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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 01/08/2021
Most recent certification approved 1/8/21 4:14 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 61
# trading signals executed in manager's Israel Interactive Trading account 61
Percent signals followed since 01/08/2021 100%
This information was last updated 4/17/21 9:54 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 01/08/2021, 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.

Spike C2
(133200609)

Created by: MoshikTeichholtz MoshikTeichholtz
Started: 01/2021
Stocks
Last trade: Yesterday

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $50.00 per month.

C2Star

C2Star 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.

21.1%
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.

(8.1%)
Max Drawdown
30
Num Trades
76.7%
Win Trades
7.6 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Default (IBKR) commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021+4.0%+2.7%+11.2%+2.0%                                                +21.1%

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.

Trading Record

This strategy has placed 61 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
4/14/21 15:58 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 900 10.25 4/14 16:04 10.27 0.05%
Trade id #135154300
Max drawdown($18)
Time4/14/21 16:04
Quant open900
Worst price10.27
Drawdown as % of equity-0.05%
($36)
Includes Typical Broker Commissions trade costs of $18.00
4/14/21 15:57 SPY SPDR S&P 500 LONG 90 411.01 4/14 16:04 411.70 n/a $57
Includes Typical Broker Commissions trade costs of $5.00
4/9/21 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 880 10.43 4/13 14:58 10.03 0.39%
Trade id #135077328
Max drawdown($140)
Time4/12/21 0:00
Quant open880
Worst price10.59
Drawdown as % of equity-0.39%
$338
Includes Typical Broker Commissions trade costs of $17.60
4/9/21 9:30 SPY SPDR S&P 500 LONG 89 408.44 4/13 14:57 412.99 0.01%
Trade id #135077330
Max drawdown($3)
Time4/9/21 9:32
Quant open89
Worst price408.40
Drawdown as % of equity-0.01%
$400
Includes Typical Broker Commissions trade costs of $5.00
3/29/21 15:54 SPY SPDR S&P 500 LONG 90 395.67 3/30 15:51 394.10 0.67%
Trade id #134917712
Max drawdown($238)
Time3/30/21 10:23
Quant open90
Worst price393.02
Drawdown as % of equity-0.67%
($146)
Includes Typical Broker Commissions trade costs of $5.00
3/24/21 15:57 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 716 12.58 3/25 15:50 12.19 1.46%
Trade id #134844483
Max drawdown($515)
Time3/25/21 10:55
Quant open716
Worst price13.30
Drawdown as % of equity-1.46%
$266
Includes Typical Broker Commissions trade costs of $14.32
3/24/21 14:55 SPY SPDR S&P 500 LONG 93 389.51 3/25 15:50 390.31 1.48%
Trade id #134842397
Max drawdown($521)
Time3/25/21 10:55
Quant open93
Worst price383.90
Drawdown as % of equity-1.48%
$69
Includes Typical Broker Commissions trade costs of $5.00
3/18/21 15:50 SPY SPDR S&P 500 LONG 92 391.27 3/19 14:59 391.40 1.07%
Trade id #134716851
Max drawdown($379)
Time3/19/21 10:08
Quant open92
Worst price387.15
Drawdown as % of equity-1.07%
$7
Includes Typical Broker Commissions trade costs of $5.00
3/2/21 15:36 SPY SPDR S&P 500 LONG 88 387.87 3/17 14:53 397.35 4.34%
Trade id #134373365
Max drawdown($1,407)
Time3/4/21 0:00
Quant open88
Worst price371.88
Drawdown as % of equity-4.34%
$829
Includes Typical Broker Commissions trade costs of $5.00
3/2/21 15:35 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 576 14.84 3/17 14:52 12.76 3.77%
Trade id #134373353
Max drawdown($1,224)
Time3/4/21 0:00
Quant open576
Worst price16.96
Drawdown as % of equity-3.77%
$1,186
Includes Typical Broker Commissions trade costs of $11.52
2/26/21 14:44 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 510 16.16 3/1 15:48 14.78 0.15%
Trade id #134316464
Max drawdown($48)
Time2/26/21 15:33
Quant open510
Worst price16.25
