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Featured Strategy Quant AI pro +16.8% Cumul. Return since Dec 2, 2024 Hypothetical

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The Rosa Negra
(145618203)

Created by: TheRosaNegra TheRosaNegra
Started: 08/2023
Stocks
Last trade: 123 days ago
Trading style: Equity Non-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. 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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
45.5%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(14.6%)
Max Drawdown
173
Num Trades
62.4%
Win Trades
3.7 : 1
Profit Factor
58.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                   -  +1.8%(4.9%)+7.7%+0.4%+4.7%
2024+0.3%(1.4%)+14.6%+6.6%+6.3%+6.6%+2.2%+12.4%  -    -    -    -  +57.5%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/16/24 9:30 AAL AMERICAN AIRLINES GROUP INC. C LONG 723 10.65 8/21 9:30 10.37 2.08%
Trade id #148657845
Max drawdown($1,142)
Time8/5/24 0:00
Quant open723
Worst price9.07
Drawdown as % of equity-2.08%
 ($207)
Includes Typical Broker Commissions trade costs of $5.00
7/1/24 9:30 SPY SPDR S&P 500 LONG 71 545.66 8/21 9:30 559.77 4.58%
Trade id #148543181
Max drawdown($2,512)
Time8/5/24 0:00
Quant open71
Worst price510.27
Drawdown as % of equity-4.58%
 $1,001
Includes Typical Broker Commissions trade costs of $1.42
8/1/24 13:40 TTWO TAKE-TWO INTERACTIVE SFTW LONG 90 145.73 8/21 9:30 156.62 1.74%
Trade id #148799643
Max drawdown($944)
Time8/8/24 0:00
Quant open90
Worst price135.24
Drawdown as % of equity-1.74%
 $978
Includes Typical Broker Commissions trade costs of $1.80
8/1/24 13:19 QCOM QUALCOMM LONG 80 163.58 8/21 9:30 172.99 1.78%
Trade id #148799358
Max drawdown($975)
Time8/5/24 0:00
Quant open80
Worst price151.39
Drawdown as % of equity-1.78%
 $751
Includes Typical Broker Commissions trade costs of $1.60
8/1/24 10:48 GGAL GRUPO FINANCIERO GALICIA LONG 756 28.31 8/21 9:30 34.51 6.58%
Trade id #148796135
Max drawdown($3,613)
Time8/5/24 0:00
Quant open756
Worst price23.53
Drawdown as % of equity-6.58%
 $4,682
Includes Typical Broker Commissions trade costs of $5.00
7/31/24 9:42 MAR MARRIOT INTERNATIONAL CLASS A LONG 54 226.63 8/1 9:30 226.15 0.34%
Trade id #148783242
Max drawdown($199)
Time7/31/24 10:53
Quant open54
Worst price222.93
Drawdown as % of equity-0.34%
 ($27)
Includes Typical Broker Commissions trade costs of $1.08
6/3/24 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 254 63.73 8/1 9:30 68.58 1.32%
Trade id #148313507
Max drawdown($703)
Time6/3/24 13:11
Quant open254
Worst price60.96
Drawdown as % of equity-1.32%
 $1,227
Includes Typical Broker Commissions trade costs of $5.08
7/30/24 15:34 QCOM QUALCOMM LONG 73 167.92 7/31 9:30 175.06 0.19%
Trade id #148776999
Max drawdown($104)
Time7/30/24 16:00
Quant open73
Worst price166.49
Drawdown as % of equity-0.19%
 $521
Includes Typical Broker Commissions trade costs of $1.46
7/30/24 11:01 NVDA NVIDIA LONG 116 106.30 7/31 9:30 112.78 0.78%
Trade id #148773727
Max drawdown($436)
Time7/30/24 12:59
Quant open116
Worst price102.54
Drawdown as % of equity-0.78%
 $750
Includes Typical Broker Commissions trade costs of $2.32
7/12/24 10:09 EQR EQUITY RESIDENTIAL LONG 112 68.01 7/15 11:09 68.64 0.26%
Trade id #148633944
Max drawdown($156)
Time7/12/24 12:32
Quant open112
Worst price66.61
Drawdown as % of equity-0.26%
 $69
Includes Typical Broker Commissions trade costs of $2.24
7/12/24 12:54 TEO TELECOM ARGENTINA LONG 3,000 7.12 7/15 9:30 7.25 0.25%
Trade id #148636751
Max drawdown($150)
Time7/12/24 14:26
Quant open3,000
Worst price7.07
Drawdown as % of equity-0.25%
 $385
Includes Typical Broker Commissions trade costs of $5.00
7/9/24 9:30 PGR PROGRESSIVE LONG 35 209.96 7/12 10:23 213.67 0.14%
Trade id #148598674
Max drawdown($86)
Time7/11/24 0:00
Quant open35
