Collective2 Collective2
Featured Strategy TechSignal +170.1% Cumul. Return since Jul 3, 2024 Hypothetical

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


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Alpha Capital
(145528823)

Creato da: Alpha-Capital Alpha-Capital
Started: 08/2023
Forex
Last trade: Today

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 $50.00 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.


159.3%
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.

(65.3%)
Max Drawdown
138
Num Trades
71.0%
Win Trades
2.1 : 1
Profit Factor
78.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                 +1.4%+6.7%(4.7%)+7.2%(0.1%)+10.4%
2024+2.7%+5.0%  -  +4.2%+5.5%+9.1%(8%)+22.3%(37.2%)+86.9%+17.8%+13.4%+127.9%
2025+33.7%+5.7%+10.9%+1.5%+2.5%+42.3%                                    +131.9%


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 65 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
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/12/25 7:03 EUR/USD EUR/USD SHORT 170 1.15972 6/13 5:40 1.15279 6.07%
Trade id #152000157
Max drawdown($5,807)
Time6/12/25 8:30
Quant open170
Worst price1.16314
Drawdown as % of equity-6.07%
 $11,787
5/7/25 9:30 ALB ALBEMARLE LONG 1,548 57.77 6/10 9:30 63.21 7.59%
Trade id #151646122
Max drawdown($6,300)
Time6/3/25 0:00
Quant open1,548
Worst price53.70
Drawdown as % of equity-7.59%
 $8,414
Includes Typical Broker Commissions trade costs of $7.50
5/5/25 9:30 UCO PROSHARES ULTRA BLOOMBERG CRUD LONG 4,500 18.87 5/9 9:30 20.03 2.92%
Trade id #151619163
Max drawdown($2,340)
Time5/5/25 11:19
Quant open4,500
Worst price18.35
Drawdown as % of equity-2.92%
 $5,213
Includes Typical Broker Commissions trade costs of $7.50
4/24/25 9:30 ALB ALBEMARLE LONG 1,258 56.25 4/29 9:30 58.73 0.27%
Trade id #151512059
Max drawdown($213)
Time4/24/25 9:33
Quant open1,258
Worst price56.08
Drawdown as % of equity-0.27%
 $3,115
Includes Typical Broker Commissions trade costs of $5.00
4/20/25 20:38 EUR/USD EUR/USD SHORT 96 1.14757 4/23 7:34 1.14053 13.7%
Trade id #151462218
Max drawdown($9,357)
Time4/21/25 0:00
Quant open96
Worst price1.15732
Drawdown as % of equity-13.70%
 $6,761
4/14/25 5:57 EUR/AUD EUR/AUD SHORT 62 1.80103 4/20 20:37 1.79375 2.58%
Trade id #151392152
Max drawdown($1,777)
Time4/14/25 7:53
Quant open62
Worst price1.80549
Drawdown as % of equity-2.58%
 $2,886
4/10/25 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 2,000 36.33 4/10 12:35 33.54 11.04%
Trade id #151353917
Max drawdown($7,958)
Time4/10/25 12:23
Quant open2,000
Worst price32.35
Drawdown as % of equity-11.04%
 ($5,584)
Includes Typical Broker Commissions trade costs of $5.00
4/8/25 6:00 AUD/USD AUD/USD LONG 210 0.60397 4/10 5:09 0.61414 71.77%
Trade id #151315830
Max drawdown($25,366)
Time4/8/25 20:19
Quant open201
Worst price0.59135
Drawdown as % of equity-71.77%
 $21,358
4/7/25 6:00 NZD/USD NZD/USD LONG 251 0.55749 4/8 6:00 0.55808 36.63%
Trade id #151300684
Max drawdown($16,568)
Time4/7/25 12:57
Quant open251
Worst price0.55089
Drawdown as % of equity-36.63%
 $1,475
4/3/25 4:52 EUR/AUD EUR/AUD SHORT 54 1.73985 4/7 5:59 1.82341 70.76%
Trade id #151268426
Max drawdown($31,557)
Time4/7/25 2:47
Quant open54
Worst price1.83653
Drawdown as % of equity-70.76%
 ($27,289)
4/3/25 4:51 GBP/AUD GBP/AUD SHORT 45 2.07608 4/7 5:59 2.13531 39.36%
Trade id #151268418
Max drawdown($20,942)
Time4/7/25 2:17
Quant open45
Worst price2.15307
Drawdown as % of equity-39.36%
 ($16,119)
4/3/25 4:51 GBP/NZD GBP/NZD SHORT 30 2.27123 4/3 7:23 2.26456 n/a $1,166
3/28/25 2:52 GBP/NZD GBP/NZD SHORT 85 2.26716 4/2 4:24 2.25136 8.7%
Trade id #151214847
Max drawdown($7,362)
Time3/31/25 0:00
Quant open65
Worst price2.28472
Drawdown as % of equity-8.70%
