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High Frequency Trading
(142246705)

Created by: High-Frequency-Algo High-Frequency-Algo
Started: 10/2022
Forex, Options
Last trade: 19 days ago
Trading style: Options Long Volatility Directional Bets

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 $595.00 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: Options
Long Volatility
Category: Equity

Long Volatility

This strategy employs one of the several ways that are available to construct a portfolio that will profit when volatility rises.
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
-
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.

(100.0%)
Max Drawdown
280
Num Trades
38.6%
Win Trades
1.0 : 1
Profit Factor
47.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                               (2.8%)+0.7%+0.5%(1.7%)
2023(6.8%)(26.4%)(19.8%)+55.4%+118.3%+103.9%+41.6%(69%)(24.1%)(15%)+49.3%+161.8%+321.1%
2024(51.2%)+111.0%(100.7%)(1627%)                                                (112.1%)

Model Account Details

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

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

Trading Record

This strategy has placed 281 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 23 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/5/24 11:58 JD2428O20 JD Mar28'24 20 put LONG 70 0.85 3/29 8:05 0.00 2.67%
Trade id #147541333
Max drawdown($5,810)
Time3/12/24 0:00
Quant open70
Worst price0.02
Drawdown as % of equity-2.67%
 ($5,999)
Includes Typical Broker Commissions trade costs of $49.00
3/15/24 13:17 BA2419P180 BA Apr19'24 180 put LONG 71 5.55 3/27 15:44 1.43 180%
Trade id #147651372
Max drawdown($31,736)
Time3/25/24 0:00
Quant open71
Worst price1.08
Drawdown as % of equity-180.00%
 ($29,351)
Includes Typical Broker Commissions trade costs of $99.70
3/15/24 9:42 BA2412P180 BA Apr12'24 180 put LONG 84 4.97 3/27 15:43 0.89 197.91%
Trade id #147647802
Max drawdown($34,894)
Time3/25/24 0:00
Quant open84
Worst price0.82
Drawdown as % of equity-197.91%
 ($34,389)
Includes Typical Broker Commissions trade costs of $118.20
3/15/24 9:37 BA2412P175 BA Apr12'24 175 put LONG 60 3.47 3/27 15:43 0.45 2634.28%
Trade id #147647595
Max drawdown($18,097)
Time3/27/24 15:43
Quant open60
Worst price0.45
Drawdown as % of equity-2634.28%
 ($18,182)
Includes Typical Broker Commissions trade costs of $84.00
3/15/24 9:38 BA2428O180 BA Mar28'24 180 put LONG 60 3.62 3/27 9:33 0.06 91.66%
Trade id #147647659
Max drawdown($21,361)
Time3/27/24 9:32
Quant open60
Worst price0.06
Drawdown as % of equity-91.66%
 ($21,445)
Includes Typical Broker Commissions trade costs of $84.00
3/15/24 9:45 BA2405P180 BA Apr5'24 180 put LONG 40 4.25 3/27 9:33 0.67 275.84%
Trade id #147647883
Max drawdown($15,077)
Time3/26/24 0:00
Quant open40
Worst price0.48
Drawdown as % of equity-275.84%
 ($14,384)
Includes Typical Broker Commissions trade costs of $56.00
2/8/24 14:17 IWM2428C200 IWM Mar28'24 200 call LONG 100 4.85 3/15 9:41 5.01 7.02%
Trade id #147262171
Max drawdown($13,346)
Time3/14/24 0:00
Quant open100
Worst price3.52
Drawdown as % of equity-7.02%
