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These are hypothetical performance results that have certain inherent limitations. Learn more
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Monkey on my Back
(144614743)

Created by: TradingMonkey TradingMonkey
Started: 05/2023
Stocks
Last trade: 180 days ago
Trading style: Equity Short-term Reversal

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.

Trading Category: Equity
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
-4.3%
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.

(11.8%)
Max Drawdown
409
Num Trades
66.5%
Win Trades
2.4 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                            (0.1%)+0.2%+0.2%(1.5%)+0.7%(3.8%)+26.2%+9.2%+31.9%
2024+5.0%+11.3%+1.0%(5.5%)                                                +11.5%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/11/23 12:20 XLE ENERGY SELECT SECTOR SPDR SHORT 25 87.18 10/23 14:46 88.75 0.27%
Trade id #146101638
Max drawdown($134)
Time10/19/23 0:00
Quant open25
Worst price92.56
Drawdown as % of equity-0.27%
 ($40)
Includes Typical Broker Commissions trade costs of $0.50
10/23/23 10:15 TLT ISHARES 20+ YEAR TREASURY BOND LONG 25 83.53 10/23 12:21 84.10 n/a $14
Includes Typical Broker Commissions trade costs of $0.50
10/23/23 10:00 RIVN RIVIAN AUTOMOTIVE INC. CLASS A LONG 200 16.88 10/23 12:21 17.28 0.07%
Trade id #146204800
Max drawdown($33)
Time10/23/23 10:06
Quant open200
Worst price16.71
Drawdown as % of equity-0.07%
 $76
Includes Typical Broker Commissions trade costs of $4.00
9/28/23 13:00 NSC NORFOLK SOUTHERN LONG 27 197.49 10/23 10:36 198.37 0.58%
Trade id #145963199
Max drawdown($288)
Time10/2/23 0:00
Quant open27
Worst price186.82
Drawdown as % of equity-0.58%
 $23
Includes Typical Broker Commissions trade costs of $0.54
10/13/23 12:15 MDLZ MONDELEZ INTERNATIONAL LONG 89 61.45 10/20 15:54 64.11 0.05%
Trade id #146124795
Max drawdown($25)
Time10/13/23 14:47
Quant open89
Worst price61.16
Drawdown as % of equity-0.05%
 $235
Includes Typical Broker Commissions trade costs of $1.78
10/16/23 12:17 BIIB BIOGEN INC. COMMON STOCK LONG 20 267.69 10/20 10:54 257.76 0.5%
Trade id #146142284
Max drawdown($244)
Time10/20/23 9:32
Quant open20
Worst price255.46
Drawdown as % of equity-0.50%
 ($199)
Includes Typical Broker Commissions trade costs of $0.40
10/19/23 12:25 AMD ADVANCED MICRO DEVICES INC. C LONG 51 104.27 10/20 10:54 102.06 0.26%
Trade id #146176003
Max drawdown($124)
Time10/20/23 10:51
Quant open51
Worst price101.82
Drawdown as % of equity-0.26%
 ($114)
Includes Typical Broker Commissions trade costs of $1.02
10/18/23 14:59 NVDA NVIDIA LONG 10 420.40 10/19 12:28 428.20 0.04%
Trade id #146165498
Max drawdown($21)
Time10/18/23 15:48
Quant open10
Worst price418.25
Drawdown as % of equity-0.04%
 $78
Includes Typical Broker Commissions trade costs of $0.20
10/16/23 12:19 FITB FIFTH THIRD BANCORP LONG 148 24.70 10/19 12:25 25.42 0.07%
Trade id #146142291
Max drawdown($35)
Time10/16/23 14:37
Quant open148
Worst price24.46
Drawdown as % of equity-0.07%
 $104
Includes Typical Broker Commissions trade costs of $2.96
10/11/23 11:39 AMGN AMGEN SHORT 22 281.79 10/19 11:36 280.59 0.26%
Trade id #146100503
Max drawdown($125)
Time10/13/23 0:00
Quant open13
Worst price288.46
Drawdown as % of equity-0.26%
 $26
Includes Typical Broker Commissions trade costs of $0.44
10/18/23 13:11 DRI DARDEN RESTAURANTS LONG 6 141.19 10/19 11:30 142.60 0.01%
Trade id #146164438
Max drawdown($3)
Time10/18/23 15:45
Quant open6
Worst price140.55
Drawdown as % of equity-0.01%
 $8
Includes Typical Broker Commissions trade costs of $0.12
10/13/23 12:15 DFS DISCOVER FINANCIAL LONG 50 90.07 10/18 15:17 92.18 0.08%
Trade id #146124791
Max drawdown($41)
Time10/13/23 15:59
Quant open50
Worst price89.25
Drawdown as % of equity-0.08%
 $105
Includes Typical Broker Commissions trade costs of $1.00
10/12/23 15:25 WING WINGSTOP INC. COMMON STOCK LONG 30 173.88 10/17 12:06 184.66 0.02%
Trade id #146115116
Max drawdown($11)
Time10/13/23 0:00
Quant open30
Worst price173.50
Drawdown as % of equity-0.02%
 $322
