Collective2 Collective2
Featured Strategy Cryptoverse Followed by live capital $1.80 million Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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AltData II
(142096749)

Created by: AltData AltData
Started: 10/2022
Stocks
Last trade: 5 days ago
Trading style: Equity Hedged Equity Sector: Technology

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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
7.1%
Annual Return (Compounded)

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 Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(21.3%)
Max Drawdown
213
Num Trades
45.5%
Win Trades
1.1 : 1
Profit Factor
44.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                               (0.1%)+1.5%+2.7%+4.1%
2023(4%)+0.2%+2.4%+1.1%(1.4%)(0.5%)(3%)  -    -    -    -    -  (5.3%)
2024  -  +16.5%(2.3%)+0.4%+12.1%+1.8%+6.1%+7.5%(4.9%)(4.9%)+0.1%(12.3%)+18.1%

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

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/2/24 10:16 ZS ZSCALER INC. COMMON STOCK SHORT 40 211.74 12/16 11:40 202.11 0.16%
Trade id #150221922
Max drawdown($198)
Time12/9/24 0:00
Quant open40
Worst price216.70
Drawdown as % of equity-0.16%
 $384
Includes Typical Broker Commissions trade costs of $0.80
12/2/24 10:16 S SENTINELONE INC LONG 160 27.36 12/16 11:40 23.75 0.56%
Trade id #150221917
Max drawdown($692)
Time12/11/24 0:00
Quant open160
Worst price23.03
Drawdown as % of equity-0.56%
 ($580)
Includes Typical Broker Commissions trade costs of $3.20
12/2/24 10:16 PATH UIPATH INC SHORT 1,390 14.69 12/16 11:40 14.14 1.37%
Trade id #150221914
Max drawdown($1,730)
Time12/9/24 0:00
Quant open1,390
Worst price15.93
Drawdown as % of equity-1.37%
 $760
Includes Typical Broker Commissions trade costs of $5.00
11/25/24 12:40 WDAY WORKDAY LONG 80 268.14 12/16 11:40 279.72 1.87%
Trade id #150170416
Max drawdown($2,476)
Time11/27/24 0:00
Quant open80
Worst price237.18
Drawdown as % of equity-1.87%
 $924
Includes Typical Broker Commissions trade costs of $1.60
12/9/24 10:40 MDB MONGODB INC. CLASS A COMMON STOCK LONG 34 353.00 12/16 11:40 271.49 2.65%
Trade id #150279444
Max drawdown($3,151)
Time12/16/24 9:42
Quant open34
Worst price260.30
Drawdown as % of equity-2.65%
 ($2,772)
Includes Typical Broker Commissions trade costs of $0.68
12/2/24 10:16 GWRE GUIDEWIRE SOFTWARE LONG 60 202.34 12/16 11:40 173.00 1.57%
Trade id #150221905
Max drawdown($1,921)
Time12/10/24 0:00
Quant open60
Worst price170.32
Drawdown as % of equity-1.57%
 ($1,761)
Includes Typical Broker Commissions trade costs of $1.20
12/2/24 10:16 ASAN ASANA INC SHORT 920 15.09 12/16 11:40 26.58 9.46%
Trade id #150221900
Max drawdown($11,256)
Time12/16/24 11:11
Quant open920
Worst price27.32
Drawdown as % of equity-9.46%
 ($10,576)
Includes Typical Broker Commissions trade costs of $5.00
12/2/24 10:16 OKTA OKTA INC. CL A COMMON STOCK LONG 330 80.88 12/9 10:40 82.97 0.32%
Trade id #150221911
Max drawdown($429)
Time12/3/24 0:00
Quant open330
Worst price79.58
Drawdown as % of equity-0.32%
 $683
Includes Typical Broker Commissions trade costs of $6.60
12/2/24 10:16 HCP HASHICORP INC. LONG 300 33.57 12/9 10:40 33.73 0.04%
Trade id #150221908
Max drawdown($48)
Time12/4/24 0:00
Quant open300
Worst price33.41
Drawdown as % of equity-0.04%
 $41
Includes Typical Broker Commissions trade costs of $6.00
11/25/24 12:40 NTNX NUTANIX INC. CLASS A COMMON STOCK SHORT 190 72.10 12/9 10:40 66.94 0.29%
Trade id #150170409
Max drawdown($380)
Time11/27/24 0:00
Quant open190
Worst price74.10
Drawdown as % of equity-0.29%
 $976
Includes Typical Broker Commissions trade costs of $3.80
11/25/24 12:40 ZM ZOOM COMMUNICATIONS INC. CLASS A LONG 190 89.17 12/2 10:16 84.42 1.13%
Trade id #150170421
Max drawdown($1,510)
Time11/26/24 0:00
Quant open190
Worst price81.22
