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



Silver Thorn
(148862273)

Creato da: FedericoDominguez4 FedericoDominguez4
Started: 08/2024
Stocks
Last trade: Yesterday

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 $49.00 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.


62.9%
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.

(25.5%)
Max Drawdown
163
Num Trades
61.3%
Win Trades
2.8 : 1
Profit Factor
61.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                                                 +8.4%(2.7%)+6.4%+22.0%(2.5%)+33.6%
2025+1.8%(4.8%)(1.9%)(6.4%)+9.4%+19.6%+3.5%+4.5%                        +25.8%


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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/14/25 15:58 HEI HEICO CORP LONG 10 311.62 8/26 9:30 323.73 0.1%
Trade id #152611749
Max drawdown($86)
Time8/19/25 0:00
Quant open10
Worst price303.02
Drawdown as % of equity-0.10%
$121
Includes Typical Broker Commissions trade costs of $0.20
7/30/25 12:48 PLMR PALOMAR HOLDINGS INC. COMMON STOCK LONG 20 126.39 8/22 14:47 124.95 0.27%
Trade id #152473236
Max drawdown($219)
Time8/6/25 0:00
Quant open10
Worst price109.45
Drawdown as % of equity-0.27%
($29)
Includes Typical Broker Commissions trade costs of $0.40
8/20/25 9:46 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 75 38.14 8/22 13:30 35.26 0.26%
Trade id #152647925
Max drawdown($216)
Time8/22/25 13:23
Quant open75
Worst price35.26
Drawdown as % of equity-0.26%
($218)
Includes Typical Broker Commissions trade costs of $1.50
7/31/25 12:38 SOXL DIREXION DAILY SEMICONDCT BULL LONG 600 25.22 8/13 10:36 27.23 1.72%
Trade id #152484483
Max drawdown($1,387)
Time8/1/25 0:00
Quant open500
Worst price22.57
Drawdown as % of equity-1.72%
$1,194
Includes Typical Broker Commissions trade costs of $12.00
8/6/25 12:36 DASH DOORDASH INC. CLASS A LONG 30 257.73 8/7 9:30 271.28 0.03%
Trade id #152537489
Max drawdown($21)
Time8/6/25 13:57
Quant open30
Worst price257.00
Drawdown as % of equity-0.03%
$406
Includes Typical Broker Commissions trade costs of $0.60
7/9/25 12:49 GREK GLOBAL X MSCI GREECE 20 ETF LONG 100 61.20 8/6 9:30 63.42 0.17%
Trade id #152271228
Max drawdown($130)
Time7/16/25 0:00
Quant open100
Worst price59.90
Drawdown as % of equity-0.17%
$220
Includes Typical Broker Commissions trade costs of $2.00
7/28/25 9:55 GEOS GEOSPACE TECHNOLOGIES LONG 100 16.40 8/4 10:53 17.40 0.17%
Trade id #152441004
Max drawdown($138)
Time7/28/25 13:23
Quant open100
Worst price15.02
Drawdown as % of equity-0.17%
$98
Includes Typical Broker Commissions trade costs of $2.00
7/9/25 12:20 FUTU FUTU HOLDINGS LTD ADS LONG 10 141.73 7/31 15:42 153.21 0.02%
Trade id #152270997
Max drawdown($14)
Time7/16/25 0:00
Quant open10
Worst price140.31
Drawdown as % of equity-0.02%
$115
Includes Typical Broker Commissions trade costs of $0.20
7/18/25 11:40 TME TENCENT MUSIC ENTERTAINMENT GROUP LONG 100 21.86 7/29 10:49 22.00 0.13%
Trade id #152357711
Max drawdown($100)
Time7/25/25 0:00
Quant open100
Worst price20.86
Drawdown as % of equity-0.13%
$12
Includes Typical Broker Commissions trade costs of $2.00
7/9/25 12:53 SAN SANTANDER FINANCE SA UNIPERSON LONG 1,000 8.88 7/29 10:49 8.90 0.77%
Trade id #152271256
Max drawdown($600)
Time7/15/25 0:00
Quant open1,000
Worst price8.28
Drawdown as % of equity-0.77%
$15
Includes Typical Broker Commissions trade costs of $5.00
7/9/25 12:55 QTUM DEFIANCE QUANTUM ETF LONG 200 93.20 7/29 10:49 94.90 0.48%
Trade id #152271270
Max drawdown($372)
Time7/14/25 0:00
Quant open200
Worst price91.34
Drawdown as % of equity-0.48%
$336
Includes Typical Broker Commissions trade costs of $4.00
7/7/25 14:19 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,000 25.75 7/29 10:49 27.86 0.03%
Trade id #152245636