Includes Typical Broker Commissions trade costs of $0.60
9/29/23 12:40 MRK MERCK LONG 69 103.11 10/17 12:06 103.53 0.12%
Trade id #145975354
Max drawdown($56)
Time10/3/23 0:00
Quant open27
Worst price100.92
Drawdown as % of equity-0.12%
 $28
Includes Typical Broker Commissions trade costs of $1.38
10/13/23 12:15 LMT LOCKHEED MARTIN LONG 12 439.61 10/17 12:06 443.62 0.13%
Trade id #146124797
Max drawdown($62)
Time10/16/23 0:00
Quant open12
Worst price434.39
Drawdown as % of equity-0.13%
 $48
Includes Typical Broker Commissions trade costs of $0.24
10/13/23 12:16 DXC DXC TECHNOLOGY CO SHORT 152 21.77 10/17 12:05 20.27 0.1%
Trade id #146124799
Max drawdown($48)
Time10/16/23 0:00
Quant open152
Worst price22.09
Drawdown as % of equity-0.10%
 $225
Includes Typical Broker Commissions trade costs of $3.04
10/12/23 13:22 REGN REGENERON PHARMACEUTICALS SHORT 6 840.09 10/17 11:17 838.29 0.11%
Trade id #146113657
Max drawdown($54)
Time10/13/23 0:00
Quant open3
Worst price853.97
Drawdown as % of equity-0.11%
 $11
Includes Typical Broker Commissions trade costs of $0.12
10/13/23 12:16 ADSK AUTODESK LONG 26 209.76 10/16 12:16 211.82 0.06%
Trade id #146124801
Max drawdown($29)
Time10/13/23 13:39
Quant open26
Worst price208.63
Drawdown as % of equity-0.06%
 $53
Includes Typical Broker Commissions trade costs of $0.52
10/11/23 11:41 OKTA OKTA INC. CL A COMMON STOCK SHORT 62 85.69 10/16 10:42 85.56 0.1%
Trade id #146100531
Max drawdown($51)
Time10/12/23 0:00
Quant open31
Worst price88.06
Drawdown as % of equity-0.10%
 $7
Includes Typical Broker Commissions trade costs of $1.24
10/11/23 11:43 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A SHORT 157 64.20 10/16 10:42 63.21 0.01%
Trade id #146100560
Max drawdown($2)
Time10/11/23 11:52
Quant open50
Worst price66.34
Drawdown as % of equity-0.01%
 $152
Includes Typical Broker Commissions trade costs of $3.14
10/12/23 13:14 TLT ISHARES 20+ YEAR TREASURY BOND SHORT 30 86.32 10/16 10:11 86.12 0.09%
Trade id #146113480
Max drawdown($45)
Time10/13/23 0:00
Quant open30
Worst price87.83
Drawdown as % of equity-0.09%
 $5
Includes Typical Broker Commissions trade costs of $0.60
10/11/23 11:40 HPE HEWLETT PACKARD ENTERPRISE CO SHORT 157 17.13 10/13 12:14 16.61 0.03%
Trade id #146100512
Max drawdown($12)
Time10/11/23 14:25
Quant open157
Worst price17.21
Drawdown as % of equity-0.03%
 $79
Includes Typical Broker Commissions trade costs of $3.14
10/11/23 11:42 PNC PNC FINANCIAL SERVICES SHORT 11 122.83 10/13 12:14 117.54 0.01%
Trade id #146100537
Max drawdown($3)
Time10/12/23 0:00
Quant open11
Worst price123.13
Drawdown as % of equity-0.01%
 $58
Includes Typical Broker Commissions trade costs of $0.22
10/9/23 15:11 ZS ZSCALER INC. COMMON STOCK LONG 25 171.22 10/13 12:14 168.80 0.2%
Trade id #146080527
Max drawdown($100)
Time10/13/23 11:26
Quant open25
Worst price167.21
Drawdown as % of equity-0.20%
 ($62)
Includes Typical Broker Commissions trade costs of $0.50
10/6/23 13:06 NEM NEWMONT CORP LONG 143 37.56 10/13 12:14 39.53 0.04%
Trade id #146059722
Max drawdown($21)
Time10/9/23 0:00
Quant open143
Worst price37.41
Drawdown as % of equity-0.04%
 $279
Includes Typical Broker Commissions trade costs of $2.86
9/28/23 13:26 ISRG INTUITIVE SURGICAL LONG 28 296.65 10/13 12:14 279.63 1.14%
Trade id #145963808
Max drawdown($560)
Time10/13/23 9:30
Quant open18
Worst price265.50
Drawdown as % of equity-1.14%
 ($478)
Includes Typical Broker Commissions trade costs of $0.56
9/27/23 13:36 ECL ECOLAB LONG 64 168.36 10/13 12:13 167.30 0.28%
Trade id #145949593
Max drawdown($138)
Time10/13/23 11:08
Quant open32
Worst price164.04
Drawdown as % of equity-0.28%
 ($69)
Includes Typical Broker Commissions trade costs of $1.28
10/12/23 13:15 WING WINGSTOP INC. COMMON STOCK SHORT 30 175.65 10/12 15:24 174.02 0%
Trade id #146113521
Max drawdown($0)
Time10/12/23 13:18
Quant open30
Worst price175.68
Drawdown as % of equity-0.00%
 $48
Includes Typical Broker Commissions trade costs of $0.60
9/29/23 9:45 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 150 87.19 10/12 13:16 87.88 1.07%
Trade id #145971085
Max drawdown($517)
Time10/3/23 0:00
