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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 11/11/2020
Most recent certification approved 11/11/20 10:19 ET
Trades at broker Interactive Brokers (server 2 / Stocks, Option, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 633
# trading signals executed in manager's Interactive Brokers (server 2 / Stocks, Option, Futures) account 633
Percent signals followed since 11/11/2020 100%
This information was last updated 4/17/21 10:48 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 11/11/2020, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Commando Swing
(132146405)

Created by: Danny_Sonsino Danny_Sonsino
Started: 11/2020
Stocks
Last trade: 9 days ago
Trading style: Equity Trend-following Momentum

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 $175.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
8.8%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(10.7%)
Max Drawdown
235
Num Trades
51.9%
Win Trades
1.4 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Default (IBKR) commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                      (3.2%)+0.2%(3.1%)
2021+17.1%+0.8%(2.6%)(2.4%)                                                +12.2%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 633 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/26/21 10:30 IWM ISHARES RUSSELL 2000 INDEX LONG 10 220.34 4/8 10:31 219.76 0.31%
Trade id #134883264
Max drawdown($72)
Time3/30/21 0:00
Quant open10
Worst price213.14
Drawdown as % of equity-0.31%
($11)
Includes C2 Israel trade costs of $5.00
4/5/21 10:42 BLOK AMPLIFY TRANSFORMATIONAL DATA SHARING ETF LONG 66 57.81 4/7 13:30 55.78 0.62%
Trade id #135005454
Max drawdown($148)
Time4/7/21 11:40
Quant open66
Worst price55.56
Drawdown as % of equity-0.62%
($139)
Includes C2 Israel trade costs of $5.00
3/26/21 10:31 JETS US GLOBAL JETS ETF LONG 150 26.90 4/7 12:29 27.21 0.31%
Trade id #134883332
Max drawdown($73)
Time3/29/21 0:00
Quant open100
Worst price26.11
Drawdown as % of equity-0.31%
$37
Includes C2 Israel trade costs of $10.00
3/31/21 9:38 PBW INVESCO WILDERHILL CLEAN E LONG 40 97.28 4/6 15:22 99.13 0.15%
Trade id #134945189
Max drawdown($35)
Time3/31/21 11:44
Quant open40
Worst price96.40
Drawdown as % of equity-0.15%
$64
Includes C2 Israel trade costs of $10.00
4/1/21 10:17 MOON DIREXION MOONSHOOT INNOVATORS ETF LONG 50 41.34 4/6 10:37 40.51 0.27%
Trade id #134967265
Max drawdown($62)
Time4/5/21 0:00
Quant open50
Worst price40.08
Drawdown as % of equity-0.27%
($47)
Includes C2 Israel trade costs of $5.00
3/31/21 11:01 QLD PROSHARES ULTRA QQQ LONG 35 117.70 4/5 10:42 125.13 0.12%
Trade id #134948277
Max drawdown($28)
Time3/31/21 15:55
Quant open35
Worst price116.89
Drawdown as % of equity-0.12%
$255
Includes C2 Israel trade costs of $5.00
3/25/21 12:44 KBE SPDR S&P BANK ETF LONG 40 51.15 4/1 10:13 51.76 0.09%
