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Daily Scalp
(126079605)

Created by: Superbull Superbull
Started: 11/2019
Stocks
Last trade: 7 days ago
Trading style: Equity Momentum 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 $125.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
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).
11.7%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(5.0%)
Max Drawdown
143
Num Trades
62.2%
Win Trades
1.6 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                      (2%)+5.8%+3.7%
2020+9.7%(1.8%)                                                            +7.7%

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 139 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/14/20 10:12 LYFT LYFT INC. CLASS A COMMON STOCK LONG 125 44.99 2/14 12:32 45.19 0.07%
Trade id #127514006
Max drawdown($36)
Time2/14/20 10:33
Quant open125
Worst price44.70
Drawdown as % of equity-0.07%
$23
Includes Typical Broker Commissions trade costs of $2.50
2/13/20 9:51 NVDA NVIDIA SHORT 100 270.27 2/13 9:56 269.89 0.03%
Trade id #127494321
Max drawdown($18)
Time2/13/20 9:52
Quant open100
Worst price270.45
Drawdown as % of equity-0.03%
$36
Includes Typical Broker Commissions trade costs of $2.00
2/12/20 9:31 MAC MACERICH LONG 750 23.90 2/12 15:54 23.23 1.08%
Trade id #127474097
Max drawdown($556)
Time2/12/20 15:43
Quant open750
Worst price23.16
Drawdown as % of equity-1.08%
($512)
Includes Typical Broker Commissions trade costs of $10.00
2/12/20 10:08 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 1,000 17.02 2/12 11:15 17.00 0.13%
Trade id #127475560
Max drawdown($67)
Time2/12/20 10:21
Quant open500
Worst price16.89
Drawdown as % of equity-0.13%
($50)
Includes Typical Broker Commissions trade costs of $20.00
2/12/20 9:51 LK LUCKIN COFFEE INC. AMERICAN DEPOSITARY SHARES SHORT 416 38.41 2/12 10:18 37.66 0.27%
Trade id #127474988
Max drawdown($140)
Time2/12/20 9:57
Quant open416
Worst price38.75
Drawdown as % of equity-0.27%
$305
Includes Typical Broker Commissions trade costs of $8.32
2/12/20 9:38 DCP DCP MIDSTREAM LP LONG 333 21.17 2/12 9:56 21.10 0.08%
Trade id #127474497
Max drawdown($39)
Time2/12/20 9:40
Quant open333
Worst price21.05
Drawdown as % of equity-0.08%
($30)
Includes Typical Broker Commissions trade costs of $6.66
2/12/20 9:31 MAC MACERICH SHORT 250 24.25 2/12 9:31 24.29 0.02%
Trade id #127474091
Max drawdown($10)
Time2/12/20 9:31
Quant open250
Worst price24.29
Drawdown as % of equity-0.02%
($15)
Includes Typical Broker Commissions trade costs of $5.00
2/11/20 11:43 MAC MACERICH LONG 250 24.90 2/11 15:43 24.42 0.25%
Trade id #127458648
Max drawdown($127)
Time2/11/20 15:23
Quant open250
Worst price24.39
Drawdown as % of equity-0.25%
($125)
Includes Typical Broker Commissions trade costs of $5.00
2/11/20 13:19 LK LUCKIN COFFEE INC. AMERICAN DEPOSITARY SHARES SHORT 250 38.22 2/11 13:27 38.18 0.04%
Trade id #127461398
Max drawdown($20)
Time2/11/20 13:21
Quant open250
Worst price38.30
Drawdown as % of equity-0.04%
$6
Includes Typical Broker Commissions trade costs of $5.00
2/11/20 10:46 NVDA NVIDIA SHORT 100 271.86 2/11 10:57 271.64 0.12%
Trade id #127457284
Max drawdown($60)
Time2/11/20 10:51
Quant open100
Worst price272.46
Drawdown as % of equity-0.12%
$20
Includes Typical Broker Commissions trade costs of $2.00
2/10/20 9:38 PINS PINTEREST INC LONG 166 24.65 2/10 10:52 24.85 0.07%
Trade id #127436178
Max drawdown($36)
Time2/10/20 9:39
Quant open166
Worst price24.43
Drawdown as % of equity-0.07%
$30
Includes Typical Broker Commissions trade costs of $3.32
2/10/20 9:33 TSLA TESLA INC. SHORT 20 804.43 2/10 10:39 791.24 0.6%
Trade id #127435957
Max drawdown($311)
Time2/10/20 9:38
Quant open20
Worst price819.99
Drawdown as % of equity-0.60%
$264
Includes Typical Broker Commissions trade costs of $0.40
2/7/20 9:34 PINS PINTEREST INC LONG 500 25.79 2/7 10:24 25.86 0.57%
Trade id #127410891
Max drawdown($295)
Time2/7/20 9:36
Quant open500
Worst price25.20
Drawdown as % of equity-0.57%
$26
Includes Typical Broker Commissions trade costs of $10.00
2/6/20 13:54 TSLA TESLA INC. SHORT 20 762.26 2/6 15:56 747.93 0.05%
Trade id #127399575
Max drawdown($25)
Time2/6/20 13:55
Quant open20
