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

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 07/14/2023
Most recent certification approved 7/14/23 9:33 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 1,252
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 1,252
Percent signals followed since 07/14/2023 100%
This information was last updated 2/25/24 11:10 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 07/14/2023, 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.

MFG 50K Portfolio
(145176913)

Created by: NaoufelTaief NaoufelTaief
Started: 07/2023
Stocks
Last trade: 2 days ago
Trading style: Equity Momentum

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 $149.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
47.9%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(16.9%)
Max Drawdown
433
Num Trades
44.1%
Win Trades
1.6 : 1
Profit Factor
62.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                          +3.0%(3%)(8.4%)(6.1%)+31.5%+5.6%+19.3%
2024+12.0%+10.8%                                                            +24.0%

Model Account Details

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

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

Trading Record

This strategy has placed 1,252 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/22/24 10:30 AMD ADVANCED MICRO DEVICES INC. C LONG 99 180.68 2/23 14:30 176.57 0.82%
Trade id #147410608
Max drawdown($606)
Time2/23/24 11:13
Quant open99
Worst price174.55
Drawdown as % of equity-0.82%
($409)
Includes Typical Broker Commissions trade costs of $1.98
2/22/24 10:00 AMZN AMAZON.COM LONG 87 172.64 2/23 11:30 174.16 0.1%
Trade id #147409831
Max drawdown($75)
Time2/22/24 10:04
Quant open87
Worst price171.77
Drawdown as % of equity-0.10%
$131
Includes Typical Broker Commissions trade costs of $1.74
2/22/24 13:00 ARKK ARK INNOVATION ETF LONG 369 48.69 2/22 15:30 48.56 0.15%
Trade id #147413515
Max drawdown($112)
Time2/22/24 15:12
Quant open369
Worst price48.38
Drawdown as % of equity-0.15%
($51)
Includes Typical Broker Commissions trade costs of $7.38
2/21/24 9:30 MSFT MICROSOFT LONG 40 400.33 2/22 9:30 410.35 0.17%
Trade id #147395943
Max drawdown($124)
Time2/21/24 9:50
Quant open40
Worst price397.22
Drawdown as % of equity-0.17%
$400
Includes Typical Broker Commissions trade costs of $0.80
2/21/24 12:00 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 1 17508.00 2/21 15:00 17403.50 0.36%
Trade id #147399529
Max drawdown($270)
Time2/21/24 14:43
Quant open1
Worst price17373.00
Drawdown as % of equity-0.36%
($210)
Includes Typical Broker Commissions trade costs of $0.94
2/21/24 10:00 ETHE GRAYSCALE ETHEREUM TR ETH COMMON UNITS OF FRACTION LONG 282 24.79 2/21 10:30 25.03 0.04%
Trade id #147396803
Max drawdown($28)
Time2/21/24 10:03
Quant open282
Worst price24.69
Drawdown as % of equity-0.04%
$62
Includes Typical Broker Commissions trade costs of $5.64
2/20/24 9:30 MSFT MICROSOFT LONG 41 403.09 2/21 9:30 400.27 0.28%
Trade id #147377106
Max drawdown($208)
Time2/20/24 10:32
Quant open41
Worst price398.01
Drawdown as % of equity-0.28%
($117)
Includes Typical Broker Commissions trade costs of $0.82
2/20/24 10:30 ETHE GRAYSCALE ETHEREUM TR ETH COMMON UNITS OF FRACTION LONG 284 24.57 2/20 12:24 24.19 0.17%
Trade id #147378822
Max drawdown($125)
Time2/20/24 12:24
Quant open284
Worst price24.13
Drawdown as % of equity-0.17%
($114)
Includes Typical Broker Commissions trade costs of $5.68
2/14/24 14:00 NFLX NETFLIX LONG 34 574.09 2/20 9:40 580.08 0.06%
Trade id #147337409
Max drawdown($46)
Time2/14/24 14:06
Quant open28
Worst price572.34
Drawdown as % of equity-0.06%
$203
Includes Typical Broker Commissions trade costs of $0.68
2/16/24 13:30 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 4 17833.38 2/16 15:30 17812.38 0.39%
Trade id #147357723
Max drawdown($288)
Time2/16/24 15:12
Quant open2
Worst price17761.20
Drawdown as % of equity-0.39%
($172)
Includes Typical Broker Commissions trade costs of $3.76
2/15/24 11:39 TSLA TESLA INC. LONG 152 196.04 2/16 14:30 201.09 0.03%
Trade id #147345438
Max drawdown($23)
Time2/15/24 11:49
Quant open77
Worst price193.90
Drawdown as % of equity-0.03%
$765
Includes Typical Broker Commissions trade costs of $3.04
2/16/24 10:30 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 2 17773.62 2/16 11:30 17869.88 0.06%
Trade id #147355218
Max drawdown($47)
Time2/16/24 10:34
Quant open1
Worst price17740.00
Drawdown as % of equity-0.06%
$383
Includes Typical Broker Commissions trade costs of $1.88
