Collective2 Collective2
Featured Strategy Gold and Silver Followed by live capital $1.28 million Hypothetical

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


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Funky Options
(147794768)

Creato da: MikeM5 MikeM5
Started: 04/2024
Options
Last trade: 435 days ago

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

Subscription terms. You can subscribe to this system for free.

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.


5.4%
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.

(25.2%)
Max Drawdown
31
Num Trades
48.4%
Win Trades
1.2 : 1
Profit Factor
11.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                     (16.2%)+25.4%+2.9%(0.3%)  -    -    -    -    -  +7.8%
2025  -    -    -    -    -    -    -    -    -                    0.0


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.

Trading Record

This strategy has placed 63 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
6/24/24 15:43 TSLA2428F187.5 TSLA Jun28'24 187.5 call LONG 2 2.08 6/26 9:30 2.88 2.44%
Trade id #148487434
Max drawdown($126)
Time6/25/24 0:00
Quant open2
Worst price1.45
Drawdown as % of equity-2.44%
 $157
Includes Typical Broker Commissions trade costs of $2.80
6/12/24 9:49 GME2421F40 GME Jun21'24 40 call LONG 1 4.42 6/22 9:35 0.00 8.41%
Trade id #148389003
Max drawdown($441)
Time6/21/24 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-8.41%
 ($443)
Includes Typical Broker Commissions trade costs of $1.00
6/7/24 12:46 GME2421F40 GME Jun21'24 40 call LONG 1 6.90 6/12 9:49 4.26 8.17%
Trade id #148359198
Max drawdown($470)
Time6/10/24 0:00
Quant open1
Worst price2.20
Drawdown as % of equity-8.17%
 ($266)
Includes Typical Broker Commissions trade costs of $2.00
6/6/24 10:20 GME2421F40 GME Jun21'24 40 call LONG 2 6.18 6/7 9:30 10.44 3.65%
Trade id #148344716
Max drawdown($186)
Time6/6/24 11:00
Quant open2
Worst price5.25
Drawdown as % of equity-3.65%
 $849
Includes Typical Broker Commissions trade costs of $3.40
6/5/24 15:54 TSLA2407F177.5 TSLA Jun7'24 177.5 call LONG 2 1.55 6/6 9:36 1.61 1.73%
Trade id #148339529
Max drawdown($88)
Time6/6/24 9:30
Quant open2
Worst price1.11
Drawdown as % of equity-1.73%
 $9
Includes Typical Broker Commissions trade costs of $2.80
6/3/24 15:51 QQQ2404F453 QQQ Jun4'24 453 call LONG 3 1.02 6/4 11:15 0.57 2.77%
Trade id #148319803
Max drawdown($141)
Time6/4/24 11:14
Quant open3
Worst price0.55
Drawdown as % of equity-2.77%
 ($139)
Includes Typical Broker Commissions trade costs of $4.20
5/30/24 15:50 TSLA2431E180 TSLA May31'24 180 call LONG 3 1.08 5/31 11:04 0.11 5.48%
Trade id #148294346
Max drawdown($291)
Time5/31/24 11:04
Quant open3
Worst price0.11
Drawdown as % of equity-5.48%
 ($295)
Includes Typical Broker Commissions trade costs of $4.20