Drawdown as % of equity-0.15%
$691
Includes Typical Broker Commissions trade costs of $12.20
2/23/21 15:53 SPY SPDR S&P 500 LONG 86 387.78 3/1 15:48 389.61 2.56%
Trade id #134237313
Max drawdown($821)
Time2/26/21 0:00
Quant open86
Worst price378.23
Drawdown as % of equity-2.56%
$152
Includes Typical Broker Commissions trade costs of $5.00
2/23/21 15:53 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 550 15.22 2/25 12:52 15.79 0.95%
Trade id #134237367
Max drawdown($313)
Time2/25/21 12:52
Quant open550
Worst price15.79
Drawdown as % of equity-0.95%
($324)
Includes Typical Broker Commissions trade costs of $11.00
2/19/21 15:58 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 562 15.20 2/22 15:55 15.71 0.88%
Trade id #134169438
Max drawdown($295)
Time2/22/21 15:50
Quant open562
Worst price15.72
Drawdown as % of equity-0.88%
($300)
Includes Typical Broker Commissions trade costs of $11.24
2/19/21 15:58 SPY SPDR S&P 500 LONG 87 389.77 2/22 15:55 387.13 0.79%
Trade id #134169431
Max drawdown($263)
Time2/22/21 9:34
Quant open87
Worst price386.74
Drawdown as % of equity-0.79%
($235)
Includes Typical Broker Commissions trade costs of $5.00
2/9/21 9:37 SPY SPDR S&P 500 LONG 86 389.69 2/18 15:59 390.42 0.57%
Trade id #133938952
Max drawdown($188)
Time2/10/21 0:00
Quant open86
Worst price387.50
Drawdown as % of equity-0.57%
$57
Includes Typical Broker Commissions trade costs of $5.00
2/9/21 9:37 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 510 16.49 2/18 15:59 15.67 1.02%
Trade id #133938950
Max drawdown($336)
Time2/10/21 0:00
Quant open510
Worst price17.15
Drawdown as % of equity-1.02%
$408
Includes Typical Broker Commissions trade costs of $10.20
1/29/21 15:37 SPY SPDR S&P 500 LONG 85 372.00 2/2 15:55 382.02 0.59%
Trade id #133723498
Max drawdown($185)
Time1/29/21 16:00
Quant open85
Worst price369.82
Drawdown as % of equity-0.59%
$847
Includes Typical Broker Commissions trade costs of $5.00
1/29/21 15:35 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 312 20.59 2/2 14:05 18.10 0.4%
Trade id #133723481
Max drawdown($123)
Time2/1/21 0:00
Quant open156
Worst price21.29
Drawdown as % of equity-0.40%
$770
Includes Typical Broker Commissions trade costs of $8.12
1/27/21 15:56 SPY SPDR S&P 500 LONG 82 374.35 1/28 13:01 381.70 0.19%
Trade id #133644138
Max drawdown($59)
Time1/27/21 15:59
Quant open82
Worst price373.63
Drawdown as % of equity-0.19%
$598
Includes Typical Broker Commissions trade costs of $5.00
1/28/21 10:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 146 19.92 1/28 13:00 19.39 0.17%
Trade id #133668782
Max drawdown($52)
Time1/28/21 10:41
Quant open146
Worst price20.28
Drawdown as % of equity-0.17%
$73
Includes Typical Broker Commissions trade costs of $5.00
1/27/21 15:57 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 154 20.07 1/27 16:21 21.20 0.06%
Trade id #133644167
Max drawdown($17)
Time1/27/21 16:00
Quant open154
Worst price19.96
Drawdown as % of equity-0.06%
$168
Includes Typical Broker Commissions trade costs of $5.00
1/20/21 13:44 SPY SPDR S&P 500 SHORT 21 383.80 1/20 13:49 383.64 n/a ($2)
Includes Typical Broker Commissions trade costs of $5.00
1/13/21 15:55 SPY SPDR S&P 500 LONG 79 380.08 1/20 13:44 383.80 1.69%
Trade id #133359417
Max drawdown($504)
Time1/15/21 0:00
Quant open79
Worst price373.70
Drawdown as % of equity-1.69%
$289
Includes Typical Broker Commissions trade costs of $5.00
1/15/21 15:32 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 450 17.15 1/20 13:44 16.48 0.08%
Trade id #133412568
Max drawdown($22)
Time1/15/21 15:45
Quant open450
Worst price17.20
Drawdown as % of equity-0.08%
$293
Includes Typical Broker Commissions trade costs of $9.00
1/15/21 10:31 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 450 17.27 1/15 10:45 17.07 n/a $81
Includes Typical Broker Commissions trade costs of $9.00
1/8/21 12:42 SPY SPDR S&P 500 SHORT 5 380.27 1/8 13:22 378.50 0%
Trade id #133277585
Max drawdown($0)
