Collective2 Collective2
Featured Strategy Quant AI pro +14.0% 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 02/11/2022
Most recent certification approved 2/11/22 9:37 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 139
# trading signals executed in manager's Israel Interactive Trading account 139
Percent signals followed since 02/11/2022 100%
This information was last updated 12/26/24 15:39 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 02/11/2022, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

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

Markets Expected Value
(138882025)

Powered by BrokerTransmit.
Read important disclosures.

Created by: ReplanValueFirms ReplanValueFirms
Started: 01/2022
Stocks
Last trade: 24 days ago
Trading style: Equity Non-hedged Equity

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 $20.00 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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
15.1%
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.

(24.4%)
Max Drawdown
74
Num Trades
58.1%
Win Trades
3.3 : 1
Profit Factor
52.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022(0.1%)(2.4%)+2.7%(8.9%)(2.1%)(7.7%)+10.9%(4%)(9.3%)+7.9%+6.3%(6.1%)(14.2%)
2023+8.0%+2.0%+1.7%(0.4%)(1.8%)+7.2%+5.4%(1.3%)(4.1%)(3.8%)+14.7%+7.7%+39.3%
2024(0.5%)+6.3%+4.5%(6.5%)+5.1%(0.7%)+4.1%+1.8%+2.5%+1.9%+8.7%(1.9%)+27.3%

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 139 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/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/1/24 11:44 TGS TRANSPORTADORA DE GAS LONG 167 16.96 12/2 11:09 29.82 0.91%
Trade id #148797195
Max drawdown($468)
Time8/5/24 0:00
Quant open167
Worst price14.16
Drawdown as % of equity-0.91%
 $2,143
Includes Typical Broker Commissions trade costs of $3.34
8/1/24 11:45 SKWD SKYWARD SPECIALTY INSURANCE GROUP INC. LONG 73 38.40 12/2 11:08 53.35 0.61%
Trade id #148797216
Max drawdown($313)
Time8/12/24 0:00
Quant open73
Worst price34.10
Drawdown as % of equity-0.61%
 $1,090
Includes Typical Broker Commissions trade costs of $1.46
8/1/24 11:40 HCA HCA HEALTHCARE INC LONG 7 366.33 12/2 11:08 328.06 0.53%
Trade id #148797095
Max drawdown($327)
Time11/25/24 0:00
Quant open7
Worst price319.49
Drawdown as % of equity-0.53%
 ($268)
Includes Typical Broker Commissions trade costs of $0.14
8/2/24 9:58 EAT BRINKER INTERNATIONAL LONG 15 60.44 12/2 11:08 131.06 0.12%
Trade id #148806872
Max drawdown($62)
Time8/5/24 0:00
Quant open15
Worst price56.27
Drawdown as % of equity-0.12%
 $1,059
Includes Typical Broker Commissions trade costs of $0.30
8/1/24 11:38 DAC DANAOS LONG 34 83.62 12/2 11:07 80.30 0.57%
Trade id #148797055
Max drawdown($300)
Time9/10/24 0:00
Quant open34
Worst price74.77
Drawdown as % of equity-0.57%
 ($114)
Includes Typical Broker Commissions trade costs of $0.68
8/1/24 11:40 CSIQ CANADIAN SOLAR LONG 177 15.97 12/2 11:07 13.03 1.47%
Trade id #148797073
Max drawdown($895)
Time11/19/24 0:00
Quant open177
Worst price10.91
Drawdown as % of equity-1.47%
 ($524)
Includes Typical Broker Commissions trade costs of $3.54
8/1/24 11:39 CLS CELESTICA LONG 55 51.27 12/2 11:07 85.48 1.18%
Trade id #148797066
Max drawdown($606)
Time8/5/24 0:00
Quant open55
Worst price40.25
Drawdown as % of equity-1.18%
 $1,881
Includes Typical Broker Commissions trade costs of $1.10
8/1/24 11:40 CASH PATHWARD FINANCIAL INC LONG 44 65.18 12/2 11:04 82.45 0.41%
Trade id #148797075
Max drawdown($209)
Time8/5/24 0:00
Quant open44
Worst price60.42
Drawdown as % of equity-0.41%
 $759
Includes Typical Broker Commissions trade costs of $0.88
3/28/24 12:20 JD JD.COM INC LONG 100 27.60 8/1 11:35 25.70 0.6%
Trade id #147756299
Max drawdown($294)
Time4/16/24 0:00
Quant open100
Worst price24.66
Drawdown as % of equity-0.60%
 ($193)
Includes Typical Broker Commissions trade costs of $2.00
