Collective2 Collective2
Featured Strategy Quant AI pro +16.8% Cumul. Return since Dec 2, 2024 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 08/12/2021
Most recent certification approved 8/12/21 15:20 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 1,882
# trading signals executed in manager's Israel Interactive Trading account 1,881
Percent signals followed since 08/12/2021 99.9%
This information was last updated 12/21/24 21:48 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 08/12/2021, 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.

MASTER BEST ETFʼs
(136708868)

Powered by BrokerTransmit.
Read important disclosures.

Created by: ilan_guri ilan_guri
Started: 08/2021
Stocks
Last trade: 2 days ago

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 $50.00 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.

17.3%
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.

(55.0%)
Max Drawdown
638
Num Trades
54.2%
Win Trades
1.1 : 1
Profit Factor
51.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                 +1.0%(0.1%)+4.6%(36%)+8.3%(26.9%)
2022+19.2%+1.7%+1.1%(30%)+13.3%+58.9%(17.9%)(20%)(13.5%)+31.4%+16.4%+7.3%+44.2%
2023+33.0%(14.6%)(18.2%)(17%)+7.1%+21.7%+28.8%(11.9%)(10.3%)(3.3%)(4.7%)(0.3%)(6%)
2024+3.5%+36.0%+2.0%(25.7%)+22.9%+22.6%(7.8%)(10.5%)(4.2%)(10.3%)+55.0%(2.2%)+72.6%