Time1/8/21 12:45
Quant open5
Worst price380.35
Drawdown as % of equity-0.00%
$4
Includes Typical Broker Commissions trade costs of $5.00
1/8/21 4:14 SPY SPDR S&P 500 SHORT 5 379.92 1/8 12:40 380.42 0.02%
Trade id #133266706
Max drawdown($6)
Time1/8/21 9:43
Quant open5
Worst price381.21
Drawdown as % of equity-0.02%
($8)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    1/6/2021
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    101.25
  • Age
    101 days ago
  • What it trades
    Stocks
  • # Trades
    30
  • # Profitable
    23
  • % Profitable
    76.70%
  • Avg trade duration
    3.3 days
  • Max peak-to-valley drawdown
    8.09%
  • drawdown period
    Feb 24, 2021 - March 04, 2021
  • Cumul. Return
    21.1%
  • Avg win
    $338.22
  • Avg loss
    $146.43
  • Model Account Values (Raw)
  • Cash
    $27,239
  • Margin Used
    $16,843
  • Buying Power
    $10,400
  • Ratios
  • W:L ratio
    7.59:1
  • Sharpe Ratio
    3.6
  • Sortino Ratio
    6.29
  • Calmar Ratio
    20.298
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    9.42%
  • Correlation to SP500
    0.55680
  • Return Percent SP500 (cumu) during strategy life
    11.67%
  • Return Statistics
  • Ann Return (w trading costs)
    94.9%
  • 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 (Compound or Annual, age-based, NFA compliant)
    0.211%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    106.5%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    834
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    709
  • 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
    $146
  • Avg Win
    $338
  • Sum Trade PL (losers)
    $1,025.000
  • Age
  • Num Months filled monthly returns table
    4
  • Win / Loss
  • Sum Trade PL (winners)
    $7,779.000
  • # Winners
    23
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    7
  • % Winners
    76.7%
  • Frequency
  • Avg Position Time (mins)
    4821.43
  • Avg Position Time (hrs)
    80.36
  • Avg Trade Length
    3.3 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.14
  • Daily leverage (max)
    1.35
  • Regression
  • Alpha
    0.13
  • Beta
    0.60
  • Treynor Index
    0.32
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.75
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    1.177
  • 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
    0.862
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.136
  • Hold-and-Hope Ratio
    0.858
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72623
  • SD
    0.16531
  • Sharpe ratio (Glass type estimate)
    4.39302
  • Sharpe ratio (Hedges UMVUE)
    2.47850
  • df
    2.00000
  • t
    2.19651
  • p
    0.07960
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.37279
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.79642
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.13293
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.08992
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.72623
  • Downside part of mean
    0.00000
  • Upside SD
    0.24934
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.33720
  • Mean of criterion
    0.72623
  • SD of predictor
    0.10602
  • SD of criterion
    0.16531
  • Covariance
    0.01327
  • r
    0.75733
  • b (slope, estimate of beta)
    1.18083
  • a (intercept, estimate of alpha)
    0.32804
  • Mean Square Error
    0.02331
  • DF error
    1.00000
  • t(b)
    1.15970
  • p(b)
    0.22651
  • t(a)
    0.71394
  • p(a)
    0.30264
  • Lowerbound of 95% confidence interval for beta
    -11.75690
  • Upperbound of 95% confidence interval for beta
    14.11860
  • Lowerbound of 95% confidence interval for alpha
    -5.51024
  • Upperbound of 95% confidence interval for alpha
    6.16633
  • Treynor index (mean / b)
    0.61501
  • Jensen alpha (a)
    0.32804
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.69537
  • SD
    0.15652
  • Sharpe ratio (Glass type estimate)