Worst price207.50
Drawdown as % of equity-0.14%
 $129
Includes Typical Broker Commissions trade costs of $0.70
7/2/24 9:30 PM PHILIP MORRIS LONG 73 101.29 7/11 10:01 104.07 0.06%
Trade id #148553843
Max drawdown($35)
Time7/5/24 0:00
Quant open73
Worst price100.80
Drawdown as % of equity-0.06%
 $202
Includes Typical Broker Commissions trade costs of $1.46
7/2/24 9:30 TECH BIO-TECHNE CORP COMMON STOCK LONG 103 71.67 7/8 9:45 72.57 0.18%
Trade id #148553837
Max drawdown($108)
Time7/5/24 0:00
Quant open103
Worst price70.62
Drawdown as % of equity-0.18%
 $91
Includes Typical Broker Commissions trade costs of $2.06
7/1/24 9:30 LPX LOUISIANA-PACIFIC LONG 90 82.67 7/3 10:01 83.18 0.25%
Trade id #148543161
Max drawdown($141)
Time7/2/24 0:00
Quant open90
Worst price81.10
Drawdown as % of equity-0.25%
 $44
Includes Typical Broker Commissions trade costs of $1.80
6/3/24 9:30 SPY SPDR S&P 500 LONG 73 529.13 6/27 9:30 545.37 0.9%
Trade id #148313383
Max drawdown($476)
Time6/3/24 13:11
Quant open73
Worst price522.60
Drawdown as % of equity-0.90%
 $1,185
Includes Typical Broker Commissions trade costs of $1.46
6/14/24 10:12 FAST FASTENAL LONG 209 61.90 6/26 12:21 63.75 0.01%
Trade id #148409261
Max drawdown($5)
Time6/14/24 10:31
Quant open209
Worst price61.87
Drawdown as % of equity-0.01%
 $383
Includes Typical Broker Commissions trade costs of $4.18
6/10/24 9:30 PFG PRINCIPAL FINANCIAL LONG 101 78.89 6/17 15:51 77.86 0.52%
Trade id #148369509
Max drawdown($295)
Time6/14/24 0:00
Quant open101
Worst price75.96
Drawdown as % of equity-0.52%
 ($106)
Includes Typical Broker Commissions trade costs of $2.02
6/14/24 10:18 XRAY DENTSPLY SIRONA INC LONG 502 25.86 6/17 9:30 25.73 0.11%
Trade id #148409376
Max drawdown($65)
Time6/17/24 9:30
Quant open502
Worst price25.73
Drawdown as % of equity-0.11%
 ($70)
Includes Typical Broker Commissions trade costs of $5.00
6/13/24 11:09 ZM ZOOM COMMUNICATIONS INC. CLASS A LONG 225 58.88 6/17 9:30 57.40 0.61%
Trade id #148400217
Max drawdown($348)
Time6/14/24 0:00
Quant open225
Worst price57.33
Drawdown as % of equity-0.61%
 ($338)
Includes Typical Broker Commissions trade costs of $4.50
6/12/24 14:18 MNST MONSTER BEVERAGE LONG 252 49.23 6/13 9:30 49.38 0.02%
Trade id #148392718
Max drawdown($12)
Time6/12/24 14:49
Quant open252
Worst price49.18
Drawdown as % of equity-0.02%
 $33
Includes Typical Broker Commissions trade costs of $5.04
5/31/24 9:53 DDOG DATADOG INC. LONG 110 112.73 6/4 9:30 108.44 1.08%
Trade id #148299038
Max drawdown($580)
Time6/4/24 9:30
Quant open110
Worst price107.45
Drawdown as % of equity-1.08%
 ($474)
Includes Typical Broker Commissions trade costs of $2.20
5/31/24 10:47 OKTA OKTA INC. CL A COMMON STOCK LONG 143 86.54 6/3 9:30 90.49 0.08%
Trade id #148300069
Max drawdown($40)
Time5/31/24 11:02
Quant open143
Worst price86.25
Drawdown as % of equity-0.08%
 $562
Includes Typical Broker Commissions trade costs of $2.86
5/24/24 9:30 MU MICRON TECHNOLOGY LONG 63 127.82 5/28 9:30 131.75 0.14%
Trade id #148243186
Max drawdown($74)
Time5/24/24 9:37
Quant open63
Worst price126.64
Drawdown as % of equity-0.14%
 $247
Includes Typical Broker Commissions trade costs of $1.26
5/16/24 9:40 BMA MACRO BANK LONG 323 65.13 5/17 9:30 65.49 0.33%
Trade id #148183302
Max drawdown($177)
Time5/17/24 9:30
Quant open323
Worst price64.58
Drawdown as % of equity-0.33%
 $110
Includes Typical Broker Commissions trade costs of $6.46
5/16/24 9:51 TEO TELECOM ARGENTINA LONG 2,295 9.22 5/17 9:30 9.22 0.65%
Trade id #148183622
Max drawdown($344)
Time5/16/24 11:29
Quant open2,295
Worst price9.07
Drawdown as % of equity-0.65%
 ($5)
Includes Typical Broker Commissions trade costs of $5.00
5/16/24 9:39 BBAR BANCO BBVA ARGENTINA SA LONG 1,861 11.37 5/17 9:30 11.52 1.15%
Trade id #148183292
Max drawdown($614)
Time5/16/24 12:01
Quant open1,861
