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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast Share System More...

SharpeQuant Strategy

Started: 06/2025
Stocks
Last trade: Yesterday
Trading style: Equity Hedged Equity

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.

21.4%
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.

(3.8%)
Max Drawdown
1801
Num Trades
51.0%
Win Trades
1.5 : 1
Profit Factor
77.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2025                                   +5.1%+2.1%(0.3%)+3.0%+0.4%+0.4%(1.6%)+9.4%
2026+6.7%+4.0%                                                            +10.9%

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 1,522 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 36 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/12/26 15:58 DLTR DOLLAR TREE STORES LONG 18 128.42 2/13 15:58 126.02 0.09%
Trade id #154559388
Max drawdown($112)
Time2/13/26 9:30
Quant open18
Worst price122.16
Drawdown as % of equity-0.09%
 ($45)
Includes Typical Broker Commissions trade costs of $2.00
2/12/26 15:58 CRM SALESFORCE INC SHORT 9 185.25 2/13 15:58 189.27 0.06%
Trade id #154559394
Max drawdown($73)
Time2/13/26 10:30
Quant open9
Worst price193.45
Drawdown as % of equity-0.06%
 ($38)
Includes Typical Broker Commissions trade costs of $2.00
2/12/26 15:58 VTR VENTAS LONG 28 85.29 2/13 15:58 85.19 0.03%
Trade id #154559382
Max drawdown($34)
Time2/13/26 9:30
Quant open28
Worst price84.06
Drawdown as % of equity-0.03%
 ($5)
Includes Typical Broker Commissions trade costs of $2.00
2/12/26 15:58 CDW CDW CORPORATION COMMON STOCK SHORT 14 126.64 2/13 15:58 126.71 0.04%
Trade id #154559392
Max drawdown($44)
Time2/13/26 9:55
Quant open14
Worst price129.84
Drawdown as % of equity-0.04%
 ($3)
Includes Typical Broker Commissions trade costs of $2.00
2/11/26 15:58 LULU LULULEMON ATHLETICA SHORT 10 175.90 2/13 15:58 176.35 0.02%
Trade id #154541182
Max drawdown($30)
Time2/12/26 0:00
Quant open10
Worst price178.98
Drawdown as % of equity-0.02%
 ($7)
Includes Typical Broker Commissions trade costs of $2.00
2/11/26 15:58 ZTS ZOETIS INC SHORT 13 128.87 2/13 15:58 126.40 0.04%
Trade id #154541186
Max drawdown($47)
Time2/12/26 0:00
Quant open13
Worst price132.49
Drawdown as % of equity-0.04%
 $30
Includes Typical Broker Commissions trade costs of $2.00
2/9/26 15:58 AES AES LONG 149 16.09 2/13 15:58 16.26 0.03%
Trade id #154506008
Max drawdown($41)
Time2/10/26 0:00
Quant open149
Worst price15.81
Drawdown as % of equity-0.03%
 $23
Includes Typical Broker Commissions trade costs of $2.00
2/6/26 15:58 CBOE CBOE GLOBAL MARKETS INC LONG 8 273.64 2/13 15:58 274.42 0.04%
Trade id #154467301
Max drawdown($49)
Time2/12/26 0:00
Quant open8
Worst price267.50
Drawdown as % of equity-0.04%
 $4
Includes Typical Broker Commissions trade costs of $2.00
2/11/26 15:58 GPN GLOBAL PAYMENTS SHORT 24 72.24 2/12 15:58 68.96 0.01%
Trade id #154541180
Max drawdown($11)
Time2/12/26 9:34
Quant open24
Worst price72.70
Drawdown as % of equity-0.01%
 $77
Includes Typical Broker Commissions trade costs of $2.00
2/11/26 15:58 PWR QUANTA SERVICES LONG 4 523.42 2/12 15:58 515.89 0.04%
Trade id #154541168
Max drawdown($44)
Time2/12/26 13:29
Quant open4
Worst price512.39
Drawdown as % of equity-0.04%
 ($32)
Includes Typical Broker Commissions trade costs of $2.00
2/11/26 15:58 ROP ROPER TECHNOLOGIES INC. SHORT 5 333.72 2/12 15:58 319.86 0.01%
Trade id #154541178
Max drawdown($6)
Time2/12/26 9:30
Quant open5
Worst price335.07
Drawdown as % of equity-0.01%
 $67
Includes Typical Broker Commissions trade costs of $2.00
2/10/26 15:58 NOC NORTHROP GRUMMAN LONG 3 685.00 2/12 15:58 693.31 0.03%
Trade id #154524324
Max drawdown($30)
Time2/11/26 0:00
Quant open3
Worst price674.75
Drawdown as % of equity-0.03%
 $23
Includes Typical Broker Commissions trade costs of $2.00
2/10/26 15:58 ROST ROSS STORES LONG 12 192.30 2/12 15:58 194.77 0.01%
Trade id #154524326
Max drawdown($12)
Time2/11/26 0:00
Quant open12
Worst price191.22
Drawdown as % of equity-0.01%
 $28
Includes Typical Broker Commissions trade costs of $2.00
2/6/26 15:58 DPZ DOMINOS PIZZA INC SHORT 4 395.21 2/12 15:58 381.45 0.01%
