Collective2 Collective2
Featured Strategy IC Algotrading +86.4% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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Zero
(34634928)

Created by: JohnSkillern JohnSkillern
Started: 10/2008
Stocks
Last trade: 4,067 days ago

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

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.

4.5%
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.

(29.0%)
Max Drawdown
4250
Num Trades
54.5%
Win Trades
1.3 : 1
Profit Factor
16.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2008                                                               (0.4%)(10.7%)+16.6%+3.6%
2009(1.3%)+1.8%+13.9%+13.9%+4.5%+9.4%+9.4%+1.1%+1.7%(4.8%)+5.0%+2.8%+72.4%
2010(2.3%)+2.2%(0.2%)(2.4%)+3.1%(3.2%)+6.5%(3.9%)+2.6%+6.7%+1.1%+2.5%+12.6%
2011+1.2%(1.3%)+1.5%+1.3%+0.3%(1.2%)(0.7%)(5.1%)(8.2%)+7.2%+1.2%+4.1%(0.6%)
2012+6.1%+2.9%(3.1%)(5.9%)(3.2%)(2.9%)(0.2%)+3.3%(1.4%)(1.9%)(0.4%)(0.3%)(7.4%)
2013+9.4%(0.7%)+0.7%(0.4%)(0.5%)(0.4%)(0.4%)(0.6%)  -    -    -    -  +6.8%
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

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 72 hours.

