Collective2 Collective2
C2Star Strategy gandalf +39.5% Cumul. Return since Nov 1, 2022 Hypothetical

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Black Swan Hunting
(138466822)

Created by: Danny Danny
Started: 12/2021
Stocks
Last trade: Yesterday

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.

14.3%
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.

(20.6%)
Max Drawdown
333
Num Trades
48.9%
Win Trades
1.4 : 1
Profit Factor
57.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                                             +0.8%+0.8%
2022+3.4%+5.5%+1.5%+11.6%(0.5%)+10.5%(10.7%)+9.5%+10.6%(2.8%)(9%)+1.0%+31.3%
2023(4%)+4.0%+1.6%(1.6%)(5.1%)(2.3%)                                    (7.5%)

Model Account Details

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

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

Trading Record

This strategy has placed 603 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
5/30/23 11:20 LNZA LANZATECH GLOBAL INC. SHORT 3,298 2.68 6/5 9:30 3.49 2.19%
Trade id #144780428
Max drawdown($2,661)
Time6/5/23 9:30
Quant open3,298
Worst price3.49
Drawdown as % of equity-2.19%
 ($2,667)
Includes Typical Broker Commissions trade costs of $5.00
4/24/23 10:40 DHI2302R102 DHI Jun2'23 102 put SHORT 3 1.75 6/3 9:35 0.00 0.05%
Trade id #144404389
Max drawdown($60)
Time4/24/23 11:06
Quant open3
Worst price1.95
Drawdown as % of equity-0.05%
 $523
Includes Typical Broker Commissions trade costs of $2.10
4/24/23 10:42 HCA2315U270 HCA Sep15'23 270 put SHORT 1 10.60 5/30 11:19 16.90 0.56%
Trade id #144404442
Max drawdown($710)
Time5/24/23 0:00
Quant open1
Worst price17.70
Drawdown as % of equity-0.56%
 ($632)
Includes Typical Broker Commissions trade costs of $2.00
4/24/23 10:46 PG2321S150 PG Jul21'23 150 put SHORT 3 1.87 5/30 11:10 8.10 1.35%
Trade id #144404528
Max drawdown($1,704)
Time5/30/23 10:09
Quant open3
Worst price7.55
Drawdown as % of equity-1.35%
 ($1,873)
Includes Typical Broker Commissions trade costs of $4.20
4/12/23 11:21 STEM2326E6 STEM May26'23 6 call SHORT 15 0.35 5/27 9:35 0.00 0.06%
Trade id #144271121
Max drawdown($75)
Time4/12/23 11:58
Quant open15
Worst price0.40
Drawdown as % of equity-0.06%
 $515
Includes Typical Broker Commissions trade costs of $10.50
5/4/23 15:47 PACW2315I6 PACW Sep15'23 6 call SHORT 4 0.95 5/22 13:33 2.90 0.84%
Trade id #144530050
Max drawdown($1,108)
Time5/8/23 0:00
Quant open4
Worst price3.72
Drawdown as % of equity-0.84%
 ($786)
Includes Typical Broker Commissions trade costs of $5.60
5/12/23 10:21 DH DEFINITIVE HEALTHCARE CORP. CLASS A SHORT 1,315 9.08 5/22 13:32 9.71 0.64%
Trade id #144598591
Max drawdown($830)
Time5/22/23 13:32
Quant open1,315
Worst price9.71
Drawdown as % of equity-0.64%
 ($835)
Includes Typical Broker Commissions trade costs of $5.00
4/3/23 10:43 COIN2319E75 COIN May19'23 75 call SHORT 1 6.10 5/20 9:35 0.00 0.2%
Trade id #144155276
Max drawdown($272)
Time4/11/23 0:00
Quant open1
Worst price8.82