5/29/24 15:52 TSLA2431E180 TSLA May31'24 180 call LONG 4 1.32 5/30 9:30 1.66 1.77%
Trade id #148282776
Max drawdown($96)
Time5/29/24 15:59
Quant open4
Worst price1.08
Drawdown as % of equity-1.77%
 $130
Includes Typical Broker Commissions trade costs of $5.60
5/22/24 15:53 META2424E467.5 META May24'24 467.5 call LONG 1 4.75 5/23 9:30 7.63 n/a $286
Includes Typical Broker Commissions trade costs of $2.00
5/20/24 15:50 NVDA2424E1090 NVDA May24'24 1090 call LONG 1 4.80 5/21 10:33 4.79 1.89%
Trade id #148211230
Max drawdown($97)
Time5/21/24 9:30
Quant open1
Worst price3.83
Drawdown as % of equity-1.89%
 ($3)
Includes Typical Broker Commissions trade costs of $2.00
5/10/24 15:41 NVDA2417E950 NVDA May17'24 950 call LONG 1 4.40 5/13 9:39 4.33 0.49%
Trade id #148144455
Max drawdown($25)
Time5/10/24 15:49
Quant open1
Worst price4.15
Drawdown as % of equity-0.49%
 ($9)
Includes Typical Broker Commissions trade costs of $2.00
5/9/24 15:56 TSLA2410E172.5 TSLA May10'24 172.5 call LONG 3 1.27 5/10 9:33 0.95 1.95%
Trade id #148136073
Max drawdown($102)
Time5/10/24 9:33
Quant open3
Worst price0.93
Drawdown as % of equity-1.95%
 ($100)
Includes Typical Broker Commissions trade costs of $4.20
5/3/24 15:53 TSLA2410E187.5 TSLA May10'24 187.5 call LONG 2 2.21 5/6 9:32 3.26 0.52%
Trade id #148089224
Max drawdown($26)
Time5/3/24 15:58
Quant open2
Worst price2.08
Drawdown as % of equity-0.52%
 $207
Includes Typical Broker Commissions trade costs of $2.80
5/2/24 15:49 QQQ2406E428 QQQ May6'24 428 call LONG 2 2.60 5/3 9:30 7.02 0.72%
Trade id #148078180
Max drawdown($30)
Time5/2/24 15:55
Quant open2
Worst price2.45
Drawdown as % of equity-0.72%
 $881
Includes Typical Broker Commissions trade costs of $2.80
4/30/24 11:27 AAPL2403E177.5 AAPL May3'24 177.5 call SHORT 1 1.96 4/30 12:51 1.85 0.38%
Trade id #148051914
Max drawdown($16)
Time4/30/24 11:59
Quant open1
Worst price2.12
Drawdown as % of equity-0.38%
 $9
Includes Typical Broker Commissions trade costs of $2.00
4/29/24 15:49 AAPL2403E177.5 AAPL May3'24 177.5 call LONG 2 1.98 4/30 11:15 2.10 1.83%
Trade id #148043061
Max drawdown($76)
Time4/30/24 9:31
Quant open2
Worst price1.60
Drawdown as % of equity-1.83%
 $21
Includes Typical Broker Commissions trade costs of $3.40
4/22/24 15:56 AAPL2426D167.5 AAPL Apr26'24 167.5 call LONG 3 1.16 4/23 9:30 0.89 2.5%
Trade id #147979854
Max drawdown($96)
Time4/23/24 9:30
Quant open3
Worst price0.84
Drawdown as % of equity-2.50%
 ($85)
Includes Typical Broker Commissions trade costs of $4.20
4/22/24 15:57 QQQ2424D419 QQQ Apr24'24 419 call LONG 2 2.64 4/23 9:30 3.38 n/a $145
Includes Typical Broker Commissions trade costs of $2.80
4/22/24 15:58 META2426D535 META Apr26'24 535 call LONG 1 4.85 4/23 9:30 6.28 n/a $141
Includes Typical Broker Commissions trade costs of $2.00