Worst price763.53
Drawdown as % of equity-0.05%
$287
Includes Typical Broker Commissions trade costs of $0.40
2/5/20 9:58 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 800 11.71 2/5 12:09 11.93 0.1%
Trade id #127373068
Max drawdown($52)
Time2/5/20 10:02
Quant open800
Worst price11.64
Drawdown as % of equity-0.10%
$166
Includes Typical Broker Commissions trade costs of $10.50
2/5/20 10:32 LK LUCKIN COFFEE INC. AMERICAN DEPOSITARY SHARES LONG 125 34.31 2/5 11:20 35.40 0.02%
Trade id #127374093
Max drawdown($11)
Time2/5/20 10:33
Quant open125
Worst price34.22
Drawdown as % of equity-0.02%
$134
Includes Typical Broker Commissions trade costs of $2.50
2/5/20 9:55 SWI SOLAR WINDS CORP LONG 500 19.88 2/5 10:56 19.40 0.53%
Trade id #127372959
Max drawdown($272)
Time2/5/20 10:49
Quant open500
Worst price19.33
Drawdown as % of equity-0.53%
($247)
Includes Typical Broker Commissions trade costs of $10.00
2/5/20 9:45 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 800 11.94 2/5 9:55 11.62 0.37%
Trade id #127372646
Max drawdown($192)
Time2/5/20 9:55
Quant open800
Worst price11.70
Drawdown as % of equity-0.37%
($261)
Includes Typical Broker Commissions trade costs of $5.00
2/5/20 9:31 LK LUCKIN COFFEE INC. AMERICAN DEPOSITARY SHARES SHORT 150 39.35 2/5 9:37 37.79 0.04%
Trade id #127372045
Max drawdown($22)
Time2/5/20 9:33
Quant open150
Worst price39.50
Drawdown as % of equity-0.04%
$231
Includes Typical Broker Commissions trade costs of $3.00
2/5/20 9:31 AIMT AIMMUNE THERAPEUTICS INC. COMMON STOCK SHORT 150 31.71 2/5 9:31 31.79 0.02%
Trade id #127371983
Max drawdown($12)
Time2/5/20 9:31
Quant open150
Worst price31.79
Drawdown as % of equity-0.02%
($15)
Includes Typical Broker Commissions trade costs of $3.00
2/4/20 11:37 APT ALPHA PRO TECH LONG 400 4.93 2/4 14:36 4.97 0.06%
Trade id #127357267
Max drawdown($32)
Time2/4/20 12:56
Quant open400
Worst price4.85
Drawdown as % of equity-0.06%
$6
Includes Typical Broker Commissions trade costs of $8.00
2/4/20 10:37 TSLA TESLA INC. SHORT 7 864.87 2/4 13:36 925.65 0.81%
Trade id #127355625
Max drawdown($416)
Time2/4/20 13:33
Quant open7
Worst price924.30
Drawdown as % of equity-0.81%
($425)
Includes Typical Broker Commissions trade costs of $0.14
2/4/20 9:48 TSLA TESLA INC. SHORT 20 922.78 2/4 10:35 884.72 0.67%
Trade id #127353996
Max drawdown($346)
Time2/4/20 9:53
Quant open20
Worst price940.13
Drawdown as % of equity-0.67%
$761
Includes Typical Broker Commissions trade costs of $0.40
2/4/20 10:16 LK LUCKIN COFFEE INC. AMERICAN DEPOSITARY SHARES SHORT 50 34.46 2/4 10:23 33.99 0.01%
Trade id #127355003
Max drawdown($5)
Time2/4/20 10:17
Quant open50
Worst price34.57
Drawdown as % of equity-0.01%
$23
Includes Typical Broker Commissions trade costs of $1.00
2/4/20 9:40 TSLA TESLA INC. SHORT 20 884.02 2/4 9:46 914.97 0.81%
Trade id #127353748
Max drawdown($419)
Time2/4/20 9:46
Quant open20
Worst price904.98
Drawdown as % of equity-0.81%
($619)
Includes Typical Broker Commissions trade costs of $0.40
2/3/20 9:52 ROKU ROKU INC. CLASS A COMMON STOCK SHORT 100 126.42 2/3 10:37 127.80 0.27%
Trade id #127334800
Max drawdown($138)
Time2/3/20 10:04
Quant open100
Worst price127.80
Drawdown as % of equity-0.27%
($140)
Includes Typical Broker Commissions trade costs of $2.00
1/31/20 12:43 SOXL DIREXION DAILY SEMICONDCT BULL LONG 40 250.00 1/31 12:46 250.68 n/a $26
Includes Typical Broker Commissions trade costs of $0.80
1/31/20 11:01 LK LUCKIN COFFEE INC. AMERICAN DEPOSITARY SHARES LONG 190 32.79 1/31 11:02 32.82 0.09%
Trade id #127310911
Max drawdown($45)
Time1/31/20 11:02
Quant open190
Worst price32.55
Drawdown as % of equity-0.09%
$2
Includes Typical Broker Commissions trade costs of $3.80
1/31/20 9:56 LK LUCKIN COFFEE INC. AMERICAN DEPOSITARY SHARES LONG 166 34.49 1/31 10:12 34.18 0.17%
Trade id #127309206
Max drawdown($90)
Time1/31/20 10:04
Quant open166
Worst price33.95
Drawdown as % of equity-0.17%
($55)
Includes Typical Broker Commissions trade costs of $3.32
1/30/20 10:06 I INTELSAT S.A. LONG 600 2.99 1/30 12:36 3.14 0.13%
Trade id #127287526
Max drawdown($66)
Time1/30/20 10:23
Quant open600
Worst price2.88
Drawdown as % of equity-0.13%
$84
Includes Typical Broker Commissions trade costs of $8.50