Drawdown as % of equity-0.20%
 $609
Includes Typical Broker Commissions trade costs of $1.00
4/6/23 10:40 LITE2319E50 LITE May19'23 50 call SHORT 3 1.50 5/20 9:35 0.00 0.09%
Trade id #144211772
Max drawdown($123)
Time5/3/23 0:00
Quant open3
Worst price1.91
Drawdown as % of equity-0.09%
 $448
Includes Typical Broker Commissions trade costs of $2.10
4/3/23 10:44 CMA2319E52.5 CMA May19'23 52.5 call SHORT 4 1.20 5/20 9:35 0.00 0.06%
Trade id #144155309
Max drawdown($80)
Time4/10/23 0:00
Quant open4
Worst price1.40
Drawdown as % of equity-0.06%
 $477
Includes Typical Broker Commissions trade costs of $2.80
5/2/23 9:55 CMLS CUMULUS MEDIA INC. CLASS A COMMON STOCK SHORT 3,242 3.09 5/12 10:22 3.48 0.99%
Trade id #144500169
Max drawdown($1,323)
Time5/12/23 10:22
Quant open3,242
Worst price3.50
Drawdown as % of equity-0.99%
 ($1,261)
Includes Typical Broker Commissions trade costs of $5.00
4/4/23 9:49 GTN GRAY TELEVISION SHORT 1,891 8.34 5/12 10:22 7.54 0.6%
Trade id #144172612
Max drawdown($772)
Time4/12/23 0:00
Quant open1,891
Worst price8.75
Drawdown as % of equity-0.60%
 $1,512
Includes Typical Broker Commissions trade costs of $5.00
10/27/22 11:01 USFR WISDOMTREE FLOATING RATE TREASURY FUND LONG 9,350 50.31 5/12/23 10:21 50.34 0.36%
Trade id #142344418
Max drawdown($488)
Time12/23/22 0:00
Quant open5,000
Worst price50.20
Drawdown as % of equity-0.36%
 $139
Includes Typical Broker Commissions trade costs of $118.60
5/3/23 9:56 AZRE AZURE POWER GLOBAL LTD SHORT 4,392 1.82 5/9 11:02 2.07 1.27%
Trade id #144511963
Max drawdown($1,712)
Time5/5/23 0:00
Quant open4,392
Worst price2.21
Drawdown as % of equity-1.27%
 ($1,098)
Includes Typical Broker Commissions trade costs of $5.00
4/20/23 9:51 TSLA2305E180 TSLA May5'23 180 call SHORT 2 1.81 5/6 9:35 0.00 0.02%
Trade id #144372452
Max drawdown($20)
Time4/20/23 10:16
Quant open1
Worst price3.07
Drawdown as % of equity-0.02%
 $360
Includes Typical Broker Commissions trade costs of $2.00
5/3/23 10:01 LAND GLADSTONE LAND CORPORATION COM SHORT 1,600 15.29 5/5 10:23 15.80 0.65%
Trade id #144512097
Max drawdown($874)
Time5/5/23 10:23
Quant open1,600
Worst price15.84
Drawdown as % of equity-0.65%
 ($819)
Includes Typical Broker Commissions trade costs of $5.00
4/4/23 9:45 FXLV F45 TRAINING HOLDINGS SHORT 4,560 1.03 5/3 9:56 0.77 0.43%
Trade id #144172520
Max drawdown($556)
Time4/12/23 0:00
Quant open4,560
Worst price1.15
Drawdown as % of equity-0.43%
 $1,156
Includes Typical Broker Commissions trade costs of $5.00
5/1/23 10:59 SLV ISHARES SILVER TRUST LONG 1,079 23.00 5/2 9:54 22.72 0.29%
Trade id #144487120
Max drawdown($388)
Time5/2/23 9:35
Quant open1,079
Worst price22.64
Drawdown as % of equity-0.29%
 ($304)
Includes Typical Broker Commissions trade costs of $5.00
3/1/23 14:02 CCCC C4 THERAPEUTICS INC. COMMON STOCK SHORT 656 4.75 5/1 11:00 3.16 0.24%
Trade id #143738537
Max drawdown($325)
Time3/3/23 0:00
Quant open656
Worst price5.25
Drawdown as % of equity-0.24%