Max drawdown($21)
Time7/7/25 14:30
Quant open100
Worst price24.62
Drawdown as % of equity-0.03%
$2,089
Includes Typical Broker Commissions trade costs of $20.00
7/9/25 12:49 UFO PROCURE SPACE ETF LONG 100 29.88 7/23 15:19 31.41 0.05%
Trade id #152271230
Max drawdown($35)
Time7/14/25 0:00
Quant open100
Worst price29.53
Drawdown as % of equity-0.05%
$151
Includes Typical Broker Commissions trade costs of $2.00
6/26/25 14:10 WDC WESTERN DIGITAL LONG 50 63.56 7/18 11:49 68.00 0.06%
Trade id #152159196
Max drawdown($45)
Time6/27/25 0:00
Quant open50
Worst price62.65
Drawdown as % of equity-0.06%
$221
Includes Typical Broker Commissions trade costs of $1.00
6/12/25 14:53 SRAD SPORTRADAR GROUP AG LONG 650 24.95 7/16 10:39 28.24 0.76%
Trade id #152026127
Max drawdown($580)
Time6/17/25 0:00
Quant open650
Worst price24.06
Drawdown as % of equity-0.76%
$2,123
Includes Typical Broker Commissions trade costs of $13.00
6/24/25 14:39 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 100 47.47 7/10 13:04 43.95 0.46%
Trade id #152137364
Max drawdown($361)
Time7/10/25 11:31
Quant open100
Worst price43.85
Drawdown as % of equity-0.46%
($354)
Includes Typical Broker Commissions trade costs of $2.00
7/7/25 10:24 FAST FASTENAL LONG 35 42.91 7/9 12:57 42.99 0.03%
Trade id #152242243
Max drawdown($22)
Time7/8/25 0:00
Quant open35
Worst price42.27
Drawdown as % of equity-0.03%
$2
Includes Typical Broker Commissions trade costs of $0.70
7/3/25 14:10 BMNR BITMINE IMMERSION TECHNOLOGIES INC LONG 10 115.93 7/8 13:08 117.50 0.18%
Trade id #152224441
Max drawdown($144)
Time7/7/25 0:00
Quant open10
Worst price101.50
Drawdown as % of equity-0.18%
$16
Includes Typical Broker Commissions trade costs of $0.20
6/26/25 14:10 DLTR DOLLAR TREE STORES LONG 25 99.11 7/7 13:18 103.27 0.06%
Trade id #152159203
Max drawdown($45)
Time6/30/25 0:00
Quant open25
Worst price97.30
Drawdown as % of equity-0.06%
$104
Includes Typical Broker Commissions trade costs of $0.50
6/27/25 14:11 FUTU FUTU HOLDINGS LTD ADS LONG 20 121.28 7/7 13:18 123.80 0.09%
Trade id #152170728
Max drawdown($70)
Time7/2/25 0:00
Quant open20
Worst price117.78
Drawdown as % of equity-0.09%
$50
Includes Typical Broker Commissions trade costs of $0.40
6/6/25 12:37 PLTR PALANTIR TECHNOLOGIES INC. CLASS A LONG 30 131.06 7/3 15:57 134.26 0.01%
Trade id #151946102
Max drawdown($4)
Time6/6/25 12:44
Quant open15
Worst price124.45
Drawdown as % of equity-0.01%
$95
Includes Typical Broker Commissions trade costs of $0.60
6/10/25 12:29 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,800 20.52 6/24 12:11 22.12 0.83%
Trade id #151981689
Max drawdown($609)
Time6/13/25 0:00
Quant open300
Worst price19.84
Drawdown as % of equity-0.83%
$2,864
Includes Typical Broker Commissions trade costs of $17.50
5/28/25 15:31 GEV GE VERNOVA INC LONG 5 485.50 6/10 14:03 460.01 0.18%
Trade id #151854848
Max drawdown($134)
Time6/10/25 11:33
Quant open5
Worst price458.65
Drawdown as % of equity-0.18%
($127)
Includes Typical Broker Commissions trade costs of $0.10
4/24/25 14:05 SOXL DIREXION DAILY SEMICONDCT BULL LONG 6,300 15.32 6/4 13:05 17.59 1.92%
Trade id #151518040
Max drawdown($1,134)
Time4/30/25 0:00
Quant open900
Worst price10.75
Drawdown as % of equity-1.92%
$14,212
Includes Typical Broker Commissions trade costs of $67.00
5/22/25 11:38 RGTI RIGETTI COMPUTING INC. COMMON STOCK LONG 500 12.94 5/22 13:12 13.71 0.18%
Trade id #151801897
Max drawdown($112)
Time5/22/25 11:43
Quant open500
Worst price12.71
Drawdown as % of equity-0.18%
$375
Includes Typical Broker Commissions trade costs of $10.00
5/2/25 12:28 SHLD GLOBAL X DEFENSE TECH ETF LONG 100 53.20 5/12 15:49 51.83 0.3%
Trade id #151605819
Max drawdown($184)
Time5/12/25 9:37
Quant open100
Worst price51.36
Drawdown as % of equity-0.30%