Statistics

  • Strategy began
    11/5/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    108.26
  • Age
    108 days ago
  • What it trades
    Stocks
  • # Trades
    143
  • # Profitable
    89
  • % Profitable
    62.20%
  • Avg trade duration
    7.1 days
  • Max peak-to-valley drawdown
    5.03%
  • drawdown period
    Nov 05, 2019 - Dec 02, 2019
  • Cumul. Return
    11.8%
  • Avg win
    $203.52
  • Avg loss
    $215.72
  • Model Account Values (Raw)
  • Cash
    $52,109
  • Margin Used
    $0
  • Buying Power
    $52,109
  • Ratios
  • W:L ratio
    1.59:1
  • Sharpe Ratio
    2.34
  • Sortino Ratio
    3.9
  • Calmar Ratio
    13.883
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    3.19%
  • Correlation to SP500
    0.02190
  • Return Percent SP500 (cumu) during strategy life
    8.69%
  • Verified
  • C2Star
    2
  • Return Statistics
  • Ann Return (w trading costs)
    43.8%
  • Slump
  • Current Slump as Pcnt Equity
    0.02%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.09%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.117%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    57.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    875
  • Popularity (Last 6 weeks)
    977
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    890
  • Popularity (7 days, Percentile 1000 scale)
    941
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $216
  • Avg Win
    $204
  • Sum Trade PL (losers)
    $11,649.000
  • AUM
  • AUM (AutoTrader num accounts)
    2
  • Age
  • Num Months filled monthly returns table
    4
  • Win / Loss
  • Sum Trade PL (winners)
    $18,113.000
  • # Winners
    89
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    146
  • AUM
  • AUM (AutoTrader live capital)
    102728
  • Win / Loss
  • # Losers
    54
  • % Winners
    62.2%
  • Frequency
  • Avg Position Time (mins)
    6529.13
  • Avg Position Time (hrs)
    108.82
  • Avg Trade Length
    4.5 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.22
  • Daily leverage (max)
    3.07
  • Regression
  • Alpha
    0.10
  • Beta
    0.03
  • Treynor Index
    3.21
  • 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)
    0.41
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    2.828
  • 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
    0.355
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.960
  • Hold-and-Hope Ratio
    0.353
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.60447
  • SD
    0.29162
  • Sharpe ratio (Glass type estimate)
    2.07279
  • Sharpe ratio (Hedges UMVUE)
    1.16945
  • df
    2.00000
  • t
    1.03639
  • p
    0.20445
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.45760
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.24026
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.91457
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.25347
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.14225
  • Upside Potential Ratio
    11.14220
  • Upside part of mean
    0.73670
  • Downside part of mean
    -0.13224
  • Upside SD
    0.28770
  • Downside SD
    0.06612
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.29357
  • Mean of criterion
    0.60447
  • SD of predictor
    0.05251
  • SD of criterion
    0.29162
  • Covariance
    0.01499
  • r
    0.97886
  • b (slope, estimate of beta)
    5.43568
  • a (intercept, estimate of alpha)
    -0.99131
  • Mean Square Error
    0.00712
  • DF error
    1.00000
  • t(b)
    4.78536
  • p(b)
    0.06557
  • t(a)
    -2.65252
  • p(a)
    0.88524
  • Lowerbound of 95% confidence interval for beta
    -8.99728
  • Upperbound of 95% confidence interval for beta
    19.86860
  • Lowerbound of 95% confidence interval for alpha
    -5.73990
  • Upperbound of 95% confidence interval for alpha
    3.75729
  • Treynor index (mean / b)
    0.11120
  • Jensen alpha (a)
    -0.99131
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56277
  • SD
    0.27739
  • Sharpe ratio (Glass type estimate)
    2.02879
  • Sharpe ratio (Hedges UMVUE)
    1.14462
  • df
    2.00000
  • t
    1.01440
  • p
    0.20857
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.48252