4/8/24 9:30 PAGS PAGSEGURO DIGITAL LONG 191 13.50 8/1 11:35 12.57 0.92%
Trade id #147834925
Max drawdown($478)
Time6/25/24 0:00
Quant open191
Worst price10.99
Drawdown as % of equity-0.92%
 ($181)
Includes Typical Broker Commissions trade costs of $3.82
3/28/24 12:17 VIPS VIPSHOP HOLDINGS LONG 160 16.74 8/1 11:34 13.35 1.18%
Trade id #147756280
Max drawdown($607)
Time7/1/24 0:00
Quant open160
Worst price12.94
Drawdown as % of equity-1.18%
 ($546)
Includes Typical Broker Commissions trade costs of $3.20
3/28/24 12:24 KFY KORN FERRY LONG 41 66.00 8/1 11:34 71.42 0.52%
Trade id #147756320
Max drawdown($255)
Time4/17/24 0:00
Quant open41
Worst price59.78
Drawdown as % of equity-0.52%
 $221
Includes Typical Broker Commissions trade costs of $0.82
3/28/24 12:22 PERI PERION NETWORK LONG 120 22.64 8/1 11:34 8.56 3.35%
Trade id #147756308
Max drawdown($1,775)
Time7/31/24 0:00
Quant open120
Worst price7.84
Drawdown as % of equity-3.35%
 ($1,692)
Includes Typical Broker Commissions trade costs of $2.40
3/28/24 12:23 SHG SHINHAN FINANCIAL GRP LONG 77 35.34 8/1 11:34 43.14 0.96%
Trade id #147756315
Max drawdown($468)
Time4/17/24 0:00
Quant open77
Worst price29.25
Drawdown as % of equity-0.96%
 $599
Includes Typical Broker Commissions trade costs of $1.54
3/28/24 12:30 OGN ORGANON & CO LONG 145 18.80 8/1 11:33 21.54 0.42%
Trade id #147756362
Max drawdown($213)
Time4/12/24 0:00
Quant open145
Worst price17.33
Drawdown as % of equity-0.42%
 $395
Includes Typical Broker Commissions trade costs of $2.90
3/28/24 12:15 QFIN 360 DIGITECH INC LONG 145 18.63 8/1 11:33 19.92 0.26%
Trade id #147756256
Max drawdown($126)
Time4/16/24 0:00
Quant open145
Worst price17.76
Drawdown as % of equity-0.26%
 $184
Includes Typical Broker Commissions trade costs of $2.90
3/28/24 12:16 IMXI INTERNATIONAL MONEY EXPRESS INC. LONG 120 23.05 8/1 11:33 22.25 0.89%
Trade id #147756268
Max drawdown($459)
Time5/7/24 0:00
Quant open120
Worst price19.22
Drawdown as % of equity-0.89%
 ($98)
Includes Typical Broker Commissions trade costs of $2.40
11/30/23 14:40 PRDO PERDOCEO EDUCATION CORPORATION LONG 145 17.39 3/28/24 11:40 17.81 0.37%
Trade id #146580893
Max drawdown($184)
Time2/22/24 0:00
Quant open145
Worst price16.12
Drawdown as % of equity-0.37%
 $58
Includes Typical Broker Commissions trade costs of $2.90
11/30/23 14:34 TTMI TTM TECHNOLOGIES LONG 165 14.94 3/28/24 11:39 15.72 0.38%
Trade id #146580841
Max drawdown($183)
Time1/31/24 0:00
Quant open165
Worst price13.82
Drawdown as % of equity-0.38%
 $127
Includes Typical Broker Commissions trade costs of $3.30
1/3/24 13:58 NXT NEXTRACKER INC. CLASS A LONG 17 46.87 3/28 11:39 57.03 0.26%
Trade id #146891566
Max drawdown($121)
Time1/17/24 0:00
Quant open17
Worst price39.75
Drawdown as % of equity-0.26%
 $173
Includes Typical Broker Commissions trade costs of $0.34
11/30/23 14:44 KNF KNIFE RIV HC. LONG 41 59.79 3/28/24 11:39 80.94 0.04%
Trade id #146580961
Max drawdown($19)
Time12/1/23 0:00
Quant open41
Worst price59.31
Drawdown as % of equity-0.04%
 $866
Includes Typical Broker Commissions trade costs of $0.82
11/30/23 14:47 HEES H&E EQUIPMENT SERVICES LONG 57 44.47 3/28/24 11:38 64.91 0.04%
Trade id #146581000
Max drawdown($17)
Time11/30/23 15:51
Quant open57
Worst price44.17
Drawdown as % of equity-0.04%
 $1,164
Includes Typical Broker Commissions trade costs of $1.14
11/30/23 14:38 FLEX FLEX LTD LONG 100 25.50 3/28/24 11:38 28.54 0.8%
Trade id #146580878
Max drawdown($365)
Time1/17/24 0:00
Quant open100
Worst price21.84
Drawdown as % of equity-0.80%
 $302
Includes Typical Broker Commissions trade costs of $2.00
8/1/23 13:05 CLS CELESTICA LONG 103 21.84 3/28/24 11:37 45.45 0.42%
Trade id #145395702
Max drawdown($166)
Time8/18/23 0:00
Quant open103
Worst price20.22
Drawdown as % of equity-0.42%
 $2,430
Includes Typical Broker Commissions trade costs of $2.06