Worst price11.04
Drawdown as % of equity-1.15%
 $274
Includes Typical Broker Commissions trade costs of $5.00
5/7/24 9:30 DDOG DATADOG INC. LONG 114 113.70 5/16 9:33 119.36 0.74%
Trade id #148109759
Max drawdown($382)
Time5/7/24 9:50
Quant open114
Worst price110.34
Drawdown as % of equity-0.74%
 $643
Includes Typical Broker Commissions trade costs of $2.28
5/10/24 9:30 AKAM AKAMAI TECHNOLOGIES LONG 136 94.27 5/14 9:36 94.30 0.96%
Trade id #148139788
Max drawdown($508)
Time5/10/24 15:54
Quant open136
Worst price90.53
Drawdown as % of equity-0.96%
 $1
Includes Typical Broker Commissions trade costs of $2.72
5/9/24 9:56 TEO TELECOM ARGENTINA LONG 2,202 9.43 5/10 9:30 9.50 0.96%
Trade id #148131666
Max drawdown($499)
Time5/9/24 12:49
Quant open2,202
Worst price9.20
Drawdown as % of equity-0.96%
 $149
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    8/23/2023
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    483.37
  • Age
    16 months ago
  • What it trades
    Stocks
  • # Trades
    173
  • # Profitable
    108
  • % Profitable
    62.40%
  • Avg trade duration
    5.1 days
  • Max peak-to-valley drawdown
    14.59%
  • drawdown period
    July 16, 2024 - Aug 05, 2024
  • Annual Return (Compounded)
    45.5%
  • Avg win
    $342.80
  • Avg loss
    $159.92
  • Model Account Values (Raw)
  • Cash
    $67,571
  • Margin Used
    $0
  • Buying Power
    $67,571
  • Ratios
  • W:L ratio
    3.65:1
  • Sharpe Ratio
    1.97
  • Sortino Ratio
    3.55
  • Calmar Ratio
    5.41
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    32.49%
  • Correlation to SP500
    0.37890
  • Return Percent SP500 (cumu) during strategy life
    33.70%
  • Return Statistics
  • Ann Return (w trading costs)
    45.5%
  • 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
    n/a
  • 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)
    0.455%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    48.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    4.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    100.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    799
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    371
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $160
  • Avg Win
    $343
  • Sum Trade PL (losers)
    $10,395.000
  • Age
  • Num Months filled monthly returns table
    17
  • Win / Loss
  • Sum Trade PL (winners)
    $37,022.000
  • # Winners
    108
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    949
  • Win / Loss
  • # Losers
    65
  • % Winners
    62.4%
  • Frequency
  • Avg Position Time (mins)
    7303.60
  • Avg Position Time (hrs)
    121.73
  • Avg Trade Length
    5.1 days
  • Last Trade Ago
    120
  • Leverage
  • Daily leverage (average)
    0.99
  • Daily leverage (max)
    2.41
  • Regression
  • Alpha
    0.08
  • Beta
    0.49
  • Treynor Index
    0.21
  • 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)
    0.59
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    1.275
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.544
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.032
  • Hold-and-Hope Ratio
    0.771
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52812
  • SD
    0.21946
  • Sharpe ratio (Glass type estimate)
    2.40648
  • Sharpe ratio (Hedges UMVUE)
    2.23793
  • df
    11.00000
  • t
    2.40648
  • p
    0.01742
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16621
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.56095
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06630
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.40955
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.61110
  • Upside Potential Ratio
    14.98770
  • Upside part of mean
    0.58153
  • Downside part of mean
    -0.05341
  • Upside SD
