Collective2 Collective2
Featured Strategy SK Trader +65.8% Annual Return (Compounded) since Apr 3, 2024 Hypothetical

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


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The Rosa Negra
(145618203)

Creato da: TheRosaNegra TheRosaNegra
Started: 08/2023
Stocks
Last trade: 300 days ago
Trading style: Equity Non-hedged Equity

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $100.00 per month.

C2Star

C2Star è un programma di certificazione per le strategie di trading. Per diventare "Certificato C2Star", una strategia deve applicare controlli di rischio rigorosi e deve mostrare caratteristiche di performance eccellenti, tra cui riduzioni limitate.

Puoi leggere di più sui requisiti di certificazione C2Star qui.

Nota che: tutte le strategie di trading comportano rischi e la certificazione C2Star non implica che una strategia sia a basso rischio.

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."

31.7%
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.

(14.6%)
Max Drawdown
173
Num Trades
62.4%
Win Trades
3.7 : 1
Profit Factor
43.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                   -  +1.8%(4.9%)+7.7%+0.4%+4.7%
2024+0.3%(1.4%)+14.6%+6.6%+6.3%+6.6%+2.2%+12.4%  -    -    -    -  +57.5%
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

Download CSV
Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/16/24 9:30 AAL AMERICAN AIRLINES GROUP INC. C LONG 723 10.65 8/21 9:30 10.37 2.08%
Trade id #148657845
Max drawdown($1,142)
Time8/5/24 0:00
Quant open723
Worst price9.07
Drawdown as % of equity-2.08%
 ($207)
Includes Typical Broker Commissions trade costs of $5.00
7/1/24 9:30 SPY SPDR S&P 500 LONG 71 545.66 8/21 9:30 559.77 4.58%
Trade id #148543181
Max drawdown($2,512)
Time8/5/24 0:00
Quant open71
Worst price510.27
Drawdown as % of equity-4.58%
 $1,001
Includes Typical Broker Commissions trade costs of $1.42
8/1/24 13:40 TTWO TAKE-TWO INTERACTIVE SFTW LONG 90 145.73 8/21 9:30 156.62 1.74%
Trade id #148799643
Max drawdown($944)
Time8/8/24 0:00
Quant open90
Worst price135.24
Drawdown as % of equity-1.74%
 $978
Includes Typical Broker Commissions trade costs of $1.80
8/1/24 13:19 QCOM QUALCOMM LONG 80 163.58 8/21 9:30 172.99 1.78%
Trade id #148799358
Max drawdown($975)
Time8/5/24 0:00
Quant open80
Worst price151.39
Drawdown as % of equity-1.78%
 $751
Includes Typical Broker Commissions trade costs of $1.60
8/1/24 10:48 GGAL GRUPO FINANCIERO GALICIA LONG 756 28.31 8/21 9:30 34.51 6.58%
Trade id #148796135
Max drawdown($3,613)
Time8/5/24 0:00
Quant open756
Worst price23.53
Drawdown as % of equity-6.58%
 $4,682
Includes Typical Broker Commissions trade costs of $5.00
7/31/24 9:42 MAR MARRIOT INTERNATIONAL CLASS A LONG 54 226.63 8/1 9:30 226.15 0.34%
Trade id #148783242
Max drawdown($199)
Time7/31/24 10:53
Quant open54
Worst price222.93
Drawdown as % of equity-0.34%
 ($27)
Includes Typical Broker Commissions trade costs of $1.08
6/3/24 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 254 63.73 8/1 9:30 68.58 1.32%