 $1,038
Includes Typical Broker Commissions trade costs of $7.00
4/20/23 10:31 VZ2326E38 VZ May26'23 38 call SHORT 10 0.78 5/1 10:59 1.32 0.55%
Trade id #144373539
Max drawdown($720)
Time5/1/23 9:30
Quant open10
Worst price1.50
Drawdown as % of equity-0.55%
 ($554)
Includes Typical Broker Commissions trade costs of $14.00
3/16/23 11:04 BRCC BRC INC SHORT 1,843 5.81 5/1 10:58 5.22 0.13%
Trade id #143928354
Max drawdown($181)
Time3/16/23 11:16
Quant open1,843
Worst price5.91
Drawdown as % of equity-0.13%
 $1,082
Includes Typical Broker Commissions trade costs of $9.20
3/7/23 12:04 LAND GLADSTONE LAND CORPORATION COM SHORT 605 17.50 4/24 10:41 16.40 0.15%
Trade id #143803781
Max drawdown($199)
Time3/8/23 0:00
Quant open605
Worst price17.84
Drawdown as % of equity-0.15%
 $662
Includes Typical Broker Commissions trade costs of $5.00
3/30/23 10:34 HTBK HERITAGE COMMERCE SHORT 1,497 8.35 4/24 10:41 8.13 0.1%
Trade id #144115573
Max drawdown($128)
Time4/11/23 0:00
Quant open1,497
Worst price8.44
Drawdown as % of equity-0.10%
 $333
Includes Typical Broker Commissions trade costs of $5.00
2/28/23 14:56 EBAY2321D47.5 EBAY Apr21'23 47.5 call SHORT 3 1.40 4/22 9:35 0.00 0.01%
Trade id #143724029
Max drawdown($15)
Time3/1/23 0:00
Quant open3
Worst price1.45
Drawdown as % of equity-0.01%
 $418
Includes Typical Broker Commissions trade costs of $2.10
2/27/23 15:50 NVDA2321P210 NVDA Apr21'23 210 put SHORT 1 7.85 4/22 9:35 0.00 0.21%
Trade id #143712563
Max drawdown($290)
Time3/13/23 0:00
Quant open1
Worst price10.75
Drawdown as % of equity-0.21%
 $784
Includes Typical Broker Commissions trade costs of $1.00
3/17/23 10:37 DG2321D220 DG Apr21'23 220 call SHORT 2 2.10 4/22 9:35 0.00 0.08%
Trade id #143945490
Max drawdown($110)
Time3/20/23 0:00
Quant open2
Worst price2.65
Drawdown as % of equity-0.08%
 $419
Includes Typical Broker Commissions trade costs of $1.40
3/30/23 11:20 MCB2321D40 MCB Apr21'23 40 call SHORT 4 2.25 4/22 9:35 0.00 0.37%
Trade id #144116127
Max drawdown($528)
Time3/31/23 0:00
Quant open4
Worst price3.57
Drawdown as % of equity-0.37%
 $897
Includes Typical Broker Commissions trade costs of $2.80
2/28/23 13:38 DISH2321D12.5 DISH Apr21'23 12.5 call SHORT 8 0.62 4/22 9:35 0.00 0.12%
Trade id #143723439
Max drawdown($160)
Time3/7/23 0:00
Quant open8
Worst price0.82
Drawdown as % of equity-0.12%
 $490
Includes Typical Broker Commissions trade costs of $5.60
3/16/23 11:40 HNST THE HONEST COMPANY INC. COMMON STOCK SHORT 1,579 2.07 4/20 10:29 1.82 0.05%
Trade id #143930570
Max drawdown($78)
Time3/16/23 12:02
Quant open1,579
Worst price2.12
Drawdown as % of equity-0.05%
 $386
Includes Typical Broker Commissions trade costs of $5.00
2/8/23 15:56 CMLS CUMULUS MEDIA INC. CLASS A COMMON STOCK SHORT 1,882 6.22 4/20 10:29 4.14 0.49%
Trade id #143516165
Max drawdown($622)
Time2/23/23 0:00
Quant open1,882
Worst price6.55
Drawdown as % of equity-0.49%
 $3,906
Includes Typical Broker Commissions trade costs of $7.80
Next