Drawdown as % of equity-1.13%
 ($906)
Includes Typical Broker Commissions trade costs of $3.80
11/18/24 10:40 ESTC ELASTIC NV SHORT 290 85.20 12/2 10:16 112.23 6.85%
Trade id #150112175
Max drawdown($9,564)
Time11/22/24 0:00
Quant open290
Worst price118.18
Drawdown as % of equity-6.85%
 ($7,846)
Includes Typical Broker Commissions trade costs of $5.80
11/11/24 10:40 ZI ZOOMINFO TECHNOLOGIES INC LONG 1,090 12.34 11/25 12:40 10.65 2.18%
Trade id #150055128
Max drawdown($3,073)
Time11/19/24 0:00
Quant open1,090
Worst price9.52
Drawdown as % of equity-2.18%
 ($1,842)
Includes Typical Broker Commissions trade costs of $5.00
11/11/24 10:40 SONO SONOS INC. COMMON STOCK SHORT 930 14.15 11/25 12:40 14.12 1.17%
Trade id #150055125
Max drawdown($1,618)
Time11/14/24 0:00
Quant open930
Worst price15.89
Drawdown as % of equity-1.17%
 $27
Includes Typical Broker Commissions trade costs of $5.00
11/11/24 10:40 SE SEA LTD ADS LONG 220 97.05 11/25 12:40 112.88 0%
Trade id #150055122
Max drawdown($6)
Time11/11/24 14:12
Quant open220
Worst price97.02
Drawdown as % of equity-0.00%
 $3,479
Includes Typical Broker Commissions trade costs of $4.40
11/18/24 10:40 SNOW SNOWFLAKE INC SHORT 280 126.06 11/19 11:40 127.56 0.56%
Trade id #150112183
Max drawdown($792)
Time11/19/24 9:54
Quant open280
Worst price128.88
Drawdown as % of equity-0.56%
 ($427)
Includes Typical Broker Commissions trade costs of $5.60
11/18/24 10:40 NVDA NVIDIA SHORT 140 140.03 11/19 11:40 144.14 0.45%
Trade id #150112178
Max drawdown($633)
Time11/19/24 11:01
Quant open140
Worst price144.55
Drawdown as % of equity-0.45%
 ($579)
Includes Typical Broker Commissions trade costs of $2.80
11/11/24 10:40 CSCO CISCO SYSTEMS SHORT 350 58.73 11/18 10:40 57.69 0.14%
Trade id #150055113
Max drawdown($190)
Time11/13/24 0:00
Quant open350
Worst price59.28
Drawdown as % of equity-0.14%
 $360
Includes Typical Broker Commissions trade costs of $7.00
11/4/24 12:12 U UNITY SOFTWARE INC SHORT 770 20.20 11/18 10:40 17.82 1.58%
Trade id #149961119
Max drawdown($2,221)
Time11/8/24 0:00
Quant open770
Worst price23.09
Drawdown as % of equity-1.58%
 $1,828
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 12:12 TRIP TRIPADVISOR LONG 750 16.35 11/18 10:40 13.74 1.46%
Trade id #149961116
Max drawdown($2,053)
Time11/18/24 9:53
Quant open750
Worst price13.61
Drawdown as % of equity-1.46%
 ($1,957)
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 12:12 PAYO PAYONEER GLOBAL INC. COMMON STOCK SHORT 1,190 8.57 11/18 10:40 10.57 1.98%
Trade id #149961110
Max drawdown($2,771)
Time11/8/24 0:00
Quant open1,190
Worst price10.90
Drawdown as % of equity-1.98%
 ($2,389)
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 12:12 DBX DROPBOX INC. CLASS A COMMON STOCK SHORT 1,090 26.16 11/18 10:40 26.41 1.63%
Trade id #149961101
Max drawdown($2,297)
Time11/13/24 0:00
Quant open1,090
Worst price28.27
Drawdown as % of equity-1.63%
 ($281)
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 12:12 ABNB AIRBNB INC. CLASS A COMMON STOCK LONG 120 136.33 11/18 10:40 132.18 0.43%
Trade id #149961098
Max drawdown($602)
Time11/15/24 0:00
Quant open120
Worst price131.31
Drawdown as % of equity-0.43%
 ($500)
Includes Typical Broker Commissions trade costs of $2.40
11/4/24 12:12 RNG RINGCENTRAL INC. LONG 610 36.42 11/11 10:40 36.74 0.39%
Trade id #149961113
Max drawdown($514)
Time11/5/24 0:00
Quant open610
Worst price35.58
Drawdown as % of equity-0.39%
 $188
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 12:12 MTTR MATTERPORT INC LONG 4,430 4.51 11/11 10:40 4.79 0.1%
Trade id #149961107
Max drawdown($126)
Time11/4/24 15:51
Quant open4,430
Worst price4.48
Drawdown as % of equity-0.10%
 $1,241
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 12:12 FRSH FRESHWORKS INC. CLASS A COMMON STOCK LONG 2,010 12.14 11/11 10:40 16.44 0.05%
Trade id #149961104
Max drawdown($65)