 $7,704
3/20/25 5:34 GBP/AUD GBP/AUD SHORT 62 2.05631 3/26 4:26 2.04152 4.26%
Trade id #151142153
Max drawdown($3,417)
Time3/20/25 8:02
Quant open62
Worst price2.06502
Drawdown as % of equity-4.26%
 $5,792
3/14/25 9:30 ALB ALBEMARLE LONG 552 74.19 3/18 9:30 79.00 1.26%
Trade id #151099823
Max drawdown($988)
Time3/14/25 10:00
Quant open552
Worst price72.40
Drawdown as % of equity-1.26%
 $2,647
Includes Typical Broker Commissions trade costs of $8.02
3/13/25 23:37 GBP/CAD GBP/CAD SHORT 62 1.86797 3/14 3:39 1.86374 1.59%
Trade id #151097108
Max drawdown($1,165)
Time3/14/25 0:00
Quant open62
Worst price1.87068
Drawdown as % of equity-1.59%
 $1,817
3/13/25 4:16 GBP/NZD GBP/NZD SHORT 124 2.26840 3/14 3:39 2.26338 6.88%
Trade id #151087132
Max drawdown($4,886)
Time3/13/25 8:54
Quant open124
Worst price2.27528
Drawdown as % of equity-6.88%
 $3,561
3/12/25 6:13 EUR/NZD EUR/NZD SHORT 74 1.91203 3/13 4:15 1.90509 0.18%
Trade id #151076114
Max drawdown($122)
Time3/12/25 6:17
Quant open74
Worst price1.91232
Drawdown as % of equity-0.18%
 $2,932
3/6/25 3:40 GBP/CAD GBP/CAD SHORT 149 1.85997 3/13 4:15 1.86540 21.69%
Trade id #151026521
Max drawdown($15,437)
Time3/11/25 0:00
Quant open87
Worst price1.87781
Drawdown as % of equity-21.69%
 ($5,627)
3/11/25 4:14 EUR/NZD EUR/NZD SHORT 73 1.91081 3/12 3:35 1.90950 3.66%
Trade id #151064146
Max drawdown($2,490)
Time3/11/25 11:00
Quant open73
Worst price1.91678
Drawdown as % of equity-3.66%
 $544
3/7/25 3:39 EUR/NZD EUR/NZD SHORT 68 1.89375 3/10 2:57 1.89331 6.09%
Trade id #151036443
Max drawdown($4,462)
Time3/7/25 9:03
Quant open68
Worst price1.90519
Drawdown as % of equity-6.09%
 $169
3/5/25 3:01 GBP/NZD GBP/NZD SHORT 50 2.26208 3/6 3:38 2.24780 1.54%
Trade id #151015502
Max drawdown($1,064)
Time3/5/25 3:21
Quant open50
Worst price2.26579
Drawdown as % of equity-1.54%
 $4,094
2/24/25 9:30 SBSW SIBANYE-STILLWATER LONG 14,100 3.45 3/5 9:30 3.42 6.54%
Trade id #150936946
Max drawdown($4,837)
Time2/28/25 0:00
Quant open11,280
Worst price3.05
Drawdown as % of equity-6.54%
 ($392)
Includes Typical Broker Commissions trade costs of $10.00
2/4/25 9:30 ALB ALBEMARLE LONG 1,118 79.27 3/4 10:12 73.42 10.54%
Trade id #150759662
Max drawdown($7,623)
Time2/11/25 0:00
Quant open994
Worst price72.88
Drawdown as % of equity-10.54%
 ($6,556)
Includes Typical Broker Commissions trade costs of $18.65
1/28/25 9:30 SBSW SIBANYE-STILLWATER LONG 15,000 3.52 2/4 9:30 3.92 2.35%
Trade id #150688267
Max drawdown($1,500)
Time1/28/25 11:26
Quant open15,000
Worst price3.42
Drawdown as % of equity-2.35%
 $6,068
Includes Typical Broker Commissions trade costs of $7.50
2/3/25 2:58 EUR/TRY EUR/TRY LONG 69 36.80676 2/4 5:06 37.21881 1.4%
Trade id #150744919
Max drawdown($954)
Time2/3/25 3:08
Quant open69
Worst price36.75700
Drawdown as % of equity-1.40%
 $7,905
12/29/24 19:38 EUR/TRY EUR/TRY LONG 60 36.86513 1/24/25 3:55 37.46297 28.54%
Trade id #150431151
Max drawdown($12,196)
Time1/13/25 0:00
Quant open60
Worst price36.13960
Drawdown as % of equity-28.54%
 $10,051
12/20/24 9:33 NZD/USD NZD/USD LONG 350 0.56366 12/29 19:39 0.56391 13.18%
Trade id #150374346
Max drawdown($6,305)
Time12/27/24 0:00
Quant open275
Worst price0.56137
Drawdown as % of equity-13.18%
 $855
12/16/24 9:30 SBSW SIBANYE-STILLWATER LONG 4,988 3.99 12/20 9:33 3.63 4.87%
Trade id #150332868
Max drawdown($2,593)
Time12/19/24 0:00
Quant open4,988
Worst price3.47
Drawdown as % of equity-4.87%
 ($1,799)
Includes Typical Broker Commissions trade costs of $5.00
12/16/24 9:30 VALE VALE LONG 2,160 9.20 12/20 9:33 8.81 1.96%
Trade id #150332895
Max drawdown($1,101)
Time12/18/24 0:00
Quant open2,160
Worst price8.69
Drawdown as % of equity-1.96%
 ($837)
Includes Typical Broker Commissions trade costs of $5.00