Trading Record

This strategy has placed 1,837 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4342 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/28/13 15:55 ISRG INTUITIVE SURGICAL LONG 9 549.31 3/1 9:30 553.00 1%
Trade id #79478216
Max drawdown($512)
Time2/28/13 15:57
Quant open9
Worst price492.35
Drawdown as % of equity-1.00%
 $33
Includes Typical Broker Commissions trade costs of $0.18
2/28/13 10:01 SHLD GLOBAL X DEFENSE TECH ETF LONG 104 45.59 3/1 9:30 44.85 0.28%
Trade id #79469603
Max drawdown($144)
Time2/28/13 10:36
Quant open104
Worst price44.20
Drawdown as % of equity-0.28%
 ($79)
Includes Typical Broker Commissions trade costs of $2.08
2/26/13 10:10 EXPD EXPEDITORS INTERNATIONAL LONG 123 38.40 2/27 9:30 37.19 0.55%
Trade id #79416792
Max drawdown($285)
Time2/26/13 15:17
Quant open123
Worst price36.08
Drawdown as % of equity-0.55%
 ($151)
Includes Typical Broker Commissions trade costs of $2.46
2/26/13 10:55 APOL APOLLO EDUCATION GROUP INC. C LONG 276 17.12 2/27 9:30 17.25 0.17%
Trade id #79419259
Max drawdown($88)
Time2/26/13 14:03
Quant open276
Worst price16.80
Drawdown as % of equity-0.17%
 $30
Includes Typical Broker Commissions trade costs of $5.52
2/25/13 9:37 FFIV F5 INC LONG 49 97.06 2/26 9:30 94.16 0.31%
Trade id #79384949
Max drawdown($160)
Time2/25/13 16:00
Quant open49
Worst price93.79
Drawdown as % of equity-0.31%
 ($143)
Includes Typical Broker Commissions trade costs of $0.98
2/25/13 14:50 APOL APOLLO EDUCATION GROUP INC. C LONG 265 17.84 2/26 9:30 17.54 0.15%
Trade id #79395248
Max drawdown($80)
Time2/26/13 9:30
Quant open0
Worst price17.54
Drawdown as % of equity-0.15%
 ($85)
Includes Typical Broker Commissions trade costs of $5.30
2/21/13 14:37 NTAP NETAPP LONG 138 34.13 2/22 9:30 34.72 n/a $78
Includes Typical Broker Commissions trade costs of $2.76
2/21/13 12:16 WCRX WARNER CHILCOTT LONG 344 13.72 2/22 9:30 14.02 0.06%
Trade id #79339526
Max drawdown($30)
Time2/21/13 12:26
Quant open344
Worst price13.63
Drawdown as % of equity-0.06%
 $96
Includes Typical Broker Commissions trade costs of $6.88
2/21/13 9:54 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 142 33.30 2/22 9:30 33.97 0.09%
Trade id #79335211
Max drawdown($48)
Time2/21/13 10:28
Quant open142
Worst price32.96
Drawdown as % of equity-0.09%
 $92
Includes Typical Broker Commissions trade costs of $2.84
2/20/13 10:48 SPLS STAPLES LONG 337 14.07 2/21 9:31 13.58 0.36%
Trade id #79308299
Max drawdown($188)
Time2/20/13 13:12
Quant open337
Worst price13.51
Drawdown as % of equity-0.36%
 ($172)
Includes Typical Broker Commissions trade costs of $6.74
2/20/13 9:30 GRMN GARMIN LONG 126 35.64 2/21 9:31 35.40 0.24%
Trade id #79304894
Max drawdown($124)
Time2/20/13 10:54
Quant open126
Worst price34.65
Drawdown as % of equity-0.24%
 ($33)
Includes Typical Broker Commissions trade costs of $2.52
2/20/13 9:30 LIFE ATYR PHARMA INC. COMMON STOCK LONG 78 59.03 2/21 9:31 58.02 0.23%
Trade id #79304803
Max drawdown($119)
Time2/21/13 9:31
Quant open78
Worst price57.50
Drawdown as % of equity-0.23%
 ($81)
Includes Typical Broker Commissions trade costs of $1.56
2/20/13 13:31 ISRG INTUITIVE SURGICAL LONG 8 559.00 2/21 9:30 551.34 0.12%
Trade id #79312868
Max drawdown($61)
Time2/21/13 9:30
Quant open0
Worst price551.34
Drawdown as % of equity-0.12%
 ($61)
Includes Typical Broker Commissions trade costs of $0.16
2/20/13 14:51 GOLD BARRICK GOLD CORP LONG 58 82.40 2/21 9:30 81.51 0.1%