Trade id #134864470
Max drawdown($21)
Time3/29/21 0:00
Quant open40
Worst price50.62
Drawdown as % of equity-0.09%
$19
Includes C2 Israel trade costs of $5.00
3/25/21 12:45 BLOK AMPLIFY TRANSFORMATIONAL DATA SHARING ETF LONG 80 52.98 4/1 10:03 57.22 0.08%
Trade id #134864501
Max drawdown($19)
Time3/25/21 14:05
Quant open20
Worst price49.54
Drawdown as % of equity-0.08%
$329
Includes C2 Israel trade costs of $10.00
3/30/21 14:25 GM GENERAL MOTORS LONG 35 57.93 3/31 11:01 57.80 0.06%
Trade id #134934502
Max drawdown($14)
Time3/31/21 10:15
Quant open35
Worst price57.51
Drawdown as % of equity-0.06%
($9)
Includes C2 Israel trade costs of $5.00
3/29/21 10:06 MOS MOSAIC LONG 70 32.95 3/30 12:34 31.04 0.77%
Trade id #134908284
Max drawdown($176)
Time3/30/21 0:00
Quant open70
Worst price30.43
Drawdown as % of equity-0.77%
($138)
Includes C2 Israel trade costs of $5.00
3/25/21 13:07 PEJ INVESCO DYNAMIC LEISURE & LONG 60 47.68 3/26 13:41 45.61 0.53%
Trade id #134865060
Max drawdown($124)
Time3/26/21 13:41
Quant open60
Worst price45.61
Drawdown as % of equity-0.53%
($129)
Includes C2 Israel trade costs of $5.00
3/25/21 12:48 CAN CANAAN INC. ADR OVERVIEW LONG 50 18.15 3/26 11:02 17.51 0.28%
Trade id #134864622
Max drawdown($64)
Time3/25/21 14:33
Quant open50
Worst price16.86
Drawdown as % of equity-0.28%
($37)
Includes C2 Israel trade costs of $5.00
3/25/21 12:46 RIOT RIOT BLOCKCHAIN INC. COMMON STOCK LONG 20 46.52 3/26 9:36 48.13 0.18%
Trade id #134864572
Max drawdown($42)
Time3/25/21 14:00
Quant open20
Worst price44.39
Drawdown as % of equity-0.18%
$27
Includes C2 Israel trade costs of $5.00
3/25/21 12:50 ARKF ARK FINTECH INNOVATION ETF LONG 40 49.62 3/25 14:06 48.78 0.15%
Trade id #134864669
Max drawdown($34)
Time3/25/21 14:06
Quant open40
Worst price48.77
Drawdown as % of equity-0.15%
($39)
Includes C2 Israel trade costs of $5.00
3/25/21 12:42 ARKK ARK INNOVATION ETF LONG 40 114.27 3/25 14:05 113.29 0.18%
Trade id #134864374
Max drawdown($42)
Time3/25/21 14:01
Quant open20
Worst price112.13
Drawdown as % of equity-0.18%
($49)
Includes C2 Israel trade costs of $10.00
3/17/21 14:11 JETS US GLOBAL JETS ETF LONG 130 28.42 3/25 13:04 26.08 1.9%
Trade id #134680404
Max drawdown($445)
Time3/25/21 9:30
Quant open130
Worst price25.00
Drawdown as % of equity-1.90%
($313)
Includes C2 Israel trade costs of $7.50
3/18/21 10:35 FAS DIREXION DAILY FINANCIAL BULL LONG 20 99.09 3/19 9:47 89.57 0.8%
Trade id #134699352
Max drawdown($192)
Time3/19/21 9:47
Quant open20
Worst price89.46
Drawdown as % of equity-0.80%
($195)
Includes C2 Israel trade costs of $5.00
3/18/21 10:31 PNC PNC FINANCIAL SERVICES LONG 10 183.82 3/19 9:38 175.87 0.4%
Trade id #134699210
Max drawdown($96)
Time3/19/21 0:00
Quant open10
Worst price174.17
Drawdown as % of equity-0.40%
($84)
Includes C2 Israel trade costs of $5.00
3/15/21 11:16 ALK ALASKA AIR GROUP LONG 30 71.08 3/19 9:35 69.23 0.24%