2/15/24 14:30 SHOP SHOPIFY INC LONG 198 83.00 2/16 11:30 82.08 0.42%
Trade id #147348500
Max drawdown($319)
Time2/16/24 10:27
Quant open198
Worst price81.38
Drawdown as % of equity-0.42%
($185)
Includes Typical Broker Commissions trade costs of $3.96
2/14/24 10:00 SOXL DIREXION DAILY SEMICONDCT BULL LONG 462 38.94 2/16 10:30 38.62 0.84%
Trade id #147333892
Max drawdown($613)
Time2/14/24 11:17
Quant open462
Worst price37.61
Drawdown as % of equity-0.84%
($158)
Includes Typical Broker Commissions trade costs of $9.24
2/14/24 10:30 ETHE GRAYSCALE ETHEREUM TR ETH COMMON UNITS OF FRACTION LONG 305 22.94 2/16 10:00 23.54 0.16%
Trade id #147334441
Max drawdown($118)
Time2/14/24 11:38
Quant open305
Worst price22.55
Drawdown as % of equity-0.16%
$178
Includes Typical Broker Commissions trade costs of $6.10
2/16/24 9:30 AAPL APPLE LONG 82 183.66 2/16 10:00 182.22 0.2%
Trade id #147353605
Max drawdown($148)
Time2/16/24 10:00
Quant open82
Worst price181.86
Drawdown as % of equity-0.20%
($120)
Includes Typical Broker Commissions trade costs of $1.64
2/14/24 11:00 AMD ADVANCED MICRO DEVICES INC. C LONG 102 175.27 2/15 14:30 177.76 0.16%
Trade id #147334908
Max drawdown($120)
Time2/14/24 11:17
Quant open102
Worst price174.09
Drawdown as % of equity-0.16%
$252
Includes Typical Broker Commissions trade costs of $2.04
2/15/24 12:41 FNGU MICROSECTORS FANG+ 3X LEVERAGED ETN LONG 54 324.70 2/15 12:43 324.70 n/a ($1)
Includes Typical Broker Commissions trade costs of $1.08
2/14/24 15:00 ARKK ARK INNOVATION ETF LONG 356 50.45 2/15 11:00 51.24 0.03%
Trade id #147337832
Max drawdown($25)
Time2/14/24 15:32
Quant open356
Worst price50.38
Drawdown as % of equity-0.03%
$274
Includes Typical Broker Commissions trade costs of $7.12
2/15/24 9:30 NVDA NVIDIA LONG 22 739.18 2/15 10:30 731.21 0.45%
Trade id #147342348
Max drawdown($333)
Time2/15/24 9:58
Quant open22
Worst price724.00
Drawdown as % of equity-0.45%
($175)
Includes Typical Broker Commissions trade costs of $0.44
2/13/24 10:44 QNGH4 Natural Gas LONG 1 1.696 2/13 10:49 1.693 0.14%
Trade id #147325037
Max drawdown($100)
Time2/13/24 10:47
Quant open1
Worst price1.686
Drawdown as % of equity-0.14%
($38)
Includes Typical Broker Commissions trade costs of $8.00
2/8/24 11:30 GOOGL ALPHABET INC CLASS A LONG 123 145.85 2/13 10:30 146.26 0.28%
Trade id #147258661
Max drawdown($204)
Time2/13/24 9:31
Quant open123
Worst price144.19
Drawdown as % of equity-0.28%
$48
Includes Typical Broker Commissions trade costs of $2.46
2/13/24 10:00 QNGH4 Natural Gas SHORT 1 1.664 2/13 10:05 1.680 0.22%
Trade id #147324354
Max drawdown($160)
Time2/13/24 10:05
Quant open1
Worst price1.680
Drawdown as % of equity-0.22%
($168)
Includes Typical Broker Commissions trade costs of $8.00
2/9/24 11:30 NVDA NVIDIA LONG 23 714.30 2/12 14:30 721.03 0.06%
Trade id #147269297
Max drawdown($41)
Time2/12/24 14:20
Quant open23
Worst price712.50
Drawdown as % of equity-0.06%
$155
Includes Typical Broker Commissions trade costs of $0.46
2/5/24 12:00 SHOP SHOPIFY INC LONG 570 82.53 2/12 14:30 90.01 0.31%
Trade id #147229870
Max drawdown($212)
Time2/6/24 0:00
Quant open185
Worst price79.77
Drawdown as % of equity-0.31%
$4,253
Includes Typical Broker Commissions trade costs of $11.40
2/12/24 9:45 ROKU ROKU INC. CLASS A COMMON STOCK LONG 154 98.43 2/12 11:15 98.85 0.16%
Trade id #147287438
Max drawdown($118)
Time2/12/24 9:50
Quant open154
Worst price97.66
Drawdown as % of equity-0.16%
$62
Includes Typical Broker Commissions trade costs of $3.08
2/9/24 11:00 AMZN AMAZON.COM LONG 87 173.40 2/12 11:00 174.00 0.1%
Trade id #147268860
Max drawdown($72)
Time2/9/24 11:28
Quant open87
Worst price172.56
Drawdown as % of equity-0.10%
$51
Includes Typical Broker Commissions trade costs of $1.74
2/9/24 11:30 AAPL APPLE LONG 79 189.60 2/12 10:00 188.50 0.11%
Trade id #147269299
Max drawdown($84)
Time2/12/24 9:46
Quant open39
Worst price187.44
Drawdown as % of equity-0.11%
($88)
Includes Typical Broker Commissions trade costs of $1.58
2/8/24 11:30 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 2 17871.38 2/9 11:40 17992.62 0.25%
Trade id #147258659
Max drawdown($180)
Time2/8/24 14:38
Quant open2
Worst price17826.20
Drawdown as % of equity-0.25%
$483
Includes Typical Broker Commissions trade costs of $1.88
2/8/24 10:19 TSLA TESLA INC. LONG 79 189.22 2/9 11:30 191.05 0.17%
Trade id #147257273
Max drawdown($117)
Time2/8/24 10:25
Quant open79
Worst price187.73
Drawdown as % of equity-0.17%
$143
Includes Typical Broker Commissions trade costs of $1.58

