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For your consideration Futures Bridge +46.2% Annual Return (Compounded) since Apr 5, 2024 Hypothetical

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Real Hedge
(144770203)

Created by: RealHedge RealHedge
Started: 05/2023
Stocks
Last trade: 7 days ago
Trading style: Equity Trend-following

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 $100.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
41.3%
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.

(35.8%)
Max Drawdown
1060
Num Trades
79.8%
Win Trades
2.1 : 1
Profit Factor
67.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                            (0.1%)+1.6%+6.5%+0.7%(28%)(5.1%)+49.8%+11.6%+24.4%
2024+1.1%+5.1%+2.4%(27.5%)+37.5%+2.9%+18.2%(4.9%)+4.3%+0.4%+19.4%(8.8%)+42.9%
2025+17.7%(14.9%)(1.8%)(1.2%)+5.6%+3.5%+6.9%+7.9%                        +22.6%

Model Account Details

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

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

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

Trading Record

This strategy has placed 5,135 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
8/15/25 11:22 ETHD PROSHARES ULTRASHORT ETHER ETF LONG 400 3.84 8/15 13:26 3.89 0.01%
Trade id #152618109
Max drawdown($8)
Time8/15/25 11:37
Quant open300
Worst price3.80
Drawdown as % of equity-0.01%
 $13
Includes Typical Broker Commissions trade costs of $8.00
8/15/25 9:43 ETHD PROSHARES ULTRASHORT ETHER ETF LONG 500 3.68 8/15 11:16 3.78 n/a $41
Includes Typical Broker Commissions trade costs of $10.00
7/22/25 11:25 SOLZ SOLANA ETF LONG 850 21.02 8/15 10:25 21.20 0.9%
Trade id #152385794
Max drawdown($904)
Time8/5/25 0:00
Quant open250
Worst price17.70
Drawdown as % of equity-0.90%
 $134
Includes Typical Broker Commissions trade costs of $17.00
7/30/25 15:03 SPXL DIREXION DAILY S&P500 BULL 3X LONG 135 185.21 8/15 10:11 190.42 0.42%
Trade id #152474577
Max drawdown($427)
Time8/1/25 0:00
Quant open30
Worst price172.63
Drawdown as % of equity-0.42%
 $700
Includes Typical Broker Commissions trade costs of $2.70
8/14/25 9:31 ETHA ISHARES ETHEREUM TRUST ETF LONG 280 34.45 8/15 10:01 34.97 0.05%
Trade id #152606230
Max drawdown($59)
Time8/14/25 14:22
Quant open120
Worst price33.95
Drawdown as % of equity-0.05%
 $141
Includes Typical Broker Commissions trade costs of $5.60
8/14/25 13:58 TSLA TESLA INC. LONG 2 334.13 8/15 9:36 335.71 0%
Trade id #152610448
Max drawdown($2)
Time8/14/25 14:22
Quant open2
Worst price332.83
Drawdown as % of equity-0.00%
 $3
Includes Typical Broker Commissions trade costs of $0.04
8/13/25 21:47 @MBTU5 MICRO BITCOIN LONG 3 121565 8/14 19:15 119978 0.6%
Trade id #152603454
Max drawdown($670)
Time8/14/25 0:00
Quant open1
Worst price118300
Drawdown as % of equity-0.60%
 ($500)
Includes Typical Broker Commissions trade costs of $24.00
8/14/25 10:16 ETHD PROSHARES ULTRASHORT ETHER ETF LONG 200 3.53 8/14 12:29 3.69 0.02%
Trade id #152607005
Max drawdown($18)
Time8/14/25 10:38
Quant open200
Worst price3.44
Drawdown as % of equity-0.02%
 $29
Includes Typical Broker Commissions trade costs of $4.00
8/14/25 9:08 @MESU5 MICRO E-MINI S&P 500 LONG 1 6463.00 8/14 9:50 6476.50 0.01%
Trade id #152605863
Max drawdown($10)
Time8/14/25 9:22
Quant open1
Worst price6461.00
Drawdown as % of equity-0.01%
 $67
Includes Typical Broker Commissions trade costs of $1.20
8/13/25 11:08 ETHD PROSHARES ULTRASHORT ETHER ETF LONG 500 3.52 8/14 9:43 3.68 0.07%
Trade id #152597710
Max drawdown($72)
Time8/13/25 15:24
Quant open500
Worst price3.37
Drawdown as % of equity-0.07%
 $71
Includes Typical Broker Commissions trade costs of $10.00
8/12/25 9:30 BMNR BITMINE IMMERSION TECHNOLOGIES INC LONG 105 60.05 8/13 10:44 64.12 0.3%
Trade id #152584338
Max drawdown($322)
Time8/12/25 10:19
Quant open80
Worst price55.62
