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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: 27 days ago
Trading style: Equity Hedged Equity Sector: Technology
Subscriptions not currently available.

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.
18.2%
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.

(14.4%)
Max Drawdown
165
Num Trades
44.2%
Win Trades
1.5 : 1
Profit Factor
44.0%
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%)  -              +41.5%

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

This strategy has placed 95 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
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/2/24 11:40 ZS ZSCALER INC. COMMON STOCK LONG 100 199.75 9/9 14:26 159.17 3.23%
Trade id #149175953
Max drawdown($4,447)
Time9/6/24 0:00
Quant open100
Worst price155.28
Drawdown as % of equity-3.23%
 ($4,060)
Includes Typical Broker Commissions trade costs of $2.00
9/2/24 11:40 SMAR SMARTSHEET INC LONG 310 47.61 9/9 14:26 52.11 0.42%
Trade id #149175946
Max drawdown($582)
Time9/5/24 0:00
Quant open310
Worst price45.73
Drawdown as % of equity-0.42%
 $1,389
Includes Typical Broker Commissions trade costs of $6.20
9/2/24 11:40 GTLB GITLAB INC. CLASS A COMMON STOCK SHORT 640 47.40 9/9 14:26 53.61 4.42%
Trade id #149175937
Max drawdown($6,079)
Time9/5/24 0:00
Quant open640
Worst price56.90
Drawdown as % of equity-4.42%
 ($3,979)
Includes Typical Broker Commissions trade costs of $5.00
8/26/24 11:40 NVDA NVIDIA LONG 160 126.99 9/2 11:40 116.04 1.13%
Trade id #149052229
Max drawdown($1,644)
Time8/29/24 0:00
Quant open160
Worst price116.71
Drawdown as % of equity-1.13%
 ($1,755)
Includes Typical Broker Commissions trade costs of $3.20
8/26/24 11:40 NTNX NUTANIX INC. CLASS A COMMON STOCK LONG 190 53.34 9/2 11:40 62.73 0.15%
Trade id #149052226
Max drawdown($220)
Time8/28/24 0:00
Quant open190
Worst price52.18
Drawdown as % of equity-0.15%
 $1,780
Includes Typical Broker Commissions trade costs of $3.80
8/19/24 10:40 WDAY WORKDAY LONG 90 230.28 9/2 11:40 262.99 0.01%
Trade id #148952824
Max drawdown($19)
Time8/19/24 10:46
Quant open90
Worst price230.06
Drawdown as % of equity-0.01%
 $2,942
Includes Typical Broker Commissions trade costs of $1.80
8/19/24 10:40 SNOW SNOWFLAKE INC SHORT 240 131.16 9/2 11:40 113.06 0.77%
Trade id #148952821
Max drawdown($1,094)
Time8/21/24 0:00
Quant open240
Worst price135.72
Drawdown as % of equity-0.77%
 $4,339
Includes Typical Broker Commissions trade costs of $4.80
8/19/24 10:40 PANW PALO ALTO NETWORKS LONG 30 340.75 9/2 11:40 358.51 0.02%
Trade id #148952814
Max drawdown($34)
Time8/19/24 12:00
Quant open30
Worst price339.58
Drawdown as % of equity-0.02%
 $532
Includes Typical Broker Commissions trade costs of $0.60
8/19/24 10:40 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A SHORT 170 59.54 8/26 11:40 71.81 1.5%
Trade id #148952827
Max drawdown($2,179)
Time8/26/24 9:40
Quant open170
Worst price72.36
Drawdown as % of equity-1.50%
 ($2,089)
Includes Typical Broker Commissions trade costs of $3.40
8/5/24 10:40 SEMR SEMRUSH HOLDINGS INC LONG 940 12.69 8/19 10:40 13.58 0.03%
Trade id #148830850
Max drawdown($43)
Time8/5/24 10:50
Quant open940
Worst price12.64
Drawdown as % of equity-0.03%
 $835
Includes Typical Broker Commissions trade costs of $5.00
8/5/24 10:40 HUBS HUBSPOT INC LONG 60 455.47 8/19 10:40 487.76 0.3%
Trade id #148830841
Max drawdown($420)
Time8/6/24 0:00
Quant open60
Worst price448.46
Drawdown as % of equity-0.30%
 $1,936
Includes Typical Broker Commissions trade costs of $1.20
8/5/24 10:40 WIX WIX.COM LTD. ORDINARY SHARES SHORT 190 148.03 8/12 10:40 160.31 2.3%
Trade id #148830856
Max drawdown($3,138)
Time8/7/24 0:00
Quant open190
Worst price164.55
