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

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


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AUTOTRADERKEVINTRADES
(149395150)

Creato da: KEVINTRADES KEVINTRADES
Started: 09/2024
Options
Last trade: 187 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 $25.00 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.


18.4%
Cumul. Return

Calcolo del rendimento

Panoramica

Per conformarsi alle normative NFA, mostriamo il tasso di rendimento cumulativo per le strategie con un track record inferiore a un anno. Per le strategie con track record più lunghi, mostriamo il tasso di rendimento annuale (composto).

Come si calcola il tasso di rendimento cumulativo

= (Patrimonio_finale - Patrimonio_iniziale) / Patrimonio_iniziale

Ricorda che, in base ai requisiti NFA, i costi di abbonamento alle strategie e le commissioni stimate sono inclusi nei calcoli del patrimonio valutato a mercato.

Tutti i risultati sono ipotetici.

(5.6%)
Max Drawdown
99
Num Trades
38.4%
Win Trades
2.2 : 1
Profit Factor
30.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                                                        +2.5%+8.8%(2.1%)+8.5%+18.4%
2025  -    -    -    -    -    -                                      0.0


Dettagli Account Modello

Una strategia di trading su Collective2. Seguila nel tuo account di brokeraggio o utilizza un account di trading simulato gratuito.

Gli utenti avanzati potrebbero voler utilizzare queste informazioni per regolare il loro AutoTrade scaling o semplicemente per comprendere le grandezze del grafico vicino.