Model Account Details

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

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

Trading Record

This strategy has placed 1,879 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/9/24 14:10 BOIL PROSHARES ULTRA BLOOMBERG NATU SHORT 300 43.97 12/18 15:49 44.25 2.21%
Trade id #150282376
Max drawdown($926)
Time12/12/24 0:00
Quant open190
Worst price47.51
Drawdown as % of equity-2.21%
 ($90)
Includes Typical Broker Commissions trade costs of $6.00
12/9/24 12:26 SMR NUSCALE POWER CORPORATION LONG 300 24.43 12/18 15:42 19.50 3.68%
Trade id #150281511
Max drawdown($1,518)
Time12/16/24 0:00
Quant open300
Worst price19.37
Drawdown as % of equity-3.68%
 ($1,487)
Includes Typical Broker Commissions trade costs of $6.00
12/10/24 14:19 UTSL DIREXION DAILY UTILITIES BULL 3X LONG 200 34.62 12/17 15:47 32.69 1.07%
Trade id #150292708
Max drawdown($439)
Time12/17/24 9:32
Quant open200
Worst price32.42
Drawdown as % of equity-1.07%
 ($391)
Includes Typical Broker Commissions trade costs of $4.00
12/4/24 13:31 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 200 21.07 12/17 13:43 20.66 0.51%
Trade id #150244634
Max drawdown($208)
Time12/17/24 9:41
Quant open200
Worst price20.03
Drawdown as % of equity-0.51%
 ($87)
Includes Typical Broker Commissions trade costs of $4.00
12/10/24 11:16 NNE NANO NUCLEAR ENERGY INC. LONG 310 22.77 12/17 11:14 25.03 0.57%
Trade id #150290190
Max drawdown($233)
Time12/11/24 0:00
Quant open310
Worst price22.02
Drawdown as % of equity-0.57%
 $694
Includes Typical Broker Commissions trade costs of $6.20
12/6/24 13:26 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X SHORT 700 10.60 12/13 11:33 10.44 0.07%
Trade id #150267539
Max drawdown($27)
Time12/6/24 14:59
Quant open600
Worst price10.64
Drawdown as % of equity-0.07%
 $105
Includes Typical Broker Commissions trade costs of $6.00
12/9/24 15:13 AMD ADVANCED MICRO DEVICES INC. C SHORT 60 130.13 12/13 11:00 125.16 0.31%
Trade id #150282992
Max drawdown($131)
Time12/12/24 0:00
Quant open60
Worst price132.32
Drawdown as % of equity-0.31%
 $297
Includes Typical Broker Commissions trade costs of $1.20
12/9/24 15:08 PTIR GRANITESHARES 2X LONG PLTR DAILY ETF LONG 16 123.56 12/12 12:00 124.63 0.61%
Trade id #150282960
Max drawdown($248)
Time12/11/24 0:00
Quant open16
Worst price108.01
Drawdown as % of equity-0.61%
 $17
Includes Typical Broker Commissions trade costs of $0.32
12/3/24 13:30 SMCI SUPER MICRO COMPUTER SHORT 320 42.46 12/11 9:41 36.60 4.38%
Trade id #150234871
Max drawdown($1,771)
Time12/9/24 0:00
Quant open320
Worst price48.00
Drawdown as % of equity-4.38%
 $1,869
Includes Typical Broker Commissions trade costs of $6.40
12/4/24 12:36 NVDS AXS 1.25X NVDA BEAR DAILY ETF LONG 400 27.08 12/10 12:10 28.48 0.33%
Trade id #150244129
Max drawdown($131)
Time12/5/24 0:00
Quant open200
Worst price25.68
Drawdown as % of equity-0.33%
 $552
Includes Typical Broker Commissions trade costs of $8.00
12/4/24 14:58 TECL DIREXION DAILY TECHNOLOGY BULL SHORT 50 102.23 12/9 12:30 100.01 0.12%
Trade id #150245432
Max drawdown($49)
Time12/6/24 0:00
Quant open50
Worst price103.22
Drawdown as % of equity-0.12%
 $110
Includes Typical Broker Commissions trade costs of $1.00
11/26/24 15:46 SEDG SOLAREDGE TECHNOLOGIES INC. C SHORT 450 14.23 12/9 11:21 14.85 2.31%
Trade id #150189066
Max drawdown($848)
Time12/2/24 0:00
Quant open450
Worst price16.11
Drawdown as % of equity-2.31%
 ($292)
Includes Typical Broker Commissions trade costs of $9.00
11/26/24 12:55 BOIL PROSHARES ULTRA BLOOMBERG NATU SHORT 420 45.31 12/6 14:10 39.14 0.49%
Trade id #150187528
Max drawdown($175)
Time11/26/24 14:01
Quant open100
Worst price51.79
Drawdown as % of equity-0.49%
 $2,586
Includes Typical Broker Commissions trade costs of $8.40
11/27/24 15:53 URTY PROSHARES ULTRAPRO RUSSELL2000 SHORT 70 65.26 12/6 13:24 63.28 0.18%
Trade id #150198149
Max drawdown($65)
Time11/29/24 0:00
Quant open35
Worst price66.90
Drawdown as % of equity-0.18%
 $137
Includes Typical Broker Commissions trade costs of $1.40
12/4/24 15:21 MSTU OPPTY TRUST T-REX 2X LONG MSTR DAILY TARGET SHORT 32 163.82 12/6 12:44 163.80 2.1%