Successivo

Statistics

  • Strategy began
    8/15/2023
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    672.63
  • Age
    22 months ago
  • What it trades
    Stocks, Forex
  • # Trades
    138
  • # Profitable
    98
  • % Profitable
    71.00%
  • Avg trade duration
    9.5 days
  • Max peak-to-valley drawdown
    65.3%
  • drawdown period
    April 03, 2025 - April 08, 2025
  • Annual Return (Compounded)
    159.3%
  • Avg win
    $1,858
  • Avg loss
    $2,166
  • Model Account Values (Raw)
  • Cash
    $109,001
  • Margin Used
    $38,242
  • Buying Power
    $78,136
  • Ratios
  • W:L ratio
    2.11:1
  • Sharpe Ratio
    1.38
  • Sortino Ratio
    2.33
  • Calmar Ratio
    2.99
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    448.52%
  • Correlation to SP500
    0.23610
  • Return Percent SP500 (cumu) during strategy life
    35.26%
  • Return Statistics
  • Ann Return (w trading costs)
    159.3%
  • Slump
  • Current Slump as Pcnt Equity
    0.50%
  • 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)
    1.593%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.29%
  • Percent Trades Forex
    0.70%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    162.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    63.00%
  • Chance of 20% account loss
    48.00%
  • Chance of 30% account loss
    32.50%
  • Chance of 40% account loss
    27.00%
  • Chance of 60% account loss (Monte Carlo)
    3.50%
  • Chance of 70% account loss (Monte Carlo)
    0.50%
  • 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
    8.50%
  • Popularity
  • Popularity (Today)
    604
  • Popularity (Last 6 weeks)
    886
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    502
  • Popularity (7 days, Percentile 1000 scale)
    765
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,166
  • Avg Win
    $1,909
  • Sum Trade PL (losers)
    $86,650.000
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $187,036.000
  • # Winners
    98
  • Num Months Winners
    19
  • Dividends
  • Dividends Received in Model Acct
    412
  • AUM
  • AUM (AutoTrader live capital)
    14511
  • Win / Loss
  • # Losers
    40
  • % Winners
    71.0%
  • Frequency
  • Avg Position Time (mins)
    13626.30
  • Avg Position Time (hrs)
    227.11
  • Avg Trade Length
    9.5 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    7.76
  • Daily leverage (max)
    38.78
  • Regression
  • Alpha
    0.27
  • Beta
    0.99
  • Treynor Index
    0.32
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.39
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    2.834
  • 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
    0.39
  • Avg(MAE) / Avg(PL) - Winning trades
    0.793
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.357
  • Hold-and-Hope Ratio
    0.386
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.93135
  • SD
    0.48935
  • Sharpe ratio (Glass type estimate)
    1.90326
  • Sharpe ratio (Hedges UMVUE)
    1.83083
  • df
    20.00000
  • t
    2.51777
  • p
    0.25471
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28951
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.47605
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24431
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.41734
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.07710
  • Upside Potential Ratio
    7.26025
  • Upside part of mean
    1.11268
  • Downside part of mean
    -0.18132
  • Upside SD
    0.52617
  • Downside SD
    0.15326
  • N nonnegative terms
    16.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.13846
  • Mean of criterion
    0.93135
  • SD of predictor
    0.13200
  • SD of criterion
    0.48935
  • Covariance
    0.01287
  • r
    0.19926
  • b (slope, estimate of beta)
    0.73866
  • a (intercept, estimate of alpha)
    0.82908
  • Mean Square Error
    0.24206
  • DF error
    19.00000
  • t(b)
    0.88632
  • p(b)
    0.37399
  • t(a)
    2.12910
  • p(a)
    0.22984
  • Lowerbound of 95% confidence interval for beta
    -1.00568
  • Upperbound of 95% confidence interval for beta
    2.48301
  • Lowerbound of 95% confidence interval for alpha
    0.01405
  • Upperbound of 95% confidence interval for alpha
    1.64410
  • Treynor index (mean / b)
    1.26086
  • Jensen alpha (a)
    0.82908
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.80060
  • SD
    0.44193
  • Sharpe ratio (Glass type estimate)