Time11/4/24 13:07
Quant open2,010
Worst price12.11
Drawdown as % of equity-0.05%
 $8,646
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 9:40 TRIP TRIPADVISOR LONG 750 16.01 11/4 10:01 16.19 0.01%
Trade id #149957476
Max drawdown($7)
Time11/4/24 9:50
Quant open750
Worst price16.00
Drawdown as % of equity-0.01%
 $130
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 9:40 RNG RINGCENTRAL INC. LONG 610 35.92 11/4 10:01 36.25 n/a $190
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 9:40 FRSH FRESHWORKS INC. CLASS A COMMON STOCK LONG 2,010 11.99 11/4 10:01 12.10 0.02%
Trade id #149957454
Max drawdown($20)
Time11/4/24 9:43
Quant open2,010
Worst price11.98
Drawdown as % of equity-0.02%
 $216
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 9:40 DBX DROPBOX INC. CLASS A COMMON STOCK SHORT 1,090 25.94 11/4 10:01 26.20 0.25%
Trade id #149957449
Max drawdown($327)
Time11/4/24 10:01
Quant open1,090
Worst price26.24
Drawdown as % of equity-0.25%
 ($288)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    10/9/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    803.58
  • Age
    27 months ago
  • What it trades
    Stocks
  • # Trades
    213
  • # Profitable
    97
  • % Profitable
    45.50%
  • Avg trade duration
    28.6 days
  • Max peak-to-valley drawdown
    21.26%
  • drawdown period
    Sept 03, 2024 - Dec 19, 2024
  • Annual Return (Compounded)
    7.1%
  • Avg win
    $1,575
  • Avg loss
    $1,160
  • Model Account Values (Raw)
  • Cash
    $109,030
  • Margin Used
    $0
  • Buying Power
    $104,986
  • Ratios
  • W:L ratio
    1.13:1
  • Sharpe Ratio
    0.33
  • Sortino Ratio
    0.48
  • Calmar Ratio
    0.457
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -46.55%
  • Correlation to SP500
    -0.01040
  • Return Percent SP500 (cumu) during strategy life
    62.95%
  • Return Statistics
  • Ann Return (w trading costs)
    7.1%
  • Slump
  • Current Slump as Pcnt Equity
    26.50%
  • Instruments
  • Percent Trades Futures
    0.02%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.14%
  • 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)
    0.071%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.98%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    65.00%
  • Chance of 20% account loss
    25.50%
  • Chance of 30% account loss
    6.50%
  • Chance of 40% account loss
    1.00%
  • 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)
    511
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    401
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,161
  • Avg Win
    $1,576
  • Sum Trade PL (losers)
    $134,661.000
  • Age
  • Num Months filled monthly returns table
    27
  • Win / Loss
  • Sum Trade PL (winners)
    $152,866.000
  • # Winners
    97
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    -66
  • AUM
  • AUM (AutoTrader live capital)
    23475
  • Win / Loss
  • # Losers
    116
  • % Winners
    45.5%
  • Frequency
  • Avg Position Time (mins)
    41211.50
  • Avg Position Time (hrs)
    686.86
  • Avg Trade Length
    28.6 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    1.12
  • Daily leverage (max)
    2.29
  • Regression
  • Alpha
    0.02
  • Beta
    -0.01
  • Treynor Index
    -1.51
  • 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)
    -0.15
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    9.903
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.230
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.138
  • Hold-and-Hope Ratio
    0.095
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08486
  • SD
    0.20158
  • Sharpe ratio (Glass type estimate)
    0.42097
  • Sharpe ratio (Hedges UMVUE)
    0.40572
  • df
    21.00000
  • t
    0.56999
  • p
    0.42162
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.03701
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.86911