Trade id #150245631
Max drawdown($838)
Time12/5/24 0:00
Quant open25
Worst price198.29
Drawdown as % of equity-2.10%
 $0
Includes Typical Broker Commissions trade costs of $0.64
11/22/24 15:37 RDDT REDDIT INC LONG 42 145.66 12/3 15:53 149.23 1.57%
Trade id #150156679
Max drawdown($553)
Time11/26/24 0:00
Quant open42
Worst price132.47
Drawdown as % of equity-1.57%
 $149
Includes Typical Broker Commissions trade costs of $0.84
10/2/24 9:31 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,270 24.25 12/3 13:32 28.81 7.84%
Trade id #149558749
Max drawdown($1,983)
Time10/31/24 0:00
Quant open850
Worst price22.38
Drawdown as % of equity-7.84%
 $5,771
Includes Typical Broker Commissions trade costs of $25.40
12/2/24 9:31 SMCI SUPER MICRO COMPUTER LONG 130 37.02 12/3 13:30 43.69 0.6%
Trade id #150220983
Max drawdown($220)
Time12/2/24 9:49
Quant open130
Worst price35.32
Drawdown as % of equity-0.60%
 $864
Includes Typical Broker Commissions trade costs of $2.60
11/19/24 13:09 SMCI SUPER MICRO COMPUTER SHORT 185 28.51 12/2 9:31 36.89 5.65%
Trade id #150124945
Max drawdown($1,983)
Time11/25/24 0:00
Quant open185
Worst price39.23
Drawdown as % of equity-5.65%
 ($1,555)
Includes Typical Broker Commissions trade costs of $3.70
11/25/24 15:03 GDXU MICROSECTORS GOLD MINERS 3X LEVERAGED ETN LONG 170 35.40 11/29 12:48 37.19 0.27%
Trade id #150172577
Max drawdown($95)
Time11/26/24 0:00
Quant open170
Worst price34.84
Drawdown as % of equity-0.27%
 $301
Includes Typical Broker Commissions trade costs of $3.40
11/26/24 15:41 SEDG SOLAREDGE TECHNOLOGIES INC. C LONG 250 13.45 11/26 15:46 13.58 0.03%
Trade id #150189020
Max drawdown($9)
Time11/26/24 15:44
Quant open250
Worst price13.41
Drawdown as % of equity-0.03%
 $29
Includes Typical Broker Commissions trade costs of $5.00
11/11/24 13:05 AFRM AFFIRM HOLDINGS INC. CLASS A LONG 110 54.49 11/26 13:52 66.85 0.97%
Trade id #150057797
Max drawdown($307)
Time11/15/24 0:00
Quant open110
Worst price51.70
Drawdown as % of equity-0.97%
 $1,357
Includes Typical Broker Commissions trade costs of $2.20
11/22/24 15:59 PYPL PAYPAL HOLDINGS CORP LONG 70 86.75 11/26 12:53 87.52 n/a $52
Includes Typical Broker Commissions trade costs of $1.40
11/20/24 10:55 MSTR MICROSTRATEGY SHORT 19 476.38 11/25 13:01 401.01 1.76%
Trade id #150132793
Max drawdown($571)
Time11/21/24 0:00
Quant open12
Worst price543.00
Drawdown as % of equity-1.76%
 $1,432
Includes Typical Broker Commissions trade costs of $0.38
11/13/24 14:07 GDXU MICROSECTORS GOLD MINERS 3X LEVERAGED ETN LONG 135 32.39 11/22 12:57 39.21 0.4%
Trade id #150078834
Max drawdown($128)
Time11/14/24 0:00
Quant open110
Worst price31.15
Drawdown as % of equity-0.40%
 $918
Includes Typical Broker Commissions trade costs of $2.70
11/19/24 12:25 MSTU OPPTY TRUST T-REX 2X LONG MSTR DAILY TARGET SHORT 16 207.77 11/21 15:50 173.62 5.27%
Trade id #150124531
Max drawdown($1,715)
Time11/21/24 9:31
Quant open16
Worst price315.00
Drawdown as % of equity-5.27%
 $546
Includes Typical Broker Commissions trade costs of $0.32
11/18/24 14:47 SMCI SUPER MICRO COMPUTER LONG 200 22.93 11/19 13:09 28.02 1.46%
Trade id #150115753
Max drawdown($480)
Time11/18/24 15:41
Quant open200
Worst price20.53
Drawdown as % of equity-1.46%
 $1,013
Includes Typical Broker Commissions trade costs of $4.00
11/14/24 14:25 TSLR GRANITESHARES 1.75X LONG TSLA DAILY ETF LONG 150 27.41 11/18 14:41 30.87 0.24%
Trade id #150089447
Max drawdown($75)
Time11/15/24 0:00
Quant open150
Worst price26.90
Drawdown as % of equity-0.24%
 $516
Includes Typical Broker Commissions trade costs of $3.00
11/13/24 9:55 MSTU OPPTY TRUST T-REX 2X LONG MSTR DAILY TARGET SHORT 26 161.34 11/14 12:59 127.53 0.03%
Trade id #150075045
Max drawdown($8)
Time11/13/24 9:58
Quant open6
Worst price173.00
Drawdown as % of equity-0.03%
 $878
Includes Typical Broker Commissions trade costs of $0.52
11/7/24 12:20 ASTS AST SPACEMOBILE INC LONG 170 20.71 11/11 9:40 23.46 0.3%
Trade id #150030681
Max drawdown($87)
Time11/7/24 13:35
Quant open170
Worst price20.20
Drawdown as % of equity-0.30%
 $463
Includes Typical Broker Commissions trade costs of $3.40
Next