    1.81162
  • Sharpe ratio (Hedges UMVUE)
    1.74268
  • df
    20.00000
  • t
    2.39655
  • p
    0.26383
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20875
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.37500
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16573
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.31963
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.77826
  • Upside Potential Ratio
    5.93674
  • Upside part of mean
    0.99471
  • Downside part of mean
    -0.19411
  • Upside SD
    0.45972
  • Downside SD
    0.16755
  • N nonnegative terms
    16.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.12918
  • Mean of criterion
    0.80060
  • SD of predictor
    0.13140
  • SD of criterion
    0.44193
  • Covariance
    0.01287
  • r
    0.22165
  • b (slope, estimate of beta)
    0.74542
  • a (intercept, estimate of alpha)
    0.70431
  • Mean Square Error
    0.19548
  • DF error
    19.00000
  • t(b)
    0.99077
  • p(b)
    0.36006
  • t(a)
    2.02351
  • p(a)
    0.24009
  • Lowerbound of 95% confidence interval for beta
    -0.82930
  • Upperbound of 95% confidence interval for beta
    2.32014
  • Lowerbound of 95% confidence interval for alpha
    -0.02420
  • Upperbound of 95% confidence interval for alpha
    1.43282
  • Treynor index (mean / b)
    1.07403
  • Jensen alpha (a)
    0.70431
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13335
  • Expected Shortfall on VaR
    0.17744
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01909
  • Expected Shortfall on VaR
    0.04883
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.81530
  • Quartile 1
    1.01226
  • Median
    1.02722
  • Quartile 3
    1.09776
  • Maximum
    1.39342
  • Mean of quarter 1
    0.95110
  • Mean of quarter 2
    1.01995
  • Mean of quarter 3
    1.07688
  • Mean of quarter 4
    1.29761
  • Inter Quartile Range
    0.08550
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04762
  • Mean of outliers low
    0.81530
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.19048
  • Mean of outliers high
    1.31697
  • 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)
    0.44795
  • VaR(95%) (regression method)
    0.08674
  • Expected Shortfall (regression method)
    0.23765
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.02436
  • Quartile 1
    0.02840
  • Median
    0.04821
  • Quartile 3
    0.09618
  • Maximum
    0.18470
  • Mean of quarter 1
    0.02436
  • Mean of quarter 2
    0.02975
  • Mean of quarter 3
    0.06667
  • Mean of quarter 4
    0.18470
  • Inter Quartile Range
    0.06778
  • 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)
    1.86438
  • Compounded annual return (geometric extrapolation)
    1.28991
  • Calmar ratio (compounded annual return / max draw down)
    6.98370
  • Compounded annual return / average of 25% largest draw downs
    6.98370
  • Compounded annual return / Expected Shortfall lognormal
    7.26959
  • 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
    1.16409
  • SD
    0.69571
  • Sharpe ratio (Glass type estimate)
    1.67325
  • Sharpe ratio (Hedges UMVUE)
    1.67060
  • df
    475.00000
  • t
    2.25535
  • p
    0.01228
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21439
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.13037
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21263
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.12858
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.70036
  • Upside Potential Ratio
    7.97457
  • Upside part of mean
    3.43773
  • Downside part of mean
    -2.27365
  • Upside SD
    0.54984
  • Downside SD
    0.43109
  • N nonnegative terms
    248.00000
  • N negative terms
    228.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    476.00000
  • Mean of predictor
    0.15027
  • Mean of criterion
    1.16409
  • SD of predictor
    0.16622
  • SD of criterion
    0.69571
  • Covariance
    0.02830
  • r
    0.24471
  • b (slope, estimate of beta)
    1.02423
  • a (intercept, estimate of alpha)
    1.01000
  • Mean Square Error
    0.45598
  • DF error
    474.00000
  • t(b)
    5.49487
  • p(b)
    0.00000
  • t(a)
    2.01325
  • p(a)
    0.02233
  • Lowerbound of 95% confidence interval for beta
    0.65796
  • Upperbound of 95% confidence interval for beta
    1.39049
  • Lowerbound of 95% confidence interval for alpha