    4.44261
  • Sharpe ratio (Hedges UMVUE)
    2.50648
  • df
    2.00000
  • t
    2.22131
  • p
    0.07823
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.35318
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.87924
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.11945
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.13241
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.69537
  • Downside part of mean
    0.00000
  • Upside SD
    0.23797
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.32824
  • Mean of criterion
    0.69537
  • SD of predictor
    0.10340
  • SD of criterion
    0.15652
  • Covariance
    0.01245
  • r
    0.76951
  • b (slope, estimate of beta)
    1.16491
  • a (intercept, estimate of alpha)
    0.31301
  • Mean Square Error
    0.01998
  • DF error
    1.00000
  • t(b)
    1.20492
  • p(b)
    0.22050
  • t(a)
    0.73645
  • p(a)
    0.29795
  • Lowerbound of 95% confidence interval for beta
    -11.11930
  • Upperbound of 95% confidence interval for beta
    13.44910
  • Lowerbound of 95% confidence interval for alpha
    -5.08741
  • Upperbound of 95% confidence interval for alpha
    5.71342
  • Treynor index (mean / b)
    0.59694
  • Jensen alpha (a)
    0.31301
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01624
  • Expected Shortfall on VaR
    0.03451
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    1.01157
  • Quartile 1
    1.04129
  • Median
    1.07100
  • Quartile 3
    1.08848
  • Maximum
    1.10597
  • Mean of quarter 1
    1.01157
  • Mean of quarter 2
    1.07100
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.10597
  • Inter Quartile Range
    0.04720
  • 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)
    0.79280
  • Compounded annual return (geometric extrapolation)
    1.06119
  • 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
    30.75400
  • 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
    0.72386
  • SD
    0.15703
  • Sharpe ratio (Glass type estimate)
    4.60971
  • Sharpe ratio (Hedges UMVUE)
    4.56084
  • df
    71.00000
  • t
    2.41651
  • p
    0.00912
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.77957
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.40882
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.74753
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.37416
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.92649
  • Upside Potential Ratio
    13.18630
  • Upside part of mean
    1.20419
  • Downside part of mean
    -0.48034
  • Upside SD
    0.13407
  • Downside SD
    0.09132
  • N nonnegative terms
    36.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    72.00000
  • Mean of predictor
    0.38521
  • Mean of criterion
    0.72386
  • SD of predictor
    0.15083
  • SD of criterion
    0.15703
  • Covariance
    0.01258
  • r
    0.53126
  • b (slope, estimate of beta)
    0.55309
  • a (intercept, estimate of alpha)
    0.51100
  • Mean Square Error
    0.01795
  • DF error
    70.00000
  • t(b)
    5.24641
  • p(b)
    0.00000
  • t(a)
    1.97379
  • p(a)
    0.02618
  • Lowerbound of 95% confidence interval for beta
    0.34283
  • Upperbound of 95% confidence interval for beta
    0.76334
  • Lowerbound of 95% confidence interval for alpha
    -0.00534
  • Upperbound of 95% confidence interval for alpha
    1.02694
  • Treynor index (mean / b)
    1.30876
  • Jensen alpha (a)
    0.51080
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.71067
  • SD
    0.15681
  • Sharpe ratio (Glass type estimate)
    4.53211
  • Sharpe ratio (Hedges UMVUE)
    4.48407
  • df
    71.00000
  • t
    2.37584
  • p
    0.01011
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.70473
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.32894
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.67322
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.29492