11/30/23 14:43 BELFB BEL FUSH INC CLASS B LONG 46 53.76 3/28/24 11:37 58.98 0.74%
Trade id #146580941
Max drawdown($368)
Time2/22/24 0:00
Quant open46
Worst price45.74
Drawdown as % of equity-0.74%
 $239
Includes Typical Broker Commissions trade costs of $0.92
11/30/23 14:39 BBSI BARRETT BUSINESS SERVICES LONG 22 110.33 3/28/24 11:36 126.35 0.09%
Trade id #146580882
Max drawdown($46)
Time2/13/24 0:00
Quant open22
Worst price108.22
Drawdown as % of equity-0.09%
 $352
Includes Typical Broker Commissions trade costs of $0.44
11/30/23 14:42 AIZ ASSURANT LONG 15 167.30 3/28/24 11:36 188.10 0.19%
Trade id #146580919
Max drawdown($88)
Time12/15/23 0:00
Quant open15
Worst price161.41
Drawdown as % of equity-0.19%
 $312
Includes Typical Broker Commissions trade costs of $0.30
8/1/23 13:27 GPS GAP LONG 214 10.59 11/30 14:30 19.93 0.67%
Trade id #145395875
Max drawdown($258)
Time8/23/23 0:00
Quant open214
Worst price9.38
Drawdown as % of equity-0.67%
 $1,994
Includes Typical Broker Commissions trade costs of $4.28
8/1/23 13:14 STLA STELLANTIS NV LONG 112 20.07 11/30 14:30 21.68 0.73%
Trade id #145395764
Max drawdown($280)
Time8/18/23 0:00
Quant open112
Worst price17.57
Drawdown as % of equity-0.73%
 $178
Includes Typical Broker Commissions trade costs of $2.24
8/1/23 13:25 UAL UNITED AIRLINES HOLDINGS INC LONG 43 53.10 11/30 14:30 39.59 2.19%
Trade id #145395859
Max drawdown($835)
Time10/27/23 0:00
Quant open43
Worst price33.68
Drawdown as % of equity-2.19%
 ($582)
Includes Typical Broker Commissions trade costs of $0.86
Next

Statistics

  • Strategy began
    1/10/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1081.47
  • Age
    36 months ago
  • What it trades
    Stocks
  • # Trades
    74
  • # Profitable
    43
  • % Profitable
    58.10%
  • Avg trade duration
    184.9 days
  • Max peak-to-valley drawdown
    24.42%
  • drawdown period
    Aug 25, 2022 - Sept 24, 2022
  • Annual Return (Compounded)
    15.1%
  • Avg win
    $719.02
  • Avg loss
    $325.16
  • Model Account Values (Raw)
  • Cash
    $28,407
  • Margin Used
    $0
  • Buying Power
    $35,010
  • Ratios
  • W:L ratio
    3.27:1
  • Sharpe Ratio
    0.71
  • Sortino Ratio
    1.04
  • Calmar Ratio
    0.915
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    22.66%
  • Correlation to SP500
    0.67680
  • Return Percent SP500 (cumu) during strategy life
    29.21%
  • Return Statistics
  • Ann Return (w trading costs)
    15.1%
  • Slump
  • Current Slump as Pcnt Equity
    2.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.151%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.5%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    635
  • Popularity (Last 6 weeks)
    851
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    966
  • Popularity (7 days, Percentile 1000 scale)
    688
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $325
  • Avg Win
    $719
  • Sum Trade PL (losers)
    $10,080.000
  • Age
  • Num Months filled monthly returns table
    36
  • Win / Loss
  • Sum Trade PL (winners)
    $30,918.000
  • # Winners
    43
  • Num Months Winners
    19
  • Dividends
  • Dividends Received in Model Acct
    2039
  • AUM
  • AUM (AutoTrader live capital)
    62846
  • Win / Loss
  • # Losers
    31
  • % Winners
    58.1%
  • Frequency
  • Avg Position Time (mins)
    266297.00
  • Avg Position Time (hrs)
    4438.28
  • Avg Trade Length
    184.9 days
  • Last Trade Ago
    24
  • Leverage
  • Daily leverage (average)
    1.03
  • Daily leverage (max)
    1.25
  • Regression
  • Alpha
    0.02
  • Beta
    0.64
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -3.15
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.574
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.489
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.662
  • Hold-and-Hope Ratio
    0.587
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17271