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.04700
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.85844
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.62186
  • Upside Potential Ratio
    2.00350
  • Upside part of mean
    0.27341
  • Downside part of mean
    -0.18854
  • Upside SD
    0.14411
  • Downside SD
    0.13646
  • N nonnegative terms
    11.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.26729
  • Mean of criterion
    0.08486
  • SD of predictor
    0.14880
  • SD of criterion
    0.20158
  • Covariance
    -0.00139
  • r
    -0.04636
  • b (slope, estimate of beta)
    -0.06281
  • a (intercept, estimate of alpha)
    0.10165
  • Mean Square Error
    0.04258
  • DF error
    20.00000
  • t(b)
    -0.20755
  • p(b)
    0.52318
  • t(a)
    0.58917
  • p(a)
    0.43469
  • Lowerbound of 95% confidence interval for beta
    -0.69401
  • Upperbound of 95% confidence interval for beta
    0.56840
  • Lowerbound of 95% confidence interval for alpha
    -0.25824
  • Upperbound of 95% confidence interval for alpha
    0.46153
  • Treynor index (mean / b)
    -1.35118
  • Jensen alpha (a)
    0.10165
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06465
  • SD
    0.20522
  • Sharpe ratio (Glass type estimate)
    0.31503
  • Sharpe ratio (Hedges UMVUE)
    0.30362
  • df
    21.00000
  • t
    0.42655
  • p
    0.44108
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.13929
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76196
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14682
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75406
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.43995
  • Upside Potential Ratio
    1.78984
  • Upside part of mean
    0.26302
  • Downside part of mean
    -0.19837
  • Upside SD
    0.13768
  • Downside SD
    0.14695
  • N nonnegative terms
    11.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.25343
  • Mean of criterion
    0.06465
  • SD of predictor
    0.14800
  • SD of criterion
    0.20522
  • Covariance
    -0.00158
  • r
    -0.05205
  • b (slope, estimate of beta)
    -0.07218
  • a (intercept, estimate of alpha)
    0.08294
  • Mean Square Error
    0.04410
  • DF error
    20.00000
  • t(b)
    -0.23311
  • p(b)
    0.52603
  • t(a)
    0.47718
  • p(a)
    0.44695
  • Lowerbound of 95% confidence interval for beta
    -0.71808
  • Upperbound of 95% confidence interval for beta
    0.57372
  • Lowerbound of 95% confidence interval for alpha
    -0.27964
  • Upperbound of 95% confidence interval for alpha
    0.44553
  • Treynor index (mean / b)
    -0.89568
  • Jensen alpha (a)
    0.08294
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08795
  • Expected Shortfall on VaR
    0.11003
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03557
  • Expected Shortfall on VaR
    0.07553
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.83692
  • Quartile 1
    0.99231
  • Median
    1.00266
  • Quartile 3
    1.03025
  • Maximum
    1.11485
  • Mean of quarter 1
    0.94678
  • Mean of quarter 2
    0.99985
  • Mean of quarter 3
    1.01460
  • Mean of quarter 4
    1.07564
  • Inter Quartile Range
    0.03794
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04545
  • Mean of outliers low
    0.83692
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    1.11030
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.49959
  • VaR(95%) (moments method)
    0.03474
  • Expected Shortfall (moments method)
    0.04202
  • Extreme Value Index (regression method)
    0.51257
  • VaR(95%) (regression method)
    0.06507
  • Expected Shortfall (regression method)
    0.16645
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.06162
  • Quartile 1
    0.09647
  • Median
    0.13131
  • Quartile 3
    0.16616
  • Maximum
    0.20101