Drawdown as % of equity-0.30%
 $425
Includes Typical Broker Commissions trade costs of $2.10
8/12/25 10:05 UWM PROSHARES ULTRA RUSSELL2000 LONG 80 40.21 8/13 10:16 41.93 n/a $136
Includes Typical Broker Commissions trade costs of $1.60
8/12/25 10:17 SPY SPDR S&P 500 LONG 10 639.31 8/13 9:57 645.70 0%
Trade id #152585744
Max drawdown($4)
Time8/12/25 10:35
Quant open10
Worst price638.86
Drawdown as % of equity-0.00%
 $64
Includes Typical Broker Commissions trade costs of $0.20
8/13/25 7:12 @MBTU5 MICRO BITCOIN LONG 1 121885 8/13 9:54 123200 0.04%
Trade id #152594867
Max drawdown($44)
Time8/13/25 9:42
Quant open1
Worst price121440
Drawdown as % of equity-0.04%
 $124
Includes Typical Broker Commissions trade costs of $8.00
8/12/25 10:18 TQQQ PROSHARES ULTRAPRO QQQ LONG 40 92.52 8/12 14:23 94.48 n/a $78
Includes Typical Broker Commissions trade costs of $0.80
8/8/25 13:52 SOLT 2X SOLANA ETF LONG 100 19.38 8/12 11:51 19.75 0.05%
Trade id #152561878
Max drawdown($58)
Time8/12/25 9:51
Quant open75
Worst price18.60
Drawdown as % of equity-0.05%
 $35
Includes Typical Broker Commissions trade costs of $2.00
12/5/24 10:28 ETHA ISHARES ETHEREUM TRUST ETF LONG 2,380 25.72 8/12/25 11:01 25.73 3.86%
Trade id #150251562
Max drawdown($3,552)
Time1/13/25 0:00
Quant open500
Worst price22.04
Drawdown as % of equity-3.86%
 ($41)
Includes Typical Broker Commissions trade costs of $47.60
7/23/25 11:01 IWM ISHARES RUSSELL 2000 INDEX LONG 80 221.20 8/12 10:32 222.52 0.39%
Trade id #152396413
Max drawdown($391)
Time8/1/25 0:00
Quant open30
Worst price212.34
Drawdown as % of equity-0.39%
 $104
Includes Typical Broker Commissions trade costs of $1.60
8/7/25 10:13 SPY2531J640 SPY Oct31'25 640 call LONG 2 16.13 8/12 10:17 18.37 0.35%
Trade id #152547016
Max drawdown($354)
Time8/7/25 14:10
Quant open2
Worst price14.36
Drawdown as % of equity-0.35%
 $444
Includes Typical Broker Commissions trade costs of $4.00
8/8/25 10:16 TQQQ PROSHARES ULTRAPRO QQQ LONG 40 91.49 8/11 12:28 92.92 0.02%
Trade id #152558250
Max drawdown($18)
Time8/8/25 11:41
Quant open40
Worst price91.03
Drawdown as % of equity-0.02%
 $57
Includes Typical Broker Commissions trade costs of $0.80
8/8/25 10:20 SOXL DIREXION DAILY SEMICONDCT BULL LONG 40 25.65 8/11 10:46 26.58 0.01%
Trade id #152558319
Max drawdown($7)
Time8/8/25 13:27
Quant open40
Worst price25.45
Drawdown as % of equity-0.01%
 $36
Includes Typical Broker Commissions trade costs of $0.80
8/8/25 10:57 SBET SHARPLINK GAMING LTD LONG 40 22.86 8/8 13:39 24.79 0.02%
Trade id #152558929
Max drawdown($26)
Time8/8/25 11:44
Quant open40
Worst price22.21
Drawdown as % of equity-0.02%
 $76
Includes Typical Broker Commissions trade costs of $0.80
8/8/25 10:58 BMNR BITMINE IMMERSION TECHNOLOGIES INC LONG 20 46.85 8/8 13:38 51.41 0.02%
Trade id #152558944
Max drawdown($22)
Time8/8/25 11:12
Quant open20
Worst price45.75
Drawdown as % of equity-0.02%
 $91
Includes Typical Broker Commissions trade costs of $0.40
8/5/25 9:59 UWM PROSHARES ULTRA RUSSELL2000 LONG 100 38.91 8/8 10:40 39.21 0.06%
Trade id #152522910
Max drawdown($60)
Time8/7/25 0:00
Quant open100
Worst price38.31
Drawdown as % of equity-0.06%
 $28
Includes Typical Broker Commissions trade costs of $2.00
7/28/25 9:49 TSLA TESLA INC. LONG 12 322.19 8/8 10:35 322.93 0.09%
Trade id #152440774
Max drawdown($89)
Time7/31/25 0:00
Quant open5
Worst price306.10
Drawdown as % of equity-0.09%
 $9
Includes Typical Broker Commissions trade costs of $0.24
8/7/25 9:49 MAGS ROUNDHILL MAGNIFICENT SEVEN ETF LONG 100 59.17 8/8 9:58 59.50 0.07%
Trade id #152546503
Max drawdown($68)
Time8/7/25 14:21
Quant open100
Worst price58.48
Drawdown as % of equity-0.07%
 $31
Includes Typical Broker Commissions trade costs of $2.00
8/7/25 11:00 QQQ POWERSHARES QQQ LONG 10 570.24 8/8 9:51 572.48 0.05%
Trade id #152548030
Max drawdown($51)
