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Featured Strategy Easiest Rank on Leaderboard #5 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 05/23/2022
Most recent certification approved 5/23/22 9:32 ET
Trades at broker C2 Gateway
Scaling percentage used 100%
# trading signals issued by system since certification 2,428
# trading signals executed in manager's C2 Gateway account 2,428
Percent signals followed since 05/23/2022 100%
This information was last updated 5/17/24 4:50 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 05/23/2022, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

SP500 Stocks spike Live
(140513127)

Created by: FabianKlare FabianKlare
Started: 05/2022
Stocks
Last trade: Yesterday
Trading style: Equity Short-term Reversal

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 $49.00 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
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
28.6%
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.

(20.8%)
Max Drawdown
1215
Num Trades
60.8%
Win Trades
1.4 : 1
Profit Factor
56.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                            +13.6%+4.1%+7.1%(0.6%)(4.7%)+21.0%+12.4%(1.1%)+61.6%
2023+0.9%(0.4%)(8.7%)+1.6%+0.9%(0.1%)+3.2%(4.3%)(3.7%)(0.5%)+8.0%+4.6%+0.4%
2024(3.7%)+4.6%+3.3%(5.4%)+3.8%                                          +2.1%

Model Account Details

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

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

Trading Record

This strategy has placed 2,428 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/15/24 9:39 ALB ALBEMARLE LONG 41 131.75 5/16 15:59 129.18 0.21%
Trade id #148172068
Max drawdown($208)
Time5/15/24 10:26
Quant open41
Worst price126.65
Drawdown as % of equity-0.21%
 ($106)
Includes Typical Broker Commissions trade costs of $0.82
5/9/24 15:53 ANET ARISTA NETWORKS INC SHORT 19 295.28 5/16 15:59 320.15 0.65%
Trade id #148136048
Max drawdown($641)
Time5/16/24 9:39
Quant open19
Worst price329.04
Drawdown as % of equity-0.65%
 ($473)
Includes Typical Broker Commissions trade costs of $0.38
5/1/24 9:32 MCK MCKESSON LONG 10 523.46 5/16 15:59 555.79 0.05%
Trade id #148061207
Max drawdown($51)
Time5/1/24 9:55
Quant open10
Worst price518.27
Drawdown as % of equity-0.05%
 $323
Includes Typical Broker Commissions trade costs of $0.20
5/15/24 9:35 WAT WATERS SHORT 15 367.24 5/16 9:46 359.14 n/a $122
Includes Typical Broker Commissions trade costs of $0.30
5/15/24 9:39 GEN GEN DIGITAL INC. SHORT 230 24.98 5/16 9:32 24.81 0.02%
Trade id #148172047
Max drawdown($19)
Time5/15/24 15:59
Quant open230
Worst price25.07
Drawdown as % of equity-0.02%
 $35
Includes Typical Broker Commissions trade costs of $4.60
5/10/24 12:21 FSLR FIRST SOLAR INC LONG 28 193.68 5/14 16:00 188.04 0.29%
Trade id #148143120
Max drawdown($289)
Time5/14/24 13:15
Quant open28
Worst price183.35
Drawdown as % of equity-0.29%
 ($159)
Includes Typical Broker Commissions trade costs of $0.56
5/1/24 11:02 OXY OCCIDENTAL PETROLEUM LONG 85 64.56 5/14 16:00 63.04 0.16%
Trade id #148062441
Max drawdown($160)
Time5/14/24 13:49
Quant open85
Worst price62.67
Drawdown as % of equity-0.16%
 ($132)
Includes Typical Broker Commissions trade costs of $1.70
5/13/24 13:30 TTWO TAKE-TWO INTERACTIVE SFTW LONG 38 144.06 5/14 15:59 144.94 0.02%
Trade id #148156548
Max drawdown($19)
Time5/14/24 9:30
Quant open38
Worst price143.55
Drawdown as % of equity-0.02%
 $32
Includes Typical Broker Commissions trade costs of $0.76
5/13/24 10:52 LLY ELI LILLY LONG 7 750.53 5/14 15:59 763.82 n/a $93
Includes Typical Broker Commissions trade costs of $0.14
5/13/24 9:34 GE GE AEROSPACE LONG 34 160.31 5/14 15:59 159.98 0.08%
Trade id #148153154
Max drawdown($77)
Time5/14/24 9:30
Quant open34
Worst price158.03
Drawdown as % of equity-0.08%
 ($12)
Includes Typical Broker Commissions trade costs of $0.68
5/1/24 9:31 COR CENCORA INC LONG 24 225.87 5/14 15:59 221.92 0.13%
Trade id #148061114
Max drawdown($124)
Time5/14/24 13:07
Quant open24
Worst price220.68
Drawdown as % of equity-0.13%
 ($95)
Includes Typical Broker Commissions trade costs of $0.48
5/13/24 13:07 CSGP COSTAR GROUP LONG 62 88.81 5/14 15:59 87.77 0.09%
Trade id #148156352
Max drawdown($90)
Time5/14/24 15:30
Quant open62
Worst price87.36
Drawdown as % of equity-0.09%
 ($66)
Includes Typical Broker Commissions trade costs of $1.24
5/10/24 10:55 EQT EQT LONG 140 39.13 5/14 9:30 40.00 0.06%