Quant open75
Worst price81.40
Drawdown as % of equity-1.07%
 $100
Includes Typical Broker Commissions trade costs of $3.00
10/10/23 10:37 NVDA NVIDIA LONG 10 457.09 10/12 13:13 471.64 0.01%
Trade id #146088107
Max drawdown($6)
Time10/10/23 10:40
Quant open10
Worst price456.49
Drawdown as % of equity-0.01%
 $146
Includes Typical Broker Commissions trade costs of $0.20
Next

Statistics

  • Strategy began
    5/15/2023
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    333.44
  • Age
    11 months ago
  • What it trades
    Stocks
  • # Trades
    409
  • # Profitable
    272
  • % Profitable
    66.50%
  • Avg trade duration
    19.0 days
  • Max peak-to-valley drawdown
    11.84%
  • drawdown period
    July 25, 2023 - Sept 27, 2023
  • Cumul. Return
    -4.3%
  • Avg win
    $156.78
  • Avg loss
    $134.35
  • Model Account Values (Raw)
  • Cash
    $20,612
  • Margin Used
    $16,352
  • Buying Power
    $26,607
  • Ratios
  • W:L ratio
    2.44:1
  • Sharpe Ratio
    1.73
  • Sortino Ratio
    4
  • Calmar Ratio
    23.485
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -6.84%
  • Correlation to SP500
    0.59690
  • Return Percent SP500 (cumu) during strategy life
    20.09%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    -9.2%
  • Slump
  • Current Slump as Pcnt Equity
    6.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.08%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.043%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    53.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    47.00%
  • Chance of 20% account loss
    2.00%
  • 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)
    0
  • Popularity (Last 6 weeks)
    478
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $133
  • Avg Win
    $157
  • Sum Trade PL (losers)
    $18,413.000
  • Age
  • Num Months filled monthly returns table
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $42,654.000
  • # Winners
    271
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    361
  • Win / Loss
  • # Losers
    138
  • % Winners
    66.3%
  • Frequency
  • Avg Position Time (mins)
    27239.80
  • Avg Position Time (hrs)
    454.00
  • Avg Trade Length
    18.9 days
  • Last Trade Ago
    172
  • Leverage
  • Daily leverage (average)
    1.35
  • Daily leverage (max)
    2.31
  • Regression
  • Alpha
    0.05
  • Beta
    1.13
  • Treynor Index
    0.10
  • 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)
    0.68
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    1.871
  • 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
    0.468
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.312
  • Hold-and-Hope Ratio
    0.603
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02260
  • SD
    0.02367
  • Sharpe ratio (Glass type estimate)
    -0.95505
  • Sharpe ratio (Hedges UMVUE)
    -0.76201
  • df
    4.00000
  • t
    -0.61648
  • p
    0.71453
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.00323
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.20238
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.84395
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.31992
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.13154
  • Upside Potential Ratio
    1.02380
  • Upside part of mean
    0.02045
  • Downside part of mean
    -0.04305
  • Upside SD
    0.00957
  • Downside SD
    0.01997
  • 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
    0.08706
  • Mean of criterion
    -0.02260
  • SD of predictor
    0.12216
  • SD of criterion
    0.02367
  • Covariance
    0.00059
  • r
    0.20347
  • b (slope, estimate of beta)
    0.03942
  • a (intercept, estimate of alpha)
    -0.02603
  • Mean Square Error
    0.00072
  • DF error
    3.00000
  • t(b)
    0.35995
  • p(b)
    0.37137
  • t(a)
    -0.61211
  • p(a)
    0.70813
  • Lowerbound of 95% confidence interval for beta
    -0.30909
  • Upperbound of 95% confidence interval for beta
    0.38793
  • Lowerbound of 95% confidence interval for alpha
    -0.16139
  • Upperbound of 95% confidence interval for alpha
