Collective2 Collective2
Featured Strategy SK Trader Rank on Leaderboard #6 Hypothetical

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


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Right Risk Right Reward
(145856898)

Creato da: AnthonyTobin AnthonyTobin
Started: 09/2023
Stocks
Last trade: 337 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 $150.00 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.


60.5%
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.

(35.5%)
Max Drawdown
30
Num Trades
76.7%
Win Trades
3.8 : 1
Profit Factor
59.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                        +1.5%(12.4%)+42.8%+24.8%+58.4%
2024(7.2%)+29.7%+0.7%(5.5%)+15.7%+3.7%+18.7%(17.4%)(6%)+4.7%+15.2%(0.9%)+51.5%
2025(5.5%)(15.2%)(1.3%)+0.5%+9.7%+8.5%                                    (5.4%)


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 11 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
1/8/24 11:09 ENVX ENOVIX CORP LONG 800 12.51 7/15 11:50 18.11 12.88%
Trade id #146932660
Max drawdown($5,448)
Time4/25/24 0:00
Quant open800
Worst price5.70
Drawdown as % of equity-12.88%
 $4,475
Includes Typical Broker Commissions trade costs of $5.00
2/8/24 10:07 BIDU BAIDU LONG 95 104.24 5/17 10:02 110.50 2.25%
Trade id #147257094
Max drawdown($949)
Time4/17/24 0:00
Quant open95
Worst price94.25
Drawdown as % of equity-2.25%
 $593
Includes Typical Broker Commissions trade costs of $1.90
1/5/24 14:23 BABA ALIBABA GROUP HOLDING LIMITED LONG 135 73.26 5/17 10:02 87.42 2.44%
Trade id #146920244
Max drawdown($895)
Time1/22/24 0:00
Quant open135
Worst price66.63
Drawdown as % of equity-2.44%
 $1,908
Includes Typical Broker Commissions trade costs of $2.70
3/15/24 11:47 HEPS D-MARKET ELECTRONIC SERVICES & TRADING ADS LONG 5,000 1.62 5/14 11:57 1.62 3.88%
Trade id #147650565
Max drawdown($1,828)
Time4/12/24 0:00
Quant open5,000
Worst price1.25
Drawdown as % of equity-3.88%
 $36
Includes Typical Broker Commissions trade costs of $5.00
1/23/24 10:09 LAC LITHIUM AMERICAS INC LONG 2,000 4.76 4/2 10:39 6.88 4.82%
Trade id #147098155
Max drawdown($1,900)
Time2/5/24 0:00
Quant open2,000
Worst price3.81
Drawdown as % of equity-4.82%
 $4,235
Includes Typical Broker Commissions trade costs of $5.00
1/5/24 12:55 APP APPLOVIN CORPORATION CLASS A LONG 260 38.43 3/18 10:29 66.30 0.32%
Trade id #146919209
Max drawdown($124)
Time1/8/24 0:00
Quant open260
Worst price37.95
Drawdown as % of equity-0.32%
 $7,241
Includes Typical Broker Commissions trade costs of $5.20
2/8/24 10:03 PYPL PAYPAL HOLDINGS CORP LONG 170 57.44 3/15 11:44 63.06 0.68%
Trade id #147257013
Max drawdown($283)
Time2/8/24 15:47
Quant open170
Worst price55.77
Drawdown as % of equity-0.68%
 $953
Includes Typical Broker Commissions trade costs of $3.40
1/8/24 10:30 GCT GIGACLOUD TECHNOLOGY INC CLASS A LONG 450 21.58 2/8 10:06 28.26 4.08%
Trade id #146931950
Max drawdown($1,602)
Time1/11/24 0:00
Quant open450
Worst price18.02
Drawdown as % of equity-4.08%
 $2,997
Includes Typical Broker Commissions trade costs of $9.00
1/5/24 4:58: Rescaled downward to 25% of previous Model Account size
11/20/23 14:34 ML MONEYLION INC LONG 137.500000000 34.11 1/4/24 10:27 54.30 0.13%
Trade id #146492680
Max drawdown($37)
Time11/21/23 0:00
Quant open34
Worst price33.01
Drawdown as % of equity-0.13%
 $2,773
Includes Typical Broker Commissions trade costs of $2.76
11/20/23 14:35 SURG SURGEPAYS INC COMMON STOCK LONG 750 6.43 1/4/24 10:27 7.52 0.8%
Trade id #146492692
Max drawdown($270)
Time12/12/23 0:00
Quant open188
Worst price4.99
Drawdown as % of equity-0.80%
 $813
Includes Typical Broker Commissions trade costs of $5.00
11/10/23 10:00 ENVX ENOVIX CORP LONG 450 10.67 1/4/24 10:26 13.11 0.23%
