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These are hypothetical performance results that have certain inherent limitations. Learn more

High Frequency Algo
(140022552)

Started: 04/2022
Options
Last trade: 2 days ago
Trading style: Equity Momentum

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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
1281.8%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(30.7%)
Max Drawdown
95
Num Trades
65.3%
Win Trades
4.9 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                     +496.3%+33.5%+77.6%(2.3%)                              +1281.8%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/14/22 14:20 NIO2201S18.5 NIO Jul1'22 18.5 put LONG 105 1.39 6/30 14:09 0.02 2.04%
Trade id #140766189
Max drawdown($14,374)
Time6/30/22 11:11
Quant open105
Worst price0.02
Drawdown as % of equity-2.04%
($14,522)
Includes Typical Broker Commissions trade costs of $147.00
6/6/22 11:17 NIO2224R15 NIO Jun24'22 15 put LONG 280 0.32 6/25 9:35 0.00 1.22%
Trade id #140687971
Max drawdown($8,711)
Time6/21/22 0:00
Quant open280
Worst price0.01
Drawdown as % of equity-1.22%
($9,187)
Includes Typical Broker Commissions trade costs of $196.00
5/26/22 12:31 NIO2217R17 NIO Jun17'22 17 put LONG 80 2.07 6/18 9:35 0.00 2.26%
Trade id #140608485
Max drawdown($16,517)
Time6/17/22 0:00
Quant open80
Worst price0.01
Drawdown as % of equity-2.26%
($16,653)
Includes Typical Broker Commissions trade costs of $56.00
5/26/22 12:33 NIO2217R15 NIO Jun17'22 15 put LONG 140 1.07 6/18 9:35 0.00 2.01%
Trade id #140608529
Max drawdown($14,821)
Time6/15/22 0:00
Quant open140
Worst price0.01
Drawdown as % of equity-2.01%
($15,060)
Includes Typical Broker Commissions trade costs of $98.00
6/15/22 15:42 SPY2213S370 SPY Jul13'22 370 put LONG 20 7.72 6/16 9:42 12.78 0.01%
Trade id #140777746
Max drawdown($37)
Time6/15/22 15:49
Quant open20
Worst price7.70
Drawdown as % of equity-0.01%
$10,095
Includes Typical Broker Commissions trade costs of $28.00
6/9/22 10:56 SPY2215S370 SPY Jul15'22 370 put LONG 90 2.43 6/13 10:34 10.83 0.35%
Trade id #140721287
Max drawdown($1,364)
Time6/9/22 13:08
Quant open90
Worst price2.28
Drawdown as % of equity-0.35%
$75,424
Includes Typical Broker Commissions trade costs of $126.00
6/8/22 10:13 SPY2224R403 SPY Jun24'22 403 put LONG 40 4.42 6/13 10:29 27.93 0.46%
Trade id #140708077
Max drawdown($1,733)
Time6/8/22 11:40
Quant open40
Worst price3.99
Drawdown as % of equity-0.46%
$93,979
Includes Typical Broker Commissions trade costs of $56.00
6/9/22 10:54 SPY2215S380 SPY Jul15'22 380 put LONG 40 3.86 6/13 9:34 13.36 0.38%
Trade id #140721259
Max drawdown($1,471)
Time6/9/22 13:12
Quant open40
Worst price3.49
Drawdown as % of equity-0.38%
$37,942
Includes Typical Broker Commissions trade costs of $56.00
6/8/22 10:12 SPY2222R408 SPY Jun22'22 408 put LONG 40 5.25 6/13 9:32 28.77 0.46%
Trade id #140708059
Max drawdown($1,725)
Time6/8/22 11:33
Quant open40
Worst price4.82
Drawdown as % of equity-0.46%
$94,018
Includes Typical Broker Commissions trade costs of $56.00
6/9/22 11:49 QQQ2221R306 QQQ Jun21'22 306 put LONG 20 6.78 6/13 9:31 25.87 0.38%
Trade id #140722862
Max drawdown($1,449)
Time6/9/22 13:09
Quant open20
Worst price6.06
Drawdown as % of equity-0.38%
$38,141
Includes Typical Broker Commissions trade costs of $28.00
5/25/22 9:58 FB2210R175 FB Jun10'22 175 put LONG 20 6.18 6/10 9:30 0.04 3.23%
Trade id #140593072
Max drawdown($12,318)
Time6/8/22 0:00
Quant open20
Worst price0.02
Drawdown as % of equity-3.23%
($12,307)
Includes Typical Broker Commissions trade costs of $28.00
6/9/22 11:50 SPY2217R405 SPY Jun17'22 405 put LONG 20 5.31 6/10 9:30 13.37 0.59%
Trade id #140722876
Max drawdown($2,259)
Time6/9/22 13:07
Quant open20
Worst price4.18
Drawdown as % of equity-0.59%
$16,092
Includes Typical Broker Commissions trade costs of $28.00
5/25/22 10:31 AAPL2210F142 AAPL Jun10'22 142 call LONG 60 3.75 5/26 11:05 4.61 1.96%
Trade id #140593760
Max drawdown($8,081)
Time5/26/22 0:00
Quant open60
Worst price2.40
Drawdown as % of equity-1.96%
$5,070
Includes Typical Broker Commissions trade costs of $84.00
5/25/22 13:36 SPY2203F395 SPY Jun3'22 395 call LONG 25 6.93 5/25 15:40 8.59 0.62%
