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These are hypothetical performance results that have certain inherent limitations. Learn more

Cointegration Invest

Created by: AATS AATS
Started: 03/2023
Last trade: 12 days ago
Trading style: Equity Pairs Trading / Relative Value

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $125.00 per month.


C2Star 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
Pairs Trading / Relative Value
Category: Equity

Pairs Trading / Relative Value

Seeks to exploit differences in the price or rate of the same or similar securities. The relative value fund trades on gaps, rather than the price of a specific security alone
Cumul. Return

Rate of Return Calculations


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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

Max Drawdown
Num Trades
Win Trades
0.8 : 1
Profit Factor
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
2023              (0.3%)(0.8%)(0.3%)  -                                      (1.4%)

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

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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/10/23 13:05 TFX TELEFLEX LONG 6 247.59 5/25 14:39 231.67 0.24%
Trade id #144580254
Max drawdown($117)
Time5/25/23 9:38
Quant open6
Worst price227.94
Drawdown as % of equity-0.24%
Includes Typical Broker Commissions trade costs of $0.12
5/10/23 13:04 ICUI ICU MEDICAL SHORT 7 205.68 5/25 14:39 175.70 0.06%
Trade id #144580250
Max drawdown($30)
Time5/10/23 15:49
Quant open7
Worst price209.97
Drawdown as % of equity-0.06%
Includes Typical Broker Commissions trade costs of $0.14
5/17/23 14:28 UBS UBS GROUP AG LONG 102 19.53 5/19 11:09 19.97 0.01%
Trade id #144654619
Max drawdown($3)
Time5/17/23 14:34
Quant open102
Worst price19.50
Drawdown as % of equity-0.01%
Includes Typical Broker Commissions trade costs of $2.04
5/17/23 14:27 MUFG MITSUBISHI UFJ FINANCIAL GROUP INC SHORT 288 6.94 5/19 11:09 6.69 0%
Trade id #144654608
Max drawdown($1)
Time5/17/23 14:30
Quant open288
Worst price6.95
Drawdown as % of equity-0.00%
Includes Typical Broker Commissions trade costs of $5.76
5/5/23 15:15 RRR RED ROCK RESORTS INC. CLASS A SHORT 41 48.89 5/10 12:53 44.55 0.01%
Trade id #144543143
Max drawdown($6)
Time5/8/23 0:00
Quant open41
Worst price49.05
Drawdown as % of equity-0.01%
Includes Typical Broker Commissions trade costs of $0.82
5/5/23 15:15 MGM MGM RESORTS INTERNATIONAL LONG 46 43.41 5/10 12:53 42.12 0.14%
Trade id #144543140
Max drawdown($67)
Time5/10/23 12:38
Quant open46
Worst price41.95
Drawdown as % of equity-0.14%
Includes Typical Broker Commissions trade costs of $0.92
4/28/23 14:58 SAN SANTANDER FINANCE SA UNIPERSON LONG 575 3.48 5/3 11:15 3.40 0.13%
Trade id #144471622
Max drawdown($63)
Time5/2/23 0:00
Quant open575
Worst price3.37
Drawdown as % of equity-0.13%
Includes Typical Broker Commissions trade costs of $5.00
4/28/23 14:58 BBVA BANCO BILBAO VIZCAYA SHORT 273 7.31 5/3 11:15 6.93 0.07%
Trade id #144471618
Max drawdown($32)
Time5/1/23 0:00
Quant open273
Worst price7.43
Drawdown as % of equity-0.07%
Includes Typical Broker Commissions trade costs of $5.46
4/12/23 13:59 SKX SKECHERS USA SHORT 40 48.97 4/28 15:09 52.91 0.35%
Trade id #144274086
Max drawdown($172)
Time4/28/23 10:04
Quant open40
Worst price53.29
Drawdown as % of equity-0.35%
Includes Typical Broker Commissions trade costs of $0.80
4/12/23 13:59 COLM COLUMBIA SPORTSWEAR LONG 22 88.39 4/28 15:09 83.99 0.28%
Trade id #144274079
Max drawdown($140)
Time4/28/23 9:42
Quant open22
Worst price82.00
Drawdown as % of equity-0.28%
Includes Typical Broker Commissions trade costs of $0.44
4/12/23 13:50 SU SUNCOR ENERGY LONG 61 32.84 4/28 14:50 31.25 0.46%
Trade id #144274000
Max drawdown($225)
Time4/26/23 0:00
Quant open61
Worst price29.14
Drawdown as % of equity-0.46%
Includes Typical Broker Commissions trade costs of $1.22
4/12/23 13:50 IMO IMPERIAL OIL SHORT 36 55.71 4/28 14:49 51.10 0.03%
Trade id #144274004
Max drawdown($16)
Time4/17/23 0:00
Quant open36
Worst price56.16
Drawdown as % of equity-0.03%
Includes Typical Broker Commissions trade costs of $0.72
3/14/23 9:31 NGVT INGEVITY CORP LONG 27 72.42 4/6 11:19 69.60 0.27%
Trade id #143892942
Max drawdown($132)
Time3/24/23 0:00
Quant open27
Worst price67.52
Drawdown as % of equity-0.27%
Includes Typical Broker Commissions trade costs of $0.54
3/14/23 9:32 AXTA AXALTA COATING SYSTEMS LTD SHORT 67 29.62 4/6 11:19 29.96 0.27%
Trade id #143893080
Max drawdown($134)
Time4/3/23 0:00
Quant open67
Worst price31.63
Drawdown as % of equity-0.27%
Includes Typical Broker Commissions trade costs of $1.34
3/27/23 12:45 BANR BANNER SHORT 36 54.46 4/6 11:19 53.18 0.07%
Trade id #144064717
Max drawdown($35)
Time3/29/23 0:00
Quant open36
Worst price55.45
Drawdown as % of equity-0.07%
Includes Typical Broker Commissions trade costs of $0.72
3/27/23 12:46 CFR CULLEN FROST BANKERS LONG 19 102.80 4/6 11:18 102.64 0.08%
Trade id #144064721
Max drawdown($38)
Time4/5/23 0:00
Quant open19
Worst price100.77
Drawdown as % of equity-0.08%
Includes Typical Broker Commissions trade costs of $0.38
3/14/23 14:08 HGV HILTON GRAND VACATIONS INC SHORT 45 43.81 3/17 12:56 41.47 0.04%
Trade id #143899828
Max drawdown($19)
Time3/14/23 15:59
Quant open45
Worst price44.25
Drawdown as % of equity-0.04%
Includes Typical Broker Commissions trade costs of $0.90
3/14/23 14:08 VAC MARRIOTT VACATIONS WORLDWIDE LONG 14 137.46 3/17 12:56 132.63 0.17%
Trade id #143899814
Max drawdown($84)
Time3/15/23 0:00
Quant open14
Worst price131.46
Drawdown as % of equity-0.17%
Includes Typical Broker Commissions trade costs of $0.28


