Collective2 Collective2
Featured Strategy TechSignal Followed by live capital $584.7 thousand Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more


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High Frequency Stocks
(145017412)

Creato da: High-Frequency-Algo High-Frequency-Algo
Started: 06/2023
Options
Last trade: 416 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $375.00 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.


-84.9%
Cumul. Return

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 cumulativo

= (Patrimonio_finale - Patrimonio_iniziale) / Patrimonio_iniziale

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.

(91.8%)
Max Drawdown
124
Num Trades
35.5%
Win Trades
0.9 : 1
Profit Factor
12.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                   (15.7%)+144.6%(49.7%)(5.2%)(9.6%)(41.3%)+200.6%+57.0%
2024(53.4%)+87.4%(81.2%)(30.3%)  -    -    -    -    -    -    -    -  (88.5%)
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 584 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 442 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
4/1/24 12:56 IWM2426D210 IWM Apr26'24 210 call LONG 6 3.71 4/27 9:35 0.00 49.03%
Trade id #147775021
Max drawdown($2,217)
Time4/22/24 0:00
Quant open6
Worst price0.01
Drawdown as % of equity-49.03%
 ($2,229)
Includes Typical Broker Commissions trade costs of $6.00
3/15/24 10:01 BA2412P180 BA Apr12'24 180 put LONG 32 5.27 4/1 12:56 0.78 197.76%
Trade id #147648193
Max drawdown($15,180)
Time3/28/24 0:00
Quant open32
Worst price0.53
Drawdown as % of equity-197.76%
 ($14,425)
Includes Typical Broker Commissions trade costs of $44.80
2/9/24 12:16 IWM2428C200 IWM Mar28'24 200 call LONG 40 5.17 3/15 10:01 4.18 19.18%
Trade id #147271185
Max drawdown($6,595)
Time3/14/24 0:00
Quant open40
Worst price3.52
Drawdown as % of equity-19.18%
 ($3,991)
Includes Typical Broker Commissions trade costs of $56.00
2/2/24 9:59 SPY2415C500 SPY Mar15'24 500 call LONG 35 4.53 2/9 11:37 7.69 3.43%
Trade id #147203270
Max drawdown($550)
Time2/2/24 10:13
Quant open35
Worst price4.37
Drawdown as % of equity-3.43%
 $11,007
Includes Typical Broker Commissions trade costs of $49.00
2/1/24 10:22 PLTR2416N16 PLTR Feb16'24 16 put LONG 235 1.06 2/2 9:53 0.95 20.39%
Trade id #147193109
Max drawdown($3,310)
Time2/2/24 9:48
Quant open235
Worst price0.92
Drawdown as % of equity-20.39%
 ($2,934)
Includes Typical Broker Commissions trade costs of $329.00
1/22/24 10:26 IWM2401C200 IWM Mar1'24 200 call LONG 34 4.22 1/31 15:55 2.25 31.62%
Trade id #147085214
Max drawdown($7,123)
Time1/31/24 15:54
Quant open34
Worst price2.12
Drawdown as % of equity-31.62%
 ($6,730)
Includes Typical Broker Commissions trade costs of $47.60
1/22/24 10:28 IWM2423B200 IWM Feb23'24 200 call LONG 15 3.61 1/31 15:49 1.79 12.11%
Trade id #147085279
Max drawdown($2,727)
Time1/31/24 15:49
Quant open15
Worst price1.79
Drawdown as % of equity-12.11%
 ($2,749)
Includes Typical Broker Commissions trade costs of $21.00
1/24/24 13:51 IWM2423B195 IWM Feb23'24 195 call LONG 20 4.95 1/24 14:18 4.70 2.27%
Trade id #147116270
Max drawdown($520)
Time1/24/24 14:18
Quant open20
Worst price4.69
Drawdown as % of equity-2.27%
 ($538)
Includes Typical Broker Commissions trade costs of $28.00
1/11/24 13:43 IWM2409B194.5 IWM Feb9'24 194.5 call LONG 20 3.83 1/24 13:51 4.00 25.7%
Trade id #146977772
Max drawdown($3,860)
Time1/17/24 0:00
Quant open20
Worst price1.90
Drawdown as % of equity-25.70%
 $322
Includes Typical Broker Commissions trade costs of $28.00
1/11/24 13:43 SPY2402B477 SPY Feb2'24 477 call LONG 20 4.74 1/22 10:27 10.19 27.7%
Trade id #146977753
Max drawdown($4,160)
Time1/17/24 0:00
Quant open20
Worst price2.66