    0.02422
  • Upperbound of 95% confidence interval for alpha
    1.99613
  • Treynor index (mean / b)
    1.13656
  • Jensen alpha (a)
    1.01017
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.92241
  • SD
    0.69451
  • Sharpe ratio (Glass type estimate)
    1.32814
  • Sharpe ratio (Hedges UMVUE)
    1.32604
  • df
    475.00000
  • t
    1.79018
  • p
    0.03703
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12908
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78403
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13050
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78259
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.92685
  • Upside Potential Ratio
    6.89858
  • Upside part of mean
    3.30245
  • Downside part of mean
    -2.38003
  • Upside SD
    0.50539
  • Downside SD
    0.47871
  • N nonnegative terms
    248.00000
  • N negative terms
    228.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    476.00000
  • Mean of predictor
    0.13650
  • Mean of criterion
    0.92241
  • SD of predictor
    0.16561
  • SD of criterion
    0.69451
  • Covariance
    0.02917
  • r
    0.25358
  • b (slope, estimate of beta)
    1.06342
  • a (intercept, estimate of alpha)
    0.77725
  • Mean Square Error
    0.45229
  • DF error
    474.00000
  • t(b)
    5.70736
  • p(b)
    0.00000
  • t(a)
    1.55576
  • p(a)
    0.06022
  • Lowerbound of 95% confidence interval for beta
    0.69729
  • Upperbound of 95% confidence interval for beta
    1.42954
  • Lowerbound of 95% confidence interval for alpha
    -0.20444
  • Upperbound of 95% confidence interval for alpha
    1.75894
  • Treynor index (mean / b)
    0.86740
  • Jensen alpha (a)
    0.77725
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06486
  • Expected Shortfall on VaR
    0.08136
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01880
  • Expected Shortfall on VaR
    0.04229
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    476.00000
  • Minimum
    0.68618
  • Quartile 1
    0.99445
  • Median
    1.00087
  • Quartile 3
    1.01356
  • Maximum
    1.32459
  • Mean of quarter 1
    0.96694
  • Mean of quarter 2
    0.99860
  • Mean of quarter 3
    1.00602
  • Mean of quarter 4
    1.04664
  • Inter Quartile Range
    0.01911
  • Number outliers low
    34.00000
  • Percentage of outliers low
    0.07143
  • Mean of outliers low
    0.92439
  • Number of outliers high
    43.00000
  • Percentage of outliers high
    0.09034
  • Mean of outliers high
    1.08577
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59716
  • VaR(95%) (moments method)
    0.02597
  • Expected Shortfall (moments method)
    0.07513
  • Extreme Value Index (regression method)
    0.48065
  • VaR(95%) (regression method)
    0.02774
  • Expected Shortfall (regression method)
    0.06591
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    41.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00310
  • Median
    0.01322
  • Quartile 3
    0.05988
  • Maximum
    0.53065
  • Mean of quarter 1
    0.00151
  • Mean of quarter 2
    0.00922
  • Mean of quarter 3
    0.04186
  • Mean of quarter 4
    0.20655
  • Inter Quartile Range
    0.05678
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.14634
  • Mean of outliers high
    0.28390
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.31753
  • VaR(95%) (moments method)
    0.18568
  • Expected Shortfall (moments method)
    0.33372
  • Extreme Value Index (regression method)
    0.28752
  • VaR(95%) (regression method)
    0.21721
  • Expected Shortfall (regression method)
    0.38481
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.54357
  • Compounded annual return (geometric extrapolation)
    1.58653
  • Calmar ratio (compounded annual return / max draw down)
    2.98978
  • Compounded annual return / average of 25% largest draw downs
    7.68095
  • Compounded annual return / Expected Shortfall lognormal
    19.50070
  • 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
    2.04525
  • SD
    1.04008
  • Sharpe ratio (Glass type estimate)
    1.96644
  • Sharpe ratio (Hedges UMVUE)
    1.95508
  • df
    130.00000
  • t
    1.39048
  • p
    0.43947
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81929
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.74478
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82690