 $1,393
Includes Typical Broker Commissions trade costs of $140.00
2/13/24 10:26 IWM2428C199 IWM Mar28'24 199 call LONG 110 4.73 3/14 15:14 4.04 6.71%
Trade id #147324784
Max drawdown($7,607)
Time2/13/24 15:13
Quant open110
Worst price4.04
Drawdown as % of equity-6.71%
 ($7,762)
Includes Typical Broker Commissions trade costs of $154.00
2/8/24 14:18 IWM2422C198 IWM Mar22'24 198 call LONG 90 5.58 3/14 11:30 5.04 6.65%
Trade id #147262186
Max drawdown($13,352)
Time2/13/24 0:00
Quant open90
Worst price4.10
Drawdown as % of equity-6.65%
 ($5,018)
Includes Typical Broker Commissions trade costs of $126.00
2/21/24 9:40 VXX2428O13 VXX Mar28'24 13 put LONG 280 0.19 3/5 11:56 0.21 0.22%
Trade id #147396375
Max drawdown($350)
Time2/21/24 9:47
Quant open280
Worst price0.18
Drawdown as % of equity-0.22%
 $98
Includes Typical Broker Commissions trade costs of $392.00
2/2/24 9:57 SPY2415C500 SPY Mar15'24 500 call LONG 210 4.54 2/7 15:49 7.38 4.68%
Trade id #147203232
Max drawdown($3,611)
Time2/2/24 10:13
Quant open210
Worst price4.37
Drawdown as % of equity-4.68%
 $59,267
Includes Typical Broker Commissions trade costs of $294.00
2/1/24 10:57 SPY2409N482 SPY Feb9'24 482 put LONG 120 2.45 2/2 9:56 0.66 27.68%
Trade id #147193694
Max drawdown($21,480)
Time2/2/24 9:56
Quant open120
Worst price0.66
Drawdown as % of equity-27.68%
 ($21,648)
Includes Typical Broker Commissions trade costs of $168.00
2/1/24 10:37 PLTR2416N16 PLTR Feb16'24 16 put LONG 300 1.07 2/2 9:53 0.95 5.78%
Trade id #147193346
Max drawdown($4,490)
Time2/2/24 9:48
Quant open300
Worst price0.92
Drawdown as % of equity-5.78%
 ($3,898)
Includes Typical Broker Commissions trade costs of $420.00
1/24/24 14:45 IWM2423B195 IWM Feb23'24 195 call LONG 110 4.82 1/31 15:49 3.64 11.25%
Trade id #147116863
Max drawdown($13,101)
Time1/31/24 15:49
Quant open110
Worst price3.63
Drawdown as % of equity-11.25%
 ($13,187)
Includes Typical Broker Commissions trade costs of $154.00
1/24/24 14:42 IWM2415C200 IWM Mar15'24 200 call LONG 130 3.99 1/31 15:49 3.28 8.3%
Trade id #147116781
Max drawdown($9,670)
Time1/31/24 15:49
Quant open130
Worst price3.25
Drawdown as % of equity-8.30%
 ($9,462)
Includes Typical Broker Commissions trade costs of $182.00
1/24/24 15:03 IWM2401C200 IWM Mar1'24 200 call LONG 70 3.18 1/31 15:49 2.29 5.37%
Trade id #147117164
Max drawdown($6,260)
Time1/31/24 15:48
Quant open70
Worst price2.29
Drawdown as % of equity-5.37%
 ($6,332)
Includes Typical Broker Commissions trade costs of $98.00
1/24/24 13:45 IWM2401C200 IWM Mar1'24 200 call LONG 80 3.21 1/24 14:15 3.07 0.83%
Trade id #147116186
Max drawdown($1,195)
Time1/24/24 14:15
Quant open80
Worst price3.06
Drawdown as % of equity-0.83%
 ($1,257)
Includes Typical Broker Commissions trade costs of $112.00
1/24/24 14:01 IWM2401C196 IWM Mar1'24 196 call LONG 50 5.01 1/24 14:15 4.77 0.84%
Trade id #147116324
Max drawdown($1,207)
Time1/24/24 14:14
Quant open50
Worst price4.77
Drawdown as % of equity-0.84%
 ($1,290)
Includes Typical Broker Commissions trade costs of $70.00
1/24/24 13:53 IWM2423B195.5 IWM Feb23'24 195.5 call LONG 60 4.70 1/24 14:14 4.48 0.96%