($139)
Includes Typical Broker Commissions trade costs of $2.00
5/5/25 13:18 ATHR AETHER HOLDINGS INC. LONG 200 11.06 5/12 15:49 10.26 0.62%
Trade id #151624680
Max drawdown($375)
Time5/9/25 0:00
Quant open200
Worst price9.18
Drawdown as % of equity-0.62%
($164)
Includes Typical Broker Commissions trade costs of $4.00
4/10/25 11:43 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 250 63.49 4/24 14:06 71.16 0.87%
Trade id #151356707
Max drawdown($504)
Time4/10/25 12:27
Quant open250
Worst price61.47
Drawdown as % of equity-0.87%
$1,913
Includes Typical Broker Commissions trade costs of $5.00
4/16/25 10:51 AAAU GOLDMAN SACHS PHYSICAL GOLD ETF LONG 150 32.96 4/24 14:06 32.96 0.18%
Trade id #151426312
Max drawdown($110)
Time4/23/25 0:00
Quant open150
Worst price32.22
Drawdown as % of equity-0.18%
($2)
Includes Typical Broker Commissions trade costs of $3.00
4/22/25 15:35 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 100 26.99 4/24 14:05 19.09 1.35%
Trade id #151489417
Max drawdown($799)
Time4/24/25 14:01
Quant open100
Worst price19.00
Drawdown as % of equity-1.35%
($792)
Includes Typical Broker Commissions trade costs of $2.00


Statistics

  • Strategy began
    8/7/2024
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    385.96
  • Age
    13 months ago
  • What it trades
    Stocks
  • # Trades
    163
  • # Profitable
    100
  • % Profitable
    61.30%
  • Avg trade duration
    30.5 days
  • Max peak-to-valley drawdown
    25.49%
  • drawdown period
    Dec 06, 2024 - April 09, 2025
  • Annual Return (Compounded)
    62.9%
  • Avg win
    $543.21
  • Avg loss
    $315.11
  • Model Account Values (Raw)
  • Cash
    $74,760
  • Margin Used
    ($7,776)
  • Buying Power
    $83,902
  • Ratios
  • W:L ratio
    2.76:1
  • Sharpe Ratio
    1.72
  • Sortino Ratio
    2.97
  • Calmar Ratio
    3.107
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    43.12%
  • Correlation to SP500
    0.36800
  • Return Percent SP500 (cumu) during strategy life
    24.84%
  • Return Statistics
  • Ann Return (w trading costs)
    62.9%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • 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)
    0.629%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    66.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    16.00%
  • Chance of 20% account loss
    0.50%
  • 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
    56.55%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    937
  • Popularity (Last 6 weeks)
    971
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    991
  • Popularity (7 days, Percentile 1000 scale)
    951
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $315
  • Avg Win
    $553
  • Sum Trade PL (losers)
    $19,852.000
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $55,252.000
  • # Winners
    100
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    278
  • Win / Loss
  • # Losers
    63
  • % Winners
    61.4%
  • Frequency
  • Avg Position Time (mins)
    43911.10
  • Avg Position Time (hrs)
    731.85
  • Avg Trade Length
    30.5 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.71
  • Daily leverage (max)
    2.68
  • Regression
  • Alpha
    0.11
  • Beta
    0.47
  • Treynor Index
    0.29
  • 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)
    0.56
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.358
  • 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
    0.300
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.498
  • Hold-and-Hope Ratio
    0.753
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53541
  • SD
    0.25813
  • Sharpe ratio (Glass type estimate)
    2.07416
  • Sharpe ratio (Hedges UMVUE)
    1.92888
  • df
    11.00000
  • t
    2.07416