    0.10932
  • Treynor index (mean / b)
    -0.57338
  • Jensen alpha (a)
    -0.02603
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02279
  • SD
    0.02367
  • Sharpe ratio (Glass type estimate)
    -0.96285
  • Sharpe ratio (Hedges UMVUE)
    -0.76824
  • df
    4.00000
  • t
    -0.62151
  • p
    0.71603
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.01173
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.19609
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.85092
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.31444
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.13839
  • Upside Potential Ratio
    1.01665
  • Upside part of mean
    0.02036
  • Downside part of mean
    -0.04315
  • Upside SD
    0.00953
  • Downside SD
    0.02002
  • 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
    0.08071
  • Mean of criterion
    -0.02279
  • SD of predictor
    0.12067
  • SD of criterion
    0.02367
  • Covariance
    0.00056
  • r
    0.19456
  • b (slope, estimate of beta)
    0.03817
  • a (intercept, estimate of alpha)
    -0.02588
  • Mean Square Error
    0.00072
  • DF error
    3.00000
  • t(b)
    0.34356
  • p(b)
    0.37692
  • t(a)
    -0.60887
  • p(a)
    0.70719
  • Lowerbound of 95% confidence interval for beta
    -0.31541
  • Upperbound of 95% confidence interval for beta
    0.39175
  • Lowerbound of 95% confidence interval for alpha
    -0.16112
  • Upperbound of 95% confidence interval for alpha
    0.10937
  • Treynor index (mean / b)
    -0.59717
  • Jensen alpha (a)
    -0.02588
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01305
  • Expected Shortfall on VaR
    0.01587
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00742
  • Expected Shortfall on VaR
    0.01268
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.99172
  • Quartile 1
    0.99499
  • Median
    1.00323
  • Quartile 3
    1.00410
  • Maximum
    1.00818
  • Mean of quarter 1
    0.99336
  • Mean of quarter 2
    1.00323
  • Mean of quarter 3
    1.00410
  • Mean of quarter 4
    1.00818
  • Inter Quartile Range
    0.00910
  • 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
    1.00000
  • Minimum
    0.01324
  • Quartile 1
    0.01324
  • Median
    0.01324
  • Quartile 3
    0.01324
  • Maximum
    0.01324
  • 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)
    0.00512
  • Compounded annual return (geometric extrapolation)
    0.00513
  • Calmar ratio (compounded annual return / max draw down)
    0.38714
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.32307
  • 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
    -0.08913
  • SD
    0.12363
  • Sharpe ratio (Glass type estimate)
    -0.72093
  • Sharpe ratio (Hedges UMVUE)
    -0.71622
  • df
    115.00000
  • t
    -0.47970
  • p
    0.52844
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.66647
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22762
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.66324
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.23081
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.96784
  • Upside Potential Ratio
    6.17525
  • Upside part of mean
    0.56870
  • Downside part of mean
    -0.65783
  • Upside SD
    0.08187
  • Downside SD
    0.09209
  • N nonnegative terms
    56.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    116.00000
  • Mean of predictor
    0.03600
  • Mean of criterion
    -0.08913
  • SD of predictor
    0.11543
  • SD of criterion
    0.12363
  • Covariance
    0.00343
  • r
    0.24053
  • b (slope, estimate of beta)
    0.25763
  • a (intercept, estimate of alpha)
    0.22800
  • Mean Square Error
    0.01453
  • DF error
    114.00000
  • t(b)
    2.64582
  • p(b)
    0.37974
  • t(a)
    -0.54316
  • p(a)
    0.52540
  • Lowerbound of 95% confidence interval for beta
    0.06474
  • Upperbound of 95% confidence interval for beta
    0.45053
  • Lowerbound of 95% confidence interval for alpha
    -0.45731
  • Upperbound of 95% confidence interval for alpha
    0.26050
  • Treynor index (mean / b)
    -0.34596