Drawdown as % of equity-27.70%
 $10,876
Includes Typical Broker Commissions trade costs of $28.00
1/9/24 11:56 SPY2426A474 SPY Jan26'24 474 call LONG 10 5.11 1/11 10:07 4.77 2.83%
Trade id #146953207
Max drawdown($530)
Time1/9/24 13:34
Quant open10
Worst price4.58
Drawdown as % of equity-2.83%
 ($354)
Includes Typical Broker Commissions trade costs of $14.00
1/9/24 11:56 SPY2426A476 SPY Jan26'24 476 call LONG 10 3.96 1/11 10:07 3.67 2.67%
Trade id #146953198
Max drawdown($470)
Time1/9/24 15:48
Quant open10
Worst price3.49
Drawdown as % of equity-2.67%
 ($304)
Includes Typical Broker Commissions trade costs of $14.00
1/9/24 10:23 SPY2426A473 SPY Jan26'24 473 call LONG 10 5.11 1/11 10:07 5.39 1.91%
Trade id #146950802
Max drawdown($322)
Time1/9/24 10:54
Quant open10
Worst price4.79
Drawdown as % of equity-1.91%
 $264
Includes Typical Broker Commissions trade costs of $14.00
1/2/24 9:37 AAPL2415C200 AAPL Mar15'24 200 call LONG 40 2.83 1/9 11:56 1.66 31.95%
Trade id #146862340
Max drawdown($7,015)
Time1/5/24 0:00
Quant open40
Worst price1.08
Drawdown as % of equity-31.95%
 ($4,771)
Includes Typical Broker Commissions trade costs of $56.00
1/2/24 9:31 AAPL2416B190 AAPL Feb16'24 190 call LONG 20 5.30 1/9 11:55 3.25 30.1%
Trade id #146861978
Max drawdown($6,610)
Time1/5/24 0:00
Quant open20
Worst price2.00
Drawdown as % of equity-30.10%
 ($4,128)
Includes Typical Broker Commissions trade costs of $28.00
12/26/23 14:29 GDX2421F37 GDX Jun21'24 37 call LONG 40 1.26 1/9/24 11:55 0.59 15.77%
Trade id #146811251
Max drawdown($2,680)
Time1/9/24 11:54
Quant open40
Worst price0.59
Drawdown as % of equity-15.77%
 ($2,736)
Includes Typical Broker Commissions trade costs of $56.00
12/21/23 11:16 GLD2416B191 GLD Feb16'24 191 call LONG 15 3.86 1/9/24 11:55 2.19 16.57%
Trade id #146775854
Max drawdown($2,957)
Time1/8/24 0:00
Quant open15
Worst price1.89
Drawdown as % of equity-16.57%
 ($2,521)
Includes Typical Broker Commissions trade costs of $21.00
1/2/24 13:54 AAPL2419D200 AAPL Apr19'24 200 call LONG 10 3.38 1/9 10:16 2.76 6.19%
Trade id #146878136
Max drawdown($1,360)
Time1/5/24 0:00
Quant open10
Worst price2.02
Drawdown as % of equity-6.19%
 ($634)
Includes Typical Broker Commissions trade costs of $14.00
1/5/24 15:33 SPY2417M464 SPY Jan17'24 464 put LONG 21 2.23 1/9 10:13 0.61 20.15%
Trade id #146920703
Max drawdown($3,425)
Time1/9/24 10:10
Quant open21
Worst price0.60
Drawdown as % of equity-20.15%
 ($3,434)
Includes Typical Broker Commissions trade costs of $29.70
1/5/24 13:41 SPY2426A470 SPY Jan26'24 470 call LONG 10 4.98 1/5 15:25 4.20 4.45%
Trade id #146919679
Max drawdown($880)
Time1/5/24 14:59
Quant open10
Worst price4.10
Drawdown as % of equity-4.45%
 ($794)
Includes Typical Broker Commissions trade costs of $14.00
1/2/24 11:48 SPY2402B473 SPY Feb2'24 473 call LONG 10 7.86 1/3 10:10 6.16 6.18%
Trade id #146876000
Max drawdown($1,760)
Time1/3/24 9:58
Quant open10
Worst price6.10
Drawdown as % of equity-6.18%
 ($1,719)
Includes Typical Broker Commissions trade costs of $14.00
12/28/23 10:33 AAPL2402B195 AAPL Feb2'24 195 call LONG 10 5.50 12/29 10:41 4.68 2.14%
Trade id #146832147
Max drawdown($845)
Time12/29/23 10:41
Quant open10
Worst price4.65
Drawdown as % of equity-2.14%
 ($832)
Includes Typical Broker Commissions trade costs of $14.00
12/27/23 14:27 SPY2419A475 SPY Jan19'24 475 call LONG 10 6.73 12/29 10:33 6.49 1.2%
Trade id #146823511
Max drawdown($510)
Time12/27/23 15:50
Quant open10
Worst price6.22
Drawdown as % of equity-1.20%
 ($254)
Includes Typical Broker Commissions trade costs of $14.00
12/27/23 12:14 SPY2419A476 SPY Jan19'24 476 call LONG 10 6.14 12/27 14:04 5.66 1.17%
Trade id #146821689
Max drawdown($519)
Time12/27/23 14:04
Quant open10