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.68796
  • Upside Potential Ratio
    12.92950
  • Upside part of mean
    1.19519
  • Downside part of mean
    -0.48452
  • Upside SD
    0.13278
  • Downside SD
    0.09244
  • N nonnegative terms
    36.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    72.00000
  • Mean of predictor
    0.37368
  • Mean of criterion
    0.71067
  • SD of predictor
    0.15091
  • SD of criterion
    0.15681
  • Covariance
    0.01251
  • r
    0.52869
  • b (slope, estimate of beta)
    0.54936
  • a (intercept, estimate of alpha)
    0.50539
  • Mean Square Error
    0.01797
  • DF error
    70.00000
  • t(b)
    5.21119
  • p(b)
    0.00000
  • t(a)
    1.95337
  • p(a)
    0.02739
  • Lowerbound of 95% confidence interval for beta
    0.33911
  • Upperbound of 95% confidence interval for beta
    0.75962
  • Lowerbound of 95% confidence interval for alpha
    -0.01063
  • Upperbound of 95% confidence interval for alpha
    1.02140
  • Treynor index (mean / b)
    1.29363
  • Jensen alpha (a)
    0.50539
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01314
  • Expected Shortfall on VaR
    0.01712
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00409
  • Expected Shortfall on VaR
    0.00915
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    72.00000
  • Minimum
    0.96861
  • Quartile 1
    0.99960
  • Median
    1.00007
  • Quartile 3
    1.00896
  • Maximum
    1.03097
  • Mean of quarter 1
    0.99290
  • Mean of quarter 2
    0.99998
  • Mean of quarter 3
    1.00377
  • Mean of quarter 4
    1.01483
  • Inter Quartile Range
    0.00936
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.04167
  • Mean of outliers low
    0.97557
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.02778
  • Mean of outliers high
    1.03048
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.87372
  • VaR(95%) (moments method)
    0.00531
  • Expected Shortfall (moments method)
    0.04782
  • Extreme Value Index (regression method)
    0.94039
  • VaR(95%) (regression method)
    0.00454
  • Expected Shortfall (regression method)
    0.08050
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00185
  • Median
    0.00314
  • Quartile 3
    0.00516
  • Maximum
    0.05384
  • Mean of quarter 1
    0.00027
  • Mean of quarter 2
    0.00267
  • Mean of quarter 3
    0.00364
  • Mean of quarter 4
    0.03117
  • Inter Quartile Range
    0.00331
  • 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
    0.12500
  • Mean of outliers high
    0.05384
  • 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)
    0.81887
  • Compounded annual return (geometric extrapolation)
    1.09296
  • Calmar ratio (compounded annual return / max draw down)
    20.29840
  • Compounded annual return / average of 25% largest draw downs
    35.06820
  • Compounded annual return / Expected Shortfall lognormal
    63.85720
  • 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)
    0.01300
  • 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?
    -304062000
  • Max Equity Drawdown (num days)
    8

Strategy Description

The strategy seeks to achieve significant excess return and lower risk over SPX 500, this while focusing on capital growth.
The strategy employs SPX investment strategies hedged with Volatility indices.
The strategy uses proprietary models and algorithms that relates financial assets to their volatility.
All ETFs & ETN's are of high net assets and trading volumes.
Daily long exposure of 0%-100%.
Short exposure of 0%-25%.
Max gross exposure: 125%

Summary Statistics

Includes fees & commissions Default (IBKR)
Strategy began
2021-01-06
Suggested Minimum Capital
$35,000
# Trades
30
# Profitable
23
% Profitable
76.7%
Correlation S&P500
0.557
Sharpe Ratio
3.60
Sortino Ratio
6.29
Beta
0.60
Alpha
0.13
Leverage
1.14 Average
1.35 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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