Statistics

  • Strategy began
    8/10/2021
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    1229.37
  • Age
    41 months ago
  • What it trades
    Stocks
  • # Trades
    638
  • # Profitable
    346
  • % Profitable
    54.20%
  • Avg trade duration
    7.1 days
  • Max peak-to-valley drawdown
    54.99%
  • drawdown period
    Feb 02, 2023 - May 15, 2023
  • Annual Return (Compounded)
    17.3%
  • Avg win
    $513.43
  • Avg loss
    $535.55
  • Model Account Values (Raw)
  • Cash
    $67,266
  • Margin Used
    $54,842
  • Buying Power
    $6,854
  • Ratios
  • W:L ratio
    1.14:1
  • Sharpe Ratio
    0.45
  • Sortino Ratio
    0.65
  • Calmar Ratio
    0.548
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    37.52%
  • Correlation to SP500
    0.25230
  • Return Percent SP500 (cumu) during strategy life
    33.68%
  • Return Statistics
  • Ann Return (w trading costs)
    17.3%
  • Slump
  • Current Slump as Pcnt Equity
    17.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.173%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    23.0%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    376
  • Popularity (Last 6 weeks)
    917
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    936
  • Popularity (7 days, Percentile 1000 scale)
    755
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $536
  • Avg Win
    $513
  • Sum Trade PL (losers)
    $156,380.000
  • Age
  • Num Months filled monthly returns table
    41
  • Win / Loss
  • Sum Trade PL (winners)
    $177,647.000
  • # Winners
    346
  • Num Months Winners
    21
  • Dividends
  • Dividends Received in Model Acct
    -74
  • AUM
  • AUM (AutoTrader live capital)
    79520
  • Win / Loss
  • # Losers
    292
  • % Winners
    54.2%
  • Frequency
  • Avg Position Time (mins)
    10192.00
  • Avg Position Time (hrs)
    169.87
  • Avg Trade Length
    7.1 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    2.19
  • Daily leverage (max)
    5.00
  • Regression
  • Alpha
    0.07
  • Beta
    0.87
  • Treynor Index
    0.10
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.98
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    21.239
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.559
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.385
  • Hold-and-Hope Ratio
    0.069
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41572
  • SD
    0.64522
  • Sharpe ratio (Glass type estimate)
    0.64431
  • Sharpe ratio (Hedges UMVUE)
    0.63039
  • df
    35.00000
  • t
    1.11598
  • p
    0.13602
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50170
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78137
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51079
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77157
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.12763
  • Upside Potential Ratio
    3.10483
  • Upside part of mean
    1.14466
  • Downside part of mean
    -0.72893
  • Upside SD
    0.53219
  • Downside SD
    0.36867
  • N nonnegative terms
    19.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.09105
  • Mean of criterion
    0.41572
  • SD of predictor
    0.17696
  • SD of criterion
    0.64522
  • Covariance
    0.03767
  • r
    0.32988
  • b (slope, estimate of beta)
    1.20274
  • a (intercept, estimate of alpha)
    0.30622
  • Mean Square Error
    0.38192
  • DF error
    34.00000
  • t(b)
    2.03754
  • p(b)
    0.02472
  • t(a)
    0.84866
  • p(a)
    0.20100
  • Lowerbound of 95% confidence interval for beta
    0.00313
  • Upperbound of 95% confidence interval for beta
    2.40235
  • Lowerbound of 95% confidence interval for alpha
    -0.42707
  • Upperbound of 95% confidence interval for alpha
    1.03950
  • Treynor index (mean / b)
    0.34565
  • Jensen alpha (a)
    0.30622
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21507
  • SD
    0.63457
  • Sharpe ratio (Glass type estimate)
    0.33893
  • Sharpe ratio (Hedges UMVUE)
    0.33160
  • df
    35.00000
  • t
    0.58704
  • p
    0.28047
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79780
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47089
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80265
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46585
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.51225
  • Upside Potential Ratio
    2.43638
  • Upside part of mean
    1.02293
  • Downside part of mean
    -0.80786
  • Upside SD