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.18117
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.93264
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.22188
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.38998
  • Upside Potential Ratio
    10.39000
  • Upside part of mean
    0.69693
  • Downside part of mean
    -0.13415
  • Upside SD
    0.27054
  • Downside SD
    0.06708
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.28851
  • Mean of criterion
    0.56277
  • SD of predictor
    0.05101
  • SD of criterion
    0.27739
  • Covariance
    0.01379
  • r
    0.97463
  • b (slope, estimate of beta)
    5.29960
  • a (intercept, estimate of alpha)
    -0.96619
  • Mean Square Error
    0.00771
  • DF error
    1.00000
  • t(b)
    4.35425
  • p(b)
    0.07186
  • t(a)
    -2.46095
  • p(a)
    0.87714
  • Lowerbound of 95% confidence interval for beta
    -10.16530
  • Upperbound of 95% confidence interval for beta
    20.76450
  • Lowerbound of 95% confidence interval for alpha
    -5.95477
  • Upperbound of 95% confidence interval for alpha
    4.02239
  • Treynor index (mean / b)
    0.10619
  • Jensen alpha (a)
    -0.96619
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08132
  • Expected Shortfall on VaR
    0.11116
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02006
  • Expected Shortfall on VaR
    0.03777
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.96927
  • Quartile 1
    1.01024
  • Median
    1.05122
  • Quartile 3
    1.09442
  • Maximum
    1.13762
  • Mean of quarter 1
    0.96927
  • Mean of quarter 2
    1.05122
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.13762
  • Inter Quartile Range
    0.08417
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.03073
  • Quartile 1
    0.03073
  • Median
    0.03073
  • Quartile 3
    0.03073
  • Maximum
    0.03073
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.63652
  • Compounded annual return (geometric extrapolation)
    0.80521
  • Calmar ratio (compounded annual return / max draw down)
    26.20230
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    7.24358
  • 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
    0.44659
  • SD
    0.12923
  • Sharpe ratio (Glass type estimate)
    3.45584
  • Sharpe ratio (Hedges UMVUE)
    3.42116
  • df
    75.00000
  • t
    1.86127
  • p
    0.03331
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23608
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.12534
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.25887
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.10120
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.03331
  • Upside Potential Ratio
    13.71350
  • Upside part of mean
    1.01509
  • Downside part of mean
    -0.56850
  • Upside SD
    0.10845
  • Downside SD
    0.07402
  • N nonnegative terms
    44.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    76.00000
  • Mean of predictor
    0.25953
  • Mean of criterion
    0.44659
  • SD of predictor
    0.09217
  • SD of criterion
    0.12923
  • Covariance
    0.00025
  • r
    0.02085
  • b (slope, estimate of beta)
    0.02924
  • a (intercept, estimate of alpha)
    0.43900
  • Mean Square Error
    0.01692
  • DF error
    74.00000
  • t(b)
    0.17942
  • p(b)
    0.42905
  • t(a)
    1.79056
  • p(a)
    0.03873
  • Lowerbound of 95% confidence interval for beta
    -0.29545
  • Upperbound of 95% confidence interval for beta
    0.35393
  • Lowerbound of 95% confidence interval for alpha
    -0.04952
  • Upperbound of 95% confidence interval for alpha
    0.92753
  • Treynor index (mean / b)
    15.27520
  • Jensen alpha (a)
    0.43901
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43796
  • SD
    0.12893
  • Sharpe ratio (Glass type estimate)
    3.39681
  • Sharpe ratio (Hedges UMVUE)
    3.36273
  • df
    75.00000
  • t
    1.82948
  • p
    0.03565
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.29348
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.06512
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31593
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.04138
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.87948