Time8/7/25 14:19
Quant open10
Worst price565.11
Drawdown as % of equity-0.05%
 $22
Includes Typical Broker Commissions trade costs of $0.20
8/7/25 9:37 BMNR BITMINE IMMERSION TECHNOLOGIES INC LONG 50 41.23 8/8 9:50 45.18 0.08%
Trade id #152546044
Max drawdown($77)
Time8/7/25 12:49
Quant open50
Worst price39.69
Drawdown as % of equity-0.08%
 $197
Includes Typical Broker Commissions trade costs of $1.00
8/7/25 9:36 SBET SHARPLINK GAMING LTD LONG 100 22.49 8/8 9:49 24.00 0.03%
Trade id #152546029
Max drawdown($33)
Time8/7/25 10:48
Quant open50
Worst price21.75
Drawdown as % of equity-0.03%
 $149
Includes Typical Broker Commissions trade costs of $2.00
8/7/25 9:37 IREN IREN LIMITED LONG 100 18.42 8/8 9:47 18.61 0.08%
Trade id #152546059
Max drawdown($82)
Time8/7/25 12:47
Quant open100
Worst price17.60
Drawdown as % of equity-0.08%
 $17
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    5/29/2023
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    819.15
  • Age
    27 months ago
  • What it trades
    Stocks
  • # Trades
    1060
  • # Profitable
    846
  • % Profitable
    79.80%
  • Avg trade duration
    12.6 days
  • Max peak-to-valley drawdown
    35.78%
  • drawdown period
    July 20, 2023 - Oct 27, 2023
  • Annual Return (Compounded)
    41.3%
  • Avg win
    $167.87
  • Avg loss
    $329.29
  • Model Account Values (Raw)
  • Cash
    $72,886
  • Margin Used
    $0
  • Buying Power
    $63,540
  • Ratios
  • W:L ratio
    2.06:1
  • Sharpe Ratio
    0.93
  • Sortino Ratio
    1.5
  • Calmar Ratio
    1.45
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    64.30%
  • Correlation to SP500
    0.38680
  • Return Percent SP500 (cumu) during strategy life
    53.77%
  • Return Statistics
  • Ann Return (w trading costs)
    41.3%
  • Slump
  • Current Slump as Pcnt Equity
    2.50%
  • Instruments
  • Percent Trades Futures
    0.06%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Return Statistics
  • Return Pcnt Since TOS Status
    35.130%
  • Instruments
  • Short Options - Percent Covered
    33.33%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.413%
  • Instruments
  • Percent Trades Options
    0.02%
  • Percent Trades Stocks
    0.91%
  • Percent Trades Forex
    0.01%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    45.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    62.00%
  • Chance of 20% account loss
    27.50%
  • Chance of 30% account loss
    10.50%
  • Chance of 40% account loss
    3.50%
  • 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
    0.50%
  • Popularity
  • Popularity (Today)
    414
  • Popularity (Last 6 weeks)
    881
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    932
  • Popularity (7 days, Percentile 1000 scale)
    863
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $363
  • Avg Win
    $168
  • Sum Trade PL (losers)
    $77,397.000
  • Age
  • Num Months filled monthly returns table
    28
  • Win / Loss
  • Sum Trade PL (winners)
    $142,554.000
  • # Winners
    847
  • Num Months Winners
    20
  • Dividends
  • Dividends Received in Model Acct
    1291
  • AUM
  • AUM (AutoTrader live capital)
    349837
  • Win / Loss
  • # Losers
    213
  • % Winners
    79.9%
  • Frequency
  • Avg Position Time (mins)
    18071.90
  • Avg Position Time (hrs)
    301.20
  • Avg Trade Length
    12.6 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    3.34
  • Daily leverage (max)
    11.91
  • Regression
  • Alpha
    0.06
  • Beta
    0.88
  • Treynor Index
    0.12
  • 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)
    2.91
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.994
  • 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
    1.030
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.552
  • Hold-and-Hope Ratio
    0.235