    0.46805
  • Downside SD
    0.41986
  • N nonnegative terms
    19.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.07531
  • Mean of criterion
    0.21507
  • SD of predictor
    0.17749
  • SD of criterion
    0.63457
  • Covariance
    0.03653
  • r
    0.32436
  • b (slope, estimate of beta)
    1.15965
  • a (intercept, estimate of alpha)
    0.12773
  • Mean Square Error
    0.37091
  • DF error
    34.00000
  • t(b)
    1.99940
  • p(b)
    0.02680
  • t(a)
    0.36050
  • p(a)
    0.36035
  • Lowerbound of 95% confidence interval for beta
    -0.01905
  • Upperbound of 95% confidence interval for beta
    2.33835
  • Lowerbound of 95% confidence interval for alpha
    -0.59234
  • Upperbound of 95% confidence interval for alpha
    0.84781
  • Treynor index (mean / b)
    0.18546
  • Jensen alpha (a)
    0.12773
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24677
  • Expected Shortfall on VaR
    0.30071
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.13710
  • Expected Shortfall on VaR
    0.24562
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    36.00000
  • Minimum
    0.68049
  • Quartile 1
    0.91965
  • Median
    1.01971
  • Quartile 3
    1.19819
  • Maximum
    1.43578
  • Mean of quarter 1
    0.81083
  • Mean of quarter 2
    0.95128
  • Mean of quarter 3
    1.10330
  • Mean of quarter 4
    1.28248
  • Inter Quartile Range
    0.27854
  • 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)
    -1.56519
  • VaR(95%) (moments method)
    0.18488
  • Expected Shortfall (moments method)
    0.19159
  • Extreme Value Index (regression method)
    -0.77169
  • VaR(95%) (regression method)
    0.24995
  • Expected Shortfall (regression method)
    0.28049
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.20841
  • Quartile 1
    0.21962
  • Median
    0.36068
  • Quartile 3
    0.36413
  • Maximum
    0.37028
  • Mean of quarter 1
    0.21401
  • Mean of quarter 2
    0.36068
  • Mean of quarter 3
    0.36413
  • Mean of quarter 4
    0.37028
  • Inter Quartile Range
    0.14452
  • 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)
    0.35763
  • Compounded annual return (geometric extrapolation)
    0.27504
  • Calmar ratio (compounded annual return / max draw down)
    0.74278
  • Compounded annual return / average of 25% largest draw downs
    0.74278
  • Compounded annual return / Expected Shortfall lognormal
    0.91464
  • 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
    0.36399
  • SD
    0.57346
  • Sharpe ratio (Glass type estimate)
    0.63474
  • Sharpe ratio (Hedges UMVUE)
    0.63414
  • df
    799.00000
  • t
    1.10915
  • p
    0.13385
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48753
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.75661
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48793
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75621
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.93229
  • Upside Potential Ratio
    8.41921
  • Upside part of mean
    3.28713
  • Downside part of mean
    -2.92314
  • Upside SD
    0.42013
  • Downside SD
    0.39043
  • N nonnegative terms
    442.00000
  • N negative terms
    358.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    800.00000
  • Mean of predictor
    0.08345
  • Mean of criterion
    0.36399
  • SD of predictor
    0.18045
  • SD of criterion
    0.57346
  • Covariance
    0.02683
  • r
    0.25932
  • b (slope, estimate of beta)
    0.82410
  • a (intercept, estimate of alpha)
    0.29500
  • Mean Square Error
    0.30712
  • DF error
    798.00000
  • t(b)
    7.58502
  • p(b)
    0.00000
  • t(a)
    0.93049
  • p(a)
    0.17620
  • Lowerbound of 95% confidence interval for beta
    0.61083
  • Upperbound of 95% confidence interval for beta
    1.03737
  • Lowerbound of 95% confidence interval for alpha
    -0.32757
  • Upperbound of 95% confidence interval for alpha
    0.91802
  • Treynor index (mean / b)
    0.44169
  • Jensen alpha (a)
    0.29522
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19998
  • SD
    0.57312
  • Sharpe ratio (Glass type estimate)
    0.34894
  • Sharpe ratio (Hedges UMVUE)
    0.34862
  • df
    799.00000
  • t
    0.60974
  • p
    0.27110
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77291
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47063
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77316
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47039