4/22/24 15:58 NFLX2426D565 NFLX Apr26'24 565 call LONG 1 4.15 4/23 9:30 5.24 n/a $107
Includes Typical Broker Commissions trade costs of $2.00
4/18/24 15:52 QQQ2419D425 QQQ Apr19'24 425 call LONG 2 1.67 4/19 9:31 0.43 5.63%
Trade id #147950081
Max drawdown($248)
Time4/19/24 9:31
Quant open2
Worst price0.43
Drawdown as % of equity-5.63%
 ($251)
Includes Typical Broker Commissions trade costs of $2.80
4/18/24 15:53 AAPL2419D167.5 AAPL Apr19'24 167.5 call LONG 2 0.80 4/19 9:31 0.27 2.5%
Trade id #147950088
Max drawdown($110)
Time4/19/24 9:31
Quant open2
Worst price0.25
Drawdown as % of equity-2.50%
 ($109)
Includes Typical Broker Commissions trade costs of $2.80
4/18/24 15:53 NVDA2419D857.5 NVDA Apr19'24 857.5 call LONG 1 4.35 4/19 9:31 1.25 8.06%
Trade id #147950094
Max drawdown($355)
Time4/19/24 9:30
Quant open1
Worst price0.80
Drawdown as % of equity-8.06%
 ($312)
Includes Typical Broker Commissions trade costs of $2.00
4/16/24 15:49 NVDA2419D905 NVDA Apr19'24 905 call LONG 1 4.75 4/17 9:35 5.44 1.09%
Trade id #147927664
Max drawdown($50)
Time4/16/24 15:59
Quant open1
Worst price4.25
Drawdown as % of equity-1.09%
 $67
Includes Typical Broker Commissions trade costs of $2.00
4/16/24 15:50 TSLA2419D157.5 TSLA Apr19'24 157.5 call LONG 1 3.10 4/17 9:35 2.23 2.13%
Trade id #147927683
Max drawdown($95)
Time4/17/24 9:35
Quant open1
Worst price2.15
Drawdown as % of equity-2.13%
 ($89)
Includes Typical Broker Commissions trade costs of $2.00
4/16/24 15:50 QQQ2419D434 QQQ Apr19'24 434 call LONG 2 2.65 4/17 9:35 2.34 1.87%
Trade id #147927685
Max drawdown($86)
Time4/16/24 15:59
Quant open2
Worst price2.22
Drawdown as % of equity-1.87%
 ($65)
Includes Typical Broker Commissions trade costs of $2.80
4/11/24 15:46 TSLA2412D177.5 TSLA Apr12'24 177.5 call LONG 3 0.89 4/12 10:32 0.08 5.16%
Trade id #147878539
Max drawdown($246)
Time4/12/24 10:30
Quant open3
Worst price0.07
Drawdown as % of equity-5.16%
 ($247)
Includes Typical Broker Commissions trade costs of $4.20
4/9/24 15:46 AAPL2419D170 AAPL Apr19'24 170 call LONG 2 2.09 4/10 9:48 1.45 3.02%
Trade id #147852778
Max drawdown($148)
Time4/10/24 9:46
Quant open2
Worst price1.35
Drawdown as % of equity-3.02%
 ($131)
Includes Typical Broker Commissions trade costs of $2.80
4/5/24 15:48 QQQ2412D441 QQQ Apr12'24 441 call LONG 1 4.48 4/8 11:23 4.53 2.07%
Trade id #147824967
Max drawdown($103)
Time4/8/24 9:40
Quant open1
Worst price3.45
Drawdown as % of equity-2.07%
 $3
Includes Typical Broker Commissions trade costs of $2.00
4/3/24 15:50 AAPL2412D172.5 AAPL Apr12'24 172.5 call LONG 4 1.22 4/4 10:36 1.29 1.21%
Trade id #147798799
Max drawdown($60)
Time4/3/24 15:55
Quant open4
Worst price1.07
Drawdown as % of equity-1.21%
 $22
Includes Typical Broker Commissions trade costs of $5.60