  • Strategy began
  • Suggested Minimum Cap
  • Strategy Age (days)
  • Age
    84 days ago
  • What it trades
  • # Trades
  • # Profitable
  • % Profitable
  • Avg trade duration
    15.5 days
  • Max peak-to-valley drawdown
  • drawdown period
    March 22, 2023 - May 26, 2023
  • Cumul. Return
  • Avg win
  • Avg loss
  • Model Account Values (Raw)
  • Cash
  • Margin Used
  • Buying Power
  • Ratios
  • W:L ratio
  • Sharpe Ratio
  • Sortino Ratio
  • Calmar Ratio
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
  • Correlation to SP500
  • Return Percent SP500 (cumu) during strategy life
  • Verified
  • C2Star
  • Return Statistics
  • Ann Return (w trading costs)
  • Slump
  • Current Slump as Pcnt Equity
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
  • Instruments
  • Percent Trades Options
  • Percent Trades Futures
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
  • Instruments
  • Percent Trades Stocks
  • Short Options - Percent Covered
  • Percent Trades Forex
  • Return Statistics
  • Ann Return (Compnd, No Fees)
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
  • Chance of 20% account loss
  • Chance of 30% account loss
  • Chance of 40% account loss
  • Chance of 60% account loss (Monte Carlo)
  • Chance of 70% account loss (Monte Carlo)
  • Chance of 80% account loss (Monte Carlo)
  • Chance of 90% account loss (Monte Carlo)
  • Automation
  • Percentage Signals Automated
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
  • Popularity
  • Popularity (Today)
  • Popularity (Last 6 weeks)
  • Popularity (7 days, Percentile 1000 scale)
  • Trading Style
  • Any stock shorts? 0/1
  • Popularity
  • C2 Score
  • Trades-Own-System Certification
  • Trades Own System?
  • TOS percent
  • Win / Loss
  • Avg Win
  • Avg Loss
  • Sum Trade PL (losers)
  • # Winners
  • Num Months Winners
  • Age
  • Num Months filled monthly returns table
  • Win / Loss
  • Sum Trade PL (winners)
  • Dividends
  • Dividends Received in Model Acct
  • Win / Loss
  • # Losers
  • % Winners
  • Frequency
  • Avg Position Time (mins)
  • Avg Position Time (hrs)
  • Avg Trade Length
    15.5 days
  • Last Trade Ago
  • Leverage
  • Daily leverage (average)
  • Daily leverage (max)
  • Regression
  • Alpha
  • Beta
  • Treynor Index
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
  • MAE:PL (avg, winning trades)
  • MAE:PL - worst single value for strategy
  • MAE:PL (avg, losing trades)
  • MAE:PL (avg, all trades)
  • Avg(MAE) / Avg(PL) - All trades
  • MAE:Equity, 95th Percentile Value for this strat
  • MAE:Equity, average, winning trades
  • MAE:Equity, average, losing trades
  • Avg(MAE) / Avg(PL) - Winning trades
  • Avg(MAE) / Avg(PL) - Losing trades
  • Hold-and-Hope Ratio
  • Analysis based on DAILY values, full history
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Strat Max DD how much worse than SP500 max DD during strat life?
  • Max Equity Drawdown (num days)
  • Last 4 Months - Pcnt Negative

Strategy Description

Summary Statistics

Strategy began
Suggested Minimum Capital
# Trades
# Profitable
% Profitable
Net Dividends
Correlation S&P500
Sharpe Ratio
Sortino Ratio
0.18 Average
0.38 Maximum
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

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.