Worst price5.62
Drawdown as % of equity-1.17%
 ($494)
Includes Typical Broker Commissions trade costs of $14.00
12/22/23 14:38 SPY2419A479 SPY Jan19'24 479 call LONG 20 3.88 12/27 12:04 4.35 n/a $922
Includes Typical Broker Commissions trade costs of $28.00
12/21/23 15:48 IWM2426A200 IWM Jan26'24 200 call LONG 10 5.51 12/26 15:39 8.08 n/a $2,551
Includes Typical Broker Commissions trade costs of $14.00
12/22/23 12:20 IWM2426A201 IWM Jan26'24 201 call LONG 10 6.21 12/26 15:38 7.43 1.52%
Trade id #146790726
Max drawdown($575)
Time12/22/23 14:27
Quant open10
Worst price5.63
Drawdown as % of equity-1.52%
 $1,211
Includes Typical Broker Commissions trade costs of $14.00
12/22/23 9:46 AAPL2426A195 AAPL Jan26'24 195 call LONG 10 4.67 12/22 11:57 4.30 1.23%
Trade id #146787080
Max drawdown($470)
Time12/22/23 11:11
Quant open10
Worst price4.20
Drawdown as % of equity-1.23%
 ($384)
Includes Typical Broker Commissions trade costs of $14.00
12/21/23 13:04 GLD2428C210 GLD Mar28'24 210 call LONG 40 1.14 12/22 9:54 1.66 0.28%
Trade id #146778199
Max drawdown($95)
Time12/21/23 13:10
Quant open40
Worst price1.12
Drawdown as % of equity-0.28%
 $1,989
Includes Typical Broker Commissions trade costs of $56.00
12/21/23 9:33 AAPL2426A195 AAPL Jan26'24 195 call LONG 20 5.87 12/21 10:39 4.76 6.48%
Trade id #146773653
Max drawdown($2,345)
Time12/21/23 10:38
Quant open20
Worst price4.70
Drawdown as % of equity-6.48%
 ($2,253)
Includes Typical Broker Commissions trade costs of $28.00

Successivo

Statistics

  • Strategy began
    6/23/2023
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    718.01
  • Age
    24 months ago
  • What it trades
    Options
  • # Trades
    124
  • # Profitable
    44
  • % Profitable
    35.50%
  • Avg trade duration
    3.9 days
  • Max peak-to-valley drawdown
    91.83%
  • drawdown period
    Oct 12, 2023 - April 27, 2024
  • Cumul. Return
    -82.0%
  • Avg win
    $3,604
  • Avg loss
    $2,133
  • Model Account Values (Raw)
  • Cash
    $12,906
  • Margin Used
    $0
  • Buying Power
    $12,906
  • Ratios
  • W:L ratio
    0.93:1
  • Sharpe Ratio
    0.36
  • Sortino Ratio
    0.71
  • Calmar Ratio
    -0.634
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -103.78%
  • Correlation to SP500
    0.09370
  • Return Percent SP500 (cumu) during strategy life
    38.04%
  • Return Statistics
  • Ann Return (w trading costs)
    -84.9%
  • Slump
  • Current Slump as Pcnt Equity
    1124.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.84%
  • 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)
    -0.820%
  • Instruments
  • Percent Trades Options
    0.99%
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -28.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    92.50%
  • Chance of 70% account loss (Monte Carlo)
    89.50%
  • Chance of 80% account loss (Monte Carlo)
    84.50%
  • Chance of 90% account loss (Monte Carlo)
    65.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    98.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    879
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    639
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,134
  • Avg Win
    $3,605
  • Sum Trade PL (losers)
    $170,705.000
  • Age
  • Num Months filled monthly returns table
    25
  • Win / Loss
  • Sum Trade PL (winners)
    $158,608.000
  • # Winners
    44
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    80
  • % Winners
    35.5%
  • Frequency
  • Avg Position Time (mins)
    5554.30
  • Avg Position Time (hrs)
    92.57
  • Avg Trade Length
    3.9 days
  • Last Trade Ago
    409
  • Leverage
  • Daily leverage (average)
    27.26
  • Daily leverage (max)
    146.27
  • Regression