Trading Record

This strategy has placed 156 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 209 days ago.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/23/24 9:35 TSLA TESLA INC. LONG 100 340.00 12/12 9:31 424.84 1.24%
Trade id #150158616
Max drawdown($1,341)
Time11/27/24 0:00
Quant open100
Worst price326.59
Drawdown as % of equity-1.24%
 $8,482
Includes Typical Broker Commissions trade costs of $2.00
11/23/24 9:35 BA BOEING LONG 100 146.00 12/12 9:31 168.23 n/a $2,221
Includes Typical Broker Commissions trade costs of $2.00
11/19/24 10:14 TSLA2422K340 TSLA Nov22'24 340 call LONG 1 10.65 11/23 9:35 0.00 0.76%
Trade id #150122343
Max drawdown($824)
Time11/22/24 0:00
Quant open1
Worst price2.41
Drawdown as % of equity-0.76%
 ($1,067)
Includes Typical Broker Commissions trade costs of $1.00
11/20/24 15:58 BA2422K146 BA Nov22'24 146 call LONG 1 1.74 11/23 9:35 0.00 0.16%
Trade id #150136691
Max drawdown($170)
Time11/22/24 0:00
Quant open1
Worst price0.03
Drawdown as % of equity-0.16%
 ($175)
Includes Typical Broker Commissions trade costs of $1.00
11/20/24 15:33 AMZN2422K200 AMZN Nov22'24 200 call LONG 1 3.75 11/23 9:35 0.00 0.34%
Trade id #150136226
Max drawdown($373)
Time11/22/24 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-0.34%
 ($376)
Includes Typical Broker Commissions trade costs of $1.00
11/20/24 15:59 NVDA2422K150 NVDA Nov22'24 150 call LONG 2 4.49 11/23 9:35 0.00 0.83%
Trade id #150136733
Max drawdown($896)
Time11/22/24 0:00
Quant open2
Worst price0.01
Drawdown as % of equity-0.83%
 ($900)
Includes Typical Broker Commissions trade costs of $2.00
11/18/24 14:33 SPY2421K587 SPY Nov21'24 587 call LONG 4 3.47 11/19 12:00 4.14 0.24%
Trade id #150115628
Max drawdown($258)
Time11/19/24 9:51
Quant open2
Worst price2.39
Drawdown as % of equity-0.24%
 $263
Includes Typical Broker Commissions trade costs of $6.20
11/19/24 10:25 SPY2419K585 SPY Nov19'24 585 call LONG 1 1.66 11/19 11:48 4.00 0.01%
Trade id #150122468
Max drawdown($11)
Time11/19/24 10:28
Quant open1
Worst price1.55
Drawdown as % of equity-0.01%
 $232
Includes Typical Broker Commissions trade costs of $2.00
11/15/24 10:58 AAPL2422K230 AAPL Nov22'24 230 call LONG 5 1.16 11/18 13:37 1.85 0.03%
Trade id #150096796
Max drawdown($37)
Time11/15/24 14:31
Quant open3
Worst price0.64
Drawdown as % of equity-0.03%
 $337
Includes Typical Broker Commissions trade costs of $8.50
11/14/24 11:47 META2415K582.5 META Nov15'24 582.5 call LONG 3 2.76 11/15 10:58 0.02 0.75%
Trade id #150087873
Max drawdown($822)
Time11/15/24 10:55
Quant open3
Worst price0.02
Drawdown as % of equity-0.75%
 ($827)
Includes Typical Broker Commissions trade costs of $5.10
11/14/24 12:20 AMZN2415K212.5 AMZN Nov15'24 212.5 call LONG 9 1.60 11/15 10:58 0.02 1.3%
Trade id #150088222
Max drawdown($1,421)
Time11/15/24 10:31
Quant open9
Worst price0.02
Drawdown as % of equity-1.30%
 ($1,434)
Includes Typical Broker Commissions trade costs of $12.90
11/14/24 12:20 SPY2414K594 SPY Nov14'24 594 call LONG 6 1.51 11/15 8:05 0.00 0.8%
Trade id #150088214
Max drawdown($890)
Time11/14/24 15:58
Quant open6
Worst price0.03
Drawdown as % of equity-0.80%
 ($914)
Includes Typical Broker Commissions trade costs of $5.10
11/14/24 9:49 AMZN2415W212.5 AMZN Nov15'24 212.5 put LONG 1 1.48 11/14 11:47 1.33 0.03%
Trade id #150085595
Max drawdown($35)
Time11/14/24 10:53
Quant open1
Worst price1.13
Drawdown as % of equity-0.03%
 ($17)
Includes Typical Broker Commissions trade costs of $2.00
11/13/24 9:33 AMZN2415K210 AMZN Nov15'24 210 call LONG 6 2.30 11/14 9:41 4.72 0.23%
Trade id #150074480
Max drawdown($255)
Time11/13/24 10:08
Quant open6
Worst price1.87
Drawdown as % of equity-0.23%
 $1,445
Includes Typical Broker Commissions trade costs of $8.40
11/13/24 9:35 SPY2415K597 SPY Nov15'24 597 call LONG 5 2.90 11/14 9:39 1.94 0.53%
Trade id #150074528
Max drawdown($589)
Time11/13/24 10:07
Quant open5
Worst price1.72
Drawdown as % of equity-0.53%