Trade id #148313507
Max drawdown($703)
Time6/3/24 13:11
Quant open254
Worst price60.96
Drawdown as % of equity-1.32%
 $1,227
Includes Typical Broker Commissions trade costs of $5.08
7/30/24 15:34 QCOM QUALCOMM LONG 73 167.92 7/31 9:30 175.06 0.19%
Trade id #148776999
Max drawdown($104)
Time7/30/24 16:00
Quant open73
Worst price166.49
Drawdown as % of equity-0.19%
 $521
Includes Typical Broker Commissions trade costs of $1.46
7/30/24 11:01 NVDA NVIDIA LONG 116 106.30 7/31 9:30 112.78 0.78%
Trade id #148773727
Max drawdown($436)
Time7/30/24 12:59
Quant open116
Worst price102.54
Drawdown as % of equity-0.78%
 $750
Includes Typical Broker Commissions trade costs of $2.32
7/12/24 10:09 EQR EQUITY RESIDENTIAL LONG 112 68.01 7/15 11:09 68.64 0.26%
Trade id #148633944
Max drawdown($156)
Time7/12/24 12:32
Quant open112
Worst price66.61
Drawdown as % of equity-0.26%
 $69
Includes Typical Broker Commissions trade costs of $2.24
7/12/24 12:54 TEO TELECOM ARGENTINA LONG 3,000 7.12 7/15 9:30 7.25 0.25%
Trade id #148636751
Max drawdown($150)
Time7/12/24 14:26
Quant open3,000
Worst price7.07
Drawdown as % of equity-0.25%
 $385
Includes Typical Broker Commissions trade costs of $5.00
7/9/24 9:30 PGR PROGRESSIVE LONG 35 209.96 7/12 10:23 213.67 0.14%
Trade id #148598674
Max drawdown($86)
Time7/11/24 0:00
Quant open35
Worst price207.50
Drawdown as % of equity-0.14%
 $129
Includes Typical Broker Commissions trade costs of $0.70
7/2/24 9:30 PM PHILIP MORRIS LONG 73 101.29 7/11 10:01 104.07 0.06%
Trade id #148553843
Max drawdown($35)
Time7/5/24 0:00
Quant open73
Worst price100.80
Drawdown as % of equity-0.06%
 $202
Includes Typical Broker Commissions trade costs of $1.46
7/2/24 9:30 TECH BIO-TECHNE CORP COMMON STOCK LONG 103 71.67 7/8 9:45 72.57 0.18%
Trade id #148553837
Max drawdown($108)
Time7/5/24 0:00
Quant open103
Worst price70.62
Drawdown as % of equity-0.18%
 $91
Includes Typical Broker Commissions trade costs of $2.06
7/1/24 9:30 LPX LOUISIANA-PACIFIC LONG 90 82.67 7/3 10:01 83.18 0.25%
Trade id #148543161
Max drawdown($141)
Time7/2/24 0:00
Quant open90
Worst price81.10
Drawdown as % of equity-0.25%
 $44
Includes Typical Broker Commissions trade costs of $1.80
6/3/24 9:30 SPY SPDR S&P 500 LONG 73 529.13 6/27 9:30 545.37 0.9%
Trade id #148313383
Max drawdown($476)
Time6/3/24 13:11
Quant open73
Worst price522.60
Drawdown as % of equity-0.90%
 $1,185
Includes Typical Broker Commissions trade costs of $1.46
6/14/24 10:12 FAST FASTENAL LONG 209 61.90 6/26 12:21 63.75 0.01%
Trade id #148409261
Max drawdown($5)
Time6/14/24 10:31
Quant open209
Worst price61.87
Drawdown as % of equity-0.01%
 $383
Includes Typical Broker Commissions trade costs of $4.18
6/10/24 9:30 PFG PRINCIPAL FINANCIAL LONG 101 78.89 6/17 15:51 77.86 0.52%
Trade id #148369509
Max drawdown($295)
Time6/14/24 0:00
Quant open101
Worst price75.96
Drawdown as % of equity-0.52%
 ($106)
Includes Typical Broker Commissions trade costs of $2.02
6/14/24 10:18 XRAY DENTSPLY SIRONA INC LONG 502 25.86 6/17 9:30 25.73 0.11%