Drawdown as % of equity-2.30%
 ($2,337)
Includes Typical Broker Commissions trade costs of $3.80
8/5/24 10:40 U UNITY SOFTWARE INC SHORT 1,100 14.62 8/12 10:40 15.08 1.49%
Trade id #148830853
Max drawdown($2,051)
Time8/9/24 0:00
Quant open1,100
Worst price16.48
Drawdown as % of equity-1.49%
 ($512)
Includes Typical Broker Commissions trade costs of $5.00
8/5/24 10:40 DOCN DIGITAL OCEAN HOLDINGS INC LONG 860 27.70 8/12 10:40 33.19 0.55%
Trade id #148830832
Max drawdown($753)
Time8/8/24 0:00
Quant open860
Worst price26.82
Drawdown as % of equity-0.55%
 $4,716
Includes Typical Broker Commissions trade costs of $5.00
8/5/24 10:40 APP APPLOVIN CORPORATION CLASS A SHORT 90 67.08 8/12 10:40 76.61 0.73%
Trade id #148830829
Max drawdown($999)
Time8/12/24 9:30
Quant open90
Worst price78.19
Drawdown as % of equity-0.73%
 ($860)
Includes Typical Broker Commissions trade costs of $1.80
7/29/24 10:40 TWLO TWILIO INC LONG 520 58.82 8/12 10:40 60.22 1.01%
Trade id #148763543
Max drawdown($1,383)
Time8/1/24 0:00
Quant open520
Worst price56.16
Drawdown as % of equity-1.01%
 $720
Includes Typical Broker Commissions trade costs of $5.00
7/29/24 10:40 ROKU ROKU INC. CLASS A COMMON STOCK SHORT 260 58.47 8/12 10:40 54.04 0.16%
Trade id #148763536
Max drawdown($215)
Time7/30/24 0:00
Quant open260
Worst price59.30
Drawdown as % of equity-0.16%
 $1,147
Includes Typical Broker Commissions trade costs of $5.20
7/29/24 10:40 RNG RINGCENTRAL INC. LONG 720 34.71 8/12 10:40 31.85 1.67%
Trade id #148763533
Max drawdown($2,302)
Time8/12/24 10:21
Quant open720
Worst price31.52
Drawdown as % of equity-1.67%
 ($2,065)
Includes Typical Broker Commissions trade costs of $5.00
7/29/24 10:40 INFA INFORMATICA INC LONG 630 24.25 8/12 10:40 23.63 0.99%
Trade id #148763522
Max drawdown($1,370)
Time8/5/24 0:00
Quant open630
Worst price22.07
Drawdown as % of equity-0.99%
 ($395)
Includes Typical Broker Commissions trade costs of $5.00
7/29/24 10:40 GEN GEN DIGITAL INC. SHORT 580 26.08 8/12 10:40 24.73 0.12%
Trade id #148763518
Max drawdown($168)
Time7/31/24 0:00
Quant open580
Worst price26.37
Drawdown as % of equity-0.12%
 $781
Includes Typical Broker Commissions trade costs of $5.00
7/29/24 10:40 ETSY ETSY INC. COMMON STOCK SHORT 240 63.92 8/12 10:40 54.09 0.4%
Trade id #148763509
Max drawdown($542)
Time7/31/24 0:00
Quant open240
Worst price66.18
Drawdown as % of equity-0.40%
 $2,354
Includes Typical Broker Commissions trade costs of $4.80
7/29/24 10:40 RBLX ROBLOX CORP LONG 500 40.68 8/5 10:40 36.76 1.93%
Trade id #148763530
Max drawdown($2,690)
Time8/5/24 9:43
Quant open500
Worst price35.30
Drawdown as % of equity-1.93%
 ($1,968)
Includes Typical Broker Commissions trade costs of $10.00
7/29/24 10:40 MSTR MICROSTRATEGY SHORT 10 1746.26 8/5 10:40 1299.75 0.06%
Trade id #148763525
Max drawdown($75)
Time7/29/24 10:43
Quant open10
Worst price1753.85
Drawdown as % of equity-0.06%
 $4,465
Includes Typical Broker Commissions trade costs of $0.20
7/29/24 10:40 GDDY GODADDY INC SHORT 170 144.93 8/5 10:40 147.16 0.89%
Trade id #148763515
Max drawdown($1,217)
Time8/2/24 0:00
Quant open170
Worst price152.09
Drawdown as % of equity-0.89%
 ($383)
Includes Typical Broker Commissions trade costs of $3.40
7/29/24 10:40 FRSH FRESHWORKS INC. CLASS A COMMON STOCK LONG 1,120 13.46 8/5 10:40 11.19 2.01%
Trade id #148763512
Max drawdown($2,800)
Time8/5/24 9:30
Quant open1,120
Worst price10.96
Drawdown as % of equity-2.01%
 ($2,553)
Includes Typical Broker Commissions trade costs of $5.00
7/29/24 10:40 EBAY EBAY SHORT 280 54.63 8/5 10:40 55.12 0.63%
Trade id #148763506
Max drawdown($854)
Time8/1/24 0:00
Quant open280
Worst price57.68
Drawdown as % of equity-0.63%
 ($143)
Includes Typical Broker Commissions trade costs of $5.60
