of $5.00
6/10/25 12:01 QQQ POWERSHARES QQQ LONG 75 532.63 6/11 9:40 535.04 0.32%
Trade id #151981322
Max drawdown($138)
Time6/10/25 14:00
Quant open75
Worst price530.78
Drawdown as % of equity-0.32%
 $180
Includes Typical Broker Commissions trade costs of $1.50
6/10/25 9:30 ALMS ALUMIS INC. LONG 600 3.44 6/10 15:52 3.38 0.1%
Trade id #151978044
Max drawdown($42)
Time6/10/25 15:22
Quant open600
Worst price3.37
Drawdown as % of equity-0.10%
 ($41)
Includes Typical Broker Commissions trade costs of $5.00
6/9/25 15:57 QQQ POWERSHARES QQQ LONG 87 530.99 6/10 9:40 532.20 0.12%
Trade id #151964092
Max drawdown($51)
Time6/9/25 16:00
Quant open87
Worst price530.40
Drawdown as % of equity-0.12%
 $103
Includes Typical Broker Commissions trade costs of $1.74
6/5/25 15:58 QQQ POWERSHARES QQQ LONG 89 524.31 6/6 9:40 530.59 n/a $557
Includes Typical Broker Commissions trade costs of $1.78
6/4/25 9:31 DG DOLLAR GENERAL LONG 40 112.70 6/5 9:56 113.60 0.27%
Trade id #151915446
Max drawdown($116)
Time6/4/25 10:28
Quant open40
Worst price109.80
Drawdown as % of equity-0.27%
 $35
Includes Typical Broker Commissions trade costs of $0.80
6/2/25 13:01 QQQ POWERSHARES QQQ LONG 88 521.40 6/5 9:56 528.13 0.17%
Trade id #151894731
Max drawdown($73)
Time6/2/25 13:51
Quant open88
Worst price520.57
Drawdown as % of equity-0.17%
 $590
Includes Typical Broker Commissions trade costs of $1.76
5/30/25 15:52 FAAS DIGIASIA CORP. LONG 1,900 1.33 6/2 9:40 1.36 0.18%
Trade id #151878285
Max drawdown($76)
Time5/30/25 15:56
Quant open1,900
Worst price1.29
Drawdown as % of equity-0.18%
 $52
Includes Typical Broker Commissions trade costs of $5.00
5/30/25 15:50 RRGB RED ROBIN GOURMET BURGERS LONG 480 5.22 6/2 9:40 5.03 0.42%
Trade id #151878270
Max drawdown($177)
Time6/2/25 9:35
Quant open480
Worst price4.85
Drawdown as % of equity-0.42%
 ($101)
Includes Typical Broker Commissions trade costs of $9.60
5/30/25 15:50 BBAI BIGBEAR AI INC LONG 600 4.18 6/2 9:40 4.03 0.27%
Trade id #151878219
Max drawdown($114)
Time6/2/25 9:30
Quant open600
Worst price3.99
Drawdown as % of equity-0.27%
 ($95)
Includes Typical Broker Commissions trade costs of $5.00
5/30/25 15:50 LVWR LIVEWIRE GROUP INC LONG 580 4.38 6/2 9:40 3.85 0.75%
Trade id #151878262
Max drawdown($319)
Time6/2/25 9:34
Quant open580
Worst price3.83
Drawdown as % of equity-0.75%
 ($312)
Includes Typical Broker Commissions trade costs of $5.00
5/30/25 11:41 QQQ POWERSHARES QQQ LONG 88 517.20 6/2 9:40 521.23 1.09%
Trade id #151875236
Max drawdown($463)
Time5/30/25 12:53
Quant open88
Worst price511.93
Drawdown as % of equity-1.09%
 $353
Includes Typical Broker Commissions trade costs of $1.76
5/29/25 15:59 QQQ POWERSHARES QQQ LONG 88 519.88 5/30 9:40 517.77 0.48%
Trade id #151867831
Max drawdown($205)
Time5/30/25 9:36
Quant open88
Worst price517.55
Drawdown as % of equity-0.48%
 ($188)
Includes Typical Broker Commissions trade costs of $1.76
5/28/25 15:59 QQQ POWERSHARES QQQ LONG 88 519.15 5/29 9:39 523.66 n/a $395
Includes Typical Broker Commissions trade costs of $1.76
5/27/25 15:59 QQQ POWERSHARES QQQ LONG 88 520.91 5/28 9:50 522.48 n/a $137
Includes Typical Broker Commissions trade costs of $1.76
5/22/25 15:59 QQQ POWERSHARES QQQ LONG 88 514.13 5/27 9:40 515.59 1.77%
Trade id #151805315
Max drawdown($752)
Time5/23/25 0:00
Quant open88
Worst price505.58
Drawdown as % of equity-1.77%
 $126
Includes Typical Broker Commissions trade costs of $1.76
5/23/25 9:30 MYPS PLAYSTUDIOS INC. CLASS A COMMON STOCK LONG 1,800 1.38 5/27 9:32 1.41 n/a $49
Includes Typical Broker Commissions trade costs of $5.00
5/23/25 9:30 FULC FULCRUM THERAPEUTICS INC. COMMON STOCK LONG 610 6.82 5/27 9:32 6.40 0.73%
Trade id #151811885
Max drawdown($305)
Time5/27/25 9:32
Quant open610
Worst price6.32
Drawdown as % of equity-0.73%
 ($261)
Includes Typical Broker Commissions trade costs of $5.00
5/22/25 10:00 WULF TERAWULF INC. COMMON STOCK LONG 980 3.91 5/22 13:35 4.13 0.01%