Trade id #148409376
Max drawdown($65)
Time6/17/24 9:30
Quant open502
Worst price25.73
Drawdown as % of equity-0.11%
 ($70)
Includes Typical Broker Commissions trade costs of $5.00
6/13/24 11:09 ZM ZOOM COMMUNICATIONS INC. CLASS A LONG 225 58.88 6/17 9:30 57.40 0.61%
Trade id #148400217
Max drawdown($348)
Time6/14/24 0:00
Quant open225
Worst price57.33
Drawdown as % of equity-0.61%
 ($338)
Includes Typical Broker Commissions trade costs of $4.50
6/12/24 14:18 MNST MONSTER BEVERAGE LONG 252 49.23 6/13 9:30 49.38 0.02%
Trade id #148392718
Max drawdown($12)
Time6/12/24 14:49
Quant open252
Worst price49.18
Drawdown as % of equity-0.02%
 $33
Includes Typical Broker Commissions trade costs of $5.04
5/31/24 9:53 DDOG DATADOG INC. LONG 110 112.73 6/4 9:30 108.44 1.08%
Trade id #148299038
Max drawdown($580)
Time6/4/24 9:30
Quant open110
Worst price107.45
Drawdown as % of equity-1.08%
 ($474)
Includes Typical Broker Commissions trade costs of $2.20
5/31/24 10:47 OKTA OKTA INC. CL A COMMON STOCK LONG 143 86.54 6/3 9:30 90.49 0.08%
Trade id #148300069
Max drawdown($40)
Time5/31/24 11:02
Quant open143
Worst price86.25
Drawdown as % of equity-0.08%
 $562
Includes Typical Broker Commissions trade costs of $2.86
5/24/24 9:30 MU MICRON TECHNOLOGY LONG 63 127.82 5/28 9:30 131.75 0.14%
Trade id #148243186
Max drawdown($74)
Time5/24/24 9:37
Quant open63
Worst price126.64
Drawdown as % of equity-0.14%
 $247
Includes Typical Broker Commissions trade costs of $1.26
5/16/24 9:40 BMA MACRO BANK LONG 323 65.13 5/17 9:30 65.49 0.33%
Trade id #148183302
Max drawdown($177)
Time5/17/24 9:30
Quant open323
Worst price64.58
Drawdown as % of equity-0.33%
 $110
Includes Typical Broker Commissions trade costs of $6.46
5/16/24 9:51 TEO TELECOM ARGENTINA LONG 2,295 9.22 5/17 9:30 9.22 0.65%
Trade id #148183622
Max drawdown($344)
Time5/16/24 11:29
Quant open2,295
Worst price9.07
Drawdown as % of equity-0.65%
 ($5)
Includes Typical Broker Commissions trade costs of $5.00
5/16/24 9:39 BBAR BANCO BBVA ARGENTINA SA LONG 1,861 11.37 5/17 9:30 11.52 1.15%
Trade id #148183292
Max drawdown($614)
Time5/16/24 12:01
Quant open1,861
Worst price11.04
Drawdown as % of equity-1.15%
 $274
Includes Typical Broker Commissions trade costs of $5.00
5/7/24 9:30 DDOG DATADOG INC. LONG 114 113.70 5/16 9:33 119.36 0.74%
Trade id #148109759
Max drawdown($382)
Time5/7/24 9:50
Quant open114
Worst price110.34
Drawdown as % of equity-0.74%
 $643
Includes Typical Broker Commissions trade costs of $2.28
5/10/24 9:30 AKAM AKAMAI TECHNOLOGIES LONG 136 94.27 5/14 9:36 94.30 0.96%
Trade id #148139788
Max drawdown($508)
Time5/10/24 15:54
Quant open136
Worst price90.53
Drawdown as % of equity-0.96%
 $1
Includes Typical Broker Commissions trade costs of $2.72
5/9/24 9:56 TEO TELECOM ARGENTINA LONG 2,202 9.43 5/10 9:30 9.50 0.96%
Trade id #148131666
Max drawdown($499)
Time5/9/24 12:49
Quant open2,202
Worst price9.20
Drawdown as % of equity-0.96%
 $149
Includes Typical Broker Commissions trade costs of $5.00