Trade id #140596952
Max drawdown($2,500)
Time5/25/22 14:07
Quant open25
Worst price5.93
Drawdown as % of equity-0.62%
$4,109
Includes Typical Broker Commissions trade costs of $35.00
5/25/22 13:37 SPY2201F395 SPY Jun1'22 395 call LONG 25 5.95 5/25 15:06 7.72 0.66%
Trade id #140596961
Max drawdown($2,649)
Time5/25/22 14:07
Quant open25
Worst price4.89
Drawdown as % of equity-0.66%
$4,389
Includes Typical Broker Commissions trade costs of $35.00
5/23/22 9:45 SPY2227Q391 SPY May27'22 391 put LONG 25 5.04 5/24 10:05 5.65 1.6%
Trade id #140563649
Max drawdown($5,418)
Time5/23/22 14:46
Quant open25
Worst price2.87
Drawdown as % of equity-1.60%
$1,491
Includes Typical Broker Commissions trade costs of $35.00
5/20/22 12:19 NIO2210R14.5 NIO Jun10'22 14.5 put LONG 120 0.87 5/24 9:46 1.23 0.35%
Trade id #140547017
Max drawdown($1,198)
Time5/20/22 15:54
Quant open120
Worst price0.77
Drawdown as % of equity-0.35%
$4,204
Includes Typical Broker Commissions trade costs of $168.00
5/20/22 11:40 NIO2203R17 NIO Jun3'22 17 put LONG 80 1.56 5/24 9:31 2.11 0.01%
Trade id #140545853
Max drawdown($51)
Time5/20/22 15:55
Quant open80
Worst price1.55
Drawdown as % of equity-0.01%
$4,348
Includes Typical Broker Commissions trade costs of $112.00
5/20/22 11:37 NIO2210R17.5 NIO Jun10'22 17.5 put LONG 80 2.11 5/24 9:31 2.76 0.07%
Trade id #140545806
Max drawdown($234)
Time5/20/22 11:41
Quant open80
Worst price2.08
Drawdown as % of equity-0.07%
$5,088
Includes Typical Broker Commissions trade costs of $112.00
5/13/22 13:05 FB2210R175 FB Jun10'22 175 put LONG 25 3.52 5/24 9:31 6.11 1.31%
Trade id #140469527
Max drawdown($4,275)
Time5/17/22 0:00
Quant open25
Worst price1.81
Drawdown as % of equity-1.31%
$6,430
Includes Typical Broker Commissions trade costs of $35.00
5/13/22 13:04 FB2203R190 FB Jun3'22 190 put LONG 25 6.13 5/24 9:31 12.79 2.17%
Trade id #140469508
Max drawdown($7,069)
Time5/17/22 0:00
Quant open25
Worst price3.30
Drawdown as % of equity-2.17%
$16,629
Includes Typical Broker Commissions trade costs of $35.00
5/10/22 11:20 FB2210R170 FB Jun10'22 170 put LONG 20 3.83 5/24 9:31 4.52 1.55%
Trade id #140427707
Max drawdown($5,036)
Time5/17/22 0:00
Quant open20
Worst price1.31
Drawdown as % of equity-1.55%
$1,351
Includes Typical Broker Commissions trade costs of $28.00
5/10/22 11:20 FB2217R160 FB Jun17'22 160 put LONG 21 2.85 5/24 9:31 3.12 1.07%
Trade id #140427682
Max drawdown($3,760)
Time5/23/22 0:00
Quant open21
Worst price1.06
Drawdown as % of equity-1.07%
$532
Includes Typical Broker Commissions trade costs of $29.40
5/9/22 9:33 FB2210R180 FB Jun10'22 180 put LONG 27 5.28 5/24 9:31 7.96 2.29%
Trade id #140411079
Max drawdown($7,460)
Time5/17/22 0:00
Quant open27
Worst price2.52
Drawdown as % of equity-2.29%
$7,181
Includes Typical Broker Commissions trade costs of $37.80
5/20/22 10:04 QQQ2203R291 QQQ Jun3'22 291 put LONG 25 7.27 5/20 11:13 10.33 n/a $7,619
Includes Typical Broker Commissions trade costs of $35.00
5/20/22 10:05 QQQ2227Q291 QQQ May27'22 291 put LONG 25 5.59 5/20 11:13 8.67 n/a $7,656
Includes Typical Broker Commissions trade costs of $35.00
5/20/22 10:27 QQQ2203R285 QQQ Jun3'22 285 put LONG 25 5.61 5/20 11:11 7.36 0.24%
Trade id #140544484
Max drawdown($769)
Time5/20/22 10:32
Quant open25
Worst price5.30
Drawdown as % of equity-0.24%
$4,336
Includes Typical Broker Commissions trade costs of $35.00
5/13/22 13:07 FB2227Q195 FB May27'22 195 put LONG 25 6.85 5/18 13:53 7.07 2.85%
Trade id #140469546
Max drawdown($9,264)
Time5/17/22 0:00
Quant open25
Worst price3.14
Drawdown as % of equity-2.85%
$517
Includes Typical Broker Commissions trade costs of $35.00
5/17/22 10:05 SPY2208R394 SPY Jun8'22 394 put LONG 20 5.56 5/17 12:34 5.13 0.27%
Trade id #140501167
Max drawdown($850)
Time5/17/22 12:34
Quant open20
Worst price5.13
Drawdown as % of equity-0.27%
($878)
Includes Typical Broker Commissions trade costs of $28.00
5/17/22 10:07 SPY2210R392 SPY Jun10'22 392 put LONG 25 5.65 5/17 12:34 5.12 0.43%
Trade id #140501216
Max drawdown($1,322)
Time5/17/22 12:34
Quant open25
Worst price5.12
Drawdown as % of equity-0.43%
($1,357)
Includes Typical Broker Commissions trade costs of $35.00