7/22/24 10:40 NOW SERVICENOW LONG 120 759.24 8/5 10:40 802.62 2.8%
Trade id #148709349
Max drawdown($3,601)
Time7/24/24 0:00
Quant open120
Worst price729.23
Drawdown as % of equity-2.80%
 $5,203
Includes Typical Broker Commissions trade costs of $2.40
7/22/24 10:40 STM STMICROELECTRONICS SHORT 920 41.34 7/29 10:40 34.08 0.56%
Trade id #148709355
Max drawdown($717)
Time7/22/24 15:59
Quant open920
Worst price42.12
Drawdown as % of equity-0.56%
 $6,674
Includes Typical Broker Commissions trade costs of $5.00
7/22/24 10:40 SPOT SPOTIFY TECHNOLOGY SA SHORT 210 295.72 7/29 10:40 322.86 8.24%
Trade id #148709352
Max drawdown($10,607)
Time7/24/24 0:00
Quant open210
Worst price346.23
Drawdown as % of equity-8.24%
 ($5,703)
Includes Typical Broker Commissions trade costs of $4.20
6/10/24 13:40 ADBE ADOBE INC SHORT 70 458.06 6/17 15:40 521.41 4.02%
Trade id #148373735
Max drawdown($5,346)
Time6/14/24 0:00
Quant open70
Worst price534.45
Drawdown as % of equity-4.02%
 ($4,435)
Includes Typical Broker Commissions trade costs of $1.40
Next

Statistics

  • Strategy began
    10/9/2022
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    722.76
  • Age
    24 months ago
  • What it trades
    Stocks
  • # Trades
    165
  • # Profitable
    73
  • % Profitable
    44.20%
  • Avg trade duration
    34.5 days
  • Max peak-to-valley drawdown
    14.42%
  • drawdown period
    March 05, 2024 - May 18, 2024
  • Annual Return (Compounded)
    18.2%
  • Avg win
    $1,711
  • Avg loss
    $913.34
  • Model Account Values (Raw)
  • Cash
    $140,831
  • Margin Used
    $0
  • Buying Power
    $140,831
  • Ratios
  • W:L ratio
    1.49:1
  • Sharpe Ratio
    0.9
  • Sortino Ratio
    1.48
  • Calmar Ratio
    2.988
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -18.84%
  • Correlation to SP500
    -0.04950
  • Return Percent SP500 (cumu) during strategy life
    58.01%
  • Return Statistics
  • Ann Return (w trading costs)
    18.2%
  • Slump
  • Current Slump as Pcnt Equity
    5.60%
  • Instruments
  • Percent Trades Futures
    0.02%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.182%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.98%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    18.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    47.50%
  • Chance of 20% account loss
    9.00%
  • Chance of 30% account loss
    1.00%
  • 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)
    826
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    406
  • Popularity (7 days, Percentile 1000 scale)
    360
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $913
  • Avg Win
    $1,711
  • Sum Trade PL (losers)
    $84,027.000
  • Age
  • Num Months filled monthly returns table
    25
  • Win / Loss
  • Sum Trade PL (winners)
    $124,924.000
  • # Winners
    73
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    -66
  • AUM
  • AUM (AutoTrader live capital)
    42087
  • Win / Loss
  • # Losers
    92
  • % Winners
    44.2%
  • Frequency
  • Avg Position Time (mins)
    49743.20
  • Avg Position Time (hrs)
    829.05
  • Avg Trade Length
    34.5 days
  • Last Trade Ago
    22
  • Leverage
  • Daily leverage (average)
    1.15
  • Daily leverage (max)
    2.20
  • Regression
  • Alpha
    0.05
  • Beta
    -0.05
  • Treynor Index
    -0.89
  • 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)
    -0.30
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.654
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.176
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.029
  • Hold-and-Hope Ratio
    0.376
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23412
  • SD
    0.15240
  • Sharpe ratio (Glass type estimate)
    1.53625