  • SD
    0.17449
  • Sharpe ratio (Glass type estimate)
    0.98975
  • Sharpe ratio (Hedges UMVUE)
    0.96476
  • df
    30.00000
  • t
    1.59080
  • p
    0.06107
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26277
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22656
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27886
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20839
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.74036
  • Upside Potential Ratio
    3.42402
  • Upside part of mean
    0.33978
  • Downside part of mean
    -0.16708
  • Upside SD
    0.14867
  • Downside SD
    0.09924
  • N nonnegative terms
    20.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.08642
  • Mean of criterion
    0.17271
  • SD of predictor
    0.15777
  • SD of criterion
    0.17449
  • Covariance
    0.02368
  • r
    0.86024
  • b (slope, estimate of beta)
    0.95143
  • a (intercept, estimate of alpha)
    0.09048
  • Mean Square Error
    0.00819
  • DF error
    29.00000
  • t(b)
    9.08520
  • p(b)
    0.00000
  • t(a)
    1.58665
  • p(a)
    0.06172
  • Lowerbound of 95% confidence interval for beta
    0.73725
  • Upperbound of 95% confidence interval for beta
    1.16562
  • Lowerbound of 95% confidence interval for alpha
    -0.02615
  • Upperbound of 95% confidence interval for alpha
    0.20711
  • Treynor index (mean / b)
    0.18152
  • Jensen alpha (a)
    0.09048
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15673
  • SD
    0.17256
  • Sharpe ratio (Glass type estimate)
    0.90828
  • Sharpe ratio (Hedges UMVUE)
    0.88535
  • df
    30.00000
  • t
    1.45986
  • p
    0.07736
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33972
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14174
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35449
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12519
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.52265
  • Upside Potential Ratio
    3.19221
  • Upside part of mean
    0.32858
  • Downside part of mean
    -0.17185
  • Upside SD
    0.14236
  • Downside SD
    0.10293
  • N nonnegative terms
    20.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.07389
  • Mean of criterion
    0.15673
  • SD of predictor
    0.15832
  • SD of criterion
    0.17256
  • Covariance
    0.02354
  • r
    0.86181
  • b (slope, estimate of beta)
    0.93933
  • a (intercept, estimate of alpha)
    0.08732
  • Mean Square Error
    0.00793
  • DF error
    29.00000
  • t(b)
    9.14945
  • p(b)
    0.00000
  • t(a)
    1.56196
  • p(a)
    0.06457
  • Lowerbound of 95% confidence interval for beta
    0.72936
  • Upperbound of 95% confidence interval for beta
    1.14930
  • Lowerbound of 95% confidence interval for alpha
    -0.02702
  • Upperbound of 95% confidence interval for alpha
    0.20166
  • Treynor index (mean / b)
    0.16685
  • Jensen alpha (a)
    0.08732
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06656
  • Expected Shortfall on VaR
    0.08563
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02553
  • Expected Shortfall on VaR
    0.05293
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    31.00000
  • Minimum
    0.90385
  • Quartile 1
    0.98023
  • Median
    1.02165
  • Quartile 3
    1.05062
  • Maximum
    1.14555
  • Mean of quarter 1
    0.95333
  • Mean of quarter 2
    1.00388
  • Mean of quarter 3
    1.03984
  • Mean of quarter 4
    1.07272
  • Inter Quartile Range
    0.07039
  • 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)
    -0.05380
  • VaR(95%) (moments method)
    0.04536
  • Expected Shortfall (moments method)
    0.06000
  • Extreme Value Index (regression method)
    -0.13596
  • VaR(95%) (regression method)
    0.04893
  • Expected Shortfall (regression method)
    0.06253
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01637