 ($485)
Includes Typical Broker Commissions trade costs of $7.00
11/11/24 11:02 SNAP2415K12 SNAP Nov15'24 12 call LONG 16 0.39 11/11 15:27 0.29 0.17%
Trade id #150055449
Max drawdown($190)
Time11/11/24 14:03
Quant open16
Worst price0.27
Drawdown as % of equity-0.17%
 ($180)
Includes Typical Broker Commissions trade costs of $22.40
11/11/24 12:49 TSLA2415W335 TSLA Nov15'24 335 put LONG 1 12.15 11/11 15:27 9.71 0.26%
Trade id #150057704
Max drawdown($291)
Time11/11/24 14:35
Quant open1
Worst price9.24
Drawdown as % of equity-0.26%
 ($246)
Includes Typical Broker Commissions trade costs of $2.00
11/11/24 11:03 TSLA2415K350 TSLA Nov15'24 350 call LONG 1 15.44 11/11 12:47 10.62 0.43%
Trade id #150055499
Max drawdown($488)
Time11/11/24 12:47
Quant open1
Worst price10.55
Drawdown as % of equity-0.43%
 ($484)
Includes Typical Broker Commissions trade costs of $2.00
11/8/24 10:35 AMZN2415K207.5 AMZN Nov15'24 207.5 call LONG 1 3.35 11/11 12:46 1.86 0.14%
Trade id #150039734
Max drawdown($159)
Time11/11/24 12:24
Quant open1
Worst price1.75
Drawdown as % of equity-0.14%
 ($151)
Includes Typical Broker Commissions trade costs of $2.00
11/8/24 10:32 AMZN2408K207.5 AMZN Nov8'24 207.5 call LONG 3 1.57 11/8 15:12 1.00 0.2%
Trade id #150039697
Max drawdown($220)
Time11/8/24 15:03
Quant open3
Worst price0.83
Drawdown as % of equity-0.20%
 ($175)
Includes Typical Broker Commissions trade costs of $5.10
11/4/24 12:30 ROKU2408K68 ROKU Nov8'24 68 call LONG 1 1.79 11/8 10:32 3.27 0.06%
Trade id #149961572
Max drawdown($66)
Time11/4/24 15:28
Quant open1
Worst price1.12
Drawdown as % of equity-0.06%
 $146
Includes Typical Broker Commissions trade costs of $2.00
11/4/24 12:27 ROKU2408K67 ROKU Nov8'24 67 call LONG 1 2.31 11/8 10:32 4.38 0.07%
Trade id #149961527
Max drawdown($76)
Time11/4/24 15:40
Quant open1
Worst price1.55
Drawdown as % of equity-0.07%
 $205
Includes Typical Broker Commissions trade costs of $2.00
11/1/24 11:10 META2408K570 META Nov8'24 570 call LONG 1 13.41 11/7 11:27 20.85 1%
Trade id #149931192
Max drawdown($1,115)
Time11/6/24 0:00
Quant open1
Worst price2.25
Drawdown as % of equity-1.00%
 $743
Includes Typical Broker Commissions trade costs of $2.00
10/28/24 12:29 AAPL2401K235 AAPL Nov1'24 235 call LONG 2 4.05 11/1 11:23 0.01 0.72%
Trade id #149866593
Max drawdown($807)
Time11/1/24 9:30
Quant open2
Worst price0.01
Drawdown as % of equity-0.72%
 ($811)
Includes Typical Broker Commissions trade costs of $2.80
10/29/24 11:39 AMZN2401K190 AMZN Nov1'24 190 call LONG 1 6.23 11/1 11:09 9.39 0.18%
Trade id #149881165
Max drawdown($198)
Time10/31/24 0:00
Quant open1
Worst price4.24
Drawdown as % of equity-0.18%
 $314
Includes Typical Broker Commissions trade costs of $2.00
10/23/24 12:27 AAPL2425J227.5 AAPL Oct25'24 227.5 call LONG 2 3.26 10/24 12:37 2.73 0.21%
Trade id #149808998
Max drawdown($225)
Time10/24/24 9:48
Quant open2
Worst price2.13
Drawdown as % of equity-0.21%
 ($108)
Includes Typical Broker Commissions trade costs of $3.40
10/21/24 15:41 TSLA2425J222.5 TSLA Oct25'24 222.5 call LONG 1 5.69 10/24 12:37 32.39 0.14%
Trade id #149754395
Max drawdown($154)
Time10/23/24 0:00
Quant open1
Worst price4.15
Drawdown as % of equity-0.14%
 $2,668
Includes Typical Broker Commissions trade costs of $2.00
10/12/24 9:35 AAPL APPLE LONG 200 222.50 10/21 15:40 236.02 n/a $2,700
Includes Typical Broker Commissions trade costs of $4.00
10/8/24 13:57 SPY2411J580 SPY Oct11'24 580 call LONG 3 0.57 10/12 9:35 0.00 0.15%
Trade id #149608687
Max drawdown($168)
Time10/11/24 0:00
Quant open3
Worst price0.01
Drawdown as % of equity-0.15%
 ($174)
Includes Typical Broker Commissions trade costs of $3.00
10/8/24 13:32 AAPL2411J222.5 AAPL Oct11'24 222.5 call LONG 2 3.70 10/12 9:35 0.00 0.02%
Trade id #149608488
Max drawdown($19)
Time10/8/24 13:44
Quant open2
Worst price3.60
Drawdown as % of equity-0.02%
 ($742)
Includes Typical Broker Commissions trade costs of $2.00