    0.25668
  • Downside SD
    0.03880
  • N nonnegative terms
    10.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.26323
  • Mean of criterion
    0.52812
  • SD of predictor
    0.13944
  • SD of criterion
    0.21946
  • Covariance
    0.00673
  • r
    0.22000
  • b (slope, estimate of beta)
    0.34624
  • a (intercept, estimate of alpha)
    0.43698
  • Mean Square Error
    0.05041
  • DF error
    10.00000
  • t(b)
    0.71317
  • p(b)
    0.24602
  • t(a)
    1.69141
  • p(a)
    0.06082
  • Lowerbound of 95% confidence interval for beta
    -0.73551
  • Upperbound of 95% confidence interval for beta
    1.42798
  • Lowerbound of 95% confidence interval for alpha
    -0.13867
  • Upperbound of 95% confidence interval for alpha
    1.01263
  • Treynor index (mean / b)
    1.52531
  • Jensen alpha (a)
    0.43698
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49639
  • SD
    0.20275
  • Sharpe ratio (Glass type estimate)
    2.44829
  • Sharpe ratio (Hedges UMVUE)
    2.27681
  • df
    11.00000
  • t
    2.44829
  • p
    0.01617
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.19970
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.61023
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09814
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.45549
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.63330
  • Upside Potential Ratio
    14.00890
  • Upside part of mean
    0.55045
  • Downside part of mean
    -0.05405
  • Upside SD
    0.23806
  • Downside SD
    0.03929
  • N nonnegative terms
    10.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.25128
  • Mean of criterion
    0.49639
  • SD of predictor
    0.13628
  • SD of criterion
    0.20275
  • Covariance
    0.00663
  • r
    0.24013
  • b (slope, estimate of beta)
    0.35725
  • a (intercept, estimate of alpha)
    0.40662
  • Mean Square Error
    0.04261
  • DF error
    10.00000
  • t(b)
    0.78225
  • p(b)
    0.22610
  • t(a)
    1.72165
  • p(a)
    0.05793
  • Lowerbound of 95% confidence interval for beta
    -0.66034
  • Upperbound of 95% confidence interval for beta
    1.37485
  • Lowerbound of 95% confidence interval for alpha
    -0.11962
  • Upperbound of 95% confidence interval for alpha
    0.93287
  • Treynor index (mean / b)
    1.38947
  • Jensen alpha (a)
    0.40662
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05343
  • Expected Shortfall on VaR
    0.07608
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00410
  • Expected Shortfall on VaR
    0.01136
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.96934
  • Quartile 1
    1.01158
  • Median
    1.03618
  • Quartile 3
    1.07175
  • Maximum
    1.21031
  • Mean of quarter 1
    0.98594
  • Mean of quarter 2
    1.01532
  • Mean of quarter 3
    1.06385
  • Mean of quarter 4
    1.12025
  • Inter Quartile Range
    0.06017
  • 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
    0.08333
  • Mean of outliers high
    1.21031
  • 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)
    -1.97198
  • VaR(95%) (regression method)
    0.04634
  • Expected Shortfall (regression method)
    0.04815
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01809
  • Quartile 1
    0.02124
  • Median
    0.02438
  • Quartile 3
    0.02752
  • Maximum
    0.03066
  • Mean of quarter 1
    0.01809
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03066
  • Inter Quartile Range
    0.00629
  • 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)
    0.68927
  • Compounded annual return (geometric extrapolation)
    0.68927
  • Calmar ratio (compounded annual return / max draw down)
    22.47850
  • Compounded annual return / average of 25% largest draw downs
    22.47850
  • Compounded annual return / Expected Shortfall lognormal
    9.06001