Successivo

Statistics

  • Strategy began
    8/23/2023
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    659.15
  • Age
    22 months ago
  • What it trades
    Stocks
  • # Trades
    173
  • # Profitable
    108
  • % Profitable
    62.40%
  • Avg trade duration
    5.1 days
  • Max peak-to-valley drawdown
    14.59%
  • drawdown period
    July 16, 2024 - Aug 05, 2024
  • Annual Return (Compounded)
    31.7%
  • Avg win
    $342.80
  • Avg loss
    $159.92
  • Model Account Values (Raw)
  • Cash
    $67,571
  • Margin Used
    $0
  • Buying Power
    $67,571
  • Ratios
  • W:L ratio
    3.65:1
  • Sharpe Ratio
    1.65
  • Sortino Ratio
    2.99
  • Calmar Ratio
    5.136
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    28.58%
  • Correlation to SP500
    0.26150
  • Return Percent SP500 (cumu) during strategy life
    35.31%
  • Return Statistics
  • Ann Return (w trading costs)
    31.7%
  • 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)
    0.317%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    33.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    4.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    100.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    642
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $160
  • Avg Win
    $343
  • Sum Trade PL (losers)
    $10,395.000
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $37,022.000
  • # Winners
    108
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    949
  • Win / Loss
  • # Losers
    65
  • % Winners
    62.4%
  • Frequency
  • Avg Position Time (mins)
    7303.60
  • Avg Position Time (hrs)
    121.73
  • Avg Trade Length
    5.1 days
  • Last Trade Ago
    295
  • Leverage
  • Daily leverage (average)
    0.99
  • Daily leverage (max)
    2.41
  • Regression
  • Alpha
    0.06
  • Beta
    0.23
  • Treynor Index
    0.31
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.59
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    1.275
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.544
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.032
  • Hold-and-Hope Ratio
    0.771
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52812
  • SD
    0.21946
  • Sharpe ratio (Glass type estimate)
    2.40648
  • Sharpe ratio (Hedges UMVUE)
    2.23793
  • df
    11.00000
  • t
    2.40648
  • p
    0.01742
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16621
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.56095
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06630
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.40955
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.61110
  • Upside Potential Ratio
    14.98770
  • Upside part of mean
    0.58153
  • Downside part of mean
    -0.05341
  • Upside SD
    0.25668
  • Downside SD
    0.03880
  • N nonnegative terms
    10.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.26323
  • Mean of criterion
    0.52812
  • SD of predictor
    0.13944
  • SD of criterion
    0.21946
  • Covariance
    0.00673
  • r
    0.22000
  • b (slope, estimate of beta)
    0.34624
  • a (intercept, estimate of alpha)
    0.43698
  • Mean Square Error
    0.05041
  • DF error
    10.00000
  • t(b)
    0.71317
  • p(b)
    0.24602
  • t(a)
    1.69141
  • p(a)
    0.06082
  • Lowerbound of 95% confidence interval for beta
    -0.73551
  • Upperbound of 95% confidence interval for beta
    1.42798
  • Lowerbound of 95% confidence interval for alpha
    -0.13867
  • Upperbound of 95% confidence interval for alpha
    1.01263
  • Treynor index (mean / b)
    1.52531
  • Jensen alpha (a)
    0.43698
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49639
  • SD
    0.20275
  • Sharpe ratio (Glass type estimate)
    2.44829
  • Sharpe ratio (Hedges UMVUE)
    2.27681
  • df
    11.00000
  • t
    2.44829
  • p
    0.01617
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.19970
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.61023
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09814
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.45549
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.63330
  • Upside Potential Ratio
    14.00890
  • Upside part of mean
    0.55045
  • Downside part of mean
    -0.05405
  • Upside SD
    0.23806
  • Downside SD
    0.03929
  • N nonnegative terms
    10.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.25128
  • Mean of criterion
    0.49639
  • SD of predictor
    0.13628
  • SD of criterion
    0.20275