Trade id #147116275
Max drawdown($1,378)
Time1/24/24 14:14
Quant open60
Worst price4.47
Drawdown as % of equity-0.96%
 ($1,414)
Includes Typical Broker Commissions trade costs of $84.00
1/24/24 14:06 IWM2409B195.5 IWM Feb9'24 195.5 call LONG 40 3.57 1/24 14:14 3.39 0.5%
Trade id #147116367
Max drawdown($726)
Time1/24/24 14:14
Quant open40
Worst price3.39
Drawdown as % of equity-0.50%
 ($782)
Includes Typical Broker Commissions trade costs of $56.00
1/23/24 11:38 IWM2416B196 IWM Feb16'24 196 call LONG 90 4.16 1/24 13:41 3.90 1.69%
Trade id #147099409
Max drawdown($2,440)
Time1/24/24 13:41
Quant open90
Worst price3.89
Drawdown as % of equity-1.69%
 ($2,467)
Includes Typical Broker Commissions trade costs of $126.00
1/23/24 11:36 IWM2401C200 IWM Mar1'24 200 call LONG 90 3.32 1/24 13:41 3.13 1.26%
Trade id #147099321
Max drawdown($1,815)
Time1/24/24 13:41
Quant open90
Worst price3.12
Drawdown as % of equity-1.26%
 ($1,809)
Includes Typical Broker Commissions trade costs of $126.00
1/23/24 11:33 IWM2415C197 IWM Mar15'24 197 call LONG 50 5.52 1/24 13:41 5.37 0.48%
Trade id #147099220
Max drawdown($691)
Time1/24/24 13:40
Quant open50
Worst price5.38
Drawdown as % of equity-0.48%
 ($821)
Includes Typical Broker Commissions trade costs of $70.00
1/11/24 13:40 IWM2409B196 IWM Feb9'24 196 call LONG 100 3.16 1/24 13:40 3.20 32.66%
Trade id #146977701
Max drawdown($18,130)
Time1/18/24 0:00
Quant open100
Worst price1.35
Drawdown as % of equity-32.66%
 $243
Includes Typical Broker Commissions trade costs of $140.00
1/23/24 11:45 IWM2416B198 IWM Feb16'24 198 call LONG 20 3.28 1/24 13:40 2.99 0.44%
Trade id #147100096
Max drawdown($640)
Time1/24/24 13:40
Quant open20
Worst price2.96
Drawdown as % of equity-0.44%
 ($608)
Includes Typical Broker Commissions trade costs of $28.00
1/9/24 15:07 SPY2428C496 SPY Mar28'24 496 call LONG 50 3.03 1/24 13:20 6.67 4.37%
Trade id #146955738
Max drawdown($3,290)
Time1/17/24 0:00
Quant open50
Worst price2.37
Drawdown as % of equity-4.37%
 $18,120
Includes Typical Broker Commissions trade costs of $70.00
1/11/24 13:42 SPY2409B477 SPY Feb9'24 477 call LONG 90 5.75 1/23 11:30 9.54 26.34%
Trade id #146977727
Max drawdown($19,833)
Time1/17/24 0:00
Quant open90
Worst price3.55
Drawdown as % of equity-26.34%
 $33,992
Includes Typical Broker Commissions trade costs of $126.00
1/11/24 9:41 IWM2424A196 IWM Jan24'24 196 call LONG 90 2.29 1/11 11:13 1.30 7.67%
Trade id #146973347
Max drawdown($8,951)
Time1/11/24 11:13
Quant open90
Worst price1.30
Drawdown as % of equity-7.67%
 ($9,078)
Includes Typical Broker Commissions trade costs of $126.00
1/11/24 9:54 IWM2409B200 IWM Feb9'24 200 call LONG 30 2.17 1/11 10:56 1.60 1.5%
Trade id #146973688
Max drawdown($1,750)
Time1/11/24 10:09
Quant open30
Worst price1.59
Drawdown as % of equity-1.50%
 ($1,773)
Includes Typical Broker Commissions trade costs of $42.00
1/9/24 14:16 SPY2409B475 SPY Feb9'24 475 call LONG 130 6.78 1/11 10:05 7.21 4%
Trade id #146955113
Max drawdown($3,770)
Time1/9/24 15:45
Quant open130
Worst price6.49
Drawdown as % of equity-4.00%
 $5,349
Includes Typical Broker Commissions trade costs of $182.00
Next