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46000
  • SD
    0.48309
  • Sharpe ratio (Glass type estimate)
    0.95219
  • Sharpe ratio (Hedges UMVUE)
    0.92329
  • df
    25.00000
  • t
    1.40159
  • p
    0.08667
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41407
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.30028
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43262
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.27919
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.98937
  • Upside Potential Ratio
    3.50051
  • Upside part of mean
    0.80941
  • Downside part of mean
    -0.34941
  • Upside SD
    0.43425
  • Downside SD
    0.23123
  • N nonnegative terms
    19.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.17793
  • Mean of criterion
    0.46000
  • SD of predictor
    0.16331
  • SD of criterion
    0.48309
  • Covariance
    0.04458
  • r
    0.56503
  • b (slope, estimate of beta)
    1.67142
  • a (intercept, estimate of alpha)
    0.16260
  • Mean Square Error
    0.16549
  • DF error
    24.00000
  • t(b)
    3.35493
  • p(b)
    0.00132
  • t(a)
    0.56023
  • p(a)
    0.29026
  • Lowerbound of 95% confidence interval for beta
    0.64319
  • Upperbound of 95% confidence interval for beta
    2.69965
  • Lowerbound of 95% confidence interval for alpha
    -0.43642
  • Upperbound of 95% confidence interval for alpha
    0.76162
  • Treynor index (mean / b)
    0.27521
  • Jensen alpha (a)
    0.16260
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35139
  • SD
    0.45077
  • Sharpe ratio (Glass type estimate)
    0.77953
  • Sharpe ratio (Hedges UMVUE)
    0.75587
  • df
    25.00000
  • t
    1.14744
  • p
    0.13103
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57680
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12077
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59205
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10378
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.35819
  • Upside Potential Ratio
    2.82534
  • Upside part of mean
    0.73096
  • Downside part of mean
    -0.37958
  • Upside SD
    0.37246
  • Downside SD
    0.25872
  • N nonnegative terms
    19.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.16375
  • Mean of criterion
    0.35139
  • SD of predictor
    0.16137
  • SD of criterion
    0.45077
  • Covariance
    0.04190
  • r
    0.57598
  • b (slope, estimate of beta)
    1.60895
  • a (intercept, estimate of alpha)
    0.08793
  • Mean Square Error
    0.14144
  • DF error
    24.00000
  • t(b)
    3.45178
  • p(b)
    0.00104
  • t(a)
    0.32974
  • p(a)
    0.37223
  • Lowerbound of 95% confidence interval for beta
    0.64692
  • Upperbound of 95% confidence interval for beta
    2.57098
  • Lowerbound of 95% confidence interval for alpha
    -0.46242
  • Upperbound of 95% confidence interval for alpha
    0.63828
  • Treynor index (mean / b)
    0.21839
  • Jensen alpha (a)
    0.08793
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16869
  • Expected Shortfall on VaR
    0.21179
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04249
  • Expected Shortfall on VaR
    0.09793
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.73730
  • Quartile 1
    0.96241
  • Median
    1.02226
  • Quartile 3
    1.10030
  • Maximum
    1.49340
  • Mean of quarter 1
    0.89418
  • Mean of quarter 2
    1.00980
  • Mean of quarter 3
    1.06426
  • Mean of quarter 4
    1.19337
  • Inter Quartile Range
    0.13789
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03846
  • Mean of outliers low
    0.73730
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.03846
  • Mean of outliers high
    1.49340
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35811
  • VaR(95%) (moments method)
    0.11964
  • Expected Shortfall (moments method)