Statistics

  • Strategy began
    12/6/2021
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    546.99
  • Age
    18 months ago
  • What it trades
    Stocks
  • # Trades
    333
  • # Profitable
    163
  • % Profitable
    48.90%
  • Avg trade duration
    27.1 days
  • Max peak-to-valley drawdown
    20.57%
  • drawdown period
    March 31, 2023 - June 02, 2023
  • Annual Return (Compounded)
    14.3%
  • Avg win
    $693.42
  • Avg loss
    $544.32
  • Model Account Values (Raw)
  • Cash
    $83,329
  • Margin Used
    $72,403
  • Buying Power
    $9,340
  • Ratios
  • W:L ratio
    1.38:1
  • Sharpe Ratio
    0.59
  • Sortino Ratio
    0.89
  • Calmar Ratio
    1.077
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    29.25%
  • Correlation to SP500
    -0.56250
  • Return Percent SP500 (cumu) during strategy life
    -6.92%
  • Return Statistics
  • Ann Return (w trading costs)
    14.3%
  • Slump
  • Current Slump as Pcnt Equity
    25.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.12%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.143%
  • Instruments
  • Percent Trades Options
    0.06%
  • Percent Trades Stocks
    0.94%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    68.50%
  • Chance of 20% account loss
    25.00%
  • Chance of 30% account loss
    8.50%
  • Chance of 40% account loss
    2.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    761
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    656
  • Popularity (7 days, Percentile 1000 scale)
    557
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $544
  • Avg Win
    $693
  • Sum Trade PL (losers)
    $92,535.000
  • Age
  • Num Months filled monthly returns table
    19
  • Win / Loss
  • Sum Trade PL (winners)
    $113,028.000
  • # Winners
    163
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    5404
  • AUM
  • AUM (AutoTrader live capital)
    161077
  • Win / Loss
  • # Losers
    170
  • % Winners
    49.0%
  • Frequency
  • Avg Position Time (mins)
    38960.60
  • Avg Position Time (hrs)
    649.34
  • Avg Trade Length
    27.1 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.10
  • Daily leverage (max)
    2.78
  • Regression
  • Alpha
    0.03
  • Beta
    -0.51
  • Treynor Index
    -0.08
  • 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)
    8753080000000.00
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    13.157
  • 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
    0.328
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.339
  • Hold-and-Hope Ratio
    0.073
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19270
  • SD
    0.28469
  • Sharpe ratio (Glass type estimate)
    0.67687
  • Sharpe ratio (Hedges UMVUE)
    0.64455
  • df
    16.00000
  • t
    0.80564
  • p
    0.40128
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99644
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32968
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01722
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30633
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.29191
  • Upside Potential Ratio
    3.36171
  • Upside part of mean
    0.50142
  • Downside part of mean
    -0.30872
  • Upside SD
    0.23901
  • Downside SD
    0.14916
  • N nonnegative terms
    10.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    -0.07310
  • Mean of criterion
    0.19270
  • SD of predictor
    0.21077
  • SD of criterion
    0.28469
  • Covariance
    -0.05321
  • r
    -0.88678
  • b (slope, estimate of beta)
    -1.19777
  • a (intercept, estimate of alpha)
    0.10514
  • Mean Square Error
    0.01847
  • DF error
    15.00000
  • t(b)
    -7.43071
  • p(b)
    0.97752
  • t(a)
    0.91597
  • p(a)
    0.35478
  • Lowerbound of 95% confidence interval for beta
    -1.54134
  • Upperbound of 95% confidence interval for beta
    -0.85420
  • Lowerbound of 95% confidence interval for alpha
    -0.13952
  • Upperbound of 95% confidence interval for alpha
    0.34979
  • Treynor index (mean / b)
    -0.16088
  • Jensen alpha (a)
    0.10514
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15437
  • SD
    0.27721
  • Sharpe ratio (Glass type estimate)
    0.55686
  • Sharpe ratio (Hedges UMVUE)
    0.53027
  • df
    16.00000
  • t
    0.66280
  • p
    0.41826
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10942
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.20616