  • Sharpe ratio (Hedges UMVUE)
    1.47118
  • df
    18.00000
  • t
    1.93307
  • p
    0.29269
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.11836
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.15237
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15889
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.10125
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.65475
  • Upside Potential Ratio
    6.25666
  • Upside part of mean
    0.31469
  • Downside part of mean
    -0.08057
  • Upside SD
    0.15505
  • Downside SD
    0.05030
  • N nonnegative terms
    10.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.25569
  • Mean of criterion
    0.23412
  • SD of predictor
    0.15767
  • SD of criterion
    0.15240
  • Covariance
    0.00044
  • r
    0.01851
  • b (slope, estimate of beta)
    0.01789
  • a (intercept, estimate of alpha)
    0.22955
  • Mean Square Error
    0.02458
  • DF error
    17.00000
  • t(b)
    0.07633
  • p(b)
    0.48822
  • t(a)
    1.66018
  • p(a)
    0.26787
  • Lowerbound of 95% confidence interval for beta
    -0.47661
  • Upperbound of 95% confidence interval for beta
    0.51239
  • Lowerbound of 95% confidence interval for alpha
    -0.06217
  • Upperbound of 95% confidence interval for alpha
    0.52126
  • Treynor index (mean / b)
    13.08670
  • Jensen alpha (a)
    0.22955
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22099
  • SD
    0.14707
  • Sharpe ratio (Glass type estimate)
    1.50260
  • Sharpe ratio (Hedges UMVUE)
    1.43896
  • df
    18.00000
  • t
    1.89073
  • p
    0.29647
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14835
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.11580
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18804
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.06596
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.31796
  • Upside Potential Ratio
    5.91383
  • Upside part of mean
    0.30267
  • Downside part of mean
    -0.08168
  • Upside SD
    0.14813
  • Downside SD
    0.05118
  • N nonnegative terms
    10.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.24091
  • Mean of criterion
    0.22099
  • SD of predictor
    0.15691
  • SD of criterion
    0.14707
  • Covariance
    0.00038
  • r
    0.01660
  • b (slope, estimate of beta)
    0.01556
  • a (intercept, estimate of alpha)
    0.21724
  • Mean Square Error
    0.02290
  • DF error
    17.00000
  • t(b)
    0.06845
  • p(b)
    0.48943
  • t(a)
    1.64411
  • p(a)
    0.26971
  • Lowerbound of 95% confidence interval for beta
    -0.46401
  • Upperbound of 95% confidence interval for beta
    0.49513
  • Lowerbound of 95% confidence interval for alpha
    -0.06154
  • Upperbound of 95% confidence interval for alpha
    0.49602
  • Treynor index (mean / b)
    14.20420
  • Jensen alpha (a)
    0.21724
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05012
  • Expected Shortfall on VaR
    0.06671
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01486
  • Expected Shortfall on VaR
    0.03009
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.95407
  • Quartile 1
    0.99963
  • Median
    1.00952
  • Quartile 3
    1.04393
  • Maximum
    1.11485
  • Mean of quarter 1
    0.97868
  • Mean of quarter 2
    1.00190
  • Mean of quarter 3
    1.02275
  • Mean of quarter 4
    1.08421
  • Inter Quartile Range
    0.04429
  • 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
    0.05263
  • Mean of outliers high
    1.11485
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -16.12020
  • VaR(95%) (moments method)
    0.00342
  • Expected Shortfall (moments method)
    0.00342
  • Extreme Value Index (regression method)
    -0.68928