Trade id #151800680
Max drawdown($4)
Time5/22/25 10:03
Quant open980
Worst price3.91
Drawdown as % of equity-0.01%
 $211
Includes Typical Broker Commissions trade costs of $5.00
5/21/25 9:30 ACAD ACADIA PHARMACEUTICALS LONG 180 22.24 5/22 9:43 21.64 0.26%
Trade id #151786177
Max drawdown($108)
Time5/22/25 9:43
Quant open180
Worst price21.64
Drawdown as % of equity-0.26%
 ($112)
Includes Typical Broker Commissions trade costs of $3.60
5/21/25 15:59 QQQ POWERSHARES QQQ LONG 70 513.28 5/22 9:40 513.57 0.16%
Trade id #151792494
Max drawdown($68)
Time5/22/25 9:35
Quant open70
Worst price512.30
Drawdown as % of equity-0.16%
 $19
Includes Typical Broker Commissions trade costs of $1.40
5/21/25 9:30 EVLV EVOLV TECHNOLOGIES HOLDINGS INC LONG 680 6.00 5/21 12:44 6.05 0.66%
Trade id #151786099
Max drawdown($278)
Time5/21/25 9:54
Quant open680
Worst price5.59
Drawdown as % of equity-0.66%
 $26
Includes Typical Broker Commissions trade costs of $5.00
5/20/25 15:59 QQQ POWERSHARES QQQ LONG 88 520.15 5/21 9:40 517.67 0.82%
Trade id #151779769
Max drawdown($346)
Time5/21/25 9:30
Quant open88
Worst price516.21
Drawdown as % of equity-0.82%
 ($220)
Includes Typical Broker Commissions trade costs of $1.76
5/20/25 9:30 PGRE PARAMOUNT GROUP INC LONG 720 5.56 5/20 9:48 5.67 n/a $71
Includes Typical Broker Commissions trade costs of $5.00
5/19/25 15:59 QQQ POWERSHARES QQQ LONG 131 521.91 5/20 9:46 519.46 0.9%
Trade id #151768594
Max drawdown($386)
Time5/20/25 9:38
Quant open131
Worst price518.96
Drawdown as % of equity-0.90%
 ($324)
Includes Typical Broker Commissions trade costs of $2.62
5/20/25 9:30 IBRX IMMUNITYBIO INC LONG 1,380 2.89 5/20 9:38 2.90 0.08%
Trade id #151774474
Max drawdown($34)
Time5/20/25 9:38
Quant open1,380
Worst price2.87
Drawdown as % of equity-0.08%
 $9
Includes Typical Broker Commissions trade costs of $5.00
5/15/25 15:59 QQQ POWERSHARES QQQ LONG 89 518.52 5/16 9:41 519.58 n/a $92
Includes Typical Broker Commissions trade costs of $1.78

Successivo

Statistics

  • Strategy began
    4/1/2024
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    442.25
  • Age
    15 months ago
  • What it trades
    Stocks
  • # Trades
    363
  • # Profitable
    207
  • % Profitable
    57.00%
  • Avg trade duration
    1.6 days
  • Max peak-to-valley drawdown
    9.68%
  • drawdown period
    Jan 22, 2025 - May 06, 2025
  • Annual Return (Compounded)
    26.1%
  • Avg win
    $245.77
  • Avg loss
    $238.08
  • Model Account Values (Raw)
  • Cash
    $23,559
  • Margin Used
    $0
  • Buying Power
    $23,569
  • Ratios
  • W:L ratio
    1.38:1
  • Sharpe Ratio
    1.71
  • Sortino Ratio
    2.56
  • Calmar Ratio
    4.514
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    18.59%
  • Correlation to SP500
    0.43210
  • Return Percent SP500 (cumu) during strategy life
    14.47%
  • Return Statistics
  • Ann Return (w trading costs)
    26.1%
  • Slump
  • Current Slump as Pcnt Equity
    3.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.33%
  • 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)
    0.261%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    33.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.50%
  • Chance of 20% account loss
    n/a
  • 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)
    746
  • Popularity (Last 6 weeks)
    936
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    994
  • Popularity (7 days, Percentile 1000 scale)
    808
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $238
  • Avg Win
    $246
  • Sum Trade PL (losers)
    $37,141.000
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $50,875.000
  • # Winners
    207
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    110
  • AUM
  • AUM (AutoTrader live capital)
    137194
  • Win / Loss
  • # Losers
    156
  • % Winners
    57.0%
  • Frequency