  • p
    0.03116
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10372
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.17398
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19034
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.04811
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.26578
  • Upside Potential Ratio
    8.09766
  • Upside part of mean
    0.69194
  • Downside part of mean
    -0.15653
  • Upside SD
    0.27869
  • Downside SD
    0.08545
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.20543
  • Mean of criterion
    0.53541
  • SD of predictor
    0.16922
  • SD of criterion
    0.25813
  • Covariance
    0.02710
  • r
    0.62035
  • b (slope, estimate of beta)
    0.94628
  • a (intercept, estimate of alpha)
    0.34101
  • Mean Square Error
    0.04509
  • DF error
    10.00000
  • t(b)
    2.50113
  • p(b)
    0.01569
  • t(a)
    1.50812
  • p(a)
    0.08122
  • Lowerbound of 95% confidence interval for beta
    0.10328
  • Upperbound of 95% confidence interval for beta
    1.78929
  • Lowerbound of 95% confidence interval for alpha
    -0.16281
  • Upperbound of 95% confidence interval for alpha
    0.84484
  • Treynor index (mean / b)
    0.56580
  • Jensen alpha (a)
    0.34101
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49470
  • SD
    0.24695
  • Sharpe ratio (Glass type estimate)
    2.00326
  • Sharpe ratio (Hedges UMVUE)
    1.86295
  • df
    11.00000
  • t
    2.00326
  • p
    0.03520
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16216
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.09251
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24595
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.97185
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.65335
  • Upside Potential Ratio
    7.48103
  • Upside part of mean
    0.65463
  • Downside part of mean
    -0.15993
  • Upside SD
    0.26199
  • Downside SD
    0.08751
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.19018
  • Mean of criterion
    0.49470
  • SD of predictor
    0.17006
  • SD of criterion
    0.24695
  • Covariance
    0.02681
  • r
    0.63836
  • b (slope, estimate of beta)
    0.92696
  • a (intercept, estimate of alpha)
    0.31841
  • Mean Square Error
    0.03975
  • DF error
    10.00000
  • t(b)
    2.62255
  • p(b)
    0.01274
  • t(a)
    1.51344
  • p(a)
    0.08056
  • Lowerbound of 95% confidence interval for beta
    0.13941
  • Upperbound of 95% confidence interval for beta
    1.71451
  • Lowerbound of 95% confidence interval for alpha
    -0.15036
  • Upperbound of 95% confidence interval for alpha
    0.78719
  • Treynor index (mean / b)
    0.53368
  • Jensen alpha (a)
    0.31841
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07321
  • Expected Shortfall on VaR
    0.10010
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02328
  • Expected Shortfall on VaR
    0.04659
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.94473
  • Quartile 1
    0.98312
  • Median
    1.06275
  • Quartile 3
    1.09233
  • Maximum
    1.17345
  • Mean of quarter 1
    0.95534
  • Mean of quarter 2
    1.01670
  • Mean of quarter 3
    1.07739
  • Mean of quarter 4
    1.13835
  • Inter Quartile Range
    0.10922
  • 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)
    -122.64300
  • VaR(95%) (moments method)
    0.04591
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.40707
  • VaR(95%) (regression method)
    0.08150
  • Expected Shortfall (regression method)
    0.08173
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01324
  • Quartile 1
    0.04108
  • Median
    0.06891
  • Quartile 3
    0.09675
  • Maximum
    0.12458
  • Mean of quarter 1
    0.01324
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.12458