  • Covariance
    0.00663
  • r
    0.24013
  • b (slope, estimate of beta)
    0.35725
  • a (intercept, estimate of alpha)
    0.40662
  • Mean Square Error
    0.04261
  • DF error
    10.00000
  • t(b)
    0.78225
  • p(b)
    0.22610
  • t(a)
    1.72165
  • p(a)
    0.05793
  • Lowerbound of 95% confidence interval for beta
    -0.66034
  • Upperbound of 95% confidence interval for beta
    1.37485
  • Lowerbound of 95% confidence interval for alpha
    -0.11962
  • Upperbound of 95% confidence interval for alpha
    0.93287
  • Treynor index (mean / b)
    1.38947
  • Jensen alpha (a)
    0.40662
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05343
  • Expected Shortfall on VaR
    0.07608
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00410
  • Expected Shortfall on VaR
    0.01136
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.96934
  • Quartile 1
    1.01158
  • Median
    1.03618
  • Quartile 3
    1.07175
  • Maximum
    1.21031
  • Mean of quarter 1
    0.98594
  • Mean of quarter 2
    1.01532
  • Mean of quarter 3
    1.06385
  • Mean of quarter 4
    1.12025
  • Inter Quartile Range
    0.06017
  • 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
    0.08333
  • Mean of outliers high
    1.21031
  • 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)
    -1.97198
  • VaR(95%) (regression method)
    0.04634
  • Expected Shortfall (regression method)
    0.04815
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01809
  • Quartile 1
    0.02124
  • Median
    0.02438
  • Quartile 3
    0.02752
  • Maximum
    0.03066
  • Mean of quarter 1
    0.01809
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03066
  • Inter Quartile Range
    0.00629
  • 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)
    0.68927
  • Compounded annual return (geometric extrapolation)
    0.68927
  • Calmar ratio (compounded annual return / max draw down)
    22.47850
  • Compounded annual return / average of 25% largest draw downs
    22.47850
  • Compounded annual return / Expected Shortfall lognormal
    9.06001
  • 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
    0.48529
  • SD
    0.17437
  • Sharpe ratio (Glass type estimate)
    2.78307
  • Sharpe ratio (Hedges UMVUE)
    2.77547
  • df
    275.00000
  • t
    2.85646
  • p
    0.00231
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.85687
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.70431
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.85183
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.69911
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.92412
  • Upside Potential Ratio
    10.72980
  • Upside part of mean
    1.05746
  • Downside part of mean
    -0.57217
  • Upside SD
    0.14657
  • Downside SD
    0.09855
  • N nonnegative terms
    150.00000
  • N negative terms
    126.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    276.00000
  • Mean of predictor
    0.28250
  • Mean of criterion
    0.48529
  • SD of predictor
    0.18128
  • SD of criterion
    0.17437
  • Covariance
    0.00908
  • r
    0.28736
  • b (slope, estimate of beta)
    0.27641
  • a (intercept, estimate of alpha)
    0.40700
  • Mean Square Error
    0.02800
  • DF error
    274.00000
  • t(b)
    4.96611
  • p(b)
    0.00000
  • t(a)
    2.48630
  • p(a)
    0.00675
  • Lowerbound of 95% confidence interval for beta
    0.16683
  • Upperbound of 95% confidence interval for beta
    0.38598
  • Lowerbound of 95% confidence interval for alpha
    0.08478
  • Upperbound of 95% confidence interval for alpha
    0.72963
  • Treynor index (mean / b)
    1.75571
  • Jensen alpha (a)
    0.40720
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46980
  • SD
    0.17320
  • Sharpe ratio (Glass type estimate)
    2.71252
  • Sharpe ratio (Hedges UMVUE)
    2.70512
  • df
    275.00000
  • t
    2.78405
  • p
    0.00287
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.78714
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.63312
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78217
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.62806
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.71125
  • Upside Potential Ratio
    10.49790
  • Upside part of mean
    1.04684
  • Downside part of mean
    -0.57704
  • Upside SD
    0.14418
  • Downside SD
    0.09972
  • N nonnegative terms
    150.00000
  • N negative terms
    126.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    276.00000
  • Mean of predictor
    0.26591