  • Avg Position Time (mins)
    2263.52
  • Avg Position Time (hrs)
    37.73
  • Avg Trade Length
    1.6 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.17
  • Daily leverage (max)
    2.14
  • Regression
  • Alpha
    0.06
  • Beta
    0.26
  • Treynor Index
    0.25
  • 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)
    0.12
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -23.509
  • 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
    0.348
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.373
  • Hold-and-Hope Ratio
    -0.042
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27776
  • SD
    0.10301
  • Sharpe ratio (Glass type estimate)
    2.69646
  • Sharpe ratio (Hedges UMVUE)
    2.53733
  • df
    13.00000
  • t
    2.91251
  • p
    0.12812
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.57307
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.74208
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47726
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.59739
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.68992
  • Upside Potential Ratio
    9.18092
  • Upside part of mean
    0.33161
  • Downside part of mean
    -0.05386
  • Upside SD
    0.12238
  • Downside SD
    0.03612
  • N nonnegative terms
    11.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.10450
  • Mean of criterion
    0.27776
  • SD of predictor
    0.16932
  • SD of criterion
    0.10301
  • Covariance
    0.00577
  • r
    0.33093
  • b (slope, estimate of beta)
    0.20133
  • a (intercept, estimate of alpha)
    0.25672
  • Mean Square Error
    0.01024
  • DF error
    12.00000
  • t(b)
    1.21481
  • p(b)
    0.33454
  • t(a)
    2.69504
  • p(a)
    0.19298
  • Lowerbound of 95% confidence interval for beta
    -0.15976
  • Upperbound of 95% confidence interval for beta
    0.56242
  • Lowerbound of 95% confidence interval for alpha
    0.04917
  • Upperbound of 95% confidence interval for alpha
    0.46427
  • Treynor index (mean / b)
    1.37963
  • Jensen alpha (a)
    0.25672
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26925
  • SD
    0.10091
  • Sharpe ratio (Glass type estimate)
    2.66832
  • Sharpe ratio (Hedges UMVUE)
    2.51085
  • df
    13.00000
  • t
    2.88212
  • p
    0.13010
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.55036
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.70892
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45558
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.56612
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.37471
  • Upside Potential Ratio
    8.86445
  • Upside part of mean
    0.32364
  • Downside part of mean
    -0.05439
  • Upside SD
    0.11901
  • Downside SD
    0.03651
  • N nonnegative terms
    11.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.09074
  • Mean of criterion
    0.26925
  • SD of predictor
    0.16798
  • SD of criterion
    0.10091
  • Covariance
    0.00598
  • r
    0.35302
  • b (slope, estimate of beta)
    0.21206
  • a (intercept, estimate of alpha)
    0.25001
  • Mean Square Error
    0.00966
  • DF error
    12.00000
  • t(b)
    1.30706
  • p(b)
    0.32349
  • t(a)
    2.71280
  • p(a)
    0.19172
  • Lowerbound of 95% confidence interval for beta
    -0.14144
  • Upperbound of 95% confidence interval for beta
    0.56557
  • Lowerbound of 95% confidence interval for alpha
    0.04921
  • Upperbound of 95% confidence interval for alpha
    0.45080
  • Treynor index (mean / b)
    1.26966
  • Jensen alpha (a)
    0.25001
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02515
  • Expected Shortfall on VaR
    0.03689
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00538
  • Expected Shortfall on VaR
    0.01325
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.97419
  • Quartile 1
    1.01880
  • Median
    1.02297
  • Quartile 3
    1.05067