  • Mean of quarter 1
    0.06162
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.20101
  • Inter Quartile Range
    0.06969
  • 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)
    0.10088
  • Compounded annual return (geometric extrapolation)
    0.09698
  • Calmar ratio (compounded annual return / max draw down)
    0.48246
  • Compounded annual return / average of 25% largest draw downs
    0.48246
  • Compounded annual return / Expected Shortfall lognormal
    0.88133
  • 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
    0.07650
  • SD
    0.17222
  • Sharpe ratio (Glass type estimate)
    0.44421
  • Sharpe ratio (Hedges UMVUE)
    0.44351
  • df
    482.00000
  • t
    0.60313
  • p
    0.27336
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99979
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.88781
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.00028
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88731
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.69359
  • Upside Potential Ratio
    6.07359
  • Upside part of mean
    0.66989
  • Downside part of mean
    -0.59339
  • Upside SD
    0.13212
  • Downside SD
    0.11030
  • N nonnegative terms
    171.00000
  • N negative terms
    312.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    483.00000
  • Mean of predictor
    0.25398
  • Mean of criterion
    0.07650
  • SD of predictor
    0.16028
  • SD of criterion
    0.17222
  • Covariance
    0.00021
  • r
    0.00752
  • b (slope, estimate of beta)
    0.00808
  • a (intercept, estimate of alpha)
    0.07400
  • Mean Square Error
    0.02972
  • DF error
    481.00000
  • t(b)
    0.16486
  • p(b)
    0.43456
  • t(a)
    0.58356
  • p(a)
    0.27989
  • Lowerbound of 95% confidence interval for beta
    -0.08819
  • Upperbound of 95% confidence interval for beta
    0.10434
  • Lowerbound of 95% confidence interval for alpha
    -0.17622
  • Upperbound of 95% confidence interval for alpha
    0.32512
  • Treynor index (mean / b)
    9.47141
  • Jensen alpha (a)
    0.07445
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06186
  • SD
    0.17075
  • Sharpe ratio (Glass type estimate)
    0.36227
  • Sharpe ratio (Hedges UMVUE)
    0.36170
  • df
    482.00000
  • t
    0.49187
  • p
    0.31152
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08158
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80584
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08201
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80541
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.55045
  • Upside Potential Ratio
    5.88568
  • Upside part of mean
    0.66142
  • Downside part of mean
    -0.59956
  • Upside SD
    0.12838
  • Downside SD
    0.11238
  • N nonnegative terms
    171.00000
  • N negative terms
    312.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    483.00000
  • Mean of predictor
    0.24103
  • Mean of criterion
    0.06186
  • SD of predictor
    0.16011
  • SD of criterion
    0.17075
  • Covariance
    0.00022
  • r
    0.00819
  • b (slope, estimate of beta)
    0.00874
  • a (intercept, estimate of alpha)
    0.05975
  • Mean Square Error
    0.02922
  • DF error
    481.00000
  • t(b)
    0.17973
  • p(b)
    0.42872
  • t(a)
    0.47260
  • p(a)
    0.31836
  • Lowerbound of 95% confidence interval for beta
    -0.08680
  • Upperbound of 95% confidence interval for beta
    0.10428
  • Lowerbound of 95% confidence interval for alpha
    -0.18868
  • Upperbound of 95% confidence interval for alpha
    0.30818
  • Treynor index (mean / b)
    7.07796
  • Jensen alpha (a)
    0.05975
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01697
  • Expected Shortfall on VaR
    0.02129
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00601
  • Expected Shortfall on VaR