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.48847
  • Upside Potential Ratio
    7.82574
  • Upside part of mean
    3.20396
  • Downside part of mean
    -3.00398
  • Upside SD
    0.40073
  • Downside SD
    0.40941
  • N nonnegative terms
    442.00000
  • N negative terms
    358.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    800.00000
  • Mean of predictor
    0.06715
  • Mean of criterion
    0.19998
  • SD of predictor
    0.18066
  • SD of criterion
    0.57312
  • Covariance
    0.02709
  • r
    0.26165
  • b (slope, estimate of beta)
    0.83004
  • a (intercept, estimate of alpha)
    0.14425
  • Mean Square Error
    0.30636
  • DF error
    798.00000
  • t(b)
    7.65820
  • p(b)
    0.00000
  • t(a)
    0.45528
  • p(a)
    0.32452
  • Lowerbound of 95% confidence interval for beta
    0.61728
  • Upperbound of 95% confidence interval for beta
    1.04279
  • Lowerbound of 95% confidence interval for alpha
    -0.47768
  • Upperbound of 95% confidence interval for alpha
    0.76618
  • Treynor index (mean / b)
    0.24094
  • Jensen alpha (a)
    0.14425
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05586
  • Expected Shortfall on VaR
    0.06964
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02379
  • Expected Shortfall on VaR
    0.04856
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    800.00000
  • Minimum
    0.79631
  • Quartile 1
    0.98538
  • Median
    1.00282
  • Quartile 3
    1.01747
  • Maximum
    1.25803
  • Mean of quarter 1
    0.96099
  • Mean of quarter 2
    0.99488
  • Mean of quarter 3
    1.00930
  • Mean of quarter 4
    1.04081
  • Inter Quartile Range
    0.03209
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.03875
  • Mean of outliers low
    0.91324
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.03375
  • Mean of outliers high
    1.10122
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24448
  • VaR(95%) (moments method)
    0.03810
  • Expected Shortfall (moments method)
    0.06139
  • Extreme Value Index (regression method)
    0.06385
  • VaR(95%) (regression method)
    0.03679
  • Expected Shortfall (regression method)
    0.05221
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00016
  • Quartile 1
    0.00494
  • Median
    0.02064
  • Quartile 3
    0.10885
  • Maximum
    0.46706
  • Mean of quarter 1
    0.00250
  • Mean of quarter 2
    0.01606
  • Mean of quarter 3
    0.04841
  • Mean of quarter 4
    0.35690
  • Inter Quartile Range
    0.10391
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.21053
  • Mean of outliers high
    0.41255
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -59.51940
  • VaR(95%) (moments method)
    0.28687
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.03144
  • VaR(95%) (regression method)
    0.43615
  • Expected Shortfall (regression method)
    0.44414
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.32928
  • Compounded annual return (geometric extrapolation)
    0.25595
  • Calmar ratio (compounded annual return / max draw down)
    0.54800
  • Compounded annual return / average of 25% largest draw downs
    0.71714
  • Compounded annual return / Expected Shortfall lognormal
    3.67522
  • 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
    0.38405
  • SD
    0.48047
  • Sharpe ratio (Glass type estimate)
    0.79934
  • Sharpe ratio (Hedges UMVUE)
    0.79472
  • df
    130.00000
  • t
    0.56522
  • p
    0.47524
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.97562
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.57140
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.97877
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.56820
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.99518
  • Upside Potential Ratio
    7.07233
  • Upside part of mean
    2.72933
  • Downside part of mean
    -2.34527
  • Upside SD
    0.28411
  • Downside SD
    0.38592
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14272
  • Mean of criterion
    0.38405
  • SD of predictor
    0.14146
  • SD of criterion
    0.48047
  • Covariance
    0.04269
  • r
    0.62808
  • b (slope, estimate of beta)
    2.13328
  • a (intercept, estimate of alpha)
    0.07959
  • Mean Square Error
    0.14087
  • DF error
    129.00000
  • t(b)
    9.16743
  • p(b)
    0.12827
  • t(a)
    0.14965
  • p(a)
    0.49161
  • Lowerbound of 95% confidence interval for beta
    1.67287
  • Upperbound of 95% confidence interval for beta