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.73705
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.01802
  • Upside Potential Ratio
    8.65977
  • Upside part of mean
    5.86856
  • Downside part of mean
    -3.82331
  • Upside SD
    0.79386
  • Downside SD
    0.67768
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02096
  • Mean of criterion
    2.04525
  • SD of predictor
    0.24590
  • SD of criterion
    1.04008
  • Covariance
    0.10283
  • r
    0.40205
  • b (slope, estimate of beta)
    1.70054
  • a (intercept, estimate of alpha)
    2.08090
  • Mean Square Error
    0.91393
  • DF error
    129.00000
  • t(b)
    4.98724
  • p(b)
    0.25112
  • t(a)
    1.53912
  • p(a)
    0.41477
  • Lowerbound of 95% confidence interval for beta
    1.02591
  • Upperbound of 95% confidence interval for beta
    2.37517
  • Lowerbound of 95% confidence interval for alpha
    -0.59408
  • Upperbound of 95% confidence interval for alpha
    4.75587
  • Treynor index (mean / b)
    1.20271
  • Jensen alpha (a)
    2.08090
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.49207
  • SD
    1.06099
  • Sharpe ratio (Glass type estimate)
    1.40630
  • Sharpe ratio (Hedges UMVUE)
    1.39817
  • df
    130.00000
  • t
    0.99440
  • p
    0.45656
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.37344
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.18071
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37884
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.17518
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.93026
  • Upside Potential Ratio
    7.22927
  • Upside part of mean
    5.58816
  • Downside part of mean
    -4.09609
  • Upside SD
    0.72670
  • Downside SD
    0.77299
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05069
  • Mean of criterion
    1.49207
  • SD of predictor
    0.24427
  • SD of criterion
    1.06099
  • Covariance
    0.10475
  • r
    0.40419
  • b (slope, estimate of beta)
    1.75563
  • a (intercept, estimate of alpha)
    1.58106
  • Mean Square Error
    0.94910
  • DF error
    129.00000
  • t(b)
    5.01899
  • p(b)
    0.24987
  • t(a)
    1.14747
  • p(a)
    0.43612
  • VAR (95 Confidence Intrvl)
    0.06500
  • Lowerbound of 95% confidence interval for beta
    1.06355
  • Upperbound of 95% confidence interval for beta
    2.44772
  • Lowerbound of 95% confidence interval for alpha
    -1.14508
  • Upperbound of 95% confidence interval for alpha
    4.30720
  • Treynor index (mean / b)
    0.84988
  • Jensen alpha (a)
    1.58106
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09708
  • Expected Shortfall on VaR
    0.12122
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02932
  • Expected Shortfall on VaR
    0.06610
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.68618
  • Quartile 1
    0.98538
  • Median
    1.00515
  • Quartile 3
    1.02889
  • Maximum
    1.29709
  • Mean of quarter 1
    0.94668
  • Mean of quarter 2
    0.99646
  • Mean of quarter 3
    1.01487
  • Mean of quarter 4
    1.07385
  • Inter Quartile Range
    0.04351
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.83046
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.18923
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.74649
  • VaR(95%) (moments method)
    0.05629
  • Expected Shortfall (moments method)
    0.23143
  • Extreme Value Index (regression method)
    0.64194
  • VaR(95%) (regression method)
    0.04610
  • Expected Shortfall (regression method)
    0.13262
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00737
  • Quartile 1
    0.03655
  • Median
    0.06705
  • Quartile 3
    0.19597
  • Maximum
    0.53065
  • Mean of quarter 1
    0.01030
  • Mean of quarter 2
    0.06347
  • Mean of quarter 3
    0.17574
  • Mean of quarter 4
    0.37342
  • Inter Quartile Range
    0.15942
  • 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
    0.14286
  • Mean of outliers high
    0.53065
  • 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?
    -361584000
  • Max Equity Drawdown (num days)
    5
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.27651
  • Compounded annual return (geometric extrapolation)
    3.57213
  • Calmar ratio (compounded annual return / max draw down)
    6.73158
  • Compounded annual return / average of 25% largest draw downs
    9.56591
  • Compounded annual return / Expected Shortfall lognormal
    29.46840