Successivo

Statistics

  • Strategy began
    9/14/2024
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    269.48
  • Age
    9 months ago
  • What it trades
    Options
  • # Trades
    99
  • # Profitable
    38
  • % Profitable
    38.40%
  • Avg trade duration
    1.3 days
  • Max peak-to-valley drawdown
    5.56%
  • drawdown period
    Nov 13, 2024 - Nov 27, 2024
  • Cumul. Return
    18.4%
  • Avg win
    $939.37
  • Avg loss
    $271.85
  • Model Account Values (Raw)
  • Cash
    $119,116
  • Margin Used
    $0
  • Buying Power
    $119,116
  • Ratios
  • W:L ratio
    2.15:1
  • Sharpe Ratio
    2.06
  • Sortino Ratio
    4.62
  • Calmar Ratio
    10.653
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    11.05%
  • Correlation to SP500
    0.06570
  • Return Percent SP500 (cumu) during strategy life
    6.69%
  • Return Statistics
  • Ann Return (w trading costs)
    25.4%
  • 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
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.184%
  • Instruments
  • Percent Trades Options
    0.87%
  • Percent Trades Stocks
    0.04%
  • Percent Trades Forex
    0.09%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    25.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    347
  • Popularity (Last 6 weeks)
    726
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    329
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $272
  • Avg Win
    $939
  • Sum Trade PL (losers)
    $16,583.000
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $35,696.000
  • # Winners
    38
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    118563
  • Win / Loss
  • # Losers
    61
  • % Winners
    38.4%
  • Frequency
  • Avg Position Time (mins)
    1868.15
  • Avg Position Time (hrs)
    31.14
  • Avg Trade Length
    1.3 days
  • Last Trade Ago
    181
  • Leverage
  • Daily leverage (average)
    5.61
  • Daily leverage (max)
    214.58
  • Regression
  • Alpha
    0.06
  • Beta
    0.03
  • Treynor Index
    2.26
  • 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)
    -0.94
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    16.616
  • 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
    0.272
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.117
  • Hold-and-Hope Ratio
    0.060
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40819
  • SD
    0.16197
  • Sharpe ratio (Glass type estimate)
    2.52015
  • Sharpe ratio (Hedges UMVUE)
    2.01079
  • df
    4.00000
  • t
    1.62675
  • p
    0.08956
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.06445
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.88085
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.33002
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.35160
  • Statistics related to Sortino ratio
  • Sortino ratio
    80.02180
  • Upside Potential Ratio
    82.21270
  • Upside part of mean
    0.41937
  • Downside part of mean
    -0.01118
  • Upside SD
    0.18667
  • Downside SD
    0.00510
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.03333
  • Mean of criterion
    0.40819
  • SD of predictor
    0.10612
  • SD of criterion
    0.16197
  • Covariance
    0.01519
  • r
    0.88356
  • b (slope, estimate of beta)
    1.34865
  • a (intercept, estimate of alpha)
    0.36324
  • Mean Square Error
    0.00767
  • DF error
    3.00000
  • t(b)
    3.26783
  • p(b)
    0.02343
  • t(a)
    2.66336
  • p(a)
    0.03806
  • Lowerbound of 95% confidence interval for beta
    0.03524
  • Upperbound of 95% confidence interval for beta
    2.66207
  • Lowerbound of 95% confidence interval for alpha
    -0.07080
  • Upperbound of 95% confidence interval for alpha
    0.79729
  • Treynor index (mean / b)
    0.30267
  • Jensen alpha (a)
    0.36324
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39082
  • SD
    0.15508
  • Sharpe ratio (Glass type estimate)
    2.52003
  • Sharpe ratio (Hedges UMVUE)
    2.01070
  • df
    4.00000
  • t
    1.62667
  • p
    0.08957
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.06452
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.88069
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.33008
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.35148
  • Statistics related to Sortino ratio
  • Sortino ratio
    76.70440
  • Upside Potential Ratio
    78.89530
  • Upside part of mean
    0.40198
  • Downside part of mean
    -0.01116
  • Upside SD
    0.17873
  • Downside SD
    0.00510
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.02872
  • Mean of criterion
    0.39082
  • SD of predictor
    0.10611
  • SD of criterion
    0.15508
  • Covariance
    0.01447
  • r
    0.87918
  • b (slope, estimate of beta)
    1.28495
  • a (intercept, estimate of alpha)
    0.35392
  • Mean Square Error
    0.00728
  • DF error
    3.00000
  • t(b)
    3.19587
  • p(b)
    0.02474
  • t(a)
    2.66723
  • p(a)
    0.03793
  • Lowerbound of 95% confidence interval for beta
    0.00540
  • Upperbound of 95% confidence interval for beta
    2.56451
  • Lowerbound of 95% confidence interval for alpha
    -0.06836
  • Upperbound of 95% confidence interval for alpha
    0.77620
  • Treynor index (mean / b)
    0.30415
  • Jensen alpha (a)
    0.35392
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04024
  • Expected Shortfall on VaR
    0.05790
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00193
  • Expected Shortfall on VaR
    0.00325
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00710
  • Quartile 3
    1.08217
  • Maximum
    1.09245
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00710
  • Mean of quarter 3
    1.08217
  • Mean of quarter 4
    1.09245
  • Inter Quartile Range
    0.08217
  • 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)