  • Inter Quartile Range
    0.05567
  • 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)
    0.68641
  • Compounded annual return (geometric extrapolation)
    0.68641
  • Calmar ratio (compounded annual return / max draw down)
    5.50973
  • Compounded annual return / average of 25% largest draw downs
    5.50973
  • Compounded annual return / Expected Shortfall lognormal
    6.85715
  • 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
    0.51717
  • SD
    0.24180
  • Sharpe ratio (Glass type estimate)
    2.13888
  • Sharpe ratio (Hedges UMVUE)
    2.13298
  • df
    272.00000
  • t
    2.18332
  • p
    0.01493
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20850
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.06543
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20456
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.06140
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.66487
  • Upside Potential Ratio
    9.63838
  • Upside part of mean
    1.36013
  • Downside part of mean
    -0.84296
  • Upside SD
    0.19839
  • Downside SD
    0.14112
  • N nonnegative terms
    146.00000
  • N negative terms
    127.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    273.00000
  • Mean of predictor
    0.20441
  • Mean of criterion
    0.51717
  • SD of predictor
    0.18925
  • SD of criterion
    0.24180
  • Covariance
    0.01665
  • r
    0.36389
  • b (slope, estimate of beta)
    0.46493
  • a (intercept, estimate of alpha)
    0.42200
  • Mean Square Error
    0.05091
  • DF error
    271.00000
  • t(b)
    6.43128
  • p(b)
    0.00000
  • t(a)
    1.90550
  • p(a)
    0.02889
  • Lowerbound of 95% confidence interval for beta
    0.32260
  • Upperbound of 95% confidence interval for beta
    0.60725
  • Lowerbound of 95% confidence interval for alpha
    -0.01401
  • Upperbound of 95% confidence interval for alpha
    0.85828
  • Treynor index (mean / b)
    1.11237
  • Jensen alpha (a)
    0.42214
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48773
  • SD
    0.24059
  • Sharpe ratio (Glass type estimate)
    2.02718
  • Sharpe ratio (Hedges UMVUE)
    2.02159
  • df
    272.00000
  • t
    2.06930
  • p
    0.01973
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09777
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.95299
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09402
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.94916
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.36367
  • Upside Potential Ratio
    9.24783
  • Upside part of mean
    1.34092
  • Downside part of mean
    -0.85319
  • Upside SD
    0.19379
  • Downside SD
    0.14500
  • N nonnegative terms
    146.00000
  • N negative terms
    127.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    273.00000
  • Mean of predictor
    0.18661
  • Mean of criterion
    0.48773
  • SD of predictor
    0.18823
  • SD of criterion
    0.24059
  • Covariance
    0.01699
  • r
    0.37517
  • b (slope, estimate of beta)
    0.47953
  • a (intercept, estimate of alpha)
    0.39824
  • Mean Square Error
    0.04992
  • DF error
    271.00000
  • t(b)
    6.66265
  • p(b)
    0.00000
  • t(a)
    1.81600
  • p(a)
    0.03524
  • Lowerbound of 95% confidence interval for beta
    0.33784
  • Upperbound of 95% confidence interval for beta
    0.62123
  • Lowerbound of 95% confidence interval for alpha
    -0.03350
  • Upperbound of 95% confidence interval for alpha
    0.82998
  • Treynor index (mean / b)
    1.01708
  • Jensen alpha (a)
    0.39824
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02233
  • Expected Shortfall on VaR
    0.02837
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00689
  • Expected Shortfall on VaR