  • Maximum
    1.06916
  • Mean of quarter 1
    0.99073
  • Mean of quarter 2
    1.01999
  • Mean of quarter 3
    1.03046
  • Mean of quarter 4
    1.06059
  • Inter Quartile Range
    0.03187
  • 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)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.07997
  • VaR(95%) (regression method)
    0.05105
  • Expected Shortfall (regression method)
    0.05135
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02303
  • Quartile 1
    0.02373
  • Median
    0.02442
  • Quartile 3
    0.02512
  • Maximum
    0.02581
  • Mean of quarter 1
    0.02303
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.02581
  • Inter Quartile Range
    0.00139
  • 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)
    0.35517
  • Compounded annual return (geometric extrapolation)
    0.34603
  • Calmar ratio (compounded annual return / max draw down)
    13.40460
  • Compounded annual return / average of 25% largest draw downs
    13.40460
  • Compounded annual return / Expected Shortfall lognormal
    9.37960
  • 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
    0.27609
  • SD
    0.11066
  • Sharpe ratio (Glass type estimate)
    2.49479
  • Sharpe ratio (Hedges UMVUE)
    2.48873
  • df
    309.00000
  • t
    2.71371
  • p
    0.00351
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.68029
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.30534
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.67623
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.30123
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.83935
  • Upside Potential Ratio
    11.03840
  • Upside part of mean
    0.79376
  • Downside part of mean
    -0.51768
  • Upside SD
    0.08560
  • Downside SD
    0.07191
  • N nonnegative terms
    183.00000
  • N negative terms
    127.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    310.00000
  • Mean of predictor
    0.10124
  • Mean of criterion
    0.27609
  • SD of predictor
    0.18907
  • SD of criterion
    0.11066
  • Covariance
    0.00921
  • r
    0.44029
  • b (slope, estimate of beta)
    0.25771
  • a (intercept, estimate of alpha)
    0.25000
  • Mean Square Error
    0.00990
  • DF error
    308.00000
  • t(b)
    8.60602
  • p(b)
    0.00000
  • t(a)
    2.73087
  • p(a)
    0.00334
  • Lowerbound of 95% confidence interval for beta
    0.19878
  • Upperbound of 95% confidence interval for beta
    0.31663
  • Lowerbound of 95% confidence interval for alpha
    0.06986
  • Upperbound of 95% confidence interval for alpha
    0.43012
  • Treynor index (mean / b)
    1.07131
  • Jensen alpha (a)
    0.24999
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26981
  • SD
    0.11063
  • Sharpe ratio (Glass type estimate)
    2.43895
  • Sharpe ratio (Hedges UMVUE)
    2.43303
  • df
    309.00000
  • t
    2.65298
  • p
    0.00420
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.62493
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.24908
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.62100
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.24506
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.72636
  • Upside Potential Ratio
    10.91120
  • Upside part of mean
    0.79004
  • Downside part of mean
    -0.52023
  • Upside SD
    0.08505
  • Downside SD
    0.07241
  • N nonnegative terms
    183.00000
  • N negative terms
    127.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    310.00000
  • Mean of predictor
    0.08351
  • Mean of criterion
    0.26981
  • SD of predictor
    0.18820
  • SD of criterion
    0.11063
  • Covariance
    0.00920
  • r
    0.44208
  • b (slope, estimate of beta)
    0.25986
  • a (intercept, estimate of alpha)
    0.24811
  • Mean Square Error
    0.00988
  • DF error
    308.00000
  • t(b)
    8.64959
  • p(b)
    0.00000
  • t(a)
    2.71437