Statistics

  • Strategy began
    10/20/2022
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    547.46
  • Age
    18 months ago
  • What it trades
    Options, Forex
  • # Trades
    280
  • # Profitable
    108
  • % Profitable
    38.60%
  • Avg trade duration
    3.0 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    March 02, 2023 - April 19, 2024
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $8,787
  • Avg loss
    $5,803
  • Model Account Values (Raw)
  • Cash
    $380
  • Margin Used
    $0
  • Buying Power
    $380
  • Ratios
  • W:L ratio
    0.95:1
  • Sharpe Ratio
    0.16
  • Sortino Ratio
    0.22
  • Calmar Ratio
    -0.941
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -185.39%
  • Correlation to SP500
    0.08680
  • Return Percent SP500 (cumu) during strategy life
    35.50%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.07%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.08%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    0.47%
  • Percent Trades Stocks
    0.10%
  • Percent Trades Forex
    0.35%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -93.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • 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
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    906
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    42
  • Popularity (7 days, Percentile 1000 scale)
    605
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $5,804
  • Avg Win
    $8,788
  • Sum Trade PL (losers)
    $998,202.000
  • Age
  • Num Months filled monthly returns table
    18
  • Win / Loss
  • Sum Trade PL (winners)
    $949,053.000
  • # Winners
    108
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    -12
  • Win / Loss
  • # Losers
    172
  • % Winners
    38.6%
  • Frequency
  • Avg Position Time (mins)
    4335.05
  • Avg Position Time (hrs)
    72.25
  • Avg Trade Length
    3.0 days
  • Last Trade Ago
    18
  • Leverage
  • Daily leverage (average)
    25.64
  • Daily leverage (max)
    2003.92
  • Regression
  • Alpha
    0.00
  • Beta
    1.61
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.21
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.21
  • MAE:Equity, average, winning trades
    0.05
  • MAE:Equity, average, losing trades
    0.31
  • Avg(MAE) / Avg(PL) - All trades
    -22.938
  • 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
    0.07
  • Avg(MAE) / Avg(PL) - Winning trades
    0.468
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.163
  • Hold-and-Hope Ratio
    -0.044
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.25262
  • SD
    3.45655
  • Sharpe ratio (Glass type estimate)
    0.94100
  • Sharpe ratio (Hedges UMVUE)
    0.89607
  • df
    16.00000
  • t
    1.12002
  • p
    0.36518
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75115
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.60511
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77964
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.57178
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.95610
  • Upside Potential Ratio
    4.90899
  • Upside part of mean
    5.40142
  • Downside part of mean
    -2.14879
  • Upside SD
    3.30392
  • Downside SD
    1.10031
  • N nonnegative terms
    8.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.23164
  • Mean of criterion
    3.25262
  • SD of predictor
    0.13728
  • SD of criterion
    3.45655
  • Covariance
    0.14573
  • r
    0.30711
  • b (slope, estimate of beta)
    7.73268
  • a (intercept, estimate of alpha)
    1.46140
  • Mean Square Error
    11.54230
  • DF error
    15.00000
  • t(b)
    1.24983
  • p(b)
    0.30761
  • t(a)
    0.45755
  • p(a)
    0.42548
  • Lowerbound of 95% confidence interval for beta
    -5.45457
  • Upperbound of 95% confidence interval for beta
    20.91990
  • Lowerbound of 95% confidence interval for alpha
    -5.34640
  • Upperbound of 95% confidence interval for alpha
    8.26919
  • Treynor index (mean / b)
    0.42063
  • Jensen alpha (a)
    1.46140
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.76930
  • SD
    3.18521
  • Sharpe ratio (Glass type estimate)
    -0.24152
  • Sharpe ratio (Hedges UMVUE)
    -0.22999
  • df
    16.00000
  • t
    -0.28747
  • p
    0.53584
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.88661
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41099
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.87862
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.41863
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.29845