Trade id #134620240
Max drawdown($57)
Time3/19/21 9:35
Quant open30
Worst price69.17
Drawdown as % of equity-0.24%
($61)
Includes C2 Israel trade costs of $5.00
3/18/21 11:17 AMP AMERIPRISE FINANCIAL LONG 10 235.86 3/19 9:34 224.34 0.49%
Trade id #134700679
Max drawdown($117)
Time3/19/21 9:33
Quant open10
Worst price224.16
Drawdown as % of equity-0.49%
($120)
Includes C2 Israel trade costs of $5.00
3/18/21 10:29 RF REGIONS FINANCIAL LONG 100 21.90 3/19 9:33 20.90 0.45%
Trade id #134699124
Max drawdown($108)
Time3/19/21 0:00
Quant open100
Worst price20.82
Drawdown as % of equity-0.45%
($105)
Includes C2 Israel trade costs of $5.00
3/16/21 10:47 SOXX ISHARES PHLX SEMICONDUCTOR ETF LONG 10 422.32 3/18 14:27 412.08 0.58%
Trade id #134648196
Max drawdown($142)
Time3/17/21 0:00
Quant open10
Worst price408.10
Drawdown as % of equity-0.58%
($112)
Includes C2 Israel trade costs of $10.00
3/15/21 14:28 QLD PROSHARES ULTRA QQQ LONG 40 117.91 3/18 14:26 114.51 0.55%
Trade id #134624913
Max drawdown($134)
Time3/18/21 10:09
Quant open40
Worst price114.56
Drawdown as % of equity-0.55%
($146)
Includes C2 Israel trade costs of $10.00
3/11/21 13:42 RIOT RIOT BLOCKCHAIN INC. COMMON STOCK LONG 30 62.13 3/17 9:55 56.31 0.77%
Trade id #134567885
Max drawdown($192)
Time3/16/21 0:00
Quant open30
Worst price55.70
Drawdown as % of equity-0.77%
($185)
Includes C2 Israel trade costs of $10.00
3/15/21 11:59 UA UNDERARMOUR CLASS C LONG 100 20.03 3/16 14:41 19.43 0.24%
Trade id #134621955
Max drawdown($60)
Time3/16/21 14:41
Quant open100
Worst price19.42
Drawdown as % of equity-0.24%
($64)
Includes C2 Israel trade costs of $5.00
3/15/21 11:55 PEJ INVESCO DYNAMIC LEISURE & LONG 70 54.79 3/16 12:24 53.86 0.26%
Trade id #134621870
Max drawdown($65)
Time3/16/21 12:24
Quant open70
Worst price53.85
Drawdown as % of equity-0.26%
($70)
Includes C2 Israel trade costs of $5.00
3/15/21 10:12 ARKG ARK GENOMIC REVOLUTION ETF LONG 120 93.20 3/16 10:19 93.33 0.16%
Trade id #134617331
Max drawdown($39)
Time3/15/21 11:34
Quant open40
Worst price92.22
Drawdown as % of equity-0.16%
$5
Includes C2 Israel trade costs of $10.00
3/10/21 9:46 HOME AT HOME GROUP INC LONG 60 29.90 3/16 9:46 30.63 0.49%
Trade id #134535548
Max drawdown($117)
Time3/10/21 12:39
Quant open60
Worst price27.95
Drawdown as % of equity-0.49%
$39
Includes C2 Israel trade costs of $5.00
3/12/21 10:54 DFEN DIREXION DAILY AEROSPACE & DEFENSE BULL 3X LONG 100 21.78 3/15 9:43 23.20 0.04%
Trade id #134587746
Max drawdown($8)
Time3/12/21 11:37
Quant open100
Worst price21.70
Drawdown as % of equity-0.04%
$135
Includes C2 Israel trade costs of $7.50
3/11/21 13:27 ARKK ARK INNOVATION ETF LONG 30 127.90 3/15 9:42 125.69 0.65%
Trade id #134567390
Max drawdown($159)
Time3/12/21 0:00
Quant open30
Worst price122.57
Drawdown as % of equity-0.65%
($71)
Includes C2 Israel trade costs of $5.00