Trade id #146396279
Max drawdown($63)
Time11/13/23 0:00
Quant open112
Worst price10.11
Drawdown as % of equity-0.23%
 $1,088
Includes Typical Broker Commissions trade costs of $9.00
12/12/23 12:11 HEPS D-MARKET ELECTRONIC SERVICES & TRADING ADS LONG 1,500 1.64 1/4/24 10:26 1.71 0.15%
Trade id #146673065
Max drawdown($56)
Time12/20/23 0:00
Quant open375
Worst price1.49
Drawdown as % of equity-0.15%
 $100
Includes Typical Broker Commissions trade costs of $5.00
12/20/23 9:57 BABA ALIBABA GROUP HOLDING LIMITED LONG 33.750000000 74.83 1/4/24 10:26 75.39 0.03%
Trade id #146758151
Max drawdown($12)
Time12/20/23 15:59
Quant open8
Worst price73.33
Drawdown as % of equity-0.03%
 $18
Includes Typical Broker Commissions trade costs of $0.68
12/28/23 9:52 APP APPLOVIN CORPORATION CLASS A LONG 62.500000000 40.59 1/4/24 10:25 37.68 0.13%
Trade id #146831469
Max drawdown($49)
Time1/4/24 9:47
Quant open16
Worst price37.40
Drawdown as % of equity-0.13%
 ($183)
Includes Typical Broker Commissions trade costs of $1.24
9/19/23 12:11 RBLX ROBLOX CORP LONG 187.500000000 26.61 1/2/24 10:52 44.63 0.34%
Trade id #145868897
Max drawdown($81)
Time9/25/23 0:00
Quant open47
Worst price24.88
Drawdown as % of equity-0.34%
 $3,374
Includes Typical Broker Commissions trade costs of $3.75
10/10/23 14:21 DOCU DOCUSIGN INC. COMMON STOCK LONG 148.750000000 42.56 1/2/24 10:51 60.09 0.75%
Trade id #146091715
Max drawdown($165)
Time10/30/23 0:00
Quant open37
Worst price38.11
Drawdown as % of equity-0.75%
 $2,604
Includes Typical Broker Commissions trade costs of $2.98
11/27/23 10:47 DESP DESPEGAR.COM CORP LONG 450 8.19 12/20 11:13 9.74 0.13%
Trade id #146543346
Max drawdown($40)
Time11/30/23 0:00
Quant open112
Worst price7.83
Drawdown as % of equity-0.13%
 $689
Includes Typical Broker Commissions trade costs of $9.00
9/19/23 11:58 SHOP SHOPIFY INC. CLASS A LONG 86.250000000 58.03 12/8 10:48 72.26 1.23%
Trade id #145868713
Max drawdown($270)
Time10/31/23 0:00
Quant open22
Worst price45.50
Drawdown as % of equity-1.23%
 $1,225
Includes Typical Broker Commissions trade costs of $1.72
9/18/23 11:40 SWKS SKYWORKS SOLUTIONS LONG 50 98.79 12/7 14:55 102.42 0.77%
Trade id #145856955
Max drawdown($171)
Time11/1/23 0:00
Quant open12
Worst price85.06
Drawdown as % of equity-0.77%
 $181
Includes Typical Broker Commissions trade costs of $1.00
9/25/23 10:31 SNOW SNOWFLAKE INC LONG 33.750000000 149.89 12/7 14:53 187.78 0.43%
Trade id #145923826
Max drawdown($96)
Time10/26/23 0:00
Quant open8
Worst price138.40
Drawdown as % of equity-0.43%
 $1,278
Includes Typical Broker Commissions trade costs of $0.68
10/10/23 14:24 GRBK GREEN BRICK PARTNERS INC LONG 148.750000000 41.64 11/22 15:22 47.36 0.72%
Trade id #146091727
Max drawdown($161)
Time11/1/23 0:00
Quant open37
Worst price37.31
Drawdown as % of equity-0.72%
 $848
Includes Typical Broker Commissions trade costs of $2.98
10/11/23 11:25 BABA ALIBABA GROUP HOLDING LIMITED LONG 57.500000000 87.96 11/20 14:33 78.31 0.56%
Trade id #146100324
Max drawdown($163)
Time11/20/23 9:32
Quant open14
Worst price76.56
Drawdown as % of equity-0.56%
 ($556)
Includes Typical Broker Commissions trade costs of $1.16
9/25/23 10:33 DDOG DATADOG INC. LONG 57.500000000 87.86 11/10 9:58 103.30 0.64%
Trade id #145923856
Max drawdown($144)
Time11/2/23 0:00
Quant open14
Worst price77.81
Drawdown as % of equity-0.64%
 $887
Includes Typical Broker Commissions trade costs of $1.16
9/18/23 11:45 SBOW SILVERBOW RESOURCES INC LONG 137.500000000 35.71 10/26 13:28 33.62 0.72%
Trade id #145857317
Max drawdown($173)
Time10/4/23 0:00
Quant open34
Worst price30.65
Drawdown as % of equity-0.72%
 ($290)
Includes Typical Broker Commissions trade costs of $2.76