  • Quartile 1
    0.03098
  • Median
    0.05144
  • Quartile 3
    0.09306
  • Maximum
    0.17114
  • Mean of quarter 1
    0.01637
  • Mean of quarter 2
    0.03585
  • Mean of quarter 3
    0.06703
  • Mean of quarter 4
    0.17114
  • Inter Quartile Range
    0.06208
  • 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)
    0.23659
  • Compounded annual return (geometric extrapolation)
    0.20278
  • Calmar ratio (compounded annual return / max draw down)
    1.18491
  • Compounded annual return / average of 25% largest draw downs
    1.18491
  • Compounded annual return / Expected Shortfall lognormal
    2.36815
  • 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
    0.15800
  • SD
    0.16948
  • Sharpe ratio (Glass type estimate)
    0.93227
  • Sharpe ratio (Hedges UMVUE)
    0.93126
  • df
    690.00000
  • t
    1.51402
  • p
    0.06524
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27592
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13982
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27661
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13913
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.34702
  • Upside Potential Ratio
    8.76182
  • Upside part of mean
    1.02772
  • Downside part of mean
    -0.86972
  • Upside SD
    0.12255
  • Downside SD
    0.11730
  • N nonnegative terms
    365.00000
  • N negative terms
    326.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    691.00000
  • Mean of predictor
    0.08670
  • Mean of criterion
    0.15800
  • SD of predictor
    0.18340
  • SD of criterion
    0.16948
  • Covariance
    0.02144
  • r
    0.68981
  • b (slope, estimate of beta)
    0.63744
  • a (intercept, estimate of alpha)
    0.10300
  • Mean Square Error
    0.01508
  • DF error
    689.00000
  • t(b)
    25.00920
  • p(b)
    -0.00000
  • t(a)
    1.35819
  • p(a)
    0.08742
  • Lowerbound of 95% confidence interval for beta
    0.58740
  • Upperbound of 95% confidence interval for beta
    0.68749
  • Lowerbound of 95% confidence interval for alpha
    -0.04578
  • Upperbound of 95% confidence interval for alpha
    0.25125
  • Treynor index (mean / b)
    0.24787
  • Jensen alpha (a)
    0.10274
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14360
  • SD
    0.16953
  • Sharpe ratio (Glass type estimate)
    0.84700
  • Sharpe ratio (Hedges UMVUE)
    0.84608
  • df
    690.00000
  • t
    1.37554
  • p
    0.08471
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.36097
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05442
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36161
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05377
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.20692
  • Upside Potential Ratio
    8.57499
  • Upside part of mean
    1.02024
  • Downside part of mean
    -0.87664
  • Upside SD
    0.12093
  • Downside SD
    0.11898
  • N nonnegative terms
    365.00000
  • N negative terms
    326.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    691.00000
  • Mean of predictor
    0.06976
  • Mean of criterion
    0.14360
  • SD of predictor
    0.18447
  • SD of criterion
    0.16953
  • Covariance
    0.02158
  • r
    0.68990
  • b (slope, estimate of beta)
    0.63406
  • a (intercept, estimate of alpha)
    0.09937
  • Mean Square Error
    0.01508
  • DF error
    689.00000
  • t(b)
    25.01540
  • p(b)
    -0.00000
  • t(a)
    1.31357
  • p(a)
    0.09471
  • Lowerbound of 95% confidence interval for beta
    0.58429
  • Upperbound of 95% confidence interval for beta
    0.68382
  • Lowerbound of 95% confidence interval for alpha
    -0.04916
  • Upperbound of 95% confidence interval for alpha
    0.24789
  • Treynor index (mean / b)
    0.22647
  • Jensen alpha (a)
    0.09937
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01654