Trade id #148141504
Max drawdown($54)
Time5/10/24 13:07
Quant open140
Worst price38.74
Drawdown as % of equity-0.06%
 $119
Includes Typical Broker Commissions trade costs of $2.80
5/9/24 9:30 VST VISTRA CORP SHORT 62 90.53 5/14 9:30 88.62 0.35%
Trade id #148130767
Max drawdown($343)
Time5/10/24 0:00
Quant open62
Worst price96.07
Drawdown as % of equity-0.35%
 $117
Includes Typical Broker Commissions trade costs of $1.24
5/6/24 11:11 RMD RESMED LONG 25 216.65 5/13 9:50 216.39 0.16%
Trade id #148100388
Max drawdown($156)
Time5/8/24 0:00
Quant open25
Worst price210.39
Drawdown as % of equity-0.16%
 ($7)
Includes Typical Broker Commissions trade costs of $0.50
4/29/24 11:09 F FORD MOTOR LONG 437 12.59 5/13 9:37 12.29 0.3%
Trade id #148038835
Max drawdown($296)
Time5/10/24 0:00
Quant open437
Worst price11.91
Drawdown as % of equity-0.30%
 ($140)
Includes Typical Broker Commissions trade costs of $8.74
5/8/24 10:30 GL GLOBE LIFE INC SHORT 66 85.45 5/13 9:33 85.77 0.41%
Trade id #148122798
Max drawdown($391)
Time5/9/24 0:00
Quant open66
Worst price91.39
Drawdown as % of equity-0.41%
 ($22)
Includes Typical Broker Commissions trade costs of $1.32
5/7/24 15:39 NCLH NORWEGIAN CRUISE LINE HOLDINGS LONG 347 15.66 5/13 9:30 16.22 0.07%
Trade id #148114718
Max drawdown($65)
Time5/8/24 0:00
Quant open347
Worst price15.47
Drawdown as % of equity-0.07%
 $188
Includes Typical Broker Commissions trade costs of $6.94
4/30/24 15:52 HLT HILTON WORLDWIDE HOLDINGS INC LONG 27 198.19 5/10 15:59 208.10 0.06%
Trade id #148055707
Max drawdown($59)
Time5/1/24 0:00
Quant open27
Worst price196.00
Drawdown as % of equity-0.06%
 $266
Includes Typical Broker Commissions trade costs of $0.54
5/8/24 9:44 HWM HOWMET AEROSPACE INC SHORT 70 81.11 5/10 11:24 81.19 0.12%
Trade id #148121957
Max drawdown($119)
Time5/10/24 9:30
Quant open70
Worst price82.81
Drawdown as % of equity-0.12%
 ($6)
Includes Typical Broker Commissions trade costs of $1.40
5/9/24 9:42 IP INTERNATIONAL PAPER SHORT 143 39.62 5/10 10:28 38.43 0.06%
Trade id #148131273
Max drawdown($61)
Time5/9/24 15:29
Quant open143
Worst price40.05
Drawdown as % of equity-0.06%
 $168
Includes Typical Broker Commissions trade costs of $2.86
5/8/24 9:38 APTV APTIV PLC SHORT 68 82.53 5/10 10:25 83.47 0.15%
Trade id #148121775
Max drawdown($150)
Time5/10/24 9:33
Quant open68
Worst price84.74
Drawdown as % of equity-0.15%
 ($65)
Includes Typical Broker Commissions trade costs of $1.36
4/30/24 10:43 TAP MOLSON COORS BEVERAGE CO LONG 87 59.40 5/10 9:31 58.97 0.24%
Trade id #148050732
Max drawdown($229)
Time5/1/24 0:00
Quant open87
Worst price56.76
Drawdown as % of equity-0.24%
 ($39)
Includes Typical Broker Commissions trade costs of $1.74
5/1/24 11:15 TRGP TARGA RESOURCES LONG 49 111.93 5/10 9:31 113.87 0.09%
Trade id #148062591
Max drawdown($90)
Time5/3/24 0:00
Quant open49
Worst price110.09
Drawdown as % of equity-0.09%
 $94
Includes Typical Broker Commissions trade costs of $0.98
5/1/24 10:36 VLO VALERO ENERGY LONG 35 157.63 5/10 9:30 160.24 0.11%
Trade id #148062201
Max drawdown($107)
Time5/1/24 13:57
Quant open35
Worst price154.57
Drawdown as % of equity-0.11%
 $90
Includes Typical Broker Commissions trade costs of $0.70
4/25/24 10:04 ADM ARCHER-DANIELS MIDLAND LONG 90 60.75 5/10 9:30 62.60 0.32%
Trade id #148008571
Max drawdown($304)
Time4/30/24 0:00
Quant open90
Worst price57.36
Drawdown as % of equity-0.32%
 $165
Includes Typical Broker Commissions trade costs of $1.80
5/1/24 11:10 HAL HALLIBURTON LONG 150 36.76 5/10 9:30 37.63 0.1%
Trade id #148062528
Max drawdown($98)
Time5/1/24 14:12
Quant open150
Worst price36.10
Drawdown as % of equity-0.10%
 $128
Includes Typical Broker Commissions trade costs of $3.00
5/1/24 10:36 MRO MARATHON OIL LONG 210 26.29 5/10 9:30 27.30 0.09%
Trade id #148062190
Max drawdown($87)
Time5/1/24 14:11
Quant open210
Worst price25.87
Drawdown as % of equity-0.09%
 $208
Includes Typical Broker Commissions trade costs of $4.20
5/1/24 10:13 TGT TARGET LONG 34 158.10 5/10 9:30 164.88 0.08%
Trade id #148061930
Max drawdown($78)
Time5/2/24 0:00
Quant open34
Worst price155.80
Drawdown as % of equity-0.08%
 $230
Includes Typical Broker Commissions trade costs of $0.68
4/25/24 9:55 APA APA CORP LONG 173 31.54 5/10 9:30 30.99 0.48%
Trade id #148008388
Max drawdown($457)
Time5/2/24 0:00
Quant open173
Worst price28.90
Drawdown as % of equity-0.48%
 ($100)
Includes Typical Broker Commissions trade costs of $3.46
Next