Trade id #79315463
Max drawdown($52)
Time2/21/13 9:30
Quant open0
Worst price81.51
Drawdown as % of equity-0.10%
 ($53)
Includes Typical Broker Commissions trade costs of $1.16
2/19/13 9:36 WYNN WYNN RESORTS LONG 40 118.08 2/20 9:31 120.18 n/a $83
Includes Typical Broker Commissions trade costs of $0.80
2/19/13 10:52 MNST MONSTER BEVERAGE LONG 96 49.06 2/20 9:30 49.66 0.01%
Trade id #79282251
Max drawdown($2)
Time2/19/13 10:54
Quant open96
Worst price49.03
Drawdown as % of equity-0.01%
 $56
Includes Typical Broker Commissions trade costs of $1.92
2/19/13 9:30 ALXN ALEXION PHARMACEUTICALS LONG 57 82.32 2/20 9:30 84.44 n/a $120
Includes Typical Broker Commissions trade costs of $1.14
2/15/13 15:53 GOLD BARRICK GOLD CORP LONG 55 85.92 2/19 9:31 85.87 0.02%
Trade id #79247838
Max drawdown($9)
Time2/19/13 9:31
Quant open55
Worst price85.74
Drawdown as % of equity-0.02%
 ($4)
Includes Typical Broker Commissions trade costs of $1.10
2/14/13 9:31 NTAP NETAPP LONG 137 34.38 2/15 9:39 35.95 n/a $212
Includes Typical Broker Commissions trade costs of $2.74
2/14/13 9:30 WFM WHOLE FOODS MARKET LONG 102 44.79 2/15 9:39 44.03 0.24%
Trade id #79210210
Max drawdown($125)
Time2/14/13 14:49
Quant open51
Worst price87.11
Drawdown as % of equity-0.24%
 ($80)
Includes Typical Broker Commissions trade costs of $2.04
2/14/13 14:32 DTV DTE ENERGY CO UNITS LONG 95 49.60 2/15 9:39 49.47 0.09%
Trade id #79219784
Max drawdown($45)
Time2/14/13 14:34
Quant open95
Worst price49.12
Drawdown as % of equity-0.09%
 ($14)
Includes Typical Broker Commissions trade costs of $1.90
2/14/13 9:45 ALXN ALEXION PHARMACEUTICALS LONG 53 88.32 2/15 9:39 88.15 0.39%
Trade id #79211476
Max drawdown($201)
Time2/14/13 11:09
Quant open53
Worst price84.52
Drawdown as % of equity-0.39%
 ($10)
Includes Typical Broker Commissions trade costs of $1.06
2/13/13 9:35 FOSL FOSSIL GROUP INC. COMMON STOC LONG 44 106.26 2/14 9:30 104.53 0.21%
Trade id #79186227
Max drawdown($110)
Time2/13/13 15:15
Quant open44
Worst price103.75
Drawdown as % of equity-0.21%
 ($77)
Includes Typical Broker Commissions trade costs of $0.88
2/11/13 9:55 GMCR KEURIG GREEN MOUNTAIN INC. CO LONG 108 43.37 2/12 9:30 43.23 0.14%
Trade id #79135569
Max drawdown($72)
Time2/11/13 15:28
Quant open108
Worst price42.70
Drawdown as % of equity-0.14%
 ($17)
Includes Typical Broker Commissions trade costs of $2.16
2/7/13 11:49 MU MICRON TECHNOLOGY LONG 606 7.63 2/8 9:30 7.78 n/a $86
Includes Typical Broker Commissions trade costs of $5.00
2/7/13 9:30 GMCR KEURIG GREEN MOUNTAIN INC. CO LONG 99 44.69 2/8 9:30 46.66 0.16%
Trade id #79085566
Max drawdown($83)
Time2/7/13 9:53
Quant open99
Worst price43.85
Drawdown as % of equity-0.16%
 $193
Includes Typical Broker Commissions trade costs of $1.98
2/7/13 9:30 CTRP CTRIP.COM INTERNATIONAL LONG 222 20.81 2/8 9:30 21.38 n/a $123
Includes Typical Broker Commissions trade costs of $4.44
2/6/13 9:31 VMED Virgin Media, Inc. LONG 105 43.80 2/7 9:30 44.80 n/a $103
Includes Typical Broker Commissions trade costs of $2.10
2/5/13 9:30 BIDU BAIDU LONG 45 98.92 2/6 9:30 96.76 0.32%
Trade id #79032953
Max drawdown($162)
Time2/5/13 10:36
Quant open45
Worst price95.30
Drawdown as % of equity-0.32%
 ($98)
Includes Typical Broker Commissions trade costs of $0.90
2/4/13 11:02 DELL DELL TECHNOLOGIES INC LONG 351 13.09 2/5 10:01 13.36 n/a $88
Includes Typical Broker Commissions trade costs of $7.02
Next