    0.01512
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    273.00000
  • Minimum
    0.91128
  • Quartile 1
    0.99638
  • Median
    1.00063
  • Quartile 3
    1.00593
  • Maximum
    1.07341
  • Mean of quarter 1
    0.98875
  • Mean of quarter 2
    0.99876
  • Mean of quarter 3
    1.00271
  • Mean of quarter 4
    1.01830
  • Inter Quartile Range
    0.00956
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.04029
  • Mean of outliers low
    0.96651
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.06960
  • Mean of outliers high
    1.03889
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.58353
  • VaR(95%) (moments method)
    0.01167
  • Expected Shortfall (moments method)
    0.03020
  • Extreme Value Index (regression method)
    0.53315
  • VaR(95%) (regression method)
    0.00893
  • Expected Shortfall (regression method)
    0.01942
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00155
  • Median
    0.00630
  • Quartile 3
    0.01318
  • Maximum
    0.21713
  • Mean of quarter 1
    0.00102
  • Mean of quarter 2
    0.00349
  • Mean of quarter 3
    0.00866
  • Mean of quarter 4
    0.08610
  • Inter Quartile Range
    0.01163
  • 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
    0.14286
  • Mean of outliers high
    0.12924
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.71395
  • VaR(95%) (moments method)
    0.06926
  • Expected Shortfall (moments method)
    0.27759
  • Extreme Value Index (regression method)
    0.97496
  • VaR(95%) (regression method)
    0.11568
  • Expected Shortfall (regression method)
    5.04975
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.68268
  • Compounded annual return (geometric extrapolation)
    0.67470
  • Calmar ratio (compounded annual return / max draw down)
    3.10734
  • Compounded annual return / average of 25% largest draw downs
    7.83616
  • Compounded annual return / Expected Shortfall lognormal
    23.77970
  • 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
    0.51636
  • SD
    0.26101
  • Sharpe ratio (Glass type estimate)
    1.97830
  • Sharpe ratio (Hedges UMVUE)
    1.96686
  • df
    130.00000
  • t
    1.39887
  • p
    0.43911
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80768
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.75676
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81524
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.74896
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.15239
  • Upside Potential Ratio
    8.05326
  • Upside part of mean
    1.31913
  • Downside part of mean
    -0.80277
  • Upside SD
    0.20444
  • Downside SD
    0.16380
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17524
  • Mean of criterion
    0.51636
  • SD of predictor
    0.23758
  • SD of criterion
    0.26101
  • Covariance
    0.01817
  • r
    0.29306
  • b (slope, estimate of beta)
    0.32197
  • a (intercept, estimate of alpha)
    0.45994
  • Mean Square Error
    0.06276
  • DF error
    129.00000
  • t(b)
    3.48140
  • p(b)
    0.31614
  • t(a)
    1.29686
  • p(a)
    0.42793
  • Lowerbound of 95% confidence interval for beta
    0.13899
  • Upperbound of 95% confidence interval for beta
    0.50495
  • Lowerbound of 95% confidence interval for alpha
    -0.24176
  • Upperbound of 95% confidence interval for alpha
    1.16165
  • Treynor index (mean / b)
    1.60376
  • Jensen alpha (a)
    0.45994
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48205
  • SD
    0.26108
  • Sharpe ratio (Glass type estimate)
    1.84638
  • Sharpe ratio (Hedges UMVUE)
    1.83570
  • df
    130.00000
  • t
    1.30559
  • p
    0.44312
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93801
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.62374