Statistics

  • Strategy began
    5/18/2022
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    729.99
  • Age
    24 months ago
  • What it trades
    Stocks
  • # Trades
    1215
  • # Profitable
    739
  • % Profitable
    60.80%
  • Avg trade duration
    6.6 days
  • Max peak-to-valley drawdown
    20.78%
  • drawdown period
    April 28, 2023 - Sept 05, 2023
  • Annual Return (Compounded)
    28.6%
  • Avg win
    $205.60
  • Avg loss
    $230.42
  • Model Account Values (Raw)
  • Cash
    $85,645
  • Margin Used
    $15,462
  • Buying Power
    $71,952
  • Ratios
  • W:L ratio
    1.40:1
  • Sharpe Ratio
    0.91
  • Sortino Ratio
    1.51
  • Calmar Ratio
    2.401
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    30.64%
  • Correlation to SP500
    0.39590
  • Return Percent SP500 (cumu) during strategy life
    35.00%
  • Return Statistics
  • Ann Return (w trading costs)
    28.6%
  • Slump
  • Current Slump as Pcnt Equity
    3.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.53%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.286%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    31.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    60.00%
  • Chance of 20% account loss
    31.50%
  • Chance of 30% account loss
    10.00%
  • Chance of 40% account loss
    1.50%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    380
  • Popularity (Last 6 weeks)
    876
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    414
  • Popularity (7 days, Percentile 1000 scale)
    648
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $230
  • Avg Win
    $206
  • Sum Trade PL (losers)
    $109,681.000
  • Age
  • Num Months filled monthly returns table
    25
  • Win / Loss
  • Sum Trade PL (winners)
    $151,941.000
  • # Winners
    739
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    1880
  • AUM
  • AUM (AutoTrader live capital)
    142209
  • Win / Loss
  • # Losers
    476
  • % Winners
    60.8%
  • Frequency
  • Avg Position Time (mins)
    9556.30
  • Avg Position Time (hrs)
    159.27
  • Avg Trade Length
    6.6 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.78
  • Daily leverage (max)
    4.68
  • Regression
  • Alpha
    0.05
  • Beta
    0.56
  • Treynor Index
    0.13
  • 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)
    -0.66
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    10.922
  • 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
    0.968
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.972
  • Hold-and-Hope Ratio
    0.093
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27438
  • SD
    0.25857
  • Sharpe ratio (Glass type estimate)
    1.06114
  • Sharpe ratio (Hedges UMVUE)
    1.02448
  • df
    22.00000
  • t
    1.46908
  • p
    0.07798
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39991
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49933
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42323
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.47219
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.84989
  • Upside Potential Ratio
    4.52254
  • Upside part of mean
    0.43541
  • Downside part of mean
    -0.16104
  • Upside SD
    0.24689
  • Downside SD
    0.09628
  • N nonnegative terms
    14.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.11998
  • Mean of criterion
    0.27438
  • SD of predictor
    0.16686
  • SD of criterion
    0.25857
  • Covariance
    0.01967
  • r
    0.45589
  • b (slope, estimate of beta)
    0.70645
  • a (intercept, estimate of alpha)
    0.18962
  • Mean Square Error
    0.05548
  • DF error
    21.00000
  • t(b)
    2.34728
  • p(b)
    0.22016
  • t(a)
    1.09020
  • p(a)
    0.35399
  • Lowerbound of 95% confidence interval for beta
    0.08056
  • Upperbound of 95% confidence interval for beta
    1.33234
  • Lowerbound of 95% confidence interval for alpha
    -0.17209
  • Upperbound of 95% confidence interval for alpha
    0.55133
  • Treynor index (mean / b)
    0.38839
  • Jensen alpha (a)
    0.18962
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24205
  • SD
    0.24111
  • Sharpe ratio (Glass type estimate)
    1.00391
  • Sharpe ratio (Hedges UMVUE)
    0.96923
  • df
    22.00000
  • t
    1.38985
  • p
    0.08924
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45306
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.43917