Trade id #154467316
Max drawdown($10)
Time2/10/26 0:00
Quant open4
Worst price397.85
Drawdown as % of equity-0.01%
 $53
Includes Typical Broker Commissions trade costs of $2.00
2/9/26 15:58 KMB KIMBERLY-CLARK CORPORATION SHORT 17 104.74 2/12 15:58 108.28 0.08%
Trade id #154506016
Max drawdown($102)
Time2/12/26 11:10
Quant open17
Worst price110.78
Drawdown as % of equity-0.08%
 ($62)
Includes Typical Broker Commissions trade costs of $2.00
2/10/26 15:58 KHC THE KRAFT HEINZ COMPANY COMMON STOCK SHORT 71 24.93 2/11 15:58 25.00 0.02%
Trade id #154524338
Max drawdown($19)
Time2/11/26 10:26
Quant open71
Worst price25.20
Drawdown as % of equity-0.02%
 ($7)
Includes Typical Broker Commissions trade costs of $2.00
2/10/26 15:58 DUK DUKE ENERGY LONG 19 123.54 2/11 15:58 125.20 0.01%
Trade id #154524328
Max drawdown($11)
Time2/11/26 9:36
Quant open19
Worst price122.92
Drawdown as % of equity-0.01%
 $30
Includes Typical Broker Commissions trade costs of $2.00
2/10/26 15:58 VRSK VERISK ANALYTICS SHORT 10 169.27 2/11 15:58 173.67 0.04%
Trade id #154524334
Max drawdown($47)
Time2/11/26 15:55
Quant open10
Worst price174.00
Drawdown as % of equity-0.04%
 ($46)
Includes Typical Broker Commissions trade costs of $2.00
2/10/26 15:58 PYPL PAYPAL HOLDINGS CORP SHORT 43 41.48 2/11 15:58 40.51 0%
Trade id #154524330
Max drawdown($6)
Time2/11/26 9:30
Quant open43
Worst price41.62
Drawdown as % of equity-0.00%
 $40
Includes Typical Broker Commissions trade costs of $2.00
2/10/26 15:58 BG BUNGE LONG 20 118.24 2/11 15:58 121.91 n/a $71
Includes Typical Broker Commissions trade costs of $2.00
2/9/26 15:58 GIS GENERAL MILLS SHORT 37 48.10 2/11 15:58 48.96 0.03%
Trade id #154506018
Max drawdown($35)
Time2/11/26 10:26
Quant open37
Worst price49.05
Drawdown as % of equity-0.03%
 ($34)
Includes Typical Broker Commissions trade costs of $2.00
2/9/26 15:58 CRM SALESFORCE INC SHORT 9 193.83 2/11 15:58 184.90 0.04%
Trade id #154506014
Max drawdown($47)
Time2/10/26 0:00
Quant open9
Worst price199.10
Drawdown as % of equity-0.04%
 $78
Includes Typical Broker Commissions trade costs of $2.00
2/6/26 15:58 ALLE ALLEGION PLC LONG 12 179.68 2/11 15:58 179.34 0.03%
Trade id #154467310
Max drawdown($32)
Time2/11/26 10:54
Quant open12
Worst price176.94
Drawdown as % of equity-0.03%
 ($6)
Includes Typical Broker Commissions trade costs of $2.00
2/5/26 15:58 CCI CROWN CASTLE INC SHORT 21 78.39 2/11 15:58 86.19 0.13%
Trade id #154448149
Max drawdown($164)
Time2/11/26 15:53
Quant open21
Worst price86.20
Drawdown as % of equity-0.13%
 ($166)
Includes Typical Broker Commissions trade costs of $2.00
2/9/26 15:58 HUBB HUBBELL CORP LONG 4 506.38 2/10 15:58 501.95 0.02%
Trade id #154506010
Max drawdown($25)
Time2/10/26 9:30
Quant open4
Worst price500.12
Drawdown as % of equity-0.02%
 ($20)
Includes Typical Broker Commissions trade costs of $2.00
2/6/26 15:58 AMT AMERICAN TOWER SHORT 9 171.42 2/9 15:58 173.79 0.02%
Trade id #154467314
Max drawdown($25)
Time2/9/26 15:27
Quant open9
Worst price174.26
Drawdown as % of equity-0.02%
 ($23)
Includes Typical Broker Commissions trade costs of $2.00
2/5/26 15:58 MOH MOLINA HEALTHCARE SHORT 9 176.66 2/9 15:58 127.07 n/a $444
Includes Typical Broker Commissions trade costs of $2.00
2/5/26 15:58 DHR DANAHER LONG 10 215.79 2/6 15:58 216.70 0.01%
Trade id #154448144
Max drawdown($13)
Time2/6/26 11:01
Quant open10
Worst price214.40
Drawdown as % of equity-0.01%
 $7
Includes Typical Broker Commissions trade costs of $2.00
2/5/26 15:58 JBHT J.B. HUNT TRANSPORT LONG 9 225.42 2/6 15:58 228.16 0.02%
Trade id #154448127
Max drawdown($18)
Time2/6/26 9:32
Quant open9
Worst price223.37
Drawdown as % of equity-0.02%
 $23
Includes Typical Broker Commissions trade costs of $2.00
2/5/26 15:58 AES AES LONG 141 15.58 2/6 15:58 16.02 n/a $60
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    6/13/2025
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    246.27
  • Age
    8 months ago
  • What it trades
    Stocks
  • # Trades
    1801
  • # Profitable
    919
  • % Profitable
    51.00%
  • Avg trade duration
    10.1 days
  • Max peak-to-valley drawdown
    3.84%