  • p(a)
    0.00351
  • Lowerbound of 95% confidence interval for beta
    0.20074
  • Upperbound of 95% confidence interval for beta
    0.31898
  • Lowerbound of 95% confidence interval for alpha
    0.06825
  • Upperbound of 95% confidence interval for alpha
    0.42797
  • Treynor index (mean / b)
    1.03831
  • Jensen alpha (a)
    0.24811
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01016
  • Expected Shortfall on VaR
    0.01298
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00395
  • Expected Shortfall on VaR
    0.00831
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    310.00000
  • Minimum
    0.97520
  • Quartile 1
    0.99757
  • Median
    1.00118
  • Quartile 3
    1.00498
  • Maximum
    1.02567
  • Mean of quarter 1
    0.99271
  • Mean of quarter 2
    0.99985
  • Mean of quarter 3
    1.00268
  • Mean of quarter 4
    1.00940
  • Inter Quartile Range
    0.00741
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.02581
  • Mean of outliers low
    0.98151
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.01935
  • Mean of outliers high
    1.01950
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13250
  • VaR(95%) (moments method)
    0.00647
  • Expected Shortfall (moments method)
    0.00969
  • Extreme Value Index (regression method)
    0.07319
  • VaR(95%) (regression method)
    0.00724
  • Expected Shortfall (regression method)
    0.01064
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00168
  • Median
    0.01228
  • Quartile 3
    0.02217
  • Maximum
    0.07682
  • Mean of quarter 1
    0.00026
  • Mean of quarter 2
    0.00744
  • Mean of quarter 3
    0.01694
  • Mean of quarter 4
    0.04030
  • Inter Quartile Range
    0.02049
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04167
  • Mean of outliers high
    0.07682
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.05183
  • VaR(95%) (moments method)
    0.04276
  • Expected Shortfall (moments method)
    0.05658
  • Extreme Value Index (regression method)
    0.66747
  • VaR(95%) (regression method)
    0.04455
  • Expected Shortfall (regression method)
    0.10584
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.35690
  • Compounded annual return (geometric extrapolation)
    0.34679
  • Calmar ratio (compounded annual return / max draw down)
    4.51434
  • Compounded annual return / average of 25% largest draw downs
    8.60501
  • Compounded annual return / Expected Shortfall lognormal
    26.71760
  • 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
    0.08711
  • SD
    0.13441
  • Sharpe ratio (Glass type estimate)
    0.64809
  • Sharpe ratio (Hedges UMVUE)
    0.64434
  • df
    130.00000
  • t
    0.45827
  • p
    0.47992
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.12605
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.41981
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.12857
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.41725
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.92613
  • Upside Potential Ratio
    8.93476
  • Upside part of mean
    0.84041
  • Downside part of mean
    -0.75330
  • Upside SD
    0.09545
  • Downside SD
    0.09406
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02096
  • Mean of criterion
    0.08711
  • SD of predictor
    0.24590
  • SD of criterion
    0.13441
  • Covariance
    0.01507
  • r
    0.45582
  • b (slope, estimate of beta)
    0.24916
  • a (intercept, estimate of alpha)
    0.09233
  • Mean Square Error
    0.01442
  • DF error
    129.00000
  • t(b)
    5.81657
  • p(b)
    0.22020
  • t(a)
    0.54362
  • p(a)
    0.46958
  • Lowerbound of 95% confidence interval for beta
    0.16441
  • Upperbound of 95% confidence interval for beta
    0.33392
  • Lowerbound of 95% confidence interval for alpha
    -0.24372
  • Upperbound of 95% confidence interval for alpha
    0.42839