Statistics

  • Strategy began
    10/23/2008
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    5651.99
  • Age
    189 months ago
  • What it trades
    Stocks
  • # Trades
    4250
  • # Profitable
    2316
  • % Profitable
    54.50%
  • Avg trade duration
    1.4 days
  • Max peak-to-valley drawdown
    29.02%
  • drawdown period
    Oct 23, 2008 - Nov 21, 2008
  • Annual Return (Compounded)
    4.5%
  • Avg win
    $65.26
  • Avg loss
    $59.45
  • Model Account Values (Raw)
  • Cash
    $51,416
  • Margin Used
    $0
  • Buying Power
    $51,416
  • Ratios
  • W:L ratio
    1.32:1
  • Sharpe Ratio
    0.25
  • Sortino Ratio
    0.36
  • Calmar Ratio
    0.078
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -366.41%
  • Correlation to SP500
    0.29000
  • Return Percent SP500 (cumu) during strategy life
    451.82%
  • Return Statistics
  • Ann Return (w trading costs)
    4.5%
  • Slump
  • Current Slump as Pcnt Equity
    14.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.79%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.045%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    8.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% 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)
    325
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $59
  • Avg Win
    $65
  • Sum Trade PL (losers)
    $114,984.000
  • Age
  • Num Months filled monthly returns table
    187
  • Win / Loss
  • Sum Trade PL (winners)
    $151,143.000
  • # Winners
    2316
  • Num Months Winners
    33
  • Dividends
  • Dividends Received in Model Acct
    292
  • Win / Loss
  • # Losers
    1934
  • % Winners
    54.5%
  • Frequency
  • Avg Position Time (mins)
    1954.25
  • Avg Position Time (hrs)
    32.57
  • Avg Trade Length
    1.4 days
  • Last Trade Ago
    4062
  • Regression
  • Alpha
    0.00
  • Beta
    0.16
  • Treynor Index
    0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    46.49
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    60.54
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.57
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    44.560
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.528
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.516
  • Hold-and-Hope Ratio
    0.022
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12543
  • SD
    0.31087
  • Sharpe ratio (Glass type estimate)
    0.40348
  • Sharpe ratio (Hedges UMVUE)
    0.39999
  • df
    87.00000
  • t
    1.09263
  • p
    0.13879
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32390
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.12857
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32621
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.12619
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.50765
  • Upside Potential Ratio
    0.99365
  • Upside part of mean
    0.24551
  • Downside part of mean
    -0.12008
  • Upside SD
    0.18923
  • Downside SD
    0.24708
  • N nonnegative terms
    71.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    88.00000
  • Mean of predictor
    0.21935
  • Mean of criterion
    0.12543
  • SD of predictor
    0.23587
  • SD of criterion
    0.31087
  • Covariance
    0.04803
  • r
    0.65503
  • b (slope, estimate of beta)
    0.86332
  • a (intercept, estimate of alpha)
    -0.06394
  • Mean Square Error
    0.05582
  • DF error
    86.00000
  • t(b)
    8.03925
  • p(b)
    0.00000
  • t(a)
    -0.70755
  • p(a)
    0.75943
  • Lowerbound of 95% confidence interval for beta
    0.64984
  • Upperbound of 95% confidence interval for beta
    1.07680
  • Lowerbound of 95% confidence interval for alpha
    -0.24359
  • Upperbound of 95% confidence interval for alpha
    0.11571
  • Treynor index (mean / b)
    0.14529
  • Jensen alpha (a)
    -0.06394
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05133
  • SD
    0.44056
  • Sharpe ratio (Glass type estimate)
    0.11651
  • Sharpe ratio (Hedges UMVUE)
    0.11550
  • df
    87.00000
  • t
    0.31550
  • p
    0.37657
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60779
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.84015
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60847
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.83947
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.12683
  • Upside Potential Ratio