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94507
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.61648
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.84058
  • Upside Potential Ratio
    7.65343
  • Upside part of mean
    1.29879
  • Downside part of mean
    -0.81674
  • Upside SD
    0.19932
  • Downside SD
    0.16970
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14745
  • Mean of criterion
    0.48205
  • SD of predictor
    0.23582
  • SD of criterion
    0.26108
  • Covariance
    0.01896
  • r
    0.30792
  • b (slope, estimate of beta)
    0.34090
  • a (intercept, estimate of alpha)
    0.43178
  • Mean Square Error
    0.06218
  • DF error
    129.00000
  • t(b)
    3.67591
  • p(b)
    0.30712
  • t(a)
    1.22351
  • p(a)
    0.43195
  • VAR (95 Confidence Intrvl)
    0.02200
  • Lowerbound of 95% confidence interval for beta
    0.15741
  • Upperbound of 95% confidence interval for beta
    0.52438
  • Lowerbound of 95% confidence interval for alpha
    -0.26645
  • Upperbound of 95% confidence interval for alpha
    1.13001
  • Treynor index (mean / b)
    1.41405
  • Jensen alpha (a)
    0.43178
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02439
  • Expected Shortfall on VaR
    0.03092
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00655
  • Expected Shortfall on VaR
    0.01497
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91128
  • Quartile 1
    0.99764
  • Median
    1.00058
  • Quartile 3
    1.00484
  • Maximum
    1.07341
  • Mean of quarter 1
    0.98905
  • Mean of quarter 2
    0.99904
  • Mean of quarter 3
    1.00227
  • Mean of quarter 4
    1.01796
  • Inter Quartile Range
    0.00720
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.95952
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.03645
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56753
  • VaR(95%) (moments method)
    0.00931
  • Expected Shortfall (moments method)
    0.02437
  • Extreme Value Index (regression method)
    0.69843
  • VaR(95%) (regression method)
    0.00713
  • Expected Shortfall (regression method)
    0.02302
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00090
  • Quartile 1
    0.00154
  • Median
    0.00630
  • Quartile 3
    0.01210
  • Maximum
    0.17152
  • Mean of quarter 1
    0.00110
  • Mean of quarter 2
    0.00372
  • Mean of quarter 3
    0.00744
  • Mean of quarter 4
    0.06488
  • Inter Quartile Range
    0.01056
  • 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
    0.20000
  • Mean of outliers high
    0.08124
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.21257
  • VaR(95%) (moments method)
    0.04998
  • Expected Shortfall (moments method)
    0.08612
  • Extreme Value Index (regression method)
    1.13067
  • VaR(95%) (regression method)
    0.10350
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -366730000
  • Max Equity Drawdown (num days)
    124
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.58086
  • Compounded annual return (geometric extrapolation)
    0.66522
  • Calmar ratio (compounded annual return / max draw down)
    3.87837
  • Compounded annual return / average of 25% largest draw downs
    10.25350
  • Compounded annual return / Expected Shortfall lognormal
    21.51110

Strategy Description

Summary Statistics


Strategy began
2024-08-07
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 0.9%
Rank # 
#5
# Trades
163
# Profitable
100
% Profitable
61.3%
Net Dividends
Correlation S&P500
0.368
Sharpe Ratio
1.72
Sortino Ratio
2.97
Beta
0.47
Alpha
0.11
Leverage
0.71 Average
2.68 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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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.