Strategy Description

Algorithm trading designed to exploit market opportunities in stocks and forex
Trade this strategy at Interactive Brokers

Summary Statistics


Strategy began
2023-08-15
Suggested Minimum Capital
$100,000
# Trades
138
# Profitable
98
% Profitable
71.0%
Net Dividends
$412
Correlation S&P500
0.236
Sharpe Ratio
1.38
Sortino Ratio
2.33
Beta
0.99
Alpha
0.27
Leverage
7.76 Average
38.78 Maximum

Sommario
Leva finanziaria più alta = maggiore rischio.

Ulteriori informazioni sulla leva finanziaria

Collective2 calcola la leva finanziaria massima utilizzata da una strategia in ogni giorno. Mostriamo quindi la media di queste misurazioni (cioè la media della leva finanziaria massima giornaliera) e la più grande di queste misurazioni (leva finanziaria massima giornaliera).

La leva finanziaria è il rapporto tra il valore nozionale totale controllato da una strategia e il patrimonio del Model Account. Generalmente, una leva finanziaria più alta implica un rischio maggiore.

Esempio di calcolo:
La Strategia acquista 100 azioni a $12 per azione.
Il patrimonio del Model Account durante quel giorno è di $5.000.
La leva finanziaria è: $1200 / $5.000 = 0,24

Questa è una misurazione utile, ma deve essere considerata nel contesto. Questa misurazione non tiene conto di fattori importanti, come quando si detengono più posizioni che sono inversamente correlate. Né la misurazione tiene conto della volatilità degli strumenti detenuti.