  • Upside Potential Ratio
    1.21644
  • Upside part of mean
    3.13558
  • Downside part of mean
    -3.90488
  • Upside SD
    1.71864
  • Downside SD
    2.57767
  • N nonnegative terms
    8.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.22044
  • Mean of criterion
    -0.76930
  • SD of predictor
    0.13405
  • SD of criterion
    3.18521
  • Covariance
    0.12245
  • r
    0.28678
  • b (slope, estimate of beta)
    6.81418
  • a (intercept, estimate of alpha)
    -2.27142
  • Mean Square Error
    9.93192
  • DF error
    15.00000
  • t(b)
    1.15938
  • p(b)
    0.31997
  • t(a)
    -0.77055
  • p(a)
    0.62343
  • Lowerbound of 95% confidence interval for beta
    -5.71329
  • Upperbound of 95% confidence interval for beta
    19.34160
  • Lowerbound of 95% confidence interval for alpha
    -8.55446
  • Upperbound of 95% confidence interval for alpha
    4.01163
  • Treynor index (mean / b)
    -0.11290
  • Jensen alpha (a)
    -2.27142
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.79331
  • Expected Shortfall on VaR
    0.85204
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.43147
  • Expected Shortfall on VaR
    0.76775
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.06132
  • Quartile 1
    0.80381
  • Median
    0.97639
  • Quartile 3
    1.29544
  • Maximum
    4.16971
  • Mean of quarter 1
    0.48665
  • Mean of quarter 2
    0.88590
  • Mean of quarter 3
    1.16452
  • Mean of quarter 4
    2.75314
  • Inter Quartile Range
    0.49162
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05882
  • Mean of outliers low
    0.06132
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.17647
  • Mean of outliers high
    3.07163
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.43575
  • VaR(95%) (moments method)
    0.47673
  • Expected Shortfall (moments method)
    0.48141
  • Extreme Value Index (regression method)
    -0.41765
  • VaR(95%) (regression method)
    0.83358
  • Expected Shortfall (regression method)
    1.01300
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.02361
  • Quartile 1
    0.37821
  • Median
    0.61533
  • Quartile 3
    0.78537
  • Maximum
    0.93868
  • Mean of quarter 1
    0.02361
  • Mean of quarter 2
    0.49641
  • Mean of quarter 3
    0.73426
  • Mean of quarter 4
    0.93868
  • Inter Quartile Range
    0.40716
  • 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)
    -0.45894
  • Compounded annual return (geometric extrapolation)
    -0.52355
  • Calmar ratio (compounded annual return / max draw down)
    -0.55775
  • Compounded annual return / average of 25% largest draw downs
    -0.55775
  • Compounded annual return / Expected Shortfall lognormal
    -0.61447
  • 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
    -0.67319
  • SD
    1.98762
  • Sharpe ratio (Glass type estimate)
    -0.33869
  • Sharpe ratio (Hedges UMVUE)
    -0.33803
  • df
    382.00000
  • t
    -0.40950
  • p
    0.65880
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.95977
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.28271
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.95926
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.28321
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.46258
  • Upside Potential Ratio
    6.78771
  • Upside part of mean
    9.87816
  • Downside part of mean
    -10.55140
  • Upside SD
    1.35060
  • Downside SD
    1.45530
  • N nonnegative terms
    177.00000
  • N negative terms
    206.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    383.00000
  • Mean of predictor
    0.19083
  • Mean of criterion
    -0.67319
  • SD of predictor
    0.14757
  • SD of criterion
    1.98762
  • Covariance
    0.04784
  • r
    0.16309
  • b (slope, estimate of beta)
    2.19655
  • a (intercept, estimate of alpha)
    -1.09200
  • Mean Square Error
    3.85564
  • DF error
    381.00000
  • t(b)
    3.22653
  • p(b)
    0.00068
  • t(a)
    -0.67047
  • p(a)
    0.74852
  • Lowerbound of 95% confidence interval for beta
    0.85800
  • Upperbound of 95% confidence interval for beta
    3.53511
  • Lowerbound of 95% confidence interval for alpha
    -4.29577
  • Upperbound of 95% confidence interval for alpha
    2.11107
  • Treynor index (mean / b)
    -0.30648
  • Jensen alpha (a)
    -1.09235
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.81393
  • SD
    2.12940
  • Sharpe ratio (Glass type estimate)
    -1.32147
  • Sharpe ratio (Hedges UMVUE)
    -1.31887
  • df
    382.00000
  • t
    -1.59774
  • p
    0.94454
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.94441