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12664
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.18719
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.99684
  • Upside Potential Ratio
    3.06124
  • Upside part of mean
    0.47405
  • Downside part of mean
    -0.31968
  • Upside SD
    0.22434
  • Downside SD
    0.15485
  • N nonnegative terms
    10.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    -0.09424
  • Mean of criterion
    0.15437
  • SD of predictor
    0.21179
  • SD of criterion
    0.27721
  • Covariance
    -0.05240
  • r
    -0.89245
  • b (slope, estimate of beta)
    -1.16811
  • a (intercept, estimate of alpha)
    0.04428
  • Mean Square Error
    0.01668
  • DF error
    15.00000
  • t(b)
    -7.66151
  • p(b)
    0.97918
  • t(a)
    0.40453
  • p(a)
    0.43399
  • Lowerbound of 95% confidence interval for beta
    -1.49308
  • Upperbound of 95% confidence interval for beta
    -0.84314
  • Lowerbound of 95% confidence interval for alpha
    -0.18904
  • Upperbound of 95% confidence interval for alpha
    0.27760
  • Treynor index (mean / b)
    -0.13215
  • Jensen alpha (a)
    0.04428
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11198
  • Expected Shortfall on VaR
    0.14081
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05381
  • Expected Shortfall on VaR
    0.09493
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.91014
  • Quartile 1
    0.95079
  • Median
    1.00828
  • Quartile 3
    1.05635
  • Maximum
    1.15758
  • Mean of quarter 1
    0.92803
  • Mean of quarter 2
    0.98767
  • Mean of quarter 3
    1.04320
  • Mean of quarter 4
    1.13723
  • Inter Quartile Range
    0.10556
  • 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)
    -4.38072
  • VaR(95%) (moments method)
    0.07619
  • Expected Shortfall (moments method)
    0.07622
  • Extreme Value Index (regression method)
    -1.71512
  • VaR(95%) (regression method)
    0.09142
  • Expected Shortfall (regression method)
    0.09290
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01248
  • Quartile 1
    0.08646
  • Median
    0.12079
  • Quartile 3
    0.13151
  • Maximum
    0.13464
  • Mean of quarter 1
    0.01248
  • Mean of quarter 2
    0.11112
  • Mean of quarter 3
    0.13047
  • Mean of quarter 4
    0.13464
  • Inter Quartile Range
    0.04506
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.25000
  • Mean of outliers low
    0.01248
  • 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)
    0.20797
  • Compounded annual return (geometric extrapolation)
    0.19994
  • Calmar ratio (compounded annual return / max draw down)
    1.48496
  • Compounded annual return / average of 25% largest draw downs
    1.48496
  • Compounded annual return / Expected Shortfall lognormal
    1.41994
  • 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
    0.15533
  • SD
    0.19363
  • Sharpe ratio (Glass type estimate)
    0.80217
  • Sharpe ratio (Hedges UMVUE)
    0.80056
  • df
    374.00000
  • t
    0.95969
  • p
    0.16892
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83761
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.44093
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83871
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.43982
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25348
  • Upside Potential Ratio
    9.24581
  • Upside part of mean
    1.14571
  • Downside part of mean
    -0.99038
  • Upside SD
    0.14876
  • Downside SD
    0.12392
  • N nonnegative terms
    213.00000
  • N negative terms
    162.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    375.00000
  • Mean of predictor
    -0.05371
  • Mean of criterion
    0.15533
  • SD of predictor
    0.22077
  • SD of criterion
    0.19363
  • Covariance
    -0.02456
  • r
    -0.57447
  • b (slope, estimate of beta)
    -0.50384
  • a (intercept, estimate of alpha)
    0.12800
  • Mean Square Error
    0.02519
  • DF error
    373.00000
  • t(b)
    -13.55460
  • p(b)
    1.00000
  • t(a)
    0.96679
  • p(a)
    0.16714
  • Lowerbound of 95% confidence interval for beta
    -0.57694
  • Upperbound of 95% confidence interval for beta
    -0.43075
  • Lowerbound of 95% confidence interval for alpha
    -0.13261
  • Upperbound of 95% confidence interval for alpha
    0.38914
  • Treynor index (mean / b)
    -0.30828
  • Jensen alpha (a)
    0.12826
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13677