Statistics

  • Strategy began
    11/9/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    159.05
  • Age
    159 days ago
  • What it trades
    Stocks
  • # Trades
    235
  • # Profitable
    122
  • % Profitable
    51.90%
  • Avg trade duration
    3.2 days
  • Max peak-to-valley drawdown
    10.74%
  • drawdown period
    Feb 16, 2021 - March 09, 2021
  • Cumul. Return
    14.4%
  • Avg win
    $122.36
  • Avg loss
    $91.84
  • Model Account Values (Raw)
  • Cash
    $18,097
  • Margin Used
    $0
  • Buying Power
    $17,462
  • Ratios
  • W:L ratio
    1.45:1
  • Sharpe Ratio
    1.45
  • Sortino Ratio
    2.22
  • Calmar Ratio
    7.046
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -3.47%
  • Correlation to SP500
    0.20000
  • Return Percent SP500 (cumu) during strategy life
    17.88%
  • Return Statistics
  • Ann Return (w trading costs)
    35.3%
  • Slump
  • Current Slump as Pcnt Equity
    10.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.37%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.144%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    55.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    6.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    961
  • Popularity (Last 6 weeks)
    997
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    825
  • Popularity (7 days, Percentile 1000 scale)
    993
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $95
  • Avg Win
    $122
  • Sum Trade PL (losers)
    $10,752.000
  • AUM
  • AUM (AutoTrader num accounts)
    252
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $14,933.000
  • # Winners
    122
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    57
  • AUM
  • AUM (AutoTrader live capital)
    5120770
  • Win / Loss
  • # Losers
    113
  • % Winners
    51.9%
  • Frequency
  • Avg Position Time (mins)
    4637.67
  • Avg Position Time (hrs)
    77.29
  • Avg Trade Length
    3.2 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.72
  • Daily leverage (max)
    1.33
  • Regression
  • Alpha
    0.07
  • Beta
    0.30
  • Treynor Index
    0.33
  • 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)
    -0.81
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    5.971
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.395
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.299
  • Hold-and-Hope Ratio
    0.176
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57038
  • SD
    0.28651
  • Sharpe ratio (Glass type estimate)
    1.99081
  • Sharpe ratio (Hedges UMVUE)
    1.58844
  • df
    4.00000
  • t
    1.28507
  • p
    0.13407
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42293
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.20799
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64127
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.81815
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.14760
  • Upside Potential Ratio
    17.57240
  • Upside part of mean
    0.66169
  • Downside part of mean
    -0.09131
  • Upside SD
    0.30226
  • Downside SD
    0.03766
  • N nonnegative terms
    2.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.34854
  • Mean of criterion
    0.57038
  • SD of predictor
    0.05423
  • SD of criterion
    0.28651
  • Covariance
    0.00044
  • r
    0.02831
  • b (slope, estimate of beta)
    0.14955
  • a (intercept, estimate of alpha)
    0.51826
  • Mean Square Error
    0.10936
  • DF error
    3.00000
  • t(b)
    0.04905
  • p(b)
    0.48198
  • t(a)
    0.43932
  • p(a)
    0.34508
  • Lowerbound of 95% confidence interval for beta
    -9.55324
  • Upperbound of 95% confidence interval for beta
    9.85233
  • Lowerbound of 95% confidence interval for alpha
    -3.23603
  • Upperbound of 95% confidence interval for alpha
    4.27254
  • Treynor index (mean / b)
    3.81401
  • Jensen alpha (a)
    0.51826
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52667
  • SD
    0.26954
  • Sharpe ratio (Glass type estimate)
    1.95391
  • Sharpe ratio (Hedges UMVUE)
    1.55899
  • df
    4.00000
  • t
    1.26124
  • p
    0.13788
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.44881
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.16244
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.66383
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.78181
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.90110
  • Upside Potential Ratio
    16.32440
  • Upside part of mean
    0.61847
  • Downside part of mean
    -0.09181
  • Upside SD
    0.28249
  • Downside SD
    0.03789
  • N nonnegative terms
    2.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.34167
  • Mean of criterion
    0.52667
  • SD of predictor
    0.05280
  • SD of criterion
    0.26954
  • Covariance
    0.00042
  • r
    0.02924
  • b (slope, estimate of beta)
    0.14929
  • a (intercept, estimate of alpha)
    0.47566
  • Mean Square Error
    0.09679
  • DF error
    3.00000
  • t(b)
    0.05067
  • p(b)
    0.48139
  • t(a)
    0.42618
  • p(a)
    0.34935
  • Lowerbound of 95% confidence interval for beta
    -9.22704
  • Upperbound of 95% confidence interval for beta
    9.52561
  • Lowerbound of 95% confidence interval for alpha
    -3.07623
  • Upperbound of 95% confidence interval for alpha
    4.02755
  • Treynor index (mean / b)
    3.52793
  • Jensen alpha (a)
    0.47566
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08066
  • Expected Shortfall on VaR
    0.10970
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01900
  • Expected Shortfall on VaR
    0.02699
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.98351
  • Quartile 1
    0.98763
  • Median
    0.99780
  • Quartile 3
    1.13464
  • Maximum
    1.14572
  • Mean of quarter 1
    0.98557
  • Mean of quarter 2
    0.99780
  • Mean of quarter 3
    1.13464
  • Mean of quarter 4
    1.14572
  • Inter Quartile Range
    0.14701
  • 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
    2.00000
  • Minimum
    0.01454
  • Quartile 1
    0.01503
  • Median
    0.01552
  • Quartile 3
    0.01601
  • Maximum
    0.01649
  • Mean of quarter 1
    0.01454
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.01649
  • Inter Quartile Range
    0.00098
  • 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)
    0.62388
  • Compounded annual return (geometric extrapolation)