Statistics

  • Strategy began
    4/3/2024
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    518.36
  • Age
    17 months ago
  • What it trades
    Options
  • # Trades
    31
  • # Profitable
    15
  • % Profitable
    48.40%
  • Avg trade duration
    1.4 days
  • Max peak-to-valley drawdown
    25.24%
  • drawdown period
    June 06, 2024 - June 24, 2024
  • Annual Return (Compounded)
    5.4%
  • Avg win
    $205.27
  • Avg loss
    $156.38
  • Model Account Values (Raw)
  • Cash
    $5,577
  • Margin Used
    $0
  • Buying Power
    $5,577
  • Ratios
  • W:L ratio
    1.23:1
  • Sharpe Ratio
    0.23
  • Sortino Ratio
    0.42
  • Calmar Ratio
    1.269
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -15.96%
  • Correlation to SP500
    0.08870
  • Return Percent SP500 (cumu) during strategy life
    24.17%
  • Return Statistics
  • Ann Return (w trading costs)
    5.4%
  • Slump
  • Current Slump as Pcnt Equity
    28.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.88%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.054%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    8.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    65.50%
  • Chance of 20% account loss
    34.00%
  • Chance of 30% account loss
    12.00%
  • Chance of 40% account loss
    1.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $156
  • Avg Win
    $205
  • Sum Trade PL (losers)
    $2,502.000
  • Age
  • Num Months filled monthly returns table
    18
  • Win / Loss
  • Sum Trade PL (winners)
    $3,079.000
  • # Winners
    15
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    16
  • % Winners
    48.4%
  • Frequency
  • Avg Position Time (mins)
    1972.95
  • Avg Position Time (hrs)
    32.88
  • Avg Trade Length
    1.4 days
  • Last Trade Ago
    434
  • Leverage
  • Daily leverage (average)
    8.65
  • Daily leverage (max)
    31.21
  • Regression
  • Alpha
    0.01
  • Beta
    0.17
  • Treynor Index
    0.12
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -2.93
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -34.315
  • 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
    0.08
  • Avg(MAE) / Avg(PL) - Winning trades
    0.358
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.180
  • Hold-and-Hope Ratio
    -0.029
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24376
  • SD
    0.07917
  • Sharpe ratio (Glass type estimate)
    3.07907
  • Sharpe ratio (Hedges UMVUE)
    2.45674
  • df
    4.00000
  • t
    1.98753
  • p
    0.05889
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70951
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.62681
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02430
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.93778
  • Statistics related to Sortino ratio
  • Sortino ratio
    47.78620
  • Upside Potential Ratio
    49.97710
  • Upside part of mean
    0.25493
  • Downside part of mean
    -0.01118
  • Upside SD
    0.09970
  • Downside SD
    0.00510
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.19565
  • Mean of criterion
    0.24376
  • SD of predictor
    0.26780
  • SD of criterion
    0.07917
  • Covariance
    0.01594
  • r
    0.75178
  • b (slope, estimate of beta)
    0.22224
  • a (intercept, estimate of alpha)
    0.20028
  • Mean Square Error
    0.00363
  • DF error
    3.00000
  • t(b)
    1.97464
  • p(b)
    0.07140
  • t(a)
    2.08741
  • p(a)
    0.06405
  • Lowerbound of 95% confidence interval for beta
    -0.13593
  • Upperbound of 95% confidence interval for beta
    0.58041
  • Lowerbound of 95% confidence interval for alpha
    -0.10506
  • Upperbound of 95% confidence interval for alpha
    0.50562
  • Treynor index (mean / b)
    1.09684
  • Jensen alpha (a)
    0.20028
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23837
  • SD
    0.07730
  • Sharpe ratio (Glass type estimate)
    3.08356
  • Sharpe ratio (Hedges UMVUE)
    2.46033
  • df
    4.00000
  • t
    1.99043
  • p
    0.05870
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70674
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.63292
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02193
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.94259
  • Statistics related to Sortino ratio
  • Sortino ratio
    46.78390
  • Upside Potential Ratio
    48.97480
  • Upside part of mean
    0.24953
  • Downside part of mean
    -0.01116
  • Upside SD
    0.09741
  • Downside SD
    0.00510
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.16615
  • Mean of criterion
    0.23837
  • SD of predictor
    0.26173
  • SD of criterion
    0.07730
  • Covariance
    0.01503
  • r
    0.74294
  • b (slope, estimate of beta)
    0.21943
  • a (intercept, estimate of alpha)
    0.20191
  • Mean Square Error
    0.00357
  • DF error
    3.00000
  • t(b)
    1.92244
  • p(b)
    0.07514
  • t(a)
    2.13697
  • p(a)
    0.06110
  • Lowerbound of 95% confidence interval for beta
    -0.14382
  • Upperbound of 95% confidence interval for beta
    0.58267
  • Lowerbound of 95% confidence interval for alpha
    -0.09878
  • Upperbound of 95% confidence interval for alpha
    0.50260
  • Treynor index (mean / b)
    1.08632
  • Jensen alpha (a)
    0.20191
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01670
  • Expected Shortfall on VaR
    0.02579
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00193
  • Expected Shortfall on VaR
    0.00325
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.02826
  • Quartile 3
    1.03139
  • Maximum
    1.05356
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.02826
  • Mean of quarter 3
    1.03139