Successivo

Statistics

  • Strategy began
    9/18/2023
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    628.23
  • Age
    21 months ago
  • What it trades
    Stocks
  • # Trades
    30
  • # Profitable
    23
  • % Profitable
    76.70%
  • Avg trade duration
    130.3 days
  • Max peak-to-valley drawdown
    35.53%
  • drawdown period
    July 16, 2024 - April 12, 2025
  • Annual Return (Compounded)
    60.5%
  • Avg win
    $1,955
  • Avg loss
    $1,674
  • Model Account Values (Raw)
  • Cash
    $30,106
  • Margin Used
    $0
  • Buying Power
    $25,977
  • Ratios
  • W:L ratio
    3.84:1
  • Sharpe Ratio
    1.14
  • Sortino Ratio
    1.82
  • Calmar Ratio
    3.203
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    92.11%
  • Correlation to SP500
    0.49460
  • Return Percent SP500 (cumu) during strategy life
    34.78%
  • Return Statistics
  • Ann Return (w trading costs)
    60.5%
  • Slump
  • Current Slump as Pcnt Equity
    17.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.52%
  • 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)
    0.605%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    62.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    35.50%
  • Chance of 20% account loss
    7.00%
  • Chance of 30% account loss
    1.00%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    617
  • 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
    $1,674
  • Avg Win
    $1,955
  • Sum Trade PL (losers)
    $11,720.000
  • Age
  • Num Months filled monthly returns table
    22
  • Win / Loss
  • Sum Trade PL (winners)
    $44,967.000
  • # Winners
    23
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    34
  • Win / Loss
  • # Losers
    7
  • % Winners
    76.7%
  • Frequency
  • Avg Position Time (mins)
    187588.00
  • Avg Position Time (hrs)
    3126.46
  • Avg Trade Length
    130.3 days
  • Last Trade Ago
    327
  • Leverage
  • Daily leverage (average)
    1.20
  • Daily leverage (max)
    2.13
  • Regression
  • Alpha
    0.08
  • Beta
    1.39
  • Treynor Index
    0.10
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.58
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    1.317
  • 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
    0.12
  • Avg(MAE) / Avg(PL) - Winning trades
    0.445
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.564
  • Hold-and-Hope Ratio
    0.990
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.90880
  • SD
    0.64745
  • Sharpe ratio (Glass type estimate)
    1.40367
  • Sharpe ratio (Hedges UMVUE)
    1.30535
  • df
    11.00000
  • t
    1.40367
  • p
    0.09401
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66911
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.41862
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72910
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.33980
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.65890
  • Upside Potential Ratio
    5.69097
  • Upside part of mean
    1.41353
  • Downside part of mean
    -0.50473
  • Upside SD
    0.62562
  • Downside SD
    0.24838
  • N nonnegative terms
    6.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.22765
  • Mean of criterion
    0.90880
  • SD of predictor
    0.11288
  • SD of criterion
    0.64745
  • Covariance
    0.04879
  • r
    0.66756
  • b (slope, estimate of beta)
    3.82901
  • a (intercept, estimate of alpha)
    0.03711
  • Mean Square Error
    0.25562
  • DF error
    10.00000
  • t(b)
    2.83527
  • p(b)
    0.00885
  • t(a)
    0.06272
  • p(a)
    0.47561
  • Lowerbound of 95% confidence interval for beta
    0.81992
  • Upperbound of 95% confidence interval for beta
    6.83810
  • Lowerbound of 95% confidence interval for alpha
    -1.28135
  • Upperbound of 95% confidence interval for alpha
    1.35557
  • Treynor index (mean / b)
    0.23735
  • Jensen alpha (a)
    0.03711
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.70930
  • SD
    0.59913
  • Sharpe ratio (Glass type estimate)
    1.18388
  • Sharpe ratio (Hedges UMVUE)
    1.10096
  • df
    11.00000
  • t
    1.18388
  • p
    0.13071
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86111
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.17892