  • VaR(95%) (regression method)
    0.03340
  • Expected Shortfall (regression method)
    0.03996
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.06162
  • Quartile 1
    0.06162
  • Median
    0.06162
  • Quartile 3
    0.06162
  • Maximum
    0.06162
  • 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)
    0.30507
  • Compounded annual return (geometric extrapolation)
    0.28261
  • Calmar ratio (compounded annual return / max draw down)
    4.58630
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    4.23665
  • 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
    0.19062
  • SD
    0.15812
  • Sharpe ratio (Glass type estimate)
    1.20551
  • Sharpe ratio (Hedges UMVUE)
    1.20342
  • df
    434.00000
  • t
    1.55333
  • p
    0.06054
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31835
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.72805
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31977
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72661
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.21951
  • Upside Potential Ratio
    7.63925
  • Upside part of mean
    0.65607
  • Downside part of mean
    -0.46546
  • Upside SD
    0.13307
  • Downside SD
    0.08588
  • N nonnegative terms
    151.00000
  • N negative terms
    284.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    435.00000
  • Mean of predictor
    0.26660
  • Mean of criterion
    0.19062
  • SD of predictor
    0.16209
  • SD of criterion
    0.15812
  • Covariance
    -0.00084
  • r
    -0.03265
  • b (slope, estimate of beta)
    -0.03185
  • a (intercept, estimate of alpha)
    0.19900
  • Mean Square Error
    0.02503
  • DF error
    433.00000
  • t(b)
    -0.67973
  • p(b)
    0.75148
  • t(a)
    1.61319
  • p(a)
    0.05372
  • Lowerbound of 95% confidence interval for beta
    -0.12394
  • Upperbound of 95% confidence interval for beta
    0.06024
  • Lowerbound of 95% confidence interval for alpha
    -0.04348
  • Upperbound of 95% confidence interval for alpha
    0.44169
  • Treynor index (mean / b)
    -5.98486
  • Jensen alpha (a)
    0.19911
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17833
  • SD
    0.15557
  • Sharpe ratio (Glass type estimate)
    1.14632
  • Sharpe ratio (Hedges UMVUE)
    1.14434
  • df
    434.00000
  • t
    1.47707
  • p
    0.07019
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37733
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.66866
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37865
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.66733
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.04714
  • Upside Potential Ratio
    7.43287
  • Upside part of mean
    0.64750
  • Downside part of mean
    -0.46916
  • Upside SD
    0.12915
  • Downside SD
    0.08711
  • N nonnegative terms
    151.00000
  • N negative terms
    284.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    435.00000
  • Mean of predictor
    0.25337
  • Mean of criterion
    0.17833
  • SD of predictor
    0.16190
  • SD of criterion
    0.15557
  • Covariance
    -0.00084
  • r
    -0.03347
  • b (slope, estimate of beta)
    -0.03216
  • a (intercept, estimate of alpha)
    0.18648
  • Mean Square Error
    0.02423
  • DF error
    433.00000
  • t(b)
    -0.69685
  • p(b)
    0.75686
  • t(a)
    1.53646
  • p(a)
    0.06258
  • Lowerbound of 95% confidence interval for beta
    -0.12287
  • Upperbound of 95% confidence interval for beta
    0.05855
  • Lowerbound of 95% confidence interval for alpha
    -0.05207
  • Upperbound of 95% confidence interval for alpha
    0.42503
  • Treynor index (mean / b)
    -5.54511
  • Jensen alpha (a)
    0.18648