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47516
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41361
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.41713
  • Upside Potential Ratio
    4.07021
  • Upside part of mean
    0.40759
  • Downside part of mean
    -0.16554
  • Upside SD
    0.22463
  • Downside SD
    0.10014
  • N nonnegative terms
    14.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.10588
  • Mean of criterion
    0.24205
  • SD of predictor
    0.16707
  • SD of criterion
    0.24111
  • Covariance
    0.01851
  • r
    0.45948
  • b (slope, estimate of beta)
    0.66308
  • a (intercept, estimate of alpha)
    0.17184
  • Mean Square Error
    0.04804
  • DF error
    21.00000
  • t(b)
    2.37069
  • p(b)
    0.21813
  • t(a)
    1.06691
  • p(a)
    0.35689
  • Lowerbound of 95% confidence interval for beta
    0.08141
  • Upperbound of 95% confidence interval for beta
    1.24475
  • Lowerbound of 95% confidence interval for alpha
    -0.16312
  • Upperbound of 95% confidence interval for alpha
    0.50680
  • Treynor index (mean / b)
    0.36504
  • Jensen alpha (a)
    0.17184
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09000
  • Expected Shortfall on VaR
    0.11579
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02630
  • Expected Shortfall on VaR
    0.05376
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.89694
  • Quartile 1
    0.98149
  • Median
    1.01468
  • Quartile 3
    1.04192
  • Maximum
    1.27014
  • Mean of quarter 1
    0.95678
  • Mean of quarter 2
    1.00139
  • Mean of quarter 3
    1.02696
  • Mean of quarter 4
    1.11593
  • Inter Quartile Range
    0.06044
  • 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
    0.08696
  • Mean of outliers high
    1.20217
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.06328
  • VaR(95%) (moments method)
    0.04197
  • Expected Shortfall (moments method)
    0.05952
  • Extreme Value Index (regression method)
    0.01330
  • VaR(95%) (regression method)
    0.04373
  • Expected Shortfall (regression method)
    0.05953
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01034
  • Quartile 1
    0.01814
  • Median
    0.02212
  • Quartile 3
    0.04145
  • Maximum
    0.10395
  • Mean of quarter 1
    0.01424
  • Mean of quarter 2
    0.02212
  • Mean of quarter 3
    0.04145
  • Mean of quarter 4
    0.10395
  • Inter Quartile Range
    0.02331
  • 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
    0.20000
  • Mean of outliers high
    0.10395
  • 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)
    0.35358
  • Compounded annual return (geometric extrapolation)
    0.30991
  • Calmar ratio (compounded annual return / max draw down)
    2.98139
  • Compounded annual return / average of 25% largest draw downs
    2.98139
  • Compounded annual return / Expected Shortfall lognormal
    2.67634
  • 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
    0.27925
  • SD
    0.23935
  • Sharpe ratio (Glass type estimate)
    1.16673
  • Sharpe ratio (Hedges UMVUE)
    1.16505
  • df
    519.00000
  • t
    1.64370
  • p
    0.05042
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22685
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.55922
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22798
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.55807
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.89790
  • Upside Potential Ratio
    7.26850
  • Upside part of mean
    1.06948
  • Downside part of mean
    -0.79022
  • Upside SD
    0.18927
  • Downside SD
    0.14714
  • N nonnegative terms
    274.00000
  • N negative terms
    246.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    520.00000
  • Mean of predictor
    0.13792
  • Mean of criterion
    0.27925
  • SD of predictor
    0.17094
  • SD of criterion
    0.23935
  • Covariance
    0.01533
  • r
    0.37468
  • b (slope, estimate of beta)
    0.52461
  • a (intercept, estimate of alpha)
    0.20700
  • Mean Square Error
    0.04934
  • DF error
    518.00000
  • t(b)
    9.19753
  • p(b)
    0.00000
  • t(a)
    1.31060
  • p(a)
    0.09529
  • Lowerbound of 95% confidence interval for beta
    0.41256
  • Upperbound of 95% confidence interval for beta
    0.63666
  • Lowerbound of 95% confidence interval for alpha
    -0.10324
  • Upperbound of 95% confidence interval for alpha
    0.51704
  • Treynor index (mean / b)
    0.53231
  • Jensen alpha (a)