  • Alpha
    0.20
  • Beta
    1.32
  • Treynor Index
    0.19
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.13
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.23
  • MAE:Equity, average, winning trades
    0.07
  • MAE:Equity, average, losing trades
    0.15
  • Avg(MAE) / Avg(PL) - All trades
    -11.013
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.320
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.226
  • Hold-and-Hope Ratio
    -0.091
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.56600
  • SD
    2.39344
  • Sharpe ratio (Glass type estimate)
    0.65429
  • Sharpe ratio (Hedges UMVUE)
    0.59794
  • df
    9.00000
  • t
    0.59728
  • p
    0.28252
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53083
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.80439
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.56679
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.76267
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.33747
  • Upside Potential Ratio
    3.54118
  • Upside part of mean
    4.14625
  • Downside part of mean
    -2.58025
  • Upside SD
    1.99728
  • Downside SD
    1.17086
  • N nonnegative terms
    5.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.19426
  • Mean of criterion
    1.56600
  • SD of predictor
    0.15214
  • SD of criterion
    2.39344
  • Covariance
    0.07989
  • r
    0.21938
  • b (slope, estimate of beta)
    3.45124
  • a (intercept, estimate of alpha)
    0.89556
  • Mean Square Error
    6.13444
  • DF error
    8.00000
  • t(b)
    0.63600
  • p(b)
    0.27127
  • t(a)
    0.30767
  • p(a)
    0.38310
  • Lowerbound of 95% confidence interval for beta
    -9.06229
  • Upperbound of 95% confidence interval for beta
    15.96480
  • Lowerbound of 95% confidence interval for alpha
    -5.81669
  • Upperbound of 95% confidence interval for alpha
    7.60781
  • Treynor index (mean / b)
    0.45375
  • Jensen alpha (a)
    0.89556
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.82413
  • SD
    2.34896
  • Sharpe ratio (Glass type estimate)
    -0.35085
  • Sharpe ratio (Hedges UMVUE)
    -0.32063
  • df
    9.00000
  • t
    -0.32028
  • p
    0.62197
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.49432
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81162
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.47277
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83150
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.46462
  • Upside Potential Ratio
    1.65441
  • Upside part of mean
    2.93458
  • Downside part of mean
    -3.75871
  • Upside SD
    1.36971
  • Downside SD
    1.77379
  • N nonnegative terms
    5.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.18228
  • Mean of criterion
    -0.82413
  • SD of predictor
    0.14870
  • SD of criterion
    2.34896
  • Covariance
    0.05867
  • r
    0.16796
  • b (slope, estimate of beta)
    2.65311
  • a (intercept, estimate of alpha)
    -1.30774
  • Mean Square Error
    6.03219
  • DF error
    8.00000
  • t(b)
    0.48190
  • p(b)
    0.32139
  • t(a)
    -0.45542
  • p(a)
    0.66954
  • Lowerbound of 95% confidence interval for beta
    -10.04260
  • Upperbound of 95% confidence interval for beta
    15.34880
  • Lowerbound of 95% confidence interval for alpha
    -7.92953
  • Upperbound of 95% confidence interval for alpha
    5.31405
  • Treynor index (mean / b)
    -0.31063
  • Jensen alpha (a)
    -1.30774
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.69396
  • Expected Shortfall on VaR
    0.76287
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.50284
  • Expected Shortfall on VaR
    0.81371