  • drawdown period
    Nov 10, 2025 - Nov 21, 2025
  • Cumul. Return
    24.2%
  • Avg win
    $82.14
  • Avg loss
    $57.18
  • Model Account Values (Raw)
  • Cash
    $106,237
  • Margin Used
    $10,173
  • Buying Power
    $104,356
  • Ratios
  • W:L ratio
    1.50:1
  • Sharpe Ratio
    3.22
  • Sortino Ratio
    5.44
  • Calmar Ratio
    14.59
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    9.79%
  • Correlation to SP500
    0.26010
  • Return Percent SP500 (cumu) during strategy life
    14.38%
  • Return Statistics
  • Ann Return (w trading costs)
    37.2%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.242%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    39.6%
  • Automation
  • Percentage Signals Automated
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    515
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $57
  • Avg Win
    $82
  • Sum Trade PL (losers)
    $50,434.000
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $75,486.000
  • # Winners
    919
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    346
  • Win / Loss
  • # Losers
    882
  • % Winners
    51.0%
  • Frequency
  • Avg Position Time (mins)
    14546.20
  • Avg Position Time (hrs)
    242.44
  • Avg Trade Length
    10.1 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.34
  • Daily leverage (max)
    1.45
  • Regression
  • Alpha
    0.07
  • Beta
    0.19
  • Treynor Index
    0.45
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.67
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    10.869
  • 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
    0.405
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.421
  • Hold-and-Hope Ratio
    0.034
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27865
  • SD
    0.08650
  • Sharpe ratio (Glass type estimate)
    3.22123
  • Sharpe ratio (Hedges UMVUE)
    2.79805
  • df
    6.00000
  • t
    2.46026
  • p
    0.02455
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.01189
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.25867
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21718
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.81328
  • Statistics related to Sortino ratio
  • Sortino ratio
    16.39190
  • Upside Potential Ratio
    17.70120
  • Upside part of mean
    0.30091
  • Downside part of mean
    -0.02226
  • Upside SD
    0.11223
  • Downside SD
    0.01700
  • N nonnegative terms
    6.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.23191
  • Mean of criterion
    0.27865
  • SD of predictor
    0.04904
  • SD of criterion
    0.08650
  • Covariance
    0.00239
  • r
    0.56396
  • b (slope, estimate of beta)
    0.99482
  • a (intercept, estimate of alpha)
    0.04794
  • Mean Square Error
    0.00612
  • DF error
    5.00000
  • t(b)
    1.52707
  • p(b)
    0.09364
  • t(a)
    0.26261
  • p(a)
    0.40166
  • Lowerbound of 95% confidence interval for beta
    -0.67987
  • Upperbound of 95% confidence interval for beta
    2.66950
  • Lowerbound of 95% confidence interval for alpha
    -0.42133
  • Upperbound of 95% confidence interval for alpha
    0.51721
  • Treynor index (mean / b)
    0.28010
  • Jensen alpha (a)
    0.04794
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27179
  • SD
    0.08425
  • Sharpe ratio (Glass type estimate)
    3.22588
  • Sharpe ratio (Hedges UMVUE)
    2.80209
  • df
    6.00000
  • t
    2.46381
  • p
    0.02443
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.01506
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.26465
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21434
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.81852
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.92140
  • Upside Potential Ratio
    17.23070
  • Upside part of mean
    0.29414
  • Downside part of mean
    -0.02235
  • Upside SD
    0.10931
  • Downside SD
    0.01707
  • N nonnegative terms
    6.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.22819
  • Mean of criterion
    0.27179
  • SD of predictor
    0.04784
  • SD of criterion
    0.08425
  • Covariance
    0.00229
  • r
    0.56894