    0.20690
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25070
  • SD
    0.23825
  • Sharpe ratio (Glass type estimate)
    1.05225
  • Sharpe ratio (Hedges UMVUE)
    1.05073
  • df
    519.00000
  • t
    1.48241
  • p
    0.06942
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34093
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.44446
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34196
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.44342
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.64419
  • Upside Potential Ratio
    6.90061
  • Upside part of mean
    1.05219
  • Downside part of mean
    -0.80149
  • Upside SD
    0.18343
  • Downside SD
    0.15248
  • N nonnegative terms
    274.00000
  • N negative terms
    246.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    520.00000
  • Mean of predictor
    0.12331
  • Mean of criterion
    0.25070
  • SD of predictor
    0.17080
  • SD of criterion
    0.23825
  • Covariance
    0.01496
  • r
    0.36767
  • b (slope, estimate of beta)
    0.51287
  • a (intercept, estimate of alpha)
    0.18746
  • Mean Square Error
    0.04919
  • DF error
    518.00000
  • t(b)
    8.99824
  • p(b)
    0.00000
  • t(a)
    1.18961
  • p(a)
    0.11737
  • Lowerbound of 95% confidence interval for beta
    0.40089
  • Upperbound of 95% confidence interval for beta
    0.62484
  • Lowerbound of 95% confidence interval for alpha
    -0.12212
  • Upperbound of 95% confidence interval for alpha
    0.49704
  • Treynor index (mean / b)
    0.48883
  • Jensen alpha (a)
    0.18746
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02299
  • Expected Shortfall on VaR
    0.02896
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00649
  • Expected Shortfall on VaR
    0.01456
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    520.00000
  • Minimum
    0.87474
  • Quartile 1
    0.99782
  • Median
    1.00030
  • Quartile 3
    1.00352
  • Maximum
    1.11976
  • Mean of quarter 1
    0.98885
  • Mean of quarter 2
    0.99931
  • Mean of quarter 3
    1.00171
  • Mean of quarter 4
    1.01482
  • Inter Quartile Range
    0.00570
  • Number outliers low
    37.00000
  • Percentage of outliers low
    0.07115
  • Mean of outliers low
    0.97491
  • Number of outliers high
    40.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    1.03405
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53287
  • VaR(95%) (moments method)
    0.00917
  • Expected Shortfall (moments method)
    0.02298
  • Extreme Value Index (regression method)
    0.30643
  • VaR(95%) (regression method)
    0.00924
  • Expected Shortfall (regression method)
    0.01721
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00026
  • Quartile 1
    0.00277
  • Median
    0.01317
  • Quartile 3
    0.04209
  • Maximum
    0.13382
  • Mean of quarter 1
    0.00103
  • Mean of quarter 2
    0.00508
  • Mean of quarter 3
    0.02551
  • Mean of quarter 4
    0.08480
  • Inter Quartile Range
    0.03931
  • 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
    0.08333
  • Mean of outliers high
    0.13038
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.32687
  • VaR(95%) (moments method)
    0.09090
  • Expected Shortfall (moments method)
    0.10869
  • Extreme Value Index (regression method)
    -0.66006
  • VaR(95%) (regression method)
    0.09588
  • Expected Shortfall (regression method)
    0.10637
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.37204
  • Compounded annual return (geometric extrapolation)
    0.32129
  • Calmar ratio (compounded annual return / max draw down)
    2.40094
  • Compounded annual return / average of 25% largest draw downs
    3.78863
  • Compounded annual return / Expected Shortfall lognormal
    11.09340
  • 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
    0.11296
  • SD
    0.09681
  • Sharpe ratio (Glass type estimate)
    1.16677
  • Sharpe ratio (Hedges UMVUE)
    1.16003
  • df
    130.00000
  • t
    0.82503
  • p
    0.46391
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61084
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.94003
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.61536
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.93542
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.49706
  • Upside Potential Ratio
    8.12589
  • Upside part of mean
    0.61314
  • Downside part of mean
    -0.50018