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01501
  • Expected Shortfall on VaR
    0.01896
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00475
  • Expected Shortfall on VaR
    0.01020
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    435.00000
  • Minimum
    0.95225
  • Quartile 1
    0.99910
  • Median
    1.00000
  • Quartile 3
    1.00186
  • Maximum
    1.10851
  • Mean of quarter 1
    0.99329
  • Mean of quarter 2
    0.99989
  • Mean of quarter 3
    1.00038
  • Mean of quarter 4
    1.00977
  • Inter Quartile Range
    0.00276
  • Number outliers low
    39.00000
  • Percentage of outliers low
    0.08966
  • Mean of outliers low
    0.98605
  • Number of outliers high
    54.00000
  • Percentage of outliers high
    0.12414
  • Mean of outliers high
    1.01603
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54063
  • VaR(95%) (moments method)
    0.00464
  • Expected Shortfall (moments method)
    0.01213
  • Extreme Value Index (regression method)
    0.27453
  • VaR(95%) (regression method)
    0.00560
  • Expected Shortfall (regression method)
    0.01055
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00072
  • Quartile 1
    0.00331
  • Median
    0.01274
  • Quartile 3
    0.06687
  • Maximum
    0.07664
  • Mean of quarter 1
    0.00161
  • Mean of quarter 2
    0.00887
  • Mean of quarter 3
    0.03514
  • Mean of quarter 4
    0.07359
  • Inter Quartile Range
    0.06356
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.46157
  • VaR(95%) (moments method)
    0.07639
  • Expected Shortfall (moments method)
    0.07707
  • Extreme Value Index (regression method)
    -1.53290
  • VaR(95%) (regression method)
    0.07652
  • Expected Shortfall (regression method)
    0.07695
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24595
  • Compounded annual return (geometric extrapolation)
    0.22905
  • Calmar ratio (compounded annual return / max draw down)
    2.98847
  • Compounded annual return / average of 25% largest draw downs
    3.11245
  • Compounded annual return / Expected Shortfall lognormal
    12.08310
  • 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
    0.71131
  • SD
    0.26262
  • Sharpe ratio (Glass type estimate)
    2.70850
  • Sharpe ratio (Hedges UMVUE)
    2.69285
  • df
    130.00000
  • t
    1.91520
  • p
    0.41717
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08789
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.49469
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09822
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.48391
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.43947
  • Upside Potential Ratio
    10.76710
  • Upside part of mean
    1.40800
  • Downside part of mean
    -0.69668
  • Upside SD
    0.23081
  • Downside SD
    0.13077
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26509
  • Mean of criterion
    0.71131
  • SD of predictor
    0.14991
  • SD of criterion
    0.26262
  • Covariance
    0.00529
  • r
    0.13426
  • b (slope, estimate of beta)
    0.23520
  • a (intercept, estimate of alpha)
    0.64896
  • Mean Square Error
    0.06825
  • DF error
    129.00000
  • t(b)
    1.53877
  • p(b)
    0.41479
  • t(a)
    1.74603
  • p(a)
    0.40364
  • Lowerbound of 95% confidence interval for beta
    -0.06722
  • Upperbound of 95% confidence interval for beta
    0.53763
  • Lowerbound of 95% confidence interval for alpha
    -0.08642
  • Upperbound of 95% confidence interval for alpha
    1.38434
  • Treynor index (mean / b)
    3.02424
  • Jensen alpha (a)
    0.64896
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67699
  • SD
    0.25762
  • Sharpe ratio (Glass type estimate)
    2.62787
  • Sharpe ratio (Hedges UMVUE)