    0.56887
  • Upside part of mean
    0.23021
  • Downside part of mean
    -0.17889
  • Upside SD
    0.16834
  • Downside SD
    0.40469
  • N nonnegative terms
    71.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    88.00000
  • Mean of predictor
    0.18824
  • Mean of criterion
    0.05133
  • SD of predictor
    0.24942
  • SD of criterion
    0.44056
  • Covariance
    0.07826
  • r
    0.71223
  • b (slope, estimate of beta)
    1.25806
  • a (intercept, estimate of alpha)
    -0.18549
  • Mean Square Error
    0.09675
  • DF error
    86.00000
  • t(b)
    9.40951
  • p(b)
    0.00000
  • t(a)
    -1.57750
  • p(a)
    0.94082
  • Lowerbound of 95% confidence interval for beta
    0.99227
  • Upperbound of 95% confidence interval for beta
    1.52385
  • Lowerbound of 95% confidence interval for alpha
    -0.41924
  • Upperbound of 95% confidence interval for alpha
    0.04826
  • Treynor index (mean / b)
    0.04080
  • Jensen alpha (a)
    -0.18549
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18528
  • Expected Shortfall on VaR
    0.22661
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00978
  • Expected Shortfall on VaR
    0.02919
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    88.00000
  • Minimum
    0.33513
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.02325
  • Maximum
    1.37929
  • Mean of quarter 1
    0.95997
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00807
  • Mean of quarter 4
    1.07377
  • Inter Quartile Range
    0.02325
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02273
  • Mean of outliers low
    0.64626
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.06818
  • Mean of outliers high
    1.16400
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.86459
  • VaR(95%) (moments method)
    0.00060
  • Expected Shortfall (moments method)
    0.00061
  • Extreme Value Index (regression method)
    0.89686
  • VaR(95%) (regression method)
    0.01184
  • Expected Shortfall (regression method)
    0.17739
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00012
  • Quartile 1
    0.02259
  • Median
    0.07099
  • Quartile 3
    0.07183
  • Maximum
    0.66487
  • Mean of quarter 1
    0.01135
  • Mean of quarter 2
    0.07099
  • Mean of quarter 3
    0.07183
  • Mean of quarter 4
    0.66487
  • Inter Quartile Range
    0.04924
  • 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
    0.20000
  • Mean of outliers high
    0.66487
  • 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)
    0.06232
  • Compounded annual return (geometric extrapolation)
    0.05267
  • Calmar ratio (compounded annual return / max draw down)
    0.07922
  • Compounded annual return / average of 25% largest draw downs
    0.07922
  • Compounded annual return / Expected Shortfall lognormal
    0.23242
  • 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
    0.12888
  • SD
    0.34778
  • Sharpe ratio (Glass type estimate)
    0.37059
  • Sharpe ratio (Hedges UMVUE)
    0.37044
  • df
    1939.00000
  • t
    1.00842
  • p
    0.48543
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34981
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.09092
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34992
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.09081
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.46986
  • Upside Potential Ratio
    2.91086
  • Upside part of mean
    0.79845
  • Downside part of mean
    -0.66956
  • Upside SD
    0.21380
  • Downside SD
    0.27430
  • N nonnegative terms
    1463.00000
  • N negative terms
    477.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1940.00000
  • Mean of predictor
    0.26610
  • Mean of criterion
    0.12888
  • SD of predictor
    0.34415
  • SD of criterion
    0.34778
  • Covariance
    0.05106
  • r
    0.42661
  • b (slope, estimate of beta)
    0.43110
  • a (intercept, estimate of alpha)
    0.01400
  • Mean Square Error
    0.09899
  • DF error
    1938.00000
  • t(b)
    20.76500
  • p(b)
    0.28669
  • t(a)
    0.12238
  • p(a)
    0.49861
  • Lowerbound of 95% confidence interval for beta
    0.39038
  • Upperbound of 95% confidence interval for beta
    0.47182
  • Lowerbound of 95% confidence interval for alpha
    -0.21285
  • Upperbound of 95% confidence interval for alpha
    0.24118
  • Treynor index (mean / b)
    0.29896
  • Jensen alpha (a)