  • SD
    0.19211
  • Sharpe ratio (Glass type estimate)
    0.71195
  • Sharpe ratio (Hedges UMVUE)
    0.71052
  • df
    374.00000
  • t
    0.85175
  • p
    0.19745
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92753
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35058
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92853
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.34957
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.09187
  • Upside Potential Ratio
    9.05943
  • Upside part of mean
    1.13484
  • Downside part of mean
    -0.99806
  • Upside SD
    0.14556
  • Downside SD
    0.12527
  • N nonnegative terms
    213.00000
  • N negative terms
    162.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    375.00000
  • Mean of predictor
    -0.07803
  • Mean of criterion
    0.13677
  • SD of predictor
    0.22089
  • SD of criterion
    0.19211
  • Covariance
    -0.02447
  • r
    -0.57668
  • b (slope, estimate of beta)
    -0.50155
  • a (intercept, estimate of alpha)
    0.09764
  • Mean Square Error
    0.02470
  • DF error
    373.00000
  • t(b)
    -13.63260
  • p(b)
    1.00000
  • t(a)
    0.74307
  • p(a)
    0.22895
  • Lowerbound of 95% confidence interval for beta
    -0.57390
  • Upperbound of 95% confidence interval for beta
    -0.42921
  • Lowerbound of 95% confidence interval for alpha
    -0.16073
  • Upperbound of 95% confidence interval for alpha
    0.35601
  • Treynor index (mean / b)
    -0.27270
  • Jensen alpha (a)
    0.09764
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01882
  • Expected Shortfall on VaR
    0.02367
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00794
  • Expected Shortfall on VaR
    0.01579
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    375.00000
  • Minimum
    0.95571
  • Quartile 1
    0.99446
  • Median
    1.00120
  • Quartile 3
    1.00612
  • Maximum
    1.09910
  • Mean of quarter 1
    0.98689
  • Mean of quarter 2
    0.99839
  • Mean of quarter 3
    1.00345
  • Mean of quarter 4
    1.01409
  • Inter Quartile Range
    0.01166
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.02667
  • Mean of outliers low
    0.97099
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.02667
  • Mean of outliers high
    1.03683
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11398
  • VaR(95%) (moments method)
    0.01287
  • Expected Shortfall (moments method)
    0.01839
  • Extreme Value Index (regression method)
    0.10176
  • VaR(95%) (regression method)
    0.01229
  • Expected Shortfall (regression method)
    0.01721
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00383
  • Quartile 1
    0.00911
  • Median
    0.02678
  • Quartile 3
    0.07068
  • Maximum
    0.16620
  • Mean of quarter 1
    0.00734
  • Mean of quarter 2
    0.02125
  • Mean of quarter 3
    0.05102
  • Mean of quarter 4
    0.12846
  • Inter Quartile Range
    0.06157
  • 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
    0.07692
  • Mean of outliers high
    0.16620
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.02351
  • VaR(95%) (moments method)
    0.12892
  • Expected Shortfall (moments method)
    0.16547
  • Extreme Value Index (regression method)
    0.89218
  • VaR(95%) (regression method)
    0.11852
  • Expected Shortfall (regression method)
    0.62040
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.18571
  • Compounded annual return (geometric extrapolation)
    0.17902
  • Calmar ratio (compounded annual return / max draw down)
    1.07710
  • Compounded annual return / average of 25% largest draw downs
    1.39353
  • Compounded annual return / Expected Shortfall lognormal
    7.56442
  • 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
    -0.15069
  • SD
    0.12200
  • Sharpe ratio (Glass type estimate)
    -1.23523
  • Sharpe ratio (Hedges UMVUE)
    -1.22809
  • df
    130.00000
  • t
    -0.87344
  • p
    0.53819
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.00880
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.54294
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.00391
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.54773
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.48444
  • Upside Potential Ratio
    5.90990
  • Upside part of mean
    0.59995
  • Downside part of mean
    -0.75064
  • Upside SD
    0.06746
  • Downside SD
    0.10151
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10430