  • Upside SD
    0.06047
  • Downside SD
    0.07545
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30618
  • Mean of criterion
    0.11296
  • SD of predictor
    0.10825
  • SD of criterion
    0.09681
  • Covariance
    0.00444
  • r
    0.42357
  • b (slope, estimate of beta)
    0.37883
  • a (intercept, estimate of alpha)
    -0.00303
  • Mean Square Error
    0.00775
  • DF error
    129.00000
  • t(b)
    5.31070
  • p(b)
    0.23864
  • t(a)
    -0.02398
  • p(a)
    0.50134
  • Lowerbound of 95% confidence interval for beta
    0.23769
  • Upperbound of 95% confidence interval for beta
    0.51997
  • Lowerbound of 95% confidence interval for alpha
    -0.25313
  • Upperbound of 95% confidence interval for alpha
    0.24707
  • Treynor index (mean / b)
    0.29818
  • Jensen alpha (a)
    -0.00303
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10825
  • SD
    0.09725
  • Sharpe ratio (Glass type estimate)
    1.11309
  • Sharpe ratio (Hedges UMVUE)
    1.10666
  • df
    130.00000
  • t
    0.78707
  • p
    0.46557
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.66407
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.88614
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.66841
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.88172
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.42114
  • Upside Potential Ratio
    8.02492
  • Upside part of mean
    0.61125
  • Downside part of mean
    -0.50301
  • Upside SD
    0.06023
  • Downside SD
    0.07617
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30017
  • Mean of criterion
    0.10825
  • SD of predictor
    0.10818
  • SD of criterion
    0.09725
  • Covariance
    0.00446
  • r
    0.42403
  • b (slope, estimate of beta)
    0.38120
  • a (intercept, estimate of alpha)
    -0.00618
  • Mean Square Error
    0.00782
  • DF error
    129.00000
  • t(b)
    5.31773
  • p(b)
    0.23838
  • t(a)
    -0.04868
  • p(a)
    0.50273
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    0.23937
  • Upperbound of 95% confidence interval for beta
    0.52302
  • Lowerbound of 95% confidence interval for alpha
    -0.25720
  • Upperbound of 95% confidence interval for alpha
    0.24485
  • Treynor index (mean / b)
    0.28397
  • Jensen alpha (a)
    -0.00618
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00942
  • Expected Shortfall on VaR
    0.01191
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00365
  • Expected Shortfall on VaR
    0.00798
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96896
  • Quartile 1
    0.99812
  • Median
    1.00139
  • Quartile 3
    1.00414
  • Maximum
    1.01431
  • Mean of quarter 1
    0.99308
  • Mean of quarter 2
    0.99984
  • Mean of quarter 3
    1.00256
  • Mean of quarter 4
    1.00672
  • Inter Quartile Range
    0.00602
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97956
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.01431
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37516
  • VaR(95%) (moments method)
    0.00632
  • Expected Shortfall (moments method)
    0.01217
  • Extreme Value Index (regression method)
    0.44421
  • VaR(95%) (regression method)
    0.00626
  • Expected Shortfall (regression method)
    0.01301
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00104
  • Quartile 1
    0.00308
  • Median
    0.00976
  • Quartile 3
    0.01806
  • Maximum
    0.06089
  • Mean of quarter 1
    0.00181
  • Mean of quarter 2
    0.00744
  • Mean of quarter 3
    0.01732
  • Mean of quarter 4
    0.05977
  • Inter Quartile Range
    0.01497
  • 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
    0.22222
  • Mean of outliers high
    0.05977
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2026.50000
  • VaR(95%) (moments method)
    0.03967
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -5.17567
  • VaR(95%) (regression method)
    0.14594
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.14595
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -400353000
  • Max Equity Drawdown (num days)
    130
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.14090
  • Compounded annual return (geometric extrapolation)
    0.14586
  • Calmar ratio (compounded annual return / max draw down)
    2.39551
  • Compounded annual return / average of 25% largest draw downs
    2.44051
  • Compounded annual return / Expected Shortfall lognormal
    12.25100