  • 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
    0.50659
  • SD
    0.17785
  • Sharpe ratio (Glass type estimate)
    2.84850
  • Sharpe ratio (Hedges UMVUE)
    2.84040
  • df
    264.00000
  • t
    2.86476
  • p
    0.00225
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.88193
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.80978
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.87656
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.80424
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.03683
  • Upside Potential Ratio
    10.95030
  • Upside part of mean
    1.10135
  • Downside part of mean
    -0.59476
  • Upside SD
    0.14958
  • Downside SD
    0.10058
  • N nonnegative terms
    150.00000
  • N negative terms
    115.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    265.00000
  • Mean of predictor
    0.27968
  • Mean of criterion
    0.50659
  • SD of predictor
    0.13474
  • SD of criterion
    0.17785
  • Covariance
    0.00947
  • r
    0.39510
  • b (slope, estimate of beta)
    0.52148
  • a (intercept, estimate of alpha)
    0.36100
  • Mean Square Error
    0.02679
  • DF error
    263.00000
  • t(b)
    6.97488
  • p(b)
    -0.00000
  • t(a)
    2.19840
  • p(a)
    0.01440
  • Lowerbound of 95% confidence interval for beta
    0.37427
  • Upperbound of 95% confidence interval for beta
    0.66870
  • Lowerbound of 95% confidence interval for alpha
    0.03764
  • Upperbound of 95% confidence interval for alpha
    0.68385
  • Treynor index (mean / b)
    0.97144
  • Jensen alpha (a)
    0.36074
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49046
  • SD
    0.17665
  • Sharpe ratio (Glass type estimate)
    2.77641
  • Sharpe ratio (Hedges UMVUE)
    2.76852
  • df
    264.00000
  • t
    2.79227
  • p
    0.00281
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.81072
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.73701
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80543
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.73161
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.81944
  • Upside Potential Ratio
    10.71370
  • Upside part of mean
    1.09029
  • Downside part of mean
    -0.59983
  • Upside SD
    0.14714
  • Downside SD
    0.10177
  • N nonnegative terms
    150.00000
  • N negative terms
    115.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    265.00000
  • Mean of predictor
    0.27047
  • Mean of criterion
    0.49046
  • SD of predictor
    0.13463
  • SD of criterion
    0.17665
  • Covariance
    0.00949
  • r
    0.39905
  • b (slope, estimate of beta)
    0.52361
  • a (intercept, estimate of alpha)
    0.34884
  • Mean Square Error
    0.02634
  • DF error
    263.00000
  • t(b)
    7.05774
  • p(b)
    -0.00000
  • t(a)
    2.14528
  • p(a)
    0.01642
  • Lowerbound of 95% confidence interval for beta
    0.37753
  • Upperbound of 95% confidence interval for beta
    0.66969
  • Lowerbound of 95% confidence interval for alpha
    0.02866
  • Upperbound of 95% confidence interval for alpha
    0.66901
  • Treynor index (mean / b)
    0.93668
  • Jensen alpha (a)
    0.34884
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01595
  • Expected Shortfall on VaR
    0.02042
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00463
  • Expected Shortfall on VaR
    0.01029
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    265.00000
  • Minimum
    0.96241
  • Quartile 1
    0.99935
  • Median
    1.00079
  • Quartile 3
    1.00416
  • Maximum
    1.06197
  • Mean of quarter 1
    0.99126
  • Mean of quarter 2
    1.00006
  • Mean of quarter 3
    1.00227
  • Mean of quarter 4
    1.01473
  • Inter Quartile Range
    0.00482
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.10566
  • Mean of outliers low
    0.98321
