Ochados Management 1
(137056431)
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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.
Trendfollowing
Tries to take advantage of long, medium or shortterm moves that seem to play out in various markets. Typically, trendfollowing analysis is backward looking; that is, it attempts to recognize and profit from alreadyestablished trends.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 shortsells a security that has been in a downward trend. While similar to Trendfollowing, tends to be more forwardlooking (predicting oncoming trend), while Momentum is more backwardlooking (observing alreadyestablished price direction).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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2021  +0.6%  (4%)  +0.8%  +10.3%  (1.1%)  +6.2% 
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.
Started  $100,000  
Buy Power  $31,775  
Cash  $1  
Equity  $1  
Cumulative $  $6,972  
Total System Equity  $106,972  
Margined  $1  
Open P/L  $1,226  
Data has been delayed by 168 hours for nonsubscribers 
System developer has asked us to delay this information by 168 hours.
Trading Record
Statistics

Strategy began8/20/2021

Suggested Minimum Cap$35,000

Strategy Age (days)105.64

Age106 days ago

What it tradesStocks

# Trades154

# Profitable37

% Profitable24.00%

Avg trade duration16.6 days

Max peaktovalley drawdown12.12%

drawdown periodSept 02, 2021  Nov 19, 2021

Cumul. Return6.2%

Avg win$798.00

Avg loss$192.77
 Model Account Values (Raw)

Cash$32,114

Margin Used$0

Buying Power$31,775
 Ratios

W:L ratio1.31:1

Sharpe Ratio0.64

Sortino Ratio1.68

Calmar Ratio2.315
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)4.05%

Correlation to SP5000.18710

Return Percent SP500 (cumu) during strategy life2.18%
 Return Statistics

Ann Return (w trading costs)22.5%
 Slump

Current Slump as Pcnt Equity4.30%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.01%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.062%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)25.9%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss24.00%

Chance of 20% account loss1.50%

Chance of 30% account lossn/a

Chance of 40% account lossn/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 Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)518
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score308

Popularity (7 days, Percentile 1000 scale)502
 Management

No Subs Allowed Flag (1: no subs)0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$193

Avg Win$798

Sum Trade PL (losers)$22,554.000
 Age

Num Months filled monthly returns table5
 Win / Loss

Sum Trade PL (winners)$29,526.000

# Winners37

Num Months Winners3
 Dividends

Dividends Received in Model Acct0
 Win / Loss

# Losers117

% Winners24.0%
 Frequency

Avg Position Time (mins)23842.80

Avg Position Time (hrs)397.38

Avg Trade Length16.6 days

Last Trade Ago1
 Leverage

Daily leverage (average)0.67

Daily leverage (max)1.99
 Regression

Alpha0.07

Beta0.45

Treynor Index0.14
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.00

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.88

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.00

Avg(MAE) / Avg(PL)  All trades7.971

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 strat0.00

Avg(MAE) / Avg(PL)  Winning trades0.392

Avg(MAE) / Avg(PL)  Losing trades1.091

HoldandHope Ratio0.170
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.26528

SD0.03297

Sharpe ratio (Glass type estimate)8.04641

Sharpe ratio (Hedges UMVUE)4.53970

df2.00000

t4.02320

p0.97171

Lowerbound of 95% confidence interval for Sharpe Ratio16.25170

Upperbound of 95% confidence interval for Sharpe Ratio0.15741

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation10.46910

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.38970
 Statistics related to Sortino ratio

Sortino ratio3.26808

Upside Potential Ratio0.00000

Upside part of mean0.00000

Downside part of mean0.26528

Upside SD0.00000

Downside SD0.08117

N nonnegative terms0.00000

N negative terms3.00000
 Statistics related to linear regression on benchmark

N of observations3.00000

Mean of predictor0.19003

Mean of criterion0.26528

SD of predictor0.11677

SD of criterion0.03297

Covariance0.00137

r0.35707

b (slope, estimate of beta)0.10082

a (intercept, estimate of alpha)0.24612

Mean Square Error0.00190

DF error1.00000

t(b)0.38227

p(b)0.61622

t(a)2.44919

p(a)0.87661

Lowerbound of 95% confidence interval for beta3.45180

Upperbound of 95% confidence interval for beta3.25017

Lowerbound of 95% confidence interval for alpha1.52297

Upperbound of 95% confidence interval for alpha1.03073

Treynor index (mean / b)2.63134

Jensen alpha (a)0.24612
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.26800

SD0.03373

Sharpe ratio (Glass type estimate)7.94632

Sharpe ratio (Hedges UMVUE)4.48323

df2.00000

t3.97316

p0.97105

Lowerbound of 95% confidence interval for Sharpe Ratio16.06860

Upperbound of 95% confidence interval for Sharpe Ratio0.18628

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation10.37120

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.40477
 Statistics related to Sortino ratio

Sortino ratio3.26353

Upside Potential Ratio0.00000

Upside part of mean0.00000

Downside part of mean0.26800

Upside SD0.00000

Downside SD0.08212

N nonnegative terms0.00000

N negative terms3.00000
 Statistics related to linear regression on benchmark

N of observations3.00000

Mean of predictor0.18368

Mean of criterion0.26800

SD of predictor0.11557

SD of criterion0.03373

Covariance0.00141

r0.36220

b (slope, estimate of beta)0.10570

a (intercept, estimate of alpha)0.24859

Mean Square Error0.00198

DF error1.00000

t(b)0.38859

p(b)0.61798

t(a)2.43732

p(a)0.87607

Lowerbound of 95% confidence interval for beta3.56206

Upperbound of 95% confidence interval for beta3.35065

Lowerbound of 95% confidence interval for alpha1.54452

Upperbound of 95% confidence interval for alpha1.04735

Treynor index (mean / b)2.53539

Jensen alpha (a)0.24859
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03762