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.33158
  • Quartile 1
    0.57000
  • Median
    0.99500
  • Quartile 3
    1.66488
  • Maximum
    2.27404
  • Mean of quarter 1
    0.42106
  • Mean of quarter 2
    0.79912
  • Mean of quarter 3
    1.21148
  • Mean of quarter 4
    2.01463
  • Inter Quartile Range
    1.09488
  • 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)
    -14.60720
  • VaR(95%) (moments method)
    0.61930
  • Expected Shortfall (moments method)
    0.61930
  • Extreme Value Index (regression method)
    -1.93307
  • VaR(95%) (regression method)
    0.75450
  • Expected Shortfall (regression method)
    0.76187
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.74228
  • Quartile 1
    0.74228
  • Median
    0.74228
  • Quartile 3
    0.74228
  • Maximum
    0.74228
  • 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)
    -0.58196
  • Compounded annual return (geometric extrapolation)
    -0.54897
  • Calmar ratio (compounded annual return / max draw down)
    -0.73957
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.71962
  • 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
    1.55542
  • SD
    2.37087
  • Sharpe ratio (Glass type estimate)
    0.65605
  • Sharpe ratio (Hedges UMVUE)
    0.65385
  • df
    224.00000
  • t
    0.60797
  • p
    0.27191
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.46051
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77121
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.46200
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.76971
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.24401
  • Upside Potential Ratio
    9.93717
  • Upside part of mean
    12.42470
  • Downside part of mean
    -10.86930
  • Upside SD
    2.01047
  • Downside SD
    1.25033
  • N nonnegative terms
    92.00000
  • N negative terms
    133.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    225.00000
  • Mean of predictor
    0.20881
  • Mean of criterion
    1.55542
  • SD of predictor
    0.11815
  • SD of criterion
    2.37087
  • Covariance
    0.05397
  • r
    0.19267
  • b (slope, estimate of beta)
    3.86633
  • a (intercept, estimate of alpha)
    1.06400
  • Mean Square Error
    5.43665
  • DF error
    223.00000
  • t(b)
    2.93213
  • p(b)
    0.00186
  • t(a)
    0.29557
  • p(a)
    0.38392
  • Lowerbound of 95% confidence interval for beta
    1.26780
  • Upperbound of 95% confidence interval for beta
    6.46486
  • Lowerbound of 95% confidence interval for alpha
    -4.23984
  • Upperbound of 95% confidence interval for alpha
    5.73605
  • Treynor index (mean / b)
    0.40230
  • Jensen alpha (a)
    0.74811
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.80054
  • SD
    2.11039
  • Sharpe ratio (Glass type estimate)
    -0.37933
  • Sharpe ratio (Hedges UMVUE)
    -0.37806
  • df
    224.00000
  • t
    -0.35153
  • p
    0.63724
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.49419
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73637
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.49334
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73721
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.57825
  • Upside Potential Ratio
    7.91818
  • Upside part of mean
    10.96220
  • Downside part of mean
    -11.76270
  • Upside SD
    1.58737
  • Downside SD
    1.38443
  • N nonnegative terms
    92.00000
  • N negative terms
    133.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    225.00000
  • Mean of predictor
    0.20176
  • Mean of criterion
    -0.80054
  • SD of predictor
    0.11810
  • SD of criterion
    2.11039
  • Covariance
    0.04934
  • r
    0.19796
  • b (slope, estimate of beta)