    0.01417
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05083
  • SD
    0.42864
  • Sharpe ratio (Glass type estimate)
    0.11860
  • Sharpe ratio (Hedges UMVUE)
    0.11855
  • df
    1939.00000
  • t
    0.32271
  • p
    0.49534
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60169
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.83888
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60173
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.83883
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.13419
  • Upside Potential Ratio
    2.05242
  • Upside part of mean
    0.77751
  • Downside part of mean
    -0.72667
  • Upside SD
    0.20034
  • Downside SD
    0.37883
  • N nonnegative terms
    1463.00000
  • N negative terms
    477.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1940.00000
  • Mean of predictor
    0.20605
  • Mean of criterion
    0.05083
  • SD of predictor
    0.34772
  • SD of criterion
    0.42864
  • Covariance
    0.06148
  • r
    0.41252
  • b (slope, estimate of beta)
    0.50851
  • a (intercept, estimate of alpha)
    -0.05394
  • Mean Square Error
    0.15254
  • DF error
    1938.00000
  • t(b)
    19.93530
  • p(b)
    0.29374
  • t(a)
    -0.37557
  • p(a)
    0.50426
  • Lowerbound of 95% confidence interval for beta
    0.45848
  • Upperbound of 95% confidence interval for beta
    0.55854
  • Lowerbound of 95% confidence interval for alpha
    -0.33562
  • Upperbound of 95% confidence interval for alpha
    0.22774
  • Treynor index (mean / b)
    0.09997
  • Jensen alpha (a)
    -0.05394
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04244
  • Expected Shortfall on VaR
    0.05293
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00315
  • Expected Shortfall on VaR
    0.00871
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1940.00000
  • Minimum
    0.39777
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00111
  • Maximum
    1.28484
  • Mean of quarter 1
    0.98978
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00014
  • Mean of quarter 4
    1.01205
  • Inter Quartile Range
    0.00111
  • Number outliers low
    305.00000
  • Percentage of outliers low
    0.15722
  • Mean of outliers low
    0.98418
  • Number of outliers high
    340.00000
  • Percentage of outliers high
    0.17526
  • Mean of outliers high
    1.01638
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.13426
  • VaR(95%) (moments method)
    0.00621
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.73538
  • VaR(95%) (regression method)
    0.00611
  • Expected Shortfall (regression method)
    0.02908
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    54.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00180
  • Median
    0.00507
  • Quartile 3
    0.01544
  • Maximum
    0.66487
  • Mean of quarter 1
    0.00073
  • Mean of quarter 2
    0.00317
  • Mean of quarter 3
    0.00863
  • Mean of quarter 4
    0.08730
  • Inter Quartile Range
    0.01364
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.12963
  • Mean of outliers high
    0.14999
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.84811
  • VaR(95%) (moments method)
    0.07423
  • Expected Shortfall (moments method)
    0.51898
  • Extreme Value Index (regression method)
    0.95045
  • VaR(95%) (regression method)
    0.07504
  • Expected Shortfall (regression method)
    1.52404
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06172
  • Compounded annual return (geometric extrapolation)
    0.05215
  • Calmar ratio (compounded annual return / max draw down)
    0.07843
  • Compounded annual return / average of 25% largest draw downs
    0.59734
  • Compounded annual return / Expected Shortfall lognormal
    0.98525
  • 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
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.51850
  • Mean of criterion
    0.00000
  • SD of predictor
    0.44836
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.41495
  • Mean of criterion
    0.00000
  • SD of predictor
    0.44774
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • VAR (95 Confidence Intrvl)
    0.04200
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • 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?
    -366261000
  • Max Equity Drawdown (num days)
    29
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