    0.01295
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    483.00000
  • Minimum
    0.93325
  • Quartile 1
    0.99852
  • Median
    1.00000
  • Quartile 3
    1.00189
  • Maximum
    1.10851
  • Mean of quarter 1
    0.99145
  • Mean of quarter 2
    0.99978
  • Mean of quarter 3
    1.00042
  • Mean of quarter 4
    1.00994
  • Inter Quartile Range
    0.00337
  • Number outliers low
    45.00000
  • Percentage of outliers low
    0.09317
  • Mean of outliers low
    0.98253
  • Number of outliers high
    53.00000
  • Percentage of outliers high
    0.10973
  • Mean of outliers high
    1.01745
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.70878
  • VaR(95%) (moments method)
    0.00729
  • Expected Shortfall (moments method)
    0.02803
  • Extreme Value Index (regression method)
    0.41369
  • VaR(95%) (regression method)
    0.00712
  • Expected Shortfall (regression method)
    0.01528
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00072
  • Quartile 1
    0.00331
  • Median
    0.01274
  • Quartile 3
    0.06887
  • Maximum
    0.20562
  • Mean of quarter 1
    0.00161
  • Mean of quarter 2
    0.00887
  • Mean of quarter 3
    0.03580
  • Mean of quarter 4
    0.11917
  • Inter Quartile Range
    0.06556
  • 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
    0.07692
  • Mean of outliers high
    0.20562
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.51101
  • VaR(95%) (moments method)
    0.13750
  • Expected Shortfall (moments method)
    0.26974
  • Extreme Value Index (regression method)
    2.14588
  • VaR(95%) (regression method)
    0.13583
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09762
  • Compounded annual return (geometric extrapolation)
    0.09392
  • Calmar ratio (compounded annual return / max draw down)
    0.45675
  • Compounded annual return / average of 25% largest draw downs
    0.78808
  • Compounded annual return / Expected Shortfall lognormal
    4.41209
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12806
  • SD
    0.27883
  • Sharpe ratio (Glass type estimate)
    0.45927
  • Sharpe ratio (Hedges UMVUE)
    0.45662
  • df
    130.00000
  • t
    0.32476
  • p
    0.48576
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.31394
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23080
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.31574
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22898
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.70351
  • Upside Potential Ratio
    6.73430
  • Upside part of mean
    1.22585
  • Downside part of mean
    -1.09779
  • Upside SD
    0.20995
  • Downside SD
    0.18203
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25069
  • Mean of criterion
    0.12806
  • SD of predictor
    0.14669
  • SD of criterion
    0.27883
  • Covariance
    0.00774
  • r
    0.18935
  • b (slope, estimate of beta)
    0.35992
  • a (intercept, estimate of alpha)
    0.03783
  • Mean Square Error
    0.07554
  • DF error
    129.00000
  • t(b)
    2.19018
  • p(b)
    0.38018
  • t(a)
    0.09679
  • p(a)
    0.49457
  • Lowerbound of 95% confidence interval for beta
    0.03478
  • Upperbound of 95% confidence interval for beta
    0.68505
  • Lowerbound of 95% confidence interval for alpha
    -0.73551
  • Upperbound of 95% confidence interval for alpha
    0.81118
  • Treynor index (mean / b)
    0.35580
  • Jensen alpha (a)
    0.03783
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08995
  • SD
    0.27621
  • Sharpe ratio (Glass type estimate)
    0.32566
  • Sharpe ratio (Hedges UMVUE)
    0.32378
  • df
    130.00000
  • t
    0.23028
  • p
    0.48990
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.44704
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09715
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.44831