  • Mean of criterion
    0.46980
  • SD of predictor
    0.18167
  • SD of criterion
    0.17320
  • Covariance
    0.00912
  • r
    0.28983
  • b (slope, estimate of beta)
    0.27631
  • a (intercept, estimate of alpha)
    0.39632
  • Mean Square Error
    0.02758
  • DF error
    274.00000
  • t(b)
    5.01262
  • p(b)
    0.00000
  • t(a)
    2.43951
  • p(a)
    0.00767
  • Lowerbound of 95% confidence interval for beta
    0.16779
  • Upperbound of 95% confidence interval for beta
    0.38482
  • Lowerbound of 95% confidence interval for alpha
    0.07649
  • Upperbound of 95% confidence interval for alpha
    0.71615
  • Treynor index (mean / b)
    1.70027
  • Jensen alpha (a)
    0.39632
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01568
  • Expected Shortfall on VaR
    0.02007
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00461
  • Expected Shortfall on VaR
    0.01021
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    276.00000
  • Minimum
    0.96241
  • Quartile 1
    0.99954
  • Median
    1.00066
  • Quartile 3
    1.00397
  • Maximum
    1.06197
  • Mean of quarter 1
    0.99150
  • Mean of quarter 2
    1.00001
  • Mean of quarter 3
    1.00205
  • Mean of quarter 4
    1.01427
  • Inter Quartile Range
    0.00443
  • Number outliers low
    30.00000
  • Percentage of outliers low
    0.10870
  • Mean of outliers low
    0.98384
  • Number of outliers high
    37.00000
  • Percentage of outliers high
    0.13406
  • Mean of outliers high
    1.02075
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59700
  • VaR(95%) (moments method)
    0.00520
  • Expected Shortfall (moments method)
    0.01580
  • Extreme Value Index (regression method)
    0.14600
  • VaR(95%) (regression method)
    0.00794
  • Expected Shortfall (regression method)
    0.01392
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    27.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00207
  • Median
    0.00858
  • Quartile 3
    0.01895
  • Maximum
    0.12557
  • Mean of quarter 1
    0.00081
  • Mean of quarter 2
    0.00548
  • Mean of quarter 3
    0.01175
  • Mean of quarter 4
    0.05360
  • Inter Quartile Range
    0.01688
  • 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
    0.11111
  • Mean of outliers high
    0.09000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.55538
  • VaR(95%) (moments method)
    0.06191
  • Expected Shortfall (moments method)
    0.14887
  • Extreme Value Index (regression method)
    1.77323
  • VaR(95%) (regression method)
    0.05397
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.65431
  • Compounded annual return (geometric extrapolation)
    0.64494
  • Calmar ratio (compounded annual return / max draw down)
    5.13610
  • Compounded annual return / average of 25% largest draw downs
    12.03300
  • Compounded annual return / Expected Shortfall lognormal
    32.14080
  • 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
    0.66745
  • SD
    0.21185
  • Sharpe ratio (Glass type estimate)
    3.15065
  • Sharpe ratio (Hedges UMVUE)
    3.13244
  • df
    130.00000
  • t
    2.22785
  • p
    0.40412
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34667
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.94282
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33461
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.93028
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.40385
  • Upside Potential Ratio
    11.29220
  • Upside part of mean
    1.39475
  • Downside part of mean
    -0.72730
  • Upside SD
    0.17601
  • Downside SD
    0.12351
  • 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
    0.27908
  • Mean of criterion
    0.66745
  • SD of predictor
    0.23020
  • SD of criterion
    0.21185
  • Covariance
    0.01598
  • r
    0.32768
  • b (slope, estimate of beta)
    0.30155
  • a (intercept, estimate of alpha)
    0.58330
  • Mean Square Error
    0.04037
  • DF error
    129.00000
  • t(b)
    3.93916
  • p(b)
    0.29519
  • t(a)
    2.04701
  • p(a)
    0.38768
  • Lowerbound of 95% confidence interval for beta
    0.15009
  • Upperbound of 95% confidence interval for beta
    0.45301
  • Lowerbound of 95% confidence interval for alpha
    0.01951
  • Upperbound of 95% confidence interval for alpha
    1.14708
  • Treynor index (mean / b)
    2.21342
  • Jensen alpha (a)
    0.58330
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.64448
  • SD
    0.21055
  • Sharpe ratio (Glass type estimate)
    3.06093