    2.61268
  • df
    130.00000
  • t
    1.85818
  • p
    0.41957
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16714
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.41304
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17726
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.40262
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.08850
  • Upside Potential Ratio
    10.39020
  • Upside part of mean
    1.38235
  • Downside part of mean
    -0.70536
  • Upside SD
    0.22341
  • Downside SD
    0.13304
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25373
  • Mean of criterion
    0.67699
  • SD of predictor
    0.15048
  • SD of criterion
    0.25762
  • Covariance
    0.00524
  • r
    0.13529
  • b (slope, estimate of beta)
    0.23161
  • a (intercept, estimate of alpha)
    0.61823
  • Mean Square Error
    0.06566
  • DF error
    129.00000
  • t(b)
    1.55089
  • p(b)
    0.41413
  • t(a)
    1.69678
  • p(a)
    0.40628
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    -0.06386
  • Upperbound of 95% confidence interval for beta
    0.52709
  • Lowerbound of 95% confidence interval for alpha
    -0.10265
  • Upperbound of 95% confidence interval for alpha
    1.33910
  • Treynor index (mean / b)
    2.92293
  • Jensen alpha (a)
    0.61823
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02332
  • Expected Shortfall on VaR
    0.02978
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00639
  • Expected Shortfall on VaR
    0.01406
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95225
  • Quartile 1
    0.99932
  • Median
    1.00000
  • Quartile 3
    1.00503
  • Maximum
    1.10851
  • Mean of quarter 1
    0.98970
  • Mean of quarter 2
    0.99997
  • Mean of quarter 3
    1.00163
  • Mean of quarter 4
    1.01995
  • Inter Quartile Range
    0.00572
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.97375
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.12214
  • Mean of outliers high
    1.03230
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.83456
  • VaR(95%) (moments method)
    0.00581
  • Expected Shortfall (moments method)
    0.04077
  • Extreme Value Index (regression method)
    0.33832
  • VaR(95%) (regression method)
    0.00858
  • Expected Shortfall (regression method)
    0.01823
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00072
  • Quartile 1
    0.00205
  • Median
    0.00693
  • Quartile 3
    0.05503
  • Maximum
    0.07664
  • Mean of quarter 1
    0.00104
  • Mean of quarter 2
    0.00335
  • Mean of quarter 3
    0.01498
  • Mean of quarter 4
    0.07080
  • Inter Quartile Range
    0.05298
  • 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)
    -0.62127
  • VaR(95%) (moments method)
    0.07523
  • Expected Shortfall (moments method)
    0.07757
  • Extreme Value Index (regression method)
    0.95652
  • VaR(95%) (regression method)
    0.07842
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.39493
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -408520000
  • Max Equity Drawdown (num days)
    74
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.84509
  • Compounded annual return (geometric extrapolation)
    1.02364
  • Calmar ratio (compounded annual return / max draw down)
    13.35590
  • Compounded annual return / average of 25% largest draw downs
    14.45880
  • Compounded annual return / Expected Shortfall lognormal
    34.37800

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
$5,000
# Trades
165
# Profitable
73
% Profitable
44.2%
Net Dividends
($66)
Correlation S&P500
-0.050
Sharpe Ratio
0.90
Sortino Ratio
1.48
Beta
-0.05
Alpha
0.05
Leverage
1.15 Average
2.20 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.