  • Expected Shortfall on VaR
    0.02083
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00732
  • Expected Shortfall on VaR
    0.01489
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    691.00000
  • Minimum
    0.93003
  • Quartile 1
    0.99570
  • Median
    1.00063
  • Quartile 3
    1.00596
  • Maximum
    1.07832
  • Mean of quarter 1
    0.98841
  • Mean of quarter 2
    0.99858
  • Mean of quarter 3
    1.00321
  • Mean of quarter 4
    1.01265
  • Inter Quartile Range
    0.01025
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.03329
  • Mean of outliers low
    0.97290
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.02171
  • Mean of outliers high
    1.03042
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18222
  • VaR(95%) (moments method)
    0.01094
  • Expected Shortfall (moments method)
    0.01677
  • Extreme Value Index (regression method)
    0.11195
  • VaR(95%) (regression method)
    0.01053
  • Expected Shortfall (regression method)
    0.01528
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    36.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00304
  • Median
    0.01058
  • Quartile 3
    0.02404
  • Maximum
    0.20457
  • Mean of quarter 1
    0.00094
  • Mean of quarter 2
    0.00673
  • Mean of quarter 3
    0.01590
  • Mean of quarter 4
    0.07631
  • Inter Quartile Range
    0.02100
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.13889
  • Mean of outliers high
    0.10429
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.13944
  • VaR(95%) (moments method)
    0.06945
  • Expected Shortfall (moments method)
    0.09055
  • Extreme Value Index (regression method)
    0.15036
  • VaR(95%) (regression method)
    0.10214
  • Expected Shortfall (regression method)
    0.16279
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21687
  • Compounded annual return (geometric extrapolation)
    0.18709
  • Calmar ratio (compounded annual return / max draw down)
    0.91454
  • Compounded annual return / average of 25% largest draw downs
    2.45162
  • Compounded annual return / Expected Shortfall lognormal
    8.98209
  • 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
    0.29963
  • SD
    0.12090
  • Sharpe ratio (Glass type estimate)
    2.47841
  • Sharpe ratio (Hedges UMVUE)
    2.46409
  • df
    130.00000
  • t
    1.75250
  • p
    0.42404
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31433
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.26181
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32385
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.25203
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.46276
  • Upside Potential Ratio
    10.13870
  • Upside part of mean
    0.87730
  • Downside part of mean
    -0.57767
  • Upside SD
    0.08579
  • Downside SD
    0.08653
  • N nonnegative terms
    83.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18155
  • Mean of criterion
    0.29963
  • SD of predictor
    0.14231
  • SD of criterion
    0.12090
  • Covariance
    0.01318
  • r
    0.76625
  • b (slope, estimate of beta)
    0.65095
  • a (intercept, estimate of alpha)
    0.18145
  • Mean Square Error
    0.00608
  • DF error
    129.00000
  • t(b)
    13.54430
  • p(b)
    0.06540
  • t(a)
    1.64020
  • p(a)
    0.40932
  • Lowerbound of 95% confidence interval for beta
    0.55586
  • Upperbound of 95% confidence interval for beta
    0.74604
  • Lowerbound of 95% confidence interval for alpha
    -0.03743
  • Upperbound of 95% confidence interval for alpha
    0.40033
  • Treynor index (mean / b)
    0.46030
  • Jensen alpha (a)
    0.18145
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29216
  • SD
    0.12122
  • Sharpe ratio (Glass type estimate)
    2.41018
  • Sharpe ratio (Hedges UMVUE)
    2.39625
  • df
    130.00000
  • t
    1.70426