  • Jensen alpha (a)
    -0.09841
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09673
  • SD
    0.12386
  • Sharpe ratio (Glass type estimate)
    -0.78099
  • Sharpe ratio (Hedges UMVUE)
    -0.77589
  • df
    115.00000
  • t
    -0.51967
  • p
    0.53080
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.72666
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16795
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.72316
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17139
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.03872
  • Upside Potential Ratio
    6.07054
  • Upside part of mean
    0.56533
  • Downside part of mean
    -0.66206
  • Upside SD
    0.08107
  • Downside SD
    0.09313
  • N nonnegative terms
    56.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    116.00000
  • Mean of predictor
    0.02939
  • Mean of criterion
    -0.09673
  • SD of predictor
    0.11546
  • SD of criterion
    0.12386
  • Covariance
    0.00345
  • r
    0.24157
  • b (slope, estimate of beta)
    0.25916
  • a (intercept, estimate of alpha)
    -0.10435
  • Mean Square Error
    0.01457
  • DF error
    114.00000
  • t(b)
    2.65802
  • p(b)
    0.37921
  • t(a)
    -0.57510
  • p(a)
    0.52689
  • Lowerbound of 95% confidence interval for beta
    0.06601
  • Upperbound of 95% confidence interval for beta
    0.45230
  • Lowerbound of 95% confidence interval for alpha
    -0.46379
  • Upperbound of 95% confidence interval for alpha
    0.25509
  • Treynor index (mean / b)
    -0.37326
  • Jensen alpha (a)
    -0.10435
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01287
  • Expected Shortfall on VaR
    0.01602
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00586
  • Expected Shortfall on VaR
    0.01195
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    116.00000
  • Minimum
    0.96485
  • Quartile 1
    0.99700
  • Median
    1.00002
  • Quartile 3
    1.00231
  • Maximum
    1.03362
  • Mean of quarter 1
    0.99186
  • Mean of quarter 2
    0.99831
  • Mean of quarter 3
    1.00103
  • Mean of quarter 4
    1.00787
  • Inter Quartile Range
    0.00531
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.05172
  • Mean of outliers low
    0.97850
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.06034
  • Mean of outliers high
    1.01695
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.65179
  • VaR(95%) (moments method)
    0.00909
  • Expected Shortfall (moments method)
    0.02683
  • Extreme Value Index (regression method)
    0.75291
  • VaR(95%) (regression method)
    0.00604
  • Expected Shortfall (regression method)
    0.01927
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00148
  • Median
    0.00304
  • Quartile 3
    0.01374
  • Maximum
    0.05474
  • Mean of quarter 1
    0.00071
  • Mean of quarter 2
    0.00180
  • Mean of quarter 3
    0.00428
  • Mean of quarter 4
    0.03582
  • Inter Quartile Range
    0.01226
  • 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
    0.16667
  • Mean of outliers high
    0.05474
  • 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)
    -0.06779
  • Compounded annual return (geometric extrapolation)
    -0.06651
  • Calmar ratio (compounded annual return / max draw down)
    -1.21493
  • Compounded annual return / average of 25% largest draw downs
    -1.85685
  • Compounded annual return / Expected Shortfall lognormal
    -4.15187
  • 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)
    0.03000
  • 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
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -360749000
  • Max Equity Drawdown (num days)
    64

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-05-15
Suggested Minimum Capital
$35,000
# Trades
409
# Profitable
272
% Profitable
66.5%
Net Dividends
$364
Correlation S&P500
0.597
Sharpe Ratio
1.73
Sortino Ratio
4.00
Beta
1.13
Alpha
0.05
Leverage
1.35 Average
2.31 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.

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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.