Expected Shortfall on VaR0.04152
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02834

Expected Shortfall on VaR0.02834
 ORDER STATISTICS
 Quartiles of return rates

Number of observations3.00000

Minimum0.96926

Quartile 10.97712

Median0.98498

Quartile 30.98570

Maximum0.98642

Mean of quarter 10.96926

Mean of quarter 20.98498

Mean of quarter 30.00000

Mean of quarter 40.98642

Inter Quartile Range0.00858

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod 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 observations1.00000

Minimum0.05826

Quartile 10.05826

Median0.05826

Quartile 30.05826

Maximum0.05826

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.23303

Compounded annual return (geometric extrapolation)0.21345

Calmar ratio (compounded annual return / max draw down)3.66383

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal5.14047

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.22625

SD0.29684

Sharpe ratio (Glass type estimate)0.76221

Sharpe ratio (Hedges UMVUE)0.75446

df74.00000

t0.40781

p0.34230

Lowerbound of 95% confidence interval for Sharpe Ratio2.90564

Upperbound of 95% confidence interval for Sharpe Ratio4.42500

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.91082

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.41973
 Statistics related to Sortino ratio

Sortino ratio2.01751

Upside Potential Ratio10.20980

Upside part of mean1.14498

Downside part of mean0.91872

Upside SD0.27305

Downside SD0.11214

N nonnegative terms34.00000

N negative terms41.00000
 Statistics related to linear regression on benchmark

N of observations75.00000

Mean of predictor0.05525

Mean of criterion0.22625

SD of predictor0.12605

SD of criterion0.29684

Covariance0.00664

r0.17749

b (slope, estimate of beta)0.41797

a (intercept, estimate of alpha)0.24900

Mean Square Error0.08651

DF error73.00000

t(b)1.54095

p(b)0.93617

t(a)0.45342

p(a)0.32580

Lowerbound of 95% confidence interval for beta0.95855

Upperbound of 95% confidence interval for beta0.12261

Lowerbound of 95% confidence interval for alpha0.84666

Upperbound of 95% confidence interval for alpha1.34535

Treynor index (mean / b)0.54131

Jensen alpha (a)0.24935
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.18532

SD0.28335

Sharpe ratio (Glass type estimate)0.65403

Sharpe ratio (Hedges UMVUE)0.64738

df74.00000

t0.34993

p0.36369

Lowerbound of 95% confidence interval for Sharpe Ratio3.01286

Upperbound of 95% confidence interval for Sharpe Ratio4.31670

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.01737

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.31212
 Statistics related to Sortino ratio

Sortino ratio1.63477

Upside Potential Ratio9.79467

Upside part of mean1.11032

Downside part of mean0.92500

Upside SD0.25787

Downside SD0.11336

N nonnegative terms34.00000

N negative terms41.00000
 Statistics related to linear regression on benchmark

N of observations75.00000

Mean of predictor0.04738

Mean of criterion0.18532

SD of predictor0.12636

SD of criterion0.28335

Covariance0.00602

r0.16823

b (slope, estimate of beta)0.37722

a (intercept, estimate of alpha)0.20319

Mean Square Error0.07908

DF error73.00000

t(b)1.45809

p(b)0.92545

t(a)0.38648

p(a)0.35013

Lowerbound of 95% confidence interval for beta0.89282

Upperbound of 95% confidence interval for beta0.13838

Lowerbound of 95% confidence interval for alpha0.84463

Upperbound of 95% confidence interval for alpha1.25100

Treynor index (mean / b)0.49128

Jensen alpha (a)0.20319
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02770

Expected Shortfall on VaR0.03476
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00856

Expected Shortfall on VaR0.01624
 ORDER STATISTICS
 Quartiles of return rates

Number of observations75.00000

Minimum0.96473

Quartile 10.99548

Median0.99950

Quartile 31.00296

Maximum1.13612

Mean of quarter 10.98882

Mean of quarter 20.99764

Mean of quarter 31.00110

Mean of quarter 41.01632

Inter Quartile Range0.00748

Number outliers low5.00000

Percentage of outliers low0.06667

Mean of outliers low0.97845

Number of outliers high5.00000

Percentage of outliers high0.06667

Mean of outliers high1.04460
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.39090

VaR(95%) (moments method)0.01232

Expected Shortfall (moments method)0.02250

Extreme Value Index (regression method)0.75652

VaR(95%) (regression method)0.00957

Expected Shortfall (regression method)0.02951
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations3.00000

Minimum0.00092

Quartile 10.01141

Median0.02190

Quartile 30.06228

Maximum0.10267

Mean of quarter 10.00092

Mean of quarter 20.02190

Mean of quarter 30.00000

Mean of quarter 40.10267

Inter Quartile Range0.05088

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.21987

Compounded annual return (geometric extrapolation)0.23766

Calmar ratio (compounded annual return / max draw down)2.31483

Compounded annual return / average of 25% largest draw downs2.31483

Compounded annual return / Expected Shortfall lognormal6.83696
 Analysis based on DAILY values, last 6 months only
 RATIO STATISTICS
 Ratio statistics of excess log return rates
 Statistics related to linear regression on benchmark

VAR (95 Confidence Intrvl)0.02800
 DRAW DOWN STATISTICS
 Risk estimates based on draw downs (based on Extreme Value T
 assuming Pareto losses only (using partial moments from Sortino statistics)

Last 4 Months  Pcnt Negative0.50%

Strat Max DD how much worse than SP500 max DD during strat life?323508000

Max Equity Drawdown (num days)78
Strategy Description
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.