    2.59368
  • Lowerbound of 95% confidence interval for alpha
    -0.97264
  • Upperbound of 95% confidence interval for alpha
    1.13181
  • Treynor index (mean / b)
    0.18003
  • Jensen alpha (a)
    0.07959
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26260
  • SD
    0.50188
  • Sharpe ratio (Glass type estimate)
    0.52323
  • Sharpe ratio (Hedges UMVUE)
    0.52021
  • df
    130.00000
  • t
    0.36998
  • p
    0.48378
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.25027
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.29480
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.25232
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.29273
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.63223
  • Upside Potential Ratio
    6.47560
  • Upside part of mean
    2.68969
  • Downside part of mean
    -2.42709
  • Upside SD
    0.27876
  • Downside SD
    0.41536
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13271
  • Mean of criterion
    0.26260
  • SD of predictor
    0.14181
  • SD of criterion
    0.50188
  • Covariance
    0.04456
  • r
    0.62606
  • b (slope, estimate of beta)
    2.21569
  • a (intercept, estimate of alpha)
    -0.03145
  • Mean Square Error
    0.15435
  • DF error
    129.00000
  • t(b)
    9.11876
  • p(b)
    0.12928
  • t(a)
    -0.05651
  • p(a)
    0.50317
  • VAR (95 Confidence Intrvl)
    0.05600
  • Lowerbound of 95% confidence interval for beta
    1.73495
  • Upperbound of 95% confidence interval for beta
    2.69644
  • Lowerbound of 95% confidence interval for alpha
    -1.13258
  • Upperbound of 95% confidence interval for alpha
    1.06968
  • Treynor index (mean / b)
    0.11852
  • Jensen alpha (a)
    -0.03145
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04877
  • Expected Shortfall on VaR
    0.06095
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01764
  • Expected Shortfall on VaR
    0.03926
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.80093
  • Quartile 1
    0.98857
  • Median
    1.00422
  • Quartile 3
    1.01662
  • Maximum
    1.06113
  • Mean of quarter 1
    0.96866
  • Mean of quarter 2
    0.99679
  • Mean of quarter 3
    1.01035
  • Mean of quarter 4
    1.03075
  • Inter Quartile Range
    0.02805
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.89364
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.06113
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.65241
  • VaR(95%) (moments method)
    0.03474
  • Expected Shortfall (moments method)
    0.10152
  • Extreme Value Index (regression method)
    1.06721
  • VaR(95%) (regression method)
    0.02523
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00332
  • Quartile 1
    0.02013
  • Median
    0.02250
  • Quartile 3
    0.13430
  • Maximum
    0.35281
  • Mean of quarter 1
    0.01172
  • Mean of quarter 2
    0.02250
  • Mean of quarter 3
    0.13430
  • Mean of quarter 4
    0.35281
  • Inter Quartile Range
    0.11417
  • 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
    0.35281
  • 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
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -352182000
  • Max Equity Drawdown (num days)
    102
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31267
  • Compounded annual return (geometric extrapolation)
    0.33711
  • Calmar ratio (compounded annual return / max draw down)
    0.95548
  • Compounded annual return / average of 25% largest draw downs
    0.95548
  • Compounded annual return / Expected Shortfall lognormal
    5.53066

Strategy Description

The strategy uses leveraged ETFs in order to achieve double and triple returns on the market using long and short positions. To mitigate risk, I use hedging strategies and hold opposite positions when market volatility is high. I also employ a technique called "averaging down" to minimize losses, by purchasing additional shares of a stock at a lower price to offset any losses on my initial investment. I generally focus on a small number of stocks and ETFs at a time, holding them for a period of one to two weeks.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2021-08-10
Suggested Minimum Capital
$5,000
Rank at C2 %
Top 6.4%
Rank # 
#47
# Trades
638
# Profitable
346
% Profitable
54.2%
Net Dividends
($74)
Correlation S&P500
0.252
Sharpe Ratio
0.45
Sortino Ratio
0.65
Beta
0.87
Alpha
0.07
Leverage
2.19 Average
5.00 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.