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09586
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.48330
  • Upside Potential Ratio
    6.47263
  • Upside part of mean
    1.20469
  • Downside part of mean
    -1.11474
  • Upside SD
    0.20273
  • Downside SD
    0.18612
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23985
  • Mean of criterion
    0.08995
  • SD of predictor
    0.14695
  • SD of criterion
    0.27621
  • Covariance
    0.00786
  • r
    0.19374
  • b (slope, estimate of beta)
    0.36414
  • a (intercept, estimate of alpha)
    0.00261
  • Mean Square Error
    0.07400
  • DF error
    129.00000
  • t(b)
    2.24292
  • p(b)
    0.37744
  • t(a)
    0.00676
  • p(a)
    0.49962
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    0.04292
  • Upperbound of 95% confidence interval for beta
    0.68536
  • Lowerbound of 95% confidence interval for alpha
    -0.76243
  • Upperbound of 95% confidence interval for alpha
    0.76765
  • Treynor index (mean / b)
    0.24702
  • Jensen alpha (a)
    0.00261
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02734
  • Expected Shortfall on VaR
    0.03424
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00987
  • Expected Shortfall on VaR
    0.02118
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93325
  • Quartile 1
    0.99701
  • Median
    1.00000
  • Quartile 3
    1.00522
  • Maximum
    1.10851
  • Mean of quarter 1
    0.98434
  • Mean of quarter 2
    0.99926
  • Mean of quarter 3
    1.00192
  • Mean of quarter 4
    1.01690
  • Inter Quartile Range
    0.00821
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.96538
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.04077
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.82850
  • VaR(95%) (moments method)
    0.01520
  • Expected Shortfall (moments method)
    0.09581
  • Extreme Value Index (regression method)
    0.40266
  • VaR(95%) (regression method)
    0.01571
  • Expected Shortfall (regression method)
    0.03367
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00072
  • Quartile 1
    0.00205
  • Median
    0.00693
  • Quartile 3
    0.02863
  • Maximum
    0.20562
  • Mean of quarter 1
    0.00104
  • Mean of quarter 2
    0.00335
  • Mean of quarter 3
    0.01091
  • Mean of quarter 4
    0.10555
  • Inter Quartile Range
    0.02658
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.14113
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.64825
  • VaR(95%) (moments method)
    0.09865
  • Expected Shortfall (moments method)
    0.10318
  • Extreme Value Index (regression method)
    0.60996
  • VaR(95%) (regression method)
    0.23069
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.70687
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -433878000
  • Max Equity Drawdown (num days)
    107
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12140
  • Compounded annual return (geometric extrapolation)
    0.12509
  • Calmar ratio (compounded annual return / max draw down)
    0.60833
  • Compounded annual return / average of 25% largest draw downs
    1.18506
  • Compounded annual return / Expected Shortfall lognormal
    3.65359

Strategy Description

We speculate long/short on software stocks.
Weekly trading. Holding period of positions ca. 1 week
Quantitative Strategy, using Alternative Data Sources to understang growth of software companies

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-10-09
Suggested Minimum Capital
$35,000
# Trades
213
# Profitable
97
% Profitable
45.5%
Net Dividends
($66)
Correlation S&P500
-0.010
Sharpe Ratio
0.33
Sortino Ratio
0.48
Beta
-0.01
Alpha
0.02
Leverage
1.12 Average
2.29 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

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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.