  • b (slope, estimate of beta)
    1.00197
  • a (intercept, estimate of alpha)
    0.04315
  • Mean Square Error
    0.00576
  • DF error
    5.00000
  • t(b)
    1.54698
  • p(b)
    0.09127
  • t(a)
    0.24226
  • p(a)
    0.40910
  • Lowerbound of 95% confidence interval for beta
    -0.66305
  • Upperbound of 95% confidence interval for beta
    2.66700
  • Lowerbound of 95% confidence interval for alpha
    -0.41469
  • Upperbound of 95% confidence interval for alpha
    0.50099
  • Treynor index (mean / b)
    0.27125
  • Jensen alpha (a)
    0.04315
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01721
  • Expected Shortfall on VaR
    0.02710
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00142
  • Expected Shortfall on VaR
    0.00430
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.98935
  • Quartile 1
    1.01251
  • Median
    1.01850
  • Quartile 3
    1.04093
  • Maximum
    1.06412
  • Mean of quarter 1
    0.99849
  • Mean of quarter 2
    1.01794
  • Mean of quarter 3
    1.03688
  • Mean of quarter 4
    1.05455
  • Inter Quartile Range
    0.02842
  • 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
    1.00000
  • Minimum
    0.01066
  • Quartile 1
    0.01066
  • Median
    0.01066
  • Quartile 3
    0.01066
  • Maximum
    0.01066
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.32749
  • Compounded annual return (geometric extrapolation)
    0.34945
  • Calmar ratio (compounded annual return / max draw down)
    32.79600
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    12.89250
  • 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
    0.31203
  • SD
    0.07926
  • Sharpe ratio (Glass type estimate)
    3.93660
  • Sharpe ratio (Hedges UMVUE)
    3.91941
  • df
    172.00000
  • t
    3.19885
  • p
    0.38152
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.48352
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.37864
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47211
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.36670
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.76601
  • Upside Potential Ratio
    14.49430
  • Upside part of mean
    0.66843
  • Downside part of mean
    -0.35640
  • Upside SD
    0.06702
  • Downside SD
    0.04612
  • N nonnegative terms
    106.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    173.00000
  • Mean of predictor
    0.18175
  • Mean of criterion
    0.31203
  • SD of predictor
    0.11126
  • SD of criterion
    0.07926
  • Covariance
    0.00220
  • r
    0.24918
  • b (slope, estimate of beta)
    0.17752
  • a (intercept, estimate of alpha)
    0.28000
  • Mean Square Error
    0.00593
  • DF error
    171.00000
  • t(b)
    3.36460
  • p(b)
    0.34302
  • t(a)
    2.93786
  • p(a)
    0.36158
  • Lowerbound of 95% confidence interval for beta
    0.07337
  • Upperbound of 95% confidence interval for beta
    0.28167
  • Lowerbound of 95% confidence interval for alpha
    0.09179
  • Upperbound of 95% confidence interval for alpha
    0.46773
  • Treynor index (mean / b)
    1.75769
  • Jensen alpha (a)
    0.27976
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30869
  • SD
    0.07917
  • Sharpe ratio (Glass type estimate)
    3.89933
  • Sharpe ratio (Hedges UMVUE)
    3.88230
  • df
    172.00000
  • t
    3.16856
  • p
    0.38258
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.44702
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.34070
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.43567
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.32893
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.66843
  • Upside Potential Ratio
    14.38980
  • Upside part of mean
    0.66613
  • Downside part of mean
    -0.35743
  • Upside SD
    0.06672
  • Downside SD
    0.04629
  • N nonnegative terms
    106.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    173.00000
  • Mean of predictor
    0.17550
  • Mean of criterion
    0.30869
  • SD of predictor
    0.11140
  • SD of criterion
    0.07917
  • Covariance
    0.00219
  • r
    0.24861
  • b (slope, estimate of beta)
    0.17667