    3.53738
  • a (intercept, estimate of alpha)
    -1.51424
  • Mean Square Error
    4.29840
  • DF error
    223.00000
  • t(b)
    3.01591
  • p(b)
    0.00143
  • t(a)
    -0.67308
  • p(a)
    0.74920
  • Lowerbound of 95% confidence interval for beta
    1.22598
  • Upperbound of 95% confidence interval for beta
    5.84879
  • Lowerbound of 95% confidence interval for alpha
    -5.94768
  • Upperbound of 95% confidence interval for alpha
    2.91919
  • Treynor index (mean / b)
    -0.22631
  • Jensen alpha (a)
    -1.51424
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19548
  • Expected Shortfall on VaR
    0.23727
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10630
  • Expected Shortfall on VaR
    0.19276
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    225.00000
  • Minimum
    0.68997
  • Quartile 1
    0.93530
  • Median
    0.99977
  • Quartile 3
    1.05266
  • Maximum
    2.20858
  • Mean of quarter 1
    0.86199
  • Mean of quarter 2
    0.97405
  • Mean of quarter 3
    1.01750
  • Mean of quarter 4
    1.17321
  • Inter Quartile Range
    0.11736
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.01778
  • Mean of outliers low
    0.71948
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.04444
  • Mean of outliers high
    1.45438
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.36998
  • VaR(95%) (moments method)
    0.13859
  • Expected Shortfall (moments method)
    0.16320
  • Extreme Value Index (regression method)
    -0.24659
  • VaR(95%) (regression method)
    0.12885
  • Expected Shortfall (regression method)
    0.15473
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.03741
  • Quartile 1
    0.21680
  • Median
    0.45262
  • Quartile 3
    0.66897
  • Maximum
    0.78997
  • Mean of quarter 1
    0.03741
  • Mean of quarter 2
    0.27660
  • Mean of quarter 3
    0.62864
  • Mean of quarter 4
    0.78997
  • Inter Quartile Range
    0.45217
  • 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)
    -0.56471
  • Compounded annual return (geometric extrapolation)
    -0.53820
  • Calmar ratio (compounded annual return / max draw down)
    -0.68129
  • Compounded annual return / average of 25% largest draw downs
    -0.68129
  • Compounded annual return / Expected Shortfall lognormal
    -2.26836
  • 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
    2.50010
  • SD
    2.76691
  • Sharpe ratio (Glass type estimate)
    0.90357
  • Sharpe ratio (Hedges UMVUE)
    0.89835
  • df
    130.00000
  • t
    0.63892
  • p
    0.47202
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.87210
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.67587
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.87561
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.67231
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.77883
  • Upside Potential Ratio
    10.29910
  • Upside part of mean
    14.47510
  • Downside part of mean
    -11.97500
  • Upside SD
    2.37609
  • Downside SD
    1.40548
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36510
  • Mean of criterion
    2.50010
  • SD of predictor
    0.11330
  • SD of criterion
    2.76691
  • Covariance
    0.07098
  • r
    0.22642
  • b (slope, estimate of beta)
    5.52967
  • a (intercept, estimate of alpha)
    0.48120
  • Mean Square Error
    7.31958
  • DF error
    129.00000
  • t(b)
    2.64023
  • p(b)
    0.35710
  • t(a)
    0.12333
  • p(a)
    0.49309
  • Lowerbound of 95% confidence interval for beta
    1.38587
  • Upperbound of 95% confidence interval for beta
    9.67346
  • Lowerbound of 95% confidence interval for alpha
    -7.23857
  • Upperbound of 95% confidence interval for alpha