    0.21021
  • Extreme Value Index (regression method)
    0.90696
  • VaR(95%) (regression method)
    0.13212
  • Expected Shortfall (regression method)
    1.14983
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.19369
  • Quartile 1
    0.19734
  • Median
    0.20099
  • Quartile 3
    0.25390
  • Maximum
    0.30682
  • Mean of quarter 1
    0.19369
  • Mean of quarter 2
    0.20099
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.30682
  • Inter Quartile Range
    0.05656
  • 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)
    0.58827
  • Compounded annual return (geometric extrapolation)
    0.46125
  • Calmar ratio (compounded annual return / max draw down)
    1.50334
  • Compounded annual return / average of 25% largest draw downs
    1.50334
  • Compounded annual return / Expected Shortfall lognormal
    2.17790
  • 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
    0.42310
  • SD
    0.34179
  • Sharpe ratio (Glass type estimate)
    1.23790
  • Sharpe ratio (Hedges UMVUE)
    1.23627
  • df
    568.00000
  • t
    1.82428
  • p
    0.03432
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09452
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.56932
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09565
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.56818
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.98772
  • Upside Potential Ratio
    9.87000
  • Upside part of mean
    2.10088
  • Downside part of mean
    -1.67778
  • Upside SD
    0.26831
  • Downside SD
    0.21285
  • N nonnegative terms
    296.00000
  • N negative terms
    273.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    569.00000
  • Mean of predictor
    0.17566
  • Mean of criterion
    0.42310
  • SD of predictor
    0.15735
  • SD of criterion
    0.34179
  • Covariance
    0.02075
  • r
    0.38577
  • b (slope, estimate of beta)
    0.83796
  • a (intercept, estimate of alpha)
    0.27600
  • Mean Square Error
    0.09961
  • DF error
    567.00000
  • t(b)
    9.95649
  • p(b)
    -0.00000
  • t(a)
    1.28520
  • p(a)
    0.09962
  • Lowerbound of 95% confidence interval for beta
    0.67266
  • Upperbound of 95% confidence interval for beta
    1.00327
  • Lowerbound of 95% confidence interval for alpha
    -0.14575
  • Upperbound of 95% confidence interval for alpha
    0.69755
  • Treynor index (mean / b)
    0.50491
  • Jensen alpha (a)
    0.27590
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36502
  • SD
    0.33942
  • Sharpe ratio (Glass type estimate)
    1.07543
  • Sharpe ratio (Hedges UMVUE)
    1.07401
  • df
    568.00000
  • t
    1.58485
  • p
    0.05678
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25646
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40643
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.25743
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40545
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.68068
  • Upside Potential Ratio
    9.51204
  • Upside part of mean
    2.06589
  • Downside part of mean
    -1.70087
  • Upside SD
    0.26142
  • Downside SD
    0.21719
  • N nonnegative terms
    296.00000
  • N negative terms
    273.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    569.00000
  • Mean of predictor
    0.16329
  • Mean of criterion
    0.36502
  • SD of predictor
    0.15680
  • SD of criterion
    0.33942
  • Covariance
    0.02077
  • r
    0.39017
  • b (slope, estimate of beta)
    0.84459
  • a (intercept, estimate of alpha)
    0.22711
  • Mean Square Error
    0.09784
  • DF error
    567.00000
  • t(b)
    10.09040
  • p(b)
    -0.00000
  • t(a)
    1.06777
  • p(a)
    0.14304
  • Lowerbound of 95% confidence interval for beta
    0.68018
  • Upperbound of 95% confidence interval for beta
    1.00899