    0.74120
  • Calmar ratio (compounded annual return / max draw down)
    44.93710
  • Compounded annual return / average of 25% largest draw downs
    44.93710
  • Compounded annual return / Expected Shortfall lognormal
    6.75637
  • 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
    0.44395
  • SD
    0.20545
  • Sharpe ratio (Glass type estimate)
    2.16085
  • Sharpe ratio (Hedges UMVUE)
    2.14622
  • df
    111.00000
  • t
    1.41281
  • p
    0.41564
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85499
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.16719
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86476
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.15719
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.48324
  • Upside Potential Ratio
    11.48190
  • Upside part of mean
    1.46339
  • Downside part of mean
    -1.01944
  • Upside SD
    0.16230
  • Downside SD
    0.12745
  • N nonnegative terms
    61.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    112.00000
  • Mean of predictor
    0.36673
  • Mean of criterion
    0.44395
  • SD of predictor
    0.13819
  • SD of criterion
    0.20545
  • Covariance
    0.00603
  • r
    0.21233
  • b (slope, estimate of beta)
    0.31568
  • a (intercept, estimate of alpha)
    0.32800
  • Mean Square Error
    0.04067
  • DF error
    110.00000
  • t(b)
    2.27892
  • p(b)
    0.39383
  • t(a)
    1.04979
  • p(a)
    0.45020
  • Lowerbound of 95% confidence interval for beta
    0.04116
  • Upperbound of 95% confidence interval for beta
    0.59020
  • Lowerbound of 95% confidence interval for alpha
    -0.29135
  • Upperbound of 95% confidence interval for alpha
    0.94770
  • Treynor index (mean / b)
    1.40632
  • Jensen alpha (a)
    0.32818
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42269
  • SD
    0.20505
  • Sharpe ratio (Glass type estimate)
    2.06138
  • Sharpe ratio (Hedges UMVUE)
    2.04742
  • df
    111.00000
  • t
    1.34777
  • p
    0.41944
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.95310
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.06680
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.96236
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.05720
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.27704
  • Upside Potential Ratio
    11.24380
  • Upside part of mean
    1.45027
  • Downside part of mean
    -1.02759
  • Upside SD
    0.16036
  • Downside SD
    0.12898
  • N nonnegative terms
    61.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    112.00000
  • Mean of predictor
    0.35698
  • Mean of criterion
    0.42269
  • SD of predictor
    0.13820
  • SD of criterion
    0.20505
  • Covariance
    0.00601
  • r
    0.21217
  • b (slope, estimate of beta)
    0.31481
  • a (intercept, estimate of alpha)
    0.31031
  • Mean Square Error
    0.04052
  • DF error
    110.00000
  • t(b)
    2.27715
  • p(b)
    0.39391
  • t(a)
    0.99521
  • p(a)
    0.45277
  • Lowerbound of 95% confidence interval for beta
    0.04084
  • Upperbound of 95% confidence interval for beta
    0.58879
  • Lowerbound of 95% confidence interval for alpha
    -0.30761
  • Upperbound of 95% confidence interval for alpha
    0.92822
  • Treynor index (mean / b)
    1.34266
  • Jensen alpha (a)
    0.31031
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01904
  • Expected Shortfall on VaR
    0.02421
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00846
  • Expected Shortfall on VaR
    0.01668
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    112.00000
  • Minimum
    0.95665
  • Quartile 1
    0.99425
  • Median
    1.00174
  • Quartile 3
    1.00763
  • Maximum
    1.04205
  • Mean of quarter 1
    0.98682
  • Mean of quarter 2
    0.99799
  • Mean of quarter 3
    1.00455
  • Mean of quarter 4
    1.01785
  • Inter Quartile Range
    0.01338
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00893
  • Mean of outliers low
    0.95665
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02679
  • Mean of outliers high
    1.03428
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14175
  • VaR(95%) (moments method)
    0.01310
  • Expected Shortfall (moments method)
    0.01909
  • Extreme Value Index (regression method)
    0.34947
  • VaR(95%) (regression method)
    0.01140
  • Expected Shortfall (regression method)
    0.01838
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00030
  • Quartile 1
    0.00446
  • Median
    0.02397
  • Quartile 3
    0.06005
  • Maximum
    0.08079
  • Mean of quarter 1
    0.00201
  • Mean of quarter 2
    0.01396
  • Mean of quarter 3
    0.04076
  • Mean of quarter 4
    0.07016
  • Inter Quartile Range
    0.05559
  • 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)
    -1.01286
  • VaR(95%) (moments method)
    0.07803
  • Expected Shortfall (moments method)
    0.08059
  • Extreme Value Index (regression method)
    0.45155
  • VaR(95%) (regression method)
    0.08330
  • Expected Shortfall (regression method)
    0.11548
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.49692
  • Compounded annual return (geometric extrapolation)
    0.56924
  • Calmar ratio (compounded annual return / max draw down)
    7.04625
  • Compounded annual return / average of 25% largest draw downs
    8.11297
  • Compounded annual return / Expected Shortfall lognormal
    23.51430
  • 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)
    0.01900
  • 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
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -293683000
  • Max Equity Drawdown (num days)
    21

Strategy Description

For auto traders - when you calculates scaling for Commando Swing take in mind I am using buying power of 20K$ max even though my portfolio is worth more.

Summary Statistics

Includes fees & commissions Default (IBKR)
Strategy began
2020-11-09
Suggested Minimum Capital
$35,000
# Trades
235
# Profitable
122
% Profitable
51.9%
Net Dividends
Correlation S&P500
0.200
Sharpe Ratio
1.45
Sortino Ratio
2.22
Beta
0.30
Alpha
0.07
Leverage
0.72 Average
1.33 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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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.

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