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.30313
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.94263
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30489
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.59847
  • Upside Potential Ratio
    5.16592
  • Upside part of mean
    9.09400
  • Downside part of mean
    -11.90790
  • Upside SD
    1.20572
  • Downside SD
    1.76038
  • N nonnegative terms
    177.00000
  • N negative terms
    206.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    383.00000
  • Mean of predictor
    0.17993
  • Mean of criterion
    -2.81393
  • SD of predictor
    0.14709
  • SD of criterion
    2.12940
  • Covariance
    0.04862
  • r
    0.15522
  • b (slope, estimate of beta)
    2.24700
  • a (intercept, estimate of alpha)
    -3.21823
  • Mean Square Error
    4.43670
  • DF error
    381.00000
  • t(b)
    3.06687
  • p(b)
    0.00116
  • t(a)
    -1.84202
  • p(a)
    0.96688
  • Lowerbound of 95% confidence interval for beta
    0.80642
  • Upperbound of 95% confidence interval for beta
    3.68758
  • Lowerbound of 95% confidence interval for alpha
    -6.65342
  • Upperbound of 95% confidence interval for alpha
    0.21697
  • Treynor index (mean / b)
    -1.25230
  • Jensen alpha (a)
    -3.21823
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20318
  • Expected Shortfall on VaR
    0.24492
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09648
  • Expected Shortfall on VaR
    0.19451
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    383.00000
  • Minimum
    0.42975
  • Quartile 1
    0.95868
  • Median
    1.00000
  • Quartile 3
    1.03838
  • Maximum
    1.49887
  • Mean of quarter 1
    0.85423
  • Mean of quarter 2
    0.98532
  • Mean of quarter 3
    1.01254
  • Mean of quarter 4
    1.13820
  • Inter Quartile Range
    0.07970
  • Number outliers low
    30.00000
  • Percentage of outliers low
    0.07833
  • Mean of outliers low
    0.73402
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.08094
  • Mean of outliers high
    1.24621
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15367
  • VaR(95%) (moments method)
    0.12166
  • Expected Shortfall (moments method)
    0.18809
  • Extreme Value Index (regression method)
    0.03724
  • VaR(95%) (regression method)
    0.14679
  • Expected Shortfall (regression method)
    0.21657
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00171
  • Quartile 1
    0.05318
  • Median
    0.13095
  • Quartile 3
    0.26491
  • Maximum
    0.99714
  • Mean of quarter 1
    0.02339
  • Mean of quarter 2
    0.09271
  • Mean of quarter 3
    0.17789
  • Mean of quarter 4
    0.56844
  • Inter Quartile Range
    0.21173
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.90018
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.11981
  • VaR(95%) (moments method)
    0.60363
  • Expected Shortfall (moments method)
    0.87979
  • Extreme Value Index (regression method)
    1.87765
  • VaR(95%) (regression method)
    0.60458
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.67242
  • Compounded annual return (geometric extrapolation)
    -0.93833
  • Calmar ratio (compounded annual return / max draw down)
    -0.94102
  • Compounded annual return / average of 25% largest draw downs
    -1.65073
  • Compounded annual return / Expected Shortfall lognormal
    -3.83117
  • 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
    -5.30236
  • SD
    2.86445
  • Sharpe ratio (Glass type estimate)
    -1.85109
  • Sharpe ratio (Hedges UMVUE)
    -1.84039
  • df
    130.00000
  • t
    -1.30892
  • p
    0.55702
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.62850
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.93335
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.62121
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.94043
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.33766
  • Upside Potential Ratio
    6.80910
  • Upside part of mean
    15.44460
  • Downside part of mean
    -20.74700
  • Upside SD
    1.76208
  • Downside SD
    2.26823
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25494
  • Mean of criterion
    -5.30236
  • SD of predictor
    0.11959
  • SD of criterion
    2.86445
  • Covariance
    0.09284
  • r
    0.27104
  • b (slope, estimate of beta)
    6.49218
  • a (intercept, estimate of alpha)
    -6.95748
  • Mean Square Error
    7.66128
  • DF error
    129.00000
  • t(b)
    3.19810
  • p(b)
    0.32959
  • t(a)
    -1.76207
  • p(a)
    0.59722
  • Lowerbound of 95% confidence interval for beta