  • Lowerbound of 95% confidence interval for alpha
    -0.19065
  • Upperbound of 95% confidence interval for alpha
    0.64486
  • Treynor index (mean / b)
    0.43219
  • Jensen alpha (a)
    0.22711
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03256
  • Expected Shortfall on VaR
    0.04097
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01437
  • Expected Shortfall on VaR
    0.02833
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    569.00000
  • Minimum
    0.91869
  • Quartile 1
    0.99118
  • Median
    1.00056
  • Quartile 3
    1.01068
  • Maximum
    1.11354
  • Mean of quarter 1
    0.97806
  • Mean of quarter 2
    0.99668
  • Mean of quarter 3
    1.00498
  • Mean of quarter 4
    1.02734
  • Inter Quartile Range
    0.01950
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.03339
  • Mean of outliers low
    0.95080
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.04218
  • Mean of outliers high
    1.06110
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22314
  • VaR(95%) (moments method)
    0.02186
  • Expected Shortfall (moments method)
    0.03428
  • Extreme Value Index (regression method)
    0.09665
  • VaR(95%) (regression method)
    0.02111
  • Expected Shortfall (regression method)
    0.03022
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    33.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00677
  • Median
    0.02134
  • Quartile 3
    0.06672
  • Maximum
    0.33204
  • Mean of quarter 1
    0.00371
  • Mean of quarter 2
    0.01435
  • Mean of quarter 3
    0.04062
  • Mean of quarter 4
    0.17690
  • Inter Quartile Range
    0.05995
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.12121
  • Mean of outliers high
    0.24976
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.12195
  • VaR(95%) (moments method)
    0.16386
  • Expected Shortfall (moments method)
    0.24091
  • Extreme Value Index (regression method)
    0.03599
  • VaR(95%) (regression method)
    0.19215
  • Expected Shortfall (regression method)
    0.27259
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.62046
  • Compounded annual return (geometric extrapolation)
    0.48131
  • Calmar ratio (compounded annual return / max draw down)
    1.44957
  • Compounded annual return / average of 25% largest draw downs
    2.72088
  • Compounded annual return / Expected Shortfall lognormal
    11.74860
  • 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
    0.27979
  • SD
    0.22688
  • Sharpe ratio (Glass type estimate)
    1.23321
  • Sharpe ratio (Hedges UMVUE)
    1.22608
  • df
    130.00000
  • t
    0.87201
  • p
    0.46187
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.54495
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.00677
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54973
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.00189
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95571
  • Upside Potential Ratio
    10.24060
  • Upside part of mean
    1.46504
  • Downside part of mean
    -1.18525
  • Upside SD
    0.17582
  • Downside SD
    0.14306
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07221
  • Mean of criterion
    0.27979
  • SD of predictor
    0.23815
  • SD of criterion
    0.22688
  • Covariance
    0.01744
  • r
    0.32283
  • b (slope, estimate of beta)
    0.30756
  • a (intercept, estimate of alpha)
    0.25758
  • Mean Square Error
    0.04647
  • DF error
    129.00000
  • t(b)
    3.87414
  • p(b)
    0.29811
  • t(a)
    0.84479
  • p(a)
    0.45282
  • Lowerbound of 95% confidence interval for beta
    0.15049
  • Upperbound of 95% confidence interval for beta
    0.46463
  • Lowerbound of 95% confidence interval for alpha
    -0.34568
  • Upperbound of 95% confidence interval for alpha
    0.86084
  • Treynor index (mean / b)
    0.90971