  • Mean of criterion
    -0.15069
  • SD of predictor
    0.16414
  • SD of criterion
    0.12200
  • Covariance
    -0.00608
  • r
    -0.30368
  • b (slope, estimate of beta)
    -0.22571
  • a (intercept, estimate of alpha)
    -0.12715
  • Mean Square Error
    0.01362
  • DF error
    129.00000
  • t(b)
    -3.62010
  • p(b)
    0.69031
  • t(a)
    -0.76994
  • p(a)
    0.54302
  • Lowerbound of 95% confidence interval for beta
    -0.34907
  • Upperbound of 95% confidence interval for beta
    -0.10235
  • Lowerbound of 95% confidence interval for alpha
    -0.45390
  • Upperbound of 95% confidence interval for alpha
    0.19959
  • Treynor index (mean / b)
    0.66763
  • Jensen alpha (a)
    -0.12715
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.15818
  • SD
    0.12284
  • Sharpe ratio (Glass type estimate)
    -1.28762
  • Sharpe ratio (Hedges UMVUE)
    -1.28018
  • df
    130.00000
  • t
    -0.91049
  • p
    0.53980
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.06143
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.49102
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.05635
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.49599
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.53873
  • Upside Potential Ratio
    5.81365
  • Upside part of mean
    0.59762
  • Downside part of mean
    -0.75580
  • Upside SD
    0.06711
  • Downside SD
    0.10280
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09092
  • Mean of criterion
    -0.15818
  • SD of predictor
    0.16395
  • SD of criterion
    0.12284
  • Covariance
    -0.00610
  • r
    -0.30264
  • b (slope, estimate of beta)
    -0.22676
  • a (intercept, estimate of alpha)
    -0.13756
  • Mean Square Error
    0.01381
  • DF error
    129.00000
  • t(b)
    -3.60642
  • p(b)
    0.68968
  • t(a)
    -0.82708
  • p(a)
    0.54620
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    -0.35115
  • Upperbound of 95% confidence interval for beta
    -0.10236
  • Lowerbound of 95% confidence interval for alpha
    -0.46663
  • Upperbound of 95% confidence interval for alpha
    0.19151
  • Treynor index (mean / b)
    0.69756
  • Jensen alpha (a)
    -0.13756
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01300
  • Expected Shortfall on VaR
    0.01612
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00606
  • Expected Shortfall on VaR
    0.01245
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95571
  • Quartile 1
    0.99623
  • Median
    1.00075
  • Quartile 3
    1.00337
  • Maximum
    1.01775
  • Mean of quarter 1
    0.99017
  • Mean of quarter 2
    0.99874
  • Mean of quarter 3
    1.00186
  • Mean of quarter 4
    1.00742
  • Inter Quartile Range
    0.00714
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97515
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.01550
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23235
  • VaR(95%) (moments method)
    0.00992
  • Expected Shortfall (moments method)
    0.01555
  • Extreme Value Index (regression method)
    0.32060
  • VaR(95%) (regression method)
    0.00920
  • Expected Shortfall (regression method)
    0.01506
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00119
  • Quartile 1
    0.00272
  • Median
    0.00333
  • Quartile 3
    0.02573
  • Maximum
    0.15277
  • Mean of quarter 1
    0.00132
  • Mean of quarter 2
    0.00324
  • Mean of quarter 3
    0.00726
  • Mean of quarter 4
    0.11110
  • Inter Quartile Range
    0.02301
  • 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
    0.25000
  • Mean of outliers high
    0.11110
  • 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?
    -353131000
  • Max Equity Drawdown (num days)
    63
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.12612
  • Compounded annual return (geometric extrapolation)
    -0.12214
  • Calmar ratio (compounded annual return / max draw down)
    -0.79951
  • Compounded annual return / average of 25% largest draw downs
    -1.09941
  • Compounded annual return / Expected Shortfall lognormal
    -7.57561

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2021-12-06
Suggested Minimum Capital
$35,000
Rank at C2 
#278
# Trades
333
# Profitable
163
% Profitable
48.9%
Net Dividends
$5,403
Correlation S&P500
-0.562
Sharpe Ratio
0.59
Sortino Ratio
0.89
Beta
-0.51
Alpha
0.03
Leverage
2.10 Average
2.78 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.