AS OF MAR. 1ST, 2013 'ZERO' HAS BEEN REPLACED BY ITS YOUNGER, NIMBLER INTRADAY SUCCESSOR: http://www.collective2.com/cgi-perl/system69547192.



Requirements to trade ZERO:




-IB or equal commission structure brokerage account


-TWS build 906.2 or higher with CSV input capability


-15K minimum trading capital (30K+ preferred to mitigate friction costs)


-5 minutes per day of personal account oversight between 9:25-9:30AM EST



The C2 equity curve reflects a 'Flat Rate' IB commissions rate which is
not
recommended in order to realize the full extent of profits trading this system. Additionally, the percentage of C2 capital allocated to each position takes into account the deduction of commissions from the Vendor's real-life portfolio based on a �Cost Plus� Interactive Brokers commission structure. Real trading results based on a �Cost Plus� commission structure at IB fall in between the upper and lower C2 hypothetical Zero equity curve results.


The approximate monthly cost associated with trading ZERO based on current C2 capital will be ~200.00 USD:

C2 Subscription Fee: 88.00 USD (pay per profitable month, ~75% profitable months per year)
Monthly Commissions: 125.00 USD (based on ~5.4 trades per day assuming a 'Cost Plus' commission structure at IB).



General Description:



ZERO is a proprietary Excel-based EOD (End-of-Day) mechanical trading system that relies on principles of regression analysis to identify potential price aberrations in Naz-100 equities which historically precede short-term price increases with ~55% probability. The system incorporates a probabilistic algorithm which generates a daily basket of limit entry orders outside of market hours at ~8:30AM EST.



System Concept:



ZERO stands for the '0' filter, randomized nature of the algorithm that drives this trading system. Most systems rely on static conditionals that filter historical data for TA patterns which
have
preceded profitable price movements. The more specific and numerous that these filters are, the more likely that they will not correlate with future price movements due to their inflexibility to changing trends in the ever-evolving financial marketplace. ZERO does not rely on filters nor models to choose trades. It relies on basic supply/demand mechanisms that are inherent to the markets and assumes that all equities in its trading basket have an equal likelihood of profitability. Positions are chosen by future, not historical market data.



Money Management:



The system allocates no more than 9% of trading capital per position and assumes a theoretical maximum of 10 positions. Account size is recommended to be 2x total C2 equity in order to absorb 'simultaneous fills' which in extremely volatile market conditions can increase the total number of trades to as many as 2x the intended maximum. This can be avoided with the selection of 'overfill protection' in IB TWS settings. IRA accounts will automatically limit position count to 1x margin requirements. Typical capital exposure ranges between 35-55%. All positions are held for 24hrs or less. There are no intraday trades. Stoplosses are not employed given that hold-time is so short.



Trading/Maintaining ZERO:



Trading and maintenance instructions will be provided upon subscription. It is important to understand that due to the 'randomized' logic nature of ZERO, there will occasionally be days when positions in a real account will differ from those in C2.



C2 Results:



C2 results mirror a live account with ~95% accuracy due to limitations in fill simulation with respect to position management methodology. Erroneous fills are generally corrected within 24hrs. Long term performance of a live account with equivalent position sizing to C2 should have an equal probability of performing slightly better or worse.



General Notes:



*C2 tracking began 10/31/08
*APD ratio--the 'dip-buy' nature of ZERO will always render a low APD even when 'hold and hope' is relatively low given its fixed position hold-time of 24hrs max. Average profit vs. loss is a more a telling metric from a bottomline perspective. In the interest of analyzing this further, please review individual trades, whose 'Drawdown and Risk' are almost exclusively classified as 'Low'.



Disclaimer:



Past results are not indicative of future results and neither Vendor nor C2 is responsible for unfavorable performance deviations. Do not subscribe to this system if you do not intend to dedicate the specified time for manual account maintenance. It is recommended for a serious subscriber to papertrade ZERO for at least two weeks in a virtual IB account to become familiar with its idiosyncrasies before trading real money. It should be known that all fills in a virtual account will be similar but not the same as fills in a real account. Vendor does not recommend autotrading of ZERO and is not responsible for syncing problems related to Tradebullet nor Trader68.
This system is only available to individuals through C2.



Please feel free to private message me with inquiries.





































































































































































Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2008-10-23
Suggested Minimum Capital
$15,000
# Trades
4250
# Profitable
2316
% Profitable
54.5%
Net Dividends
$292
Correlation S&P500
0.290
Sharpe Ratio
0.25
Sortino Ratio
0.36
Beta
0.16
Alpha
0.00

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.