Inoltre, alcune classi di attività sono per loro natura più leveraged di altre. Ad esempio, i contratti futures sono altamente leveraged. Le posizioni Forex sono spesso ancora più leveraged dei futures.

Latest Activity

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Trade journal

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

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  • 9/13/2018, 9:07:33 PM BTO 1 ETHUSD

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.



Riguardo ai risultati che vedi su questo sito web

I risultati passati non sono necessariamente indicativi dei risultati futuri.

Questi risultati si basano su performance simulate o ipotetiche che presentano alcune limitazioni intrinseche. A differenza dei risultati mostrati in un registro delle prestazioni effettive, questi risultati non rappresentano trading effettivo. Inoltre, poiché queste operazioni non sono state effettivamente eseguite, questi risultati potrebbero aver sotto o sovrastimato l'impatto, se presente, di alcuni fattori di mercato, come la mancanza di liquidità. I programmi di trading simulati o ipotetici in generale sono soggetti anche al fatto che sono progettati con il beneficio del senno di poi. Non viene fatta alcuna rappresentazione che qualsiasi conto raggiungerà o sarà probabile ottenere profitti o perdite simili a quelli mostrati.

Inoltre, il trading ipotetico non comporta rischio finanziario e nessun record di trading ipotetico può tener conto completamente dell'impatto del rischio finanziario nel trading effettivo. Ad esempio, la capacità di sopportare perdite o di attenersi a un particolare programma di trading nonostante le perdite commerciali sono punti materiali che possono influire negativamente sui risultati del trading effettivo. Ci sono numerosi altri fattori legati ai mercati in generale o all'attuazione di qualsiasi specifico programma di trading, che non possono essere pienamente contabilizzati nella preparazione dei risultati delle prestazioni ipotetiche e tutti i quali possono influire negativamente sui risultati del trading effettivo.

Ipotesi e metodi materiali utilizzati nel calcolo dei risultati

Le seguenti sono ipotesi materiali utilizzate nel calcolo di eventuali risultati mensili ipotetici che appaiono sul nostro sito web.

  • I profitti vengono reinvestiti. Presumiamo che i profitti (quando ci sono) vengano reinvestiti nella strategia di trading.
  • Dimensione dell'investimento iniziale. Per qualsiasi strategia di trading sul nostro sito, i risultati ipotetici si basano sull'ipotesi che tu abbia investito l'importo iniziale mostrato sul grafico delle prestazioni della strategia. In alcuni casi, gli importi nominali in dollari sul grafico del patrimonio sono stati ridimensionati verso il basso per rendere le dimensioni di trading attuali più gestibili. In questi casi, potrebbe non essere stato possibile scambiare la strategia storicamente ai livelli di patrimonio mostrati sul grafico e un capitale minimo più elevato era richiesto in passato.
  • Tutte le spese sono incluse. Nel calcolo dei rendimenti cumulativi, cerchiamo di stimare e includere tutte le spese che un tipico trader sostiene quando fa AutoTrading utilizzando la tecnologia AutoTrade. Ciò include il costo dell'abbonamento alla strategia, più eventuali commissioni per operazione di AutoTrade, più le commissioni di intermediazione stimate, se presenti.
  • Metodo di calcolo del "Max Drawdown". Calcoliamo la statistica Max Drawdown come segue. Il nostro software informatico esamina il grafico del patrimonio del sistema in questione e trova la percentuale più grande in cui il grafico del patrimonio diminuisce mai da un "picco" locale a un punto successivo nel tempo (quindi questo è formalmente chiamato "Massimo calo dal picco alla valle"). Sebbene queste informazioni siano utili nella valutazione dei sistemi di trading, dovresti tenere presente che le prestazioni passate non garantiscono risultati futuri. Pertanto, i cali futuri potrebbero essere maggiori rispetto ai massimi cali storici che vedi qui.

Il trading è rischioso

C'è un rischio sostanziale di perdita nel trading di futures e forex. Il trading online di azioni e opzioni è estremamente rischioso. Presumi che perderai denaro. Non fare trading con denaro che non puoi permetterti di perdere.

Va bene, capito.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.