  • a (intercept, estimate of alpha)
    0.27769
  • Mean Square Error
    0.00591
  • DF error
    171.00000
  • t(b)
    3.35632
  • p(b)
    0.34338
  • t(a)
    2.92024
  • p(a)
    0.36236
  • Lowerbound of 95% confidence interval for beta
    0.07276
  • Upperbound of 95% confidence interval for beta
    0.28057
  • Lowerbound of 95% confidence interval for alpha
    0.08998
  • Upperbound of 95% confidence interval for alpha
    0.46539
  • Treynor index (mean / b)
    1.74730
  • Jensen alpha (a)
    0.27769
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00684
  • Expected Shortfall on VaR
    0.00887
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00264
  • Expected Shortfall on VaR
    0.00544
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    173.00000
  • Minimum
    0.98673
  • Quartile 1
    0.99818
  • Median
    1.00119
  • Quartile 3
    1.00414
  • Maximum
    1.01560
  • Mean of quarter 1
    0.99521
  • Mean of quarter 2
    0.99990
  • Mean of quarter 3
    1.00274
  • Mean of quarter 4
    1.00748
  • Inter Quartile Range
    0.00596
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01156
  • Mean of outliers low
    0.98796
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01156
  • Mean of outliers high
    1.01463
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16497
  • VaR(95%) (moments method)
    0.00461
  • Expected Shortfall (moments method)
    0.00698
  • Extreme Value Index (regression method)
    -0.11373
  • VaR(95%) (regression method)
    0.00492
  • Expected Shortfall (regression method)
    0.00648
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00202
  • Median
    0.00567
  • Quartile 3
    0.01115
  • Maximum
    0.02743
  • Mean of quarter 1
    0.00117
  • Mean of quarter 2
    0.00395
  • Mean of quarter 3
    0.00975
  • Mean of quarter 4
    0.01863
  • Inter Quartile Range
    0.00913
  • 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
    0.04762
  • Mean of outliers high
    0.02743
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.09997
  • VaR(95%) (moments method)
    0.01934
  • Expected Shortfall (moments method)
    0.02375
  • Extreme Value Index (regression method)
    -0.16740
  • VaR(95%) (regression method)
    0.02167
  • Expected Shortfall (regression method)
    0.02627
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.37694
  • Compounded annual return (geometric extrapolation)
    0.40018
  • Calmar ratio (compounded annual return / max draw down)
    14.59030
  • Compounded annual return / average of 25% largest draw downs
    21.47480
  • Compounded annual return / Expected Shortfall lognormal
    45.12090
  • 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
    0.25161
  • SD
    0.07977
  • Sharpe ratio (Glass type estimate)
    3.15437
  • Sharpe ratio (Hedges UMVUE)
    3.13613
  • df
    130.00000
  • t
    2.23047
  • p
    0.40401
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35032
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.94660
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33824
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.93403
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.36871
  • Upside Potential Ratio
    13.25840
  • Upside part of mean
    0.62136
  • Downside part of mean
    -0.36976
  • Upside SD
    0.06602
  • Downside SD
    0.04687
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09634
  • Mean of criterion
    0.25161
  • SD of predictor
    0.11528
  • SD of criterion
    0.07977
  • Covariance
    0.00285
  • r
    0.30947
  • b (slope, estimate of beta)
    0.21414
  • a (intercept, estimate of alpha)
    0.23098
  • Mean Square Error
    0.00580
  • DF error
    129.00000
  • t(b)
    3.69642
  • p(b)
    0.30617
  • t(a)
    2.14213
  • p(a)
    0.38269
  • Lowerbound of 95% confidence interval for beta
    0.09952
  • Upperbound of 95% confidence interval for beta
    0.32876
  • Lowerbound of 95% confidence interval for alpha
    0.01764
  • Upperbound of 95% confidence interval for alpha
    0.44432
  • Treynor index (mean / b)
    1.17496
  • Jensen alpha (a)
    0.23098