    8.20096
  • Treynor index (mean / b)
    0.45212
  • Jensen alpha (a)
    0.48120
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.60777
  • SD
    2.41516
  • Sharpe ratio (Glass type estimate)
    -0.25165
  • Sharpe ratio (Hedges UMVUE)
    -0.25019
  • df
    130.00000
  • t
    -0.17794
  • p
    0.50780
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.02314
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.52081
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.02217
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.52178
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.38645
  • Upside Potential Ratio
    7.95604
  • Upside part of mean
    12.51230
  • Downside part of mean
    -13.12010
  • Upside SD
    1.82115
  • Downside SD
    1.57268
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35846
  • Mean of criterion
    -0.60777
  • SD of predictor
    0.11317
  • SD of criterion
    2.41516
  • Covariance
    0.06653
  • r
    0.24341
  • b (slope, estimate of beta)
    5.19494
  • a (intercept, estimate of alpha)
    -2.46994
  • Mean Square Error
    5.52994
  • DF error
    129.00000
  • t(b)
    2.85039
  • p(b)
    0.34658
  • t(a)
    -0.72877
  • p(a)
    0.54074
  • VAR (95 Confidence Intrvl)
    0.18600
  • Lowerbound of 95% confidence interval for beta
    1.58900
  • Upperbound of 95% confidence interval for beta
    8.80087
  • Lowerbound of 95% confidence interval for alpha
    -9.17556
  • Upperbound of 95% confidence interval for alpha
    4.23568
  • Treynor index (mean / b)
    -0.11699
  • Jensen alpha (a)
    -2.46994
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21944
  • Expected Shortfall on VaR
    0.26553
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.11667
  • Expected Shortfall on VaR
    0.21440
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.68997
  • Quartile 1
    0.92284
  • Median
    1.00000
  • Quartile 3
    1.05724
  • Maximum
    2.20858
  • Mean of quarter 1
    0.84208
  • Mean of quarter 2
    0.97672
  • Mean of quarter 3
    1.01897
  • Mean of quarter 4
    1.20110
  • Inter Quartile Range
    0.13440
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.70415
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.53539
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.43461
  • VaR(95%) (moments method)
    0.16129
  • Expected Shortfall (moments method)
    0.18697
  • Extreme Value Index (regression method)
    -0.31000
  • VaR(95%) (regression method)
    0.14934
  • Expected Shortfall (regression method)
    0.17573
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.10089
  • Quartile 1
    0.31390
  • Median
    0.53674
  • Quartile 3
    0.63832
  • Maximum
    0.74574
  • Mean of quarter 1
    0.20739
  • Mean of quarter 2
    0.53674
  • Mean of quarter 3
    0.63832
  • Mean of quarter 4
    0.74574
  • Inter Quartile Range
    0.32442
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -391376000
  • Max Equity Drawdown (num days)
    198
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.50337
  • Compounded annual return (geometric extrapolation)
    -0.44002
  • Calmar ratio (compounded annual return / max draw down)
    -0.59005
  • Compounded annual return / average of 25% largest draw downs
    -0.59005
  • Compounded annual return / Expected Shortfall lognormal
    -1.65719

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics


Strategy began
2023-06-23
Suggested Minimum Capital
$25,000
# Trades
124
# Profitable
44
% Profitable
35.5%
Correlation S&P500
0.094
Sharpe Ratio
0.36
Sortino Ratio
0.71
Beta
1.32
Alpha
0.20
Leverage
27.26 Average
146.27 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.