  • Upside Potential Ratio
    13.54760
  • Upside part of mean
    1.00916
  • Downside part of mean
    -0.57120
  • Upside SD
    0.10765
  • Downside SD
    0.07449
  • N nonnegative terms
    44.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    76.00000
  • Mean of predictor
    0.25518
  • Mean of criterion
    0.43796
  • SD of predictor
    0.09224
  • SD of criterion
    0.12893
  • Covariance
    0.00026
  • r
    0.02217
  • b (slope, estimate of beta)
    0.03099
  • a (intercept, estimate of alpha)
    0.43005
  • Mean Square Error
    0.01684
  • DF error
    74.00000
  • t(b)
    0.19074
  • p(b)
    0.42463
  • t(a)
    1.75903
  • p(a)
    0.04135
  • Lowerbound of 95% confidence interval for beta
    -0.29270
  • Upperbound of 95% confidence interval for beta
    0.35467
  • Lowerbound of 95% confidence interval for alpha
    -0.05709
  • Upperbound of 95% confidence interval for alpha
    0.91720
  • Treynor index (mean / b)
    14.13460
  • Jensen alpha (a)
    0.43005
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01137
  • Expected Shortfall on VaR
    0.01465
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00446
  • Expected Shortfall on VaR
    0.00908
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    76.00000
  • Minimum
    0.98037
  • Quartile 1
    0.99693
  • Median
    1.00090
  • Quartile 3
    1.00617
  • Maximum
    1.02410
  • Mean of quarter 1
    0.99221
  • Mean of quarter 2
    0.99945
  • Mean of quarter 3
    1.00346
  • Mean of quarter 4
    1.01212
  • Inter Quartile Range
    0.00924
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01316
  • Mean of outliers low
    0.98037
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.02632
  • Mean of outliers high
    1.02223
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24042
  • VaR(95%) (moments method)
    0.00792
  • Expected Shortfall (moments method)
    0.01266
  • Extreme Value Index (regression method)
    0.43087
  • VaR(95%) (regression method)
    0.00793
  • Expected Shortfall (regression method)
    0.01506
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00099
  • Median
    0.00371
  • Quartile 3
    0.01507
  • Maximum
    0.04274
  • Mean of quarter 1
    0.00061
  • Mean of quarter 2
    0.00240
  • Mean of quarter 3
    0.00466
  • Mean of quarter 4
    0.03179
  • Inter Quartile Range
    0.01408
  • 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
    0.10000
  • Mean of outliers high
    0.04274
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -22.16120
  • VaR(95%) (moments method)
    0.03240
  • Expected Shortfall (moments method)
    0.03240
  • Extreme Value Index (regression method)
    -1.95333
  • VaR(95%) (regression method)
    0.05344
  • Expected Shortfall (regression method)
    0.05432
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.49881
  • Compounded annual return (geometric extrapolation)
    0.59340
  • Calmar ratio (compounded annual return / max draw down)
    13.88320
  • Compounded annual return / average of 25% largest draw downs
    18.66460
  • Compounded annual return / Expected Shortfall lognormal
    40.51520
  • 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)
    0.01100
  • 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 Negative
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -303783000
  • Max Equity Drawdown (num days)
    27

Strategy Description

- 10+ years trading experience
- Daily stock scalp trading
- Scale in and out trading style
- Risk no more than 1% for each position
- Stop loss is placed when a position is opened, subscribers should receive notification

Note: This is a day trading/scalp system and please keep a minimum balance of $25,000.

Deep Value (top 1%): https://collective2.com/details/125319676
Futures Operator (TOS certified): https://collective2.com/details/126205039

Summary Statistics

Strategy began
2019-11-05
Suggested Minimum Capital
$35,000
Rank at C2 
#73
# Trades
143
# Profitable
89
% Profitable
62.2%
Net Dividends
Correlation S&P500
0.022
Sharpe Ratio
2.34
Sortino Ratio
3.90
Beta
0.03
Alpha
0.10
Leverage
1.22 Average
3.07 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.