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24831
  • SD
    0.07965
  • Sharpe ratio (Glass type estimate)
    3.11744
  • Sharpe ratio (Hedges UMVUE)
    3.09942
  • df
    130.00000
  • t
    2.20436
  • p
    0.40509
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31412
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.90918
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30213
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.89671
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.27791
  • Upside Potential Ratio
    13.15970
  • Upside part of mean
    0.61913
  • Downside part of mean
    -0.37082
  • Upside SD
    0.06571
  • Downside SD
    0.04705
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08970
  • Mean of criterion
    0.24831
  • SD of predictor
    0.11547
  • SD of criterion
    0.07965
  • Covariance
    0.00284
  • r
    0.30886
  • b (slope, estimate of beta)
    0.21305
  • a (intercept, estimate of alpha)
    0.22920
  • Mean Square Error
    0.00578
  • DF error
    129.00000
  • t(b)
    3.68830
  • p(b)
    0.30655
  • t(a)
    2.12859
  • p(a)
    0.38340
  • VAR (95 Confidence Intrvl)
    0.00700
  • Lowerbound of 95% confidence interval for beta
    0.09876
  • Upperbound of 95% confidence interval for beta
    0.32733
  • Lowerbound of 95% confidence interval for alpha
    0.01616
  • Upperbound of 95% confidence interval for alpha
    0.44224
  • Treynor index (mean / b)
    1.16552
  • Jensen alpha (a)
    0.22920
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00712
  • Expected Shortfall on VaR
    0.00916
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00283
  • Expected Shortfall on VaR
    0.00573
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98673
  • Quartile 1
    0.99803
  • Median
    1.00088
  • Quartile 3
    1.00358
  • Maximum
    1.01560
  • Mean of quarter 1
    0.99512
  • Mean of quarter 2
    0.99966
  • Mean of quarter 3
    1.00228
  • Mean of quarter 4
    1.00725
  • Inter Quartile Range
    0.00555
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.98796
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.01408
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16773
  • VaR(95%) (moments method)
    0.00482
  • Expected Shortfall (moments method)
    0.00724
  • Extreme Value Index (regression method)
    0.04992
  • VaR(95%) (regression method)
    0.00515
  • Expected Shortfall (regression method)
    0.00729
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00238
  • Median
    0.00675
  • Quartile 3
    0.01086
  • Maximum
    0.02743
  • Mean of quarter 1
    0.00145
  • Mean of quarter 2
    0.00427
  • Mean of quarter 3
    0.00899
  • Mean of quarter 4
    0.01879
  • Inter Quartile Range
    0.00848
  • 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
    0.14286
  • Mean of outliers high
    0.02584
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.33291
  • VaR(95%) (moments method)
    0.02131
  • Expected Shortfall (moments method)
    0.02538
  • Extreme Value Index (regression method)
    -0.40921
  • VaR(95%) (regression method)
    0.02197
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.02516
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -380495000
  • Max Equity Drawdown (num days)
    11
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.29620
  • Compounded annual return (geometric extrapolation)
    0.31814
  • Calmar ratio (compounded annual return / max draw down)
    11.59910
  • Compounded annual return / average of 25% largest draw downs
    16.92930
  • Compounded annual return / Expected Shortfall lognormal
    34.73530

Strategy Description

Summary Statistics

Strategy began
2025-06-13
# Trades
1801
# Profitable
919
% Profitable
51.0%
Net Dividends
$345
Correlation S&P500
0.260
Sharpe Ratio
3.22
Sortino Ratio
5.44
Beta
0.19
Alpha
0.07
Leverage
1.34 Average
1.45 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Lisa Chen Trading 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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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.