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91227
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.11419
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.65529
  • Upside Potential Ratio
    4.66740
  • Upside part of mean
    1.24678
  • Downside part of mean
    -0.53749
  • Upside SD
    0.54737
  • Downside SD
    0.26713
  • N nonnegative terms
    6.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.21931
  • Mean of criterion
    0.70930
  • SD of predictor
    0.11193
  • SD of criterion
    0.59913
  • Covariance
    0.04504
  • r
    0.67158
  • b (slope, estimate of beta)
    3.59486
  • a (intercept, estimate of alpha)
    -0.07909
  • Mean Square Error
    0.21677
  • DF error
    10.00000
  • t(b)
    2.86631
  • p(b)
    0.00839
  • t(a)
    -0.14626
  • p(a)
    0.55669
  • Lowerbound of 95% confidence interval for beta
    0.80038
  • Upperbound of 95% confidence interval for beta
    6.38934
  • Lowerbound of 95% confidence interval for alpha
    -1.28397
  • Upperbound of 95% confidence interval for alpha
    1.12579
  • Treynor index (mean / b)
    0.19731
  • Jensen alpha (a)
    -0.07909
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20178
  • Expected Shortfall on VaR
    0.25595
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09828
  • Expected Shortfall on VaR
    0.17099
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.83452
  • Quartile 1
    0.93302
  • Median
    1.02527
  • Quartile 3
    1.24917
  • Maximum
    1.36679
  • Mean of quarter 1
    0.86904
  • Mean of quarter 2
    0.96738
  • Mean of quarter 3
    1.16063
  • Mean of quarter 4
    1.31520
  • Inter Quartile Range
    0.31616
  • 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)
    -23.31120
  • VaR(95%) (moments method)
    0.13781
  • Expected Shortfall (moments method)
    0.13781
  • Extreme Value Index (regression method)
    -2.12679
  • VaR(95%) (regression method)
    0.20242
  • Expected Shortfall (regression method)
    0.20558
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00602
  • Quartile 1
    0.03143
  • Median
    0.08668
  • Quartile 3
    0.16548
  • Maximum
    0.19265
  • Mean of quarter 1
    0.01873
  • Mean of quarter 2
    0.08668
  • Mean of quarter 3
    0.16548
  • Mean of quarter 4
    0.19265
  • Inter Quartile Range
    0.13405
  • 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)
    1.09008
  • Compounded annual return (geometric extrapolation)
    1.09008
  • Calmar ratio (compounded annual return / max draw down)
    5.65849
  • Compounded annual return / average of 25% largest draw downs
    5.65849
  • Compounded annual return / Expected Shortfall lognormal
    4.25900
  • 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
    0.79116
  • SD
    0.44918
  • Sharpe ratio (Glass type estimate)
    1.76134
  • Sharpe ratio (Hedges UMVUE)
    1.75660
  • df
    279.00000
  • t
    1.82084
  • p
    0.03485
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14173
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.66135
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14491
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.65811
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.93019
  • Upside Potential Ratio
    10.95680
  • Upside part of mean
    2.95835
  • Downside part of mean
    -2.16720
  • Upside SD
    0.36129
  • Downside SD
    0.27000
  • N nonnegative terms
    150.00000
  • N negative terms
    130.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    280.00000
  • Mean of predictor
    0.25567
  • Mean of criterion
    0.79116
  • SD of predictor
    0.18516
  • SD of criterion
    0.44918
  • Covariance
    0.04014
  • r
    0.48266
  • b (slope, estimate of beta)
    1.17088
  • a (intercept, estimate of alpha)
    0.49200
  • Mean Square Error
    0.15532
  • DF error
    278.00000
  • t(b)
    9.18877
  • p(b)
    0.00000
  • t(a)
    1.28536
  • p(a)
    0.09987
  • Lowerbound of 95% confidence interval for beta
    0.92004
  • Upperbound of 95% confidence interval for beta
    1.42173
  • Lowerbound of 95% confidence interval for alpha
    -0.26139
  • Upperbound of 95% confidence interval for alpha
    1.24498
  • Treynor index (mean / b)
    0.67569
  • Jensen alpha (a)
    0.49179