  • Mean of quarter 4
    1.05356
  • Inter Quartile Range
    0.03139
  • 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28161
  • Compounded annual return (geometric extrapolation)
    0.30509
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    11.82830
  • 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
    0.32113
  • SD
    0.46006
  • Sharpe ratio (Glass type estimate)
    0.69802
  • Sharpe ratio (Hedges UMVUE)
    0.69350
  • df
    116.00000
  • t
    0.46646
  • p
    0.47837
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.23780
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63087
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.24082
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.62781
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.30355
  • Upside Potential Ratio
    5.69087
  • Upside part of mean
    1.40196
  • Downside part of mean
    -1.08082
  • Upside SD
    0.38672
  • Downside SD
    0.24635
  • N nonnegative terms
    18.00000
  • N negative terms
    99.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    117.00000
  • Mean of predictor
    0.47736
  • Mean of criterion
    0.32113
  • SD of predictor
    0.23839
  • SD of criterion
    0.46006
  • Covariance
    0.00953
  • r
    0.08688
  • b (slope, estimate of beta)
    0.16767
  • a (intercept, estimate of alpha)
    0.24100
  • Mean Square Error
    0.21188
  • DF error
    115.00000
  • t(b)
    0.93524
  • p(b)
    0.44476
  • t(a)
    0.34734
  • p(a)
    0.47940
  • Lowerbound of 95% confidence interval for beta
    -0.18745
  • Upperbound of 95% confidence interval for beta
    0.52280
  • Lowerbound of 95% confidence interval for alpha
    -1.13382
  • Upperbound of 95% confidence interval for alpha
    1.61601
  • Treynor index (mean / b)
    1.91524
  • Jensen alpha (a)
    0.24109
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22054
  • SD
    0.44583
  • Sharpe ratio (Glass type estimate)
    0.49468
  • Sharpe ratio (Hedges UMVUE)
    0.49147
  • df
    116.00000
  • t
    0.33057
  • p
    0.48466
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.43998
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.42738
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.44216
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.42511
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.84894
  • Upside Potential Ratio
    5.13428
  • Upside part of mean
    1.33381
  • Downside part of mean
    -1.11327
  • Upside SD
    0.36022
  • Downside SD
    0.25978
  • N nonnegative terms
    18.00000
  • N negative terms
    99.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    117.00000
  • Mean of predictor
    0.44894
  • Mean of criterion
    0.22054
  • SD of predictor
    0.23711
  • SD of criterion
    0.44583
  • Covariance
    0.00935
  • r
    0.08845
  • b (slope, estimate of beta)
    0.16630
  • a (intercept, estimate of alpha)
    0.14588
  • Mean Square Error
    0.19892
  • DF error
    115.00000
  • t(b)
    0.95221
  • p(b)
    0.44377
  • t(a)
    0.21708
  • p(a)
    0.48712
  • Lowerbound of 95% confidence interval for beta
    -0.17964
  • Upperbound of 95% confidence interval for beta
    0.51224
  • Lowerbound of 95% confidence interval for alpha
    -1.18523
  • Upperbound of 95% confidence interval for alpha
    1.47700
  • Treynor index (mean / b)
    1.32617
  • Jensen alpha (a)
    0.14588
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04349
  • Expected Shortfall on VaR
    0.05439
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01295
  • Expected Shortfall on VaR
    0.02812
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    117.00000
  • Minimum
    0.86679
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.19832
  • Mean of quarter 1
    0.98426
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02165
  • Inter Quartile Range
    0.00000
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.22222
  • Mean of outliers low
    0.98184
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    1.03489
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.18416
  • VaR(95%) (moments method)
    0.00884
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.56070
  • VaR(95%) (regression method)
    0.01285
  • Expected Shortfall (regression method)
    0.03989
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00318
  • Quartile 1
    0.01054
  • Median
    0.04828
  • Quartile 3
    0.09503
  • Maximum
    0.22228
  • Mean of quarter 1
    0.00502
  • Mean of quarter 2
    0.02162
  • Mean of quarter 3
    0.07493
  • Mean of quarter 4
    0.16200
  • Inter Quartile Range
    0.08449
  • 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
    0.16667
  • Mean of outliers high
    0.22228
  • 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)
    0.26275
  • Compounded annual return (geometric extrapolation)
    0.28203
  • Calmar ratio (compounded annual return / max draw down)
    1.26884
  • Compounded annual return / average of 25% largest draw downs
    1.74092
  • Compounded annual return / Expected Shortfall lognormal
    5.18587
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.04300
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -530334000
  • Max Equity Drawdown (num days)
    18

Strategy Description

Trade this strategy at Tradier

Summary Statistics


Strategy began
2024-04-03
Suggested Minimum Capital
$25,000
# Trades
31
# Profitable
15
% Profitable
48.4%
Correlation S&P500
0.089
Sharpe Ratio
0.23
Sortino Ratio
0.42
Beta
0.17
Alpha
0.01
Leverage
8.65 Average
31.21 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.