    2.47575
  • Upperbound of 95% confidence interval for beta
    10.50860
  • Lowerbound of 95% confidence interval for alpha
    -14.76960
  • Upperbound of 95% confidence interval for alpha
    0.85467
  • Treynor index (mean / b)
    -0.81673
  • Jensen alpha (a)
    -6.95748
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -10.01740
  • SD
    3.15941
  • Sharpe ratio (Glass type estimate)
    -3.17065
  • Sharpe ratio (Hedges UMVUE)
    -3.15232
  • df
    130.00000
  • t
    -2.24199
  • p
    0.59647
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.96315
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.36633
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.95049
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35416
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.58399
  • Upside Potential Ratio
    5.04785
  • Upside part of mean
    14.10890
  • Downside part of mean
    -24.12630
  • Upside SD
    1.57368
  • Downside SD
    2.79503
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24771
  • Mean of criterion
    -10.01740
  • SD of predictor
    0.11946
  • SD of criterion
    3.15941
  • Covariance
    0.10157
  • r
    0.26910
  • b (slope, estimate of beta)
    7.11705
  • a (intercept, estimate of alpha)
    -11.78030
  • Mean Square Error
    9.33078
  • DF error
    129.00000
  • t(b)
    3.17348
  • p(b)
    0.33077
  • t(a)
    -2.70471
  • p(a)
    0.64615
  • VAR (95 Confidence Intrvl)
    0.20300
  • Lowerbound of 95% confidence interval for beta
    2.67988
  • Upperbound of 95% confidence interval for beta
    11.55420
  • Lowerbound of 95% confidence interval for alpha
    -20.39770
  • Upperbound of 95% confidence interval for alpha
    -3.16290
  • Treynor index (mean / b)
    -1.40752
  • Jensen alpha (a)
    -11.78030
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.30183
  • Expected Shortfall on VaR
    0.35488
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.19027
  • Expected Shortfall on VaR
    0.33821
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.42975
  • Quartile 1
    0.85981
  • Median
    0.98671
  • Quartile 3
    1.09419
  • Maximum
    1.40885
  • Mean of quarter 1
    0.75419
  • Mean of quarter 2
    0.93252
  • Mean of quarter 3
    1.03863
  • Mean of quarter 4
    1.19592
  • Inter Quartile Range
    0.23438
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.42975
  • 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)
    0.19074
  • VaR(95%) (moments method)
    0.26905
  • Expected Shortfall (moments method)
    0.38397
  • Extreme Value Index (regression method)
    0.08604
  • VaR(95%) (regression method)
    0.24825
  • Expected Shortfall (regression method)
    0.32578
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.04496
  • Quartile 1
    0.23036
  • Median
    0.51636
  • Quartile 3
    0.65616
  • Maximum
    0.99714
  • Mean of quarter 1
    0.10125
  • Mean of quarter 2
    0.44881
  • Mean of quarter 3
    0.58391
  • Mean of quarter 4
    0.83870
  • Inter Quartile Range
    0.42580
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -366953000
  • Max Equity Drawdown (num days)
    414
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.98645
  • Compounded annual return (geometric extrapolation)
    -0.99995
  • Calmar ratio (compounded annual return / max draw down)
    -1.00282
  • Compounded annual return / average of 25% largest draw downs
    -1.19227
  • Compounded annual return / Expected Shortfall lognormal
    -2.81776

Strategy Description

This strategy is differs from High Frequency Options in that it primarily uses very large order flow from Sierra charts DOM/Footprint and TOS by think or swim and Metatrader4 software to determine trade executions for those who can only trade equity based only trades. Some trades will be day trades and others are swing trades. Members will be notified of order flow profit targets/trade sequences via broadcast messages so they can follow along. I typically release a market recap end of day on my twitter profile so you can watch the video analysis. This strategy does not trade options. Equity trades only.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-10-20
Suggested Minimum Capital
$25,000
# Trades
280
# Profitable
108
% Profitable
38.6%
Net Dividends
($12)
Correlation S&P500
0.087
Sharpe Ratio
0.16
Sortino Ratio
0.22
Beta
1.61
Alpha
0.00
Leverage
25.64 Average
2003.92 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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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.