Statistics

  • Strategy began
    4/4/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    89.03
  • Age
    89 days ago
  • What it trades
    Options
  • # Trades
    95
  • # Profitable
    62
  • % Profitable
    65.30%
  • Avg trade duration
    5.2 days
  • Max peak-to-valley drawdown
    30.72%
  • drawdown period
    April 11, 2022 - April 12, 2022
  • Cumul. Return
    1281.8%
  • Avg win
    $13,103
  • Avg loss
    $5,038
  • Model Account Values (Raw)
  • Cash
    $646,199
  • Margin Used
    $0
  • Buying Power
    $646,199
  • Ratios
  • W:L ratio
    4.89:1
  • Sharpe Ratio
    5.49
  • Sortino Ratio
    26.07
  • Calmar Ratio
    648863
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1298.31%
  • Correlation to SP500
    -0.43510
  • Return Percent SP500 (cumu) during strategy life
    -16.53%
  • Return Statistics
  • Ann Return (w trading costs)
    3106960.0%
  • Slump
  • Current Slump as Pcnt Equity
    10.50%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    12.818%
  • Instruments
  • Percent Trades Options
    0.96%
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.21%
  • Instruments
  • Percent Trades Stocks
    0.01%
  • Short Options - Percent Covered
    n/a
  • Percent Trades Forex
    0.03%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4336120.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    40.50%
  • Chance of 20% account loss
    23.50%
  • Chance of 30% account loss
    11.50%
  • Chance of 40% account loss
    4.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    971
  • Popularity (Last 6 weeks)
    996
  • Popularity (7 days, Percentile 1000 scale)
    986
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    696
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $13,104
  • Avg Loss
    $5,039
  • Sum Trade PL (losers)
    $166,277.000
  • # Winners
    62
  • Num Months Winners
    3
  • Age
  • Num Months filled monthly returns table
    4
  • Win / Loss
  • Sum Trade PL (winners)
    $812,436.000
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    5509570
  • Win / Loss
  • # Losers
    33
  • % Winners
    65.3%
  • Frequency
  • Avg Position Time (mins)
    7513.98
  • Avg Position Time (hrs)
    125.23
  • Avg Trade Length
    5.2 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    8.37
  • Daily leverage (max)
    75.55
  • Regression
  • Alpha
    2.93
  • Beta
    -2.95
  • Treynor Index
    -1.20
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    0.692
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.259
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.189
  • Hold-and-Hope Ratio
    1.450
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    11.14100
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.12900
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -396622000
  • Max Equity Drawdown (num days)
    1
  • Last 4 Months - Pcnt Negative
    0.25%

Strategy Description

Summary Statistics

Includes fees & commissions
Strategy began
2022-04-04
Suggested Minimum Capital
$35,000
# Trades
95
# Profitable
62
% Profitable
65.3%
Correlation S&P500
-0.435
Sharpe Ratio
5.49
Sortino Ratio
26.07
Beta
-2.95
Alpha
2.93
Leverage
8.37 Average
75.55 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 Automated Trading Systems 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.

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.

0