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.69093
  • SD
    0.44473
  • Sharpe ratio (Glass type estimate)
    1.55357
  • Sharpe ratio (Hedges UMVUE)
    1.54939
  • df
    279.00000
  • t
    1.60605
  • p
    0.05470
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34809
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.45251
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35088
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.44966
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.49452
  • Upside Potential Ratio
    10.45430
  • Upside part of mean
    2.89560
  • Downside part of mean
    -2.20467
  • Upside SD
    0.34956
  • Downside SD
    0.27698
  • N nonnegative terms
    150.00000
  • N negative terms
    130.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    280.00000
  • Mean of predictor
    0.23868
  • Mean of criterion
    0.69093
  • SD of predictor
    0.18335
  • SD of criterion
    0.44473
  • Covariance
    0.03955
  • r
    0.48498
  • b (slope, estimate of beta)
    1.17634
  • a (intercept, estimate of alpha)
    0.41016
  • Mean Square Error
    0.15181
  • DF error
    278.00000
  • t(b)
    9.24641
  • p(b)
    0.00000
  • t(a)
    1.08473
  • p(a)
    0.13949
  • Lowerbound of 95% confidence interval for beta
    0.92590
  • Upperbound of 95% confidence interval for beta
    1.42678
  • Lowerbound of 95% confidence interval for alpha
    -0.33418
  • Upperbound of 95% confidence interval for alpha
    1.15450
  • Treynor index (mean / b)
    0.58735
  • Jensen alpha (a)
    0.41016
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04166
  • Expected Shortfall on VaR
    0.05255
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01821
  • Expected Shortfall on VaR
    0.03574
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    280.00000
  • Minimum
    0.90710
  • Quartile 1
    0.98791
  • Median
    1.00296
  • Quartile 3
    1.01469
  • Maximum
    1.12943
  • Mean of quarter 1
    0.97166
  • Mean of quarter 2
    0.99562
  • Mean of quarter 3
    1.00784
  • Mean of quarter 4
    1.03739
  • Inter Quartile Range
    0.02678
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.01429
  • Mean of outliers low
    0.92132
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.03929
  • Mean of outliers high
    1.08282
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07527
  • VaR(95%) (moments method)
    0.02730
  • Expected Shortfall (moments method)
    0.03807
  • Extreme Value Index (regression method)
    0.03336
  • VaR(95%) (regression method)
    0.02678
  • Expected Shortfall (regression method)
    0.03633
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00271
  • Quartile 1
    0.02399
  • Median
    0.04452
  • Quartile 3
    0.08190
  • Maximum
    0.32841
  • Mean of quarter 1
    0.00899
  • Mean of quarter 2
    0.03770
  • Mean of quarter 3
    0.06078
  • Mean of quarter 4
    0.16792
  • Inter Quartile Range
    0.05791
  • 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
    0.10526
  • Mean of outliers high
    0.25460
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.26586
  • VaR(95%) (moments method)
    0.17460
  • Expected Shortfall (moments method)
    0.21604
  • Extreme Value Index (regression method)
    0.31442
  • VaR(95%) (regression method)
    0.24727
  • Expected Shortfall (regression method)
    0.43729
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.08161
  • Compounded annual return (geometric extrapolation)
    1.05204
  • Calmar ratio (compounded annual return / max draw down)
    3.20344
  • Compounded annual return / average of 25% largest draw downs
    6.26512
  • Compounded annual return / Expected Shortfall lognormal
    20.01810
  • 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
    0.53869
  • SD
    0.49454
  • Sharpe ratio (Glass type estimate)
    1.08929
  • Sharpe ratio (Hedges UMVUE)
    1.08299
  • df
    130.00000
  • t
    0.77024
  • p
    0.46630
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.68773
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.86220
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.69194
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.85792
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.72025