  • Jensen alpha (a)
    0.25758
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25420
  • SD
    0.22619
  • Sharpe ratio (Glass type estimate)
    1.12383
  • Sharpe ratio (Hedges UMVUE)
    1.11733
  • df
    130.00000
  • t
    0.79466
  • p
    0.46524
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.65340
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.89694
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.65780
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.89246
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.75387
  • Upside Potential Ratio
    10.00270
  • Upside part of mean
    1.44973
  • Downside part of mean
    -1.19554
  • Upside SD
    0.17324
  • Downside SD
    0.14493
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04434
  • Mean of criterion
    0.25420
  • SD of predictor
    0.23639
  • SD of criterion
    0.22619
  • Covariance
    0.01755
  • r
    0.32821
  • b (slope, estimate of beta)
    0.31404
  • a (intercept, estimate of alpha)
    0.24027
  • Mean Square Error
    0.04600
  • DF error
    129.00000
  • t(b)
    3.94631
  • p(b)
    0.29487
  • t(a)
    0.79206
  • p(a)
    0.45575
  • VAR (95 Confidence Intrvl)
    0.03300
  • Lowerbound of 95% confidence interval for beta
    0.15659
  • Upperbound of 95% confidence interval for beta
    0.47149
  • Lowerbound of 95% confidence interval for alpha
    -0.35991
  • Upperbound of 95% confidence interval for alpha
    0.84045
  • Treynor index (mean / b)
    0.80943
  • Jensen alpha (a)
    0.24027
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02177
  • Expected Shortfall on VaR
    0.02746
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01061
  • Expected Shortfall on VaR
    0.02019
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95729
  • Quartile 1
    0.99344
  • Median
    0.99994
  • Quartile 3
    1.00809
  • Maximum
    1.05532
  • Mean of quarter 1
    0.98514
  • Mean of quarter 2
    0.99712
  • Mean of quarter 3
    1.00364
  • Mean of quarter 4
    1.01887
  • Inter Quartile Range
    0.01465
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.96189
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.04020
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00617
  • VaR(95%) (moments method)
    0.01423
  • Expected Shortfall (moments method)
    0.01895
  • Extreme Value Index (regression method)
    0.09289
  • VaR(95%) (regression method)
    0.01530
  • Expected Shortfall (regression method)
    0.02155
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00397
  • Quartile 1
    0.03012
  • Median
    0.04796
  • Quartile 3
    0.07812
  • Maximum
    0.14125
  • Mean of quarter 1
    0.00397
  • Mean of quarter 2
    0.03884
  • Mean of quarter 3
    0.05707
  • Mean of quarter 4
    0.14125
  • Inter Quartile Range
    0.04799
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -418200000
  • Max Equity Drawdown (num days)
    99
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30297
  • Compounded annual return (geometric extrapolation)
    0.32591
  • Calmar ratio (compounded annual return / max draw down)
    2.30743
  • Compounded annual return / average of 25% largest draw downs
    2.30743
  • Compounded annual return / Expected Shortfall lognormal
    11.87020

Strategy Description

Focused on Mix of Position/Swing Trading in Stocks, ETFs and Options selectively with objective of generating high returns
Trade this strategy at Tradier

Summary Statistics

Strategy began
2023-05-29
Suggested Minimum Capital
$100,000
Rank at C2 %
Top 6.8%
Rank # 
#39
# Trades
1060
# Profitable
846
% Profitable
79.8%
Net Dividends
$1,290
Correlation S&P500
0.387
Sharpe Ratio
0.93
Sortino Ratio
1.50
Beta
0.88
Alpha
0.06
Leverage
3.34 Average
11.91 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.