  • Sharpe ratio (Hedges UMVUE)
    3.04323
  • df
    130.00000
  • t
    2.16440
  • p
    0.40675
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25854
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.85187
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24685
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.83961
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.15009
  • Upside Potential Ratio
    11.02330
  • Upside part of mean
    1.37947
  • Downside part of mean
    -0.73498
  • Upside SD
    0.17297
  • Downside SD
    0.12514
  • 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
    0.25253
  • Mean of criterion
    0.64448
  • SD of predictor
    0.23087
  • SD of criterion
    0.21055
  • Covariance
    0.01608
  • r
    0.33072
  • b (slope, estimate of beta)
    0.30161
  • a (intercept, estimate of alpha)
    0.56832
  • Mean Square Error
    0.03979
  • DF error
    129.00000
  • t(b)
    3.98018
  • p(b)
    0.29336
  • t(a)
    2.01000
  • p(a)
    0.38962
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    0.15168
  • Upperbound of 95% confidence interval for beta
    0.45153
  • Lowerbound of 95% confidence interval for alpha
    0.00890
  • Upperbound of 95% confidence interval for alpha
    1.12774
  • Treynor index (mean / b)
    2.13685
  • Jensen alpha (a)
    0.56832
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01876
  • Expected Shortfall on VaR
    0.02407
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00601
  • Expected Shortfall on VaR
    0.01321
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96241
  • Quartile 1
    1.00000
  • Median
    1.00087
  • Quartile 3
    1.00808
  • Maximum
    1.06197
  • Mean of quarter 1
    0.98918
  • Mean of quarter 2
    1.00006
  • Mean of quarter 3
    1.00344
  • Mean of quarter 4
    1.01796
  • Inter Quartile Range
    0.00808
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.97798
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.03386
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28979
  • VaR(95%) (moments method)
    0.00457
  • Expected Shortfall (moments method)
    0.00899
  • Extreme Value Index (regression method)
    -0.13954
  • VaR(95%) (regression method)
    0.01155
  • Expected Shortfall (regression method)
    0.01736
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00272
  • Median
    0.00823
  • Quartile 3
    0.01759
  • Maximum
    0.12557
  • Mean of quarter 1
    0.00105
  • Mean of quarter 2
    0.00552
  • Mean of quarter 3
    0.01217
  • Mean of quarter 4
    0.08136
  • Inter Quartile Range
    0.01487
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    0.11066
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -65.11910
  • VaR(95%) (moments method)
    0.05910
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.29063
  • VaR(95%) (regression method)
    0.18002
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.18283
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -433853000
  • Max Equity Drawdown (num days)
    20
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.79923
  • Compounded annual return (geometric extrapolation)
    0.95892
  • Calmar ratio (compounded annual return / max draw down)
    7.63651
  • Compounded annual return / average of 25% largest draw downs
    11.78650
  • Compounded annual return / Expected Shortfall lognormal
    39.84550

Strategy Description

This is a well-structured and diversified algorithmic trading approach designed to maximize profits and manage risk trough diversification, effectively keeping both a high Sharpe Ratio, resilience to market fluctuations and a low draw down. The strategy's primary focus is on aligning various trading instruments and systems, resulting in a comprehensive and robust portfolio. By combining the US Indices, ADRs, leveraged ETFs, and dip-buyers, The Rosa Negra aims to capitalize on multiple market opportunities simultaneously.

Despite new to C2, The Rosa Negra have been running out of sample in the stock markets for quite some time, however investing in stocks and ETFs involves considerable risk and past performance does not warrant future profits.
Trade this strategy at Interactive Brokers

Summary Statistics


Strategy began
2023-08-23
Suggested Minimum Capital
$15,000
# Trades
173
# Profitable
108
% Profitable
62.4%
Net Dividends
$949
Correlation S&P500
0.262
Sharpe Ratio
1.65
Sortino Ratio
2.99
Beta
0.23
Alpha
0.06
Leverage
0.99 Average
2.41 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.