  • Upside Potential Ratio
    9.48925
  • Upside part of mean
    2.97154
  • Downside part of mean
    -2.43285
  • Upside SD
    0.38177
  • Downside SD
    0.31315
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31796
  • Mean of criterion
    0.53869
  • SD of predictor
    0.23877
  • SD of criterion
    0.49454
  • Covariance
    0.06124
  • r
    0.51860
  • b (slope, estimate of beta)
    1.07413
  • a (intercept, estimate of alpha)
    0.19715
  • Mean Square Error
    0.18018
  • DF error
    129.00000
  • t(b)
    6.88901
  • p(b)
    0.18531
  • t(a)
    0.32732
  • p(a)
    0.48166
  • Lowerbound of 95% confidence interval for beta
    0.76564
  • Upperbound of 95% confidence interval for beta
    1.38263
  • Lowerbound of 95% confidence interval for alpha
    -0.99458
  • Upperbound of 95% confidence interval for alpha
    1.38889
  • Treynor index (mean / b)
    0.50151
  • Jensen alpha (a)
    0.19715
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41802
  • SD
    0.49128
  • Sharpe ratio (Glass type estimate)
    0.85088
  • Sharpe ratio (Hedges UMVUE)
    0.84596
  • df
    130.00000
  • t
    0.60166
  • p
    0.47365
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.92443
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.62305
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.92775
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.61967
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.29391
  • Upside Potential Ratio
    8.98173
  • Upside part of mean
    2.90172
  • Downside part of mean
    -2.48370
  • Upside SD
    0.36852
  • Downside SD
    0.32307
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28995
  • Mean of criterion
    0.41802
  • SD of predictor
    0.23581
  • SD of criterion
    0.49128
  • Covariance
    0.06007
  • r
    0.51851
  • b (slope, estimate of beta)
    1.08026
  • a (intercept, estimate of alpha)
    0.10480
  • Mean Square Error
    0.17784
  • DF error
    129.00000
  • t(b)
    6.88731
  • p(b)
    0.18536
  • t(a)
    0.17522
  • p(a)
    0.49018
  • VAR (95 Confidence Intrvl)
    0.04200
  • Lowerbound of 95% confidence interval for beta
    0.76994
  • Upperbound of 95% confidence interval for beta
    1.39059
  • Lowerbound of 95% confidence interval for alpha
    -1.07859
  • Upperbound of 95% confidence interval for alpha
    1.28818
  • Treynor index (mean / b)
    0.38696
  • Jensen alpha (a)
    0.10480
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04718
  • Expected Shortfall on VaR
    0.05913
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02105
  • Expected Shortfall on VaR
    0.04168
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90710
  • Quartile 1
    0.98786
  • Median
    1.00040
  • Quartile 3
    1.01254
  • Maximum
    1.12943
  • Mean of quarter 1
    0.96887
  • Mean of quarter 2
    0.99449
  • Mean of quarter 3
    1.00644
  • Mean of quarter 4
    1.03897
  • Inter Quartile Range
    0.02468
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.92679
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.07650
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.41597
  • VaR(95%) (moments method)
    0.03332
  • Expected Shortfall (moments method)
    0.06428
  • Extreme Value Index (regression method)
    0.16052
  • VaR(95%) (regression method)
    0.02877
  • Expected Shortfall (regression method)
    0.04258
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00477
  • Quartile 1
    0.01030
  • Median
    0.03178
  • Quartile 3
    0.07367
  • Maximum
    0.32841
  • Mean of quarter 1
    0.00619
  • Mean of quarter 2
    0.02238
  • Mean of quarter 3
    0.04495
  • Mean of quarter 4
    0.21540
  • Inter Quartile Range
    0.06337
  • 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
    0.32841
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -333902000
  • Max Equity Drawdown (num days)
    270
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.49955
  • Compounded annual return (geometric extrapolation)
    0.56194
  • Calmar ratio (compounded annual return / max draw down)
    1.71111
  • Compounded annual return / average of 25% largest draw downs
    2.60886
  • Compounded annual return / Expected Shortfall lognormal
    9.50388