Strategy Description

This system only trades stocks from the S&P 500. Trades are made from several subsystems. There are both long subsystems and short subsystems. All subsystems run fully automatically and before trading begins, the stocks that are eligible for a trade are selected. If the stock reaches the price generated by my system intraday, the trade is entered.
There is no classic stop loss, but if a trade has lost 10% (long trade) or 8% (short Ttade) or more, it will be closed the next day.
To prevent stocks from being bought in a crash, there are several safety features.

Max 60 trades can be open at the same time.
Each trade is therefore entered into with 1/60th of the available capital (incl. leverage). There is no weighting that a trade is entered with more capital. In addition, there is no martingale or something like that. When a trade is open on a stock, another subsystem cannot open a trade until the open trade has been closed.

No intraday trading! Opened trades cannot be closed until the next day.
No Pattern Day Trader!

The majority of subsystems are not trend following systems! Therefore, the performance in strong bull markets is worse than the S&P 500 (for example the year 2023).
The core systems try to generate profits from a countermovement when stocks are overbought or oversold.
See for example the year 2022:
S&P 500:
YTD -18% DD -26%
My System (with 3.5 leverage):
YTD: 61% DD -20%
My system had a smaller draw down even though I trade with a maximum leverage of 3.5.

I recommend at least $10,000 for my system. Since up to 60 trades can be open at a time, at $10,000 only $583 per trade is buying shares.

Max leverage 3.5 (also overnight max leverage 3.5!)

The scaling factor for autotrading must be determined using the following formula:
("your capital"
divided by
"current equity of the system")
divided by
(3.5 (my max leverage)
divided by "your leverage").

So if you want to invest $10,000 in my system with a leverage of 2 and my current equity is $84.000, that would be a scaling factor of:
($10,000 / $84.000(get the current equity!!!) / (3.5 / 2) = 8%.

If you only want to trade the long systems, you can follow this system.
https://collective2.com/details/145266989
There is only a max leverage of 2 here!

If you have any questions, get in touch with me.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-05-18
Suggested Minimum Capital
$5,000
# Trades
1215
# Profitable
739
% Profitable
60.8%
Net Dividends
$1,879
Correlation S&P500
0.396
Sharpe Ratio
0.91
Sortino Ratio
1.51
Beta
0.56
Alpha
0.05
Leverage
0.78 Average
4.68 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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subscribed on started simulation #SUBSCRIBEDDATE#

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.