  • Number of outliers high
    33.00000
  • Percentage of outliers high
    0.12453
  • Mean of outliers high
    1.02192
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59700
  • VaR(95%) (moments method)
    0.00538
  • Expected Shortfall (moments method)
    0.01624
  • Extreme Value Index (regression method)
    0.14600
  • VaR(95%) (regression method)
    0.00815
  • Expected Shortfall (regression method)
    0.01416
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    27.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00207
  • Median
    0.00858
  • Quartile 3
    0.01895
  • Maximum
    0.12557
  • Mean of quarter 1
    0.00081
  • Mean of quarter 2
    0.00548
  • Mean of quarter 3
    0.01175
  • Mean of quarter 4
    0.05360
  • Inter Quartile Range
    0.01688
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.09000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.55538
  • VaR(95%) (moments method)
    0.06191
  • Expected Shortfall (moments method)
    0.14887
  • Extreme Value Index (regression method)
    1.77323
  • VaR(95%) (regression method)
    0.05397
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.68147
  • Compounded annual return (geometric extrapolation)
    0.67928
  • Calmar ratio (compounded annual return / max draw down)
    5.40955
  • Compounded annual return / average of 25% largest draw downs
    12.67360
  • Compounded annual return / Expected Shortfall lognormal
    33.26540
  • 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
    0.84853
  • SD
    0.22431
  • Sharpe ratio (Glass type estimate)
    3.78285
  • Sharpe ratio (Hedges UMVUE)
    3.76098
  • df
    130.00000
  • t
    2.67488
  • p
    0.38580
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.96619
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.58544
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.95173
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.57024
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.81537
  • Upside Potential Ratio
    12.97300
  • Upside part of mean
    1.61517
  • Downside part of mean
    -0.76664
  • Upside SD
    0.19282
  • Downside SD
    0.12450
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28754
  • Mean of criterion
    0.84853
  • SD of predictor
    0.14450
  • SD of criterion
    0.22431
  • Covariance
    0.01642
  • r
    0.50646
  • b (slope, estimate of beta)
    0.78617
  • a (intercept, estimate of alpha)
    0.62248
  • Mean Square Error
    0.03770
  • DF error
    129.00000
  • t(b)
    6.67109
  • p(b)
    0.19195
  • t(a)
    2.24989
  • p(a)
    0.37708
  • Lowerbound of 95% confidence interval for beta
    0.55301
  • Upperbound of 95% confidence interval for beta
    1.01934
  • Lowerbound of 95% confidence interval for alpha
    0.07508
  • Upperbound of 95% confidence interval for alpha
    1.16988
  • Treynor index (mean / b)
    1.07932
  • Jensen alpha (a)
    0.62248
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.82239
  • SD
    0.22275
  • Sharpe ratio (Glass type estimate)
    3.69196
  • Sharpe ratio (Hedges UMVUE)
    3.67062
  • df
    130.00000
  • t
    2.61061
  • p
    0.38841
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.87721
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.49289
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.86313
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.47810
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.52054
  • Upside Potential Ratio
    12.66090
  • Upside part of mean
    1.59683
  • Downside part of mean
    -0.77444
  • Upside SD
    0.18951
  • Downside SD
    0.12612
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.27701
  • Mean of criterion
    0.82239
  • SD of predictor
    0.14433
  • SD of criterion
    0.22275
  • Covariance