Strategy Description

My stock trading strategy that aims to provide a favourable risk-reward ratio is the "Value Investing" approach. Value investing involves identifying stocks that are undervalued relative to their intrinsic or fundamental value. The idea is to buy these stocks at a discounted price, hold them for the medium to long term, and sell when the market recognizes their true worth.

Here are the key steps in implementing a low-risk value investing strategy:

Fundamental Analysis:
Margin of Safety:
Diversification:
Long-Term Perspective:
Risk Management:
Continuous Monitoring:

I Regularly monitor the financial health and performance of the companies in this portfolio and am ready to adjust holdings if there are changes in the fundamentals or if the stock is no longer undervalued.
Trade this strategy at Interactive Brokers

Summary Statistics


Strategy began
2023-09-18
Suggested Minimum Capital
$15,000
# Trades
30
# Profitable
23
% Profitable
76.7%
Net Dividends
$34
Correlation S&P500
0.495
Sharpe Ratio
1.14
Sortino Ratio
1.82
Beta
1.39
Alpha
0.08
Leverage
1.20 Average
2.13 Maximum

Sommario
Leva finanziaria più alta = maggiore rischio.

Ulteriori informazioni sulla leva finanziaria

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

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

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

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

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

Latest Activity

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Trade journal

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

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

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



Riguardo ai risultati che vedi su questo sito web

I risultati passati non sono necessariamente indicativi dei risultati futuri.

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

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

Ipotesi e metodi materiali utilizzati nel calcolo dei risultati

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

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

Il trading è rischioso

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

Va bene, capito.

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Suggested Minimum Capital

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