  • p
    0.42608
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38155
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.19282
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39082
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.18332
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.34503
  • Upside Potential Ratio
    10.00170
  • Upside part of mean
    0.87355
  • Downside part of mean
    -0.58139
  • Upside SD
    0.08532
  • Downside SD
    0.08734
  • N nonnegative terms
    83.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17139
  • Mean of criterion
    0.29216
  • SD of predictor
    0.14266
  • SD of criterion
    0.12122
  • Covariance
    0.01325
  • r
    0.76633
  • b (slope, estimate of beta)
    0.65116
  • a (intercept, estimate of alpha)
    0.18055
  • Mean Square Error
    0.00611
  • DF error
    129.00000
  • t(b)
    13.54800
  • p(b)
    0.06537
  • t(a)
    1.62858
  • p(a)
    0.40995
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    0.55607
  • Upperbound of 95% confidence interval for beta
    0.74625
  • Lowerbound of 95% confidence interval for alpha
    -0.03880
  • Upperbound of 95% confidence interval for alpha
    0.39990
  • Treynor index (mean / b)
    0.44867
  • Jensen alpha (a)
    0.18055
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01114
  • Expected Shortfall on VaR
    0.01423
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00403
  • Expected Shortfall on VaR
    0.00890
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97236
  • Quartile 1
    0.99813
  • Median
    1.00196
  • Quartile 3
    1.00547
  • Maximum
    1.01837
  • Mean of quarter 1
    0.99190
  • Mean of quarter 2
    1.00005
  • Mean of quarter 3
    1.00379
  • Mean of quarter 4
    1.00935
  • Inter Quartile Range
    0.00734
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97629
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.01731
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43142
  • VaR(95%) (moments method)
    0.00703
  • Expected Shortfall (moments method)
    0.01489
  • Extreme Value Index (regression method)
    0.13726
  • VaR(95%) (regression method)
    0.00759
  • Expected Shortfall (regression method)
    0.01216
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00174
  • Median
    0.00705
  • Quartile 3
    0.01194
  • Maximum
    0.06591
  • Mean of quarter 1
    0.00075
  • Mean of quarter 2
    0.00560
  • Mean of quarter 3
    0.01053
  • Mean of quarter 4
    0.04041
  • Inter Quartile Range
    0.01021
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.17647
  • Mean of outliers high
    0.04925
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.19015
  • VaR(95%) (moments method)
    0.03251
  • Expected Shortfall (moments method)
    0.04211
  • Extreme Value Index (regression method)
    0.18132
  • VaR(95%) (regression method)
    0.04665
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.07542
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -357176000
  • Max Equity Drawdown (num days)
    30
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.34710
  • Compounded annual return (geometric extrapolation)
    0.37722
  • Calmar ratio (compounded annual return / max draw down)
    5.72335
  • Compounded annual return / average of 25% largest draw downs
    9.33554
  • Compounded annual return / Expected Shortfall lognormal
    26.51550

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-01-10
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 3.4%
Rank # 
#25
# Trades
74
# Profitable
43
% Profitable
58.1%
Net Dividends
$2,038
Correlation S&P500
0.677
Sharpe Ratio
0.71
Sortino Ratio
1.04
Beta
0.64
Alpha
0.02
Leverage
1.03 Average
1.25 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

#PERSONNAME#
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.