    0.01647
  • r
    0.51227
  • b (slope, estimate of beta)
    0.79064
  • a (intercept, estimate of alpha)
    0.60338
  • Mean Square Error
    0.03688
  • DF error
    129.00000
  • t(b)
    6.77472
  • p(b)
    0.18876
  • t(a)
    2.20605
  • p(a)
    0.37936
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    0.55973
  • Upperbound of 95% confidence interval for beta
    1.02154
  • Lowerbound of 95% confidence interval for alpha
    0.06223
  • Upperbound of 95% confidence interval for alpha
    1.14452
  • Treynor index (mean / b)
    1.04016
  • Jensen alpha (a)
    0.60338
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01931
  • Expected Shortfall on VaR
    0.02492
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00592
  • Expected Shortfall on VaR
    0.01306
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96241
  • Quartile 1
    0.99938
  • Median
    1.00168
  • Quartile 3
    1.00900
  • Maximum
    1.06197
  • Mean of quarter 1
    0.98857
  • Mean of quarter 2
    1.00031
  • Mean of quarter 3
    1.00451
  • Mean of quarter 4
    1.02002
  • Inter Quartile Range
    0.00962
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.97632
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.03908
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54275
  • VaR(95%) (moments method)
    0.00581
  • Expected Shortfall (moments method)
    0.01583
  • Extreme Value Index (regression method)
    0.09754
  • VaR(95%) (regression method)
    0.00963
  • Expected Shortfall (regression method)
    0.01611
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00333
  • Median
    0.00665
  • Quartile 3
    0.01230
  • Maximum
    0.12557
  • Mean of quarter 1
    0.00160
  • Mean of quarter 2
    0.00410
  • Mean of quarter 3
    0.00984
  • Mean of quarter 4
    0.06412
  • Inter Quartile Range
    0.00896
  • 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
    0.11066
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.28107
  • VaR(95%) (moments method)
    0.04386
  • Expected Shortfall (moments method)
    0.05751
  • Extreme Value Index (regression method)
    -0.27821
  • VaR(95%) (regression method)
    0.09793
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.12931
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -347422000
  • Max Equity Drawdown (num days)
    20
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.05964
  • Compounded annual return (geometric extrapolation)
    1.34035
  • Calmar ratio (compounded annual return / max draw down)
    10.67410
  • Compounded annual return / average of 25% largest draw downs
    20.90230
  • Compounded annual return / Expected Shortfall lognormal
    53.78870

Strategy Description

This is a well-structured and diversified algorithmic trading approach designed to maximize profits and manage risk trough diversification, effectively keeping both a high Sharpe Ratio, resilience to market fluctuations and a low draw down. The strategy's primary focus is on aligning various trading instruments and systems, resulting in a comprehensive and robust portfolio. By combining the US Indices, ADRs, leveraged ETFs, and dip-buyers, The Rosa Negra aims to capitalize on multiple market opportunities simultaneously.

Despite new to C2, The Rosa Negra have been running out of sample in the stock markets for quite some time, however investing in stocks and ETFs involves considerable risk and past performance does not warrant future profits.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-08-23
Suggested Minimum Capital
$15,000
# Trades
173
# Profitable
108
% Profitable
62.4%
Net Dividends
$949
Correlation S&P500
0.379
Sharpe Ratio
1.97
Sortino Ratio
3.55
Beta
0.49
Alpha
0.08
Leverage
0.99 Average
2.41 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.