  • Treynor index (mean / b)
    0.34962
  • Jensen alpha (a)
    0.09233
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07812
  • SD
    0.13447
  • Sharpe ratio (Glass type estimate)
    0.58095
  • Sharpe ratio (Hedges UMVUE)
    0.57759
  • df
    130.00000
  • t
    0.41079
  • p
    0.48200
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.19284
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.35257
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.19510
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.35029
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.82401
  • Upside Potential Ratio
    8.81586
  • Upside part of mean
    0.83581
  • Downside part of mean
    -0.75769
  • Upside SD
    0.09476
  • Downside SD
    0.09481
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05069
  • Mean of criterion
    0.07812
  • SD of predictor
    0.24427
  • SD of criterion
    0.13447
  • Covariance
    0.01503
  • r
    0.45757
  • b (slope, estimate of beta)
    0.25190
  • a (intercept, estimate of alpha)
    0.09089
  • Mean Square Error
    0.01441
  • DF error
    129.00000
  • t(b)
    5.84470
  • p(b)
    0.21921
  • t(a)
    0.53538
  • p(a)
    0.47003
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    0.16662
  • Upperbound of 95% confidence interval for beta
    0.33717
  • Lowerbound of 95% confidence interval for alpha
    -0.24499
  • Upperbound of 95% confidence interval for alpha
    0.42677
  • Treynor index (mean / b)
    0.31013
  • Jensen alpha (a)
    0.09089
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01328
  • Expected Shortfall on VaR
    0.01669
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00660
  • Expected Shortfall on VaR
    0.01284
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97520
  • Quartile 1
    0.99635
  • Median
    1.00014
  • Quartile 3
    1.00551
  • Maximum
    1.02567
  • Mean of quarter 1
    0.99024
  • Mean of quarter 2
    0.99856
  • Mean of quarter 3
    1.00248
  • Mean of quarter 4
    1.01054
  • Inter Quartile Range
    0.00916
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.97775
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02281
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23744
  • VaR(95%) (moments method)
    0.00973
  • Expected Shortfall (moments method)
    0.01559
  • Extreme Value Index (regression method)
    0.05741
  • VaR(95%) (regression method)
    0.00871
  • Expected Shortfall (regression method)
    0.01208
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00003
  • Quartile 1
    0.01615
  • Median
    0.03197
  • Quartile 3
    0.04319
  • Maximum
    0.07682
  • Mean of quarter 1
    0.00550
  • Mean of quarter 2
    0.03169
  • Mean of quarter 3
    0.03224
  • Mean of quarter 4
    0.06183
  • Inter Quartile Range
    0.02703
  • 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?
    -416159000
  • Max Equity Drawdown (num days)
    104
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10889
  • Compounded annual return (geometric extrapolation)
    0.11185
  • Calmar ratio (compounded annual return / max draw down)
    1.45607
  • Compounded annual return / average of 25% largest draw downs
    1.80916
  • Compounded annual return / Expected Shortfall lognormal
    6.70078

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics


Strategy began
2024-04-01
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 0.6%
Rank # 
#4
# Trades
363
# Profitable
207
% Profitable
57.0%
Net Dividends
$110
Correlation S&P500
0.432
Sharpe Ratio
1.71
Sortino Ratio
2.56
Beta
0.26
Alpha
0.06
Leverage
1.17 Average
2.14 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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  • 9/13/2018, 9:07:33 PM BTO 1 ETHUSD

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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.