    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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.45747
  • Compounded annual return (geometric extrapolation)
    0.52002
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    8.98191
  • 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
    0.37520
  • SD
    0.10398
  • Sharpe ratio (Glass type estimate)
    3.60818
  • Sharpe ratio (Hedges UMVUE)
    3.58439
  • df
    114.00000
  • t
    2.39048
  • p
    0.39076
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.60540
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.59558
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58967
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.57910
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.92167
  • Upside Potential Ratio
    13.33430
  • Upside part of mean
    0.63156
  • Downside part of mean
    -0.25636
  • Upside SD
    0.09494
  • Downside SD
    0.04736
  • N nonnegative terms
    36.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    115.00000
  • Mean of predictor
    0.12420
  • Mean of criterion
    0.37520
  • SD of predictor
    0.28734
  • SD of criterion
    0.10398
  • Covariance
    0.00119
  • r
    0.03979
  • b (slope, estimate of beta)
    0.01440
  • a (intercept, estimate of alpha)
    0.37300
  • Mean Square Error
    0.01089
  • DF error
    113.00000
  • t(b)
    0.42336
  • p(b)
    0.47467
  • t(a)
    2.36966
  • p(a)
    0.36259
  • Lowerbound of 95% confidence interval for beta
    -0.05299
  • Upperbound of 95% confidence interval for beta
    0.08180
  • Lowerbound of 95% confidence interval for alpha
    0.06122
  • Upperbound of 95% confidence interval for alpha
    0.68560
  • Treynor index (mean / b)
    26.05270
  • Jensen alpha (a)
    0.37341
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36958
  • SD
    0.10339
  • Sharpe ratio (Glass type estimate)
    3.57458
  • Sharpe ratio (Hedges UMVUE)
    3.55101
  • df
    114.00000
  • t
    2.36823
  • p
    0.39173
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.57255
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.56144
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.55697
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.54505
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.74694
  • Upside Potential Ratio
    13.14390
  • Upside part of mean
    0.62704
  • Downside part of mean
    -0.25747
  • Upside SD
    0.09403
  • Downside SD
    0.04771
  • N nonnegative terms
    36.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    115.00000
  • Mean of predictor
    0.08207
  • Mean of criterion
    0.36958
  • SD of predictor
    0.29368
  • SD of criterion
    0.10339
  • Covariance
    0.00126
  • r
    0.04141
  • b (slope, estimate of beta)
    0.01458
  • a (intercept, estimate of alpha)
    0.36838
  • Mean Square Error
    0.01077
  • DF error
    113.00000
  • t(b)
    0.44059
  • p(b)
    0.47364
  • t(a)
    2.35185
  • p(a)
    0.36356
  • Lowerbound of 95% confidence interval for beta
    -0.05098
  • Upperbound of 95% confidence interval for beta
    0.08014
  • Lowerbound of 95% confidence interval for alpha
    0.05806
  • Upperbound of 95% confidence interval for alpha
    0.67870
  • Treynor index (mean / b)
    25.34980
  • Jensen alpha (a)
    0.36838
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00905
  • Expected Shortfall on VaR
    0.01169
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00270
  • Expected Shortfall on VaR
    0.00578
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    115.00000
  • Minimum
    0.97821
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00170
  • Maximum
    1.02900
  • Mean of quarter 1
    0.99641
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00025
  • Mean of quarter 4
    1.00945
  • Inter Quartile Range
    0.00170
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.11304
  • Mean of outliers low
    0.99288
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    1.01127
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.98664
  • VaR(95%) (moments method)
    0.00266
  • Expected Shortfall (moments method)
    0.00315
  • Extreme Value Index (regression method)
    0.04151
  • VaR(95%) (regression method)
    0.00449
  • Expected Shortfall (regression method)
    0.00797
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00059
  • Quartile 1
    0.00113
  • Median
    0.00385
  • Quartile 3
    0.00642
  • Maximum
    0.04582
  • Mean of quarter 1
    0.00081
  • Mean of quarter 2
    0.00287
  • Mean of quarter 3
    0.00580
  • Mean of quarter 4
    0.02827
  • Inter Quartile Range
    0.00529
  • 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
    0.11111
  • Mean of outliers high
    0.04582
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.28464
  • VaR(95%) (moments method)
    0.02120
  • Expected Shortfall (moments method)
    0.03820
  • Extreme Value Index (regression method)
    2.03011
  • VaR(95%) (regression method)
    0.07518
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43427
  • Compounded annual return (geometric extrapolation)
    0.48807
  • Calmar ratio (compounded annual return / max draw down)
    10.65300
  • Compounded annual return / average of 25% largest draw downs
    17.26690
  • Compounded annual return / Expected Shortfall lognormal
    41.74010
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.00900
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -469250000
  • Max Equity Drawdown (num days)
    14

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics


Strategy began
2024-09-14
Suggested Minimum Capital
$100,000
# Trades
99
# Profitable
38
% Profitable
38.4%
Correlation S&P500
0.066
Sharpe Ratio
2.06
Sortino Ratio
4.62
Beta
0.03
Alpha
0.06
Leverage
5.61 Average
214.58 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.