Statistics

  • Strategy began
    7/11/2023
  • Suggested Minimum Cap
    $70,000
  • Strategy Age (days)
    228.88
  • Age
    8 months ago
  • What it trades
    Stocks
  • # Trades
    433
  • # Profitable
    191
  • % Profitable
    44.10%
  • Avg trade duration
    1.3 days
  • Max peak-to-valley drawdown
    16.85%
  • drawdown period
    Aug 01, 2023 - Nov 01, 2023
  • Cumul. Return
    47.9%
  • Avg win
    $379.22
  • Avg loss
    $188.31
  • Model Account Values (Raw)
  • Cash
    $50,674
  • Margin Used
    $9,004
  • Buying Power
    $41,374
  • Ratios
  • W:L ratio
    1.59:1
  • Sharpe Ratio
    2.09
  • Sortino Ratio
    4.5
  • Calmar Ratio
    7.803
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    33.30%
  • Correlation to SP500
    0.49430
  • Return Percent SP500 (cumu) during strategy life
    14.63%
  • Return Statistics
  • Ann Return (w trading costs)
    85.3%
  • Slump
  • Current Slump as Pcnt Equity
    2.60%
  • Instruments
  • Percent Trades Futures
    0.16%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.479%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.84%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    98.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    8.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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)
    704
  • Popularity (Last 6 weeks)
    851
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    934
  • Popularity (7 days, Percentile 1000 scale)
    818
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $188
  • Avg Win
    $379
  • Sum Trade PL (losers)
    $45,571.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $72,431.000
  • # Winners
    191
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    20
  • AUM
  • AUM (AutoTrader live capital)
    75438
  • Win / Loss
  • # Losers
    242
  • % Winners
    44.1%
  • Frequency
  • Avg Position Time (mins)
    1831.70
  • Avg Position Time (hrs)
    30.53
  • Avg Trade Length
    1.3 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.61
  • Daily leverage (max)
    5.27
  • Regression
  • Alpha
    0.12
  • Beta
    1.08
  • Treynor Index
    0.17
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.47
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    7.060
  • 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
    0.288
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.448
  • Hold-and-Hope Ratio
    0.144
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.81231
  • SD
    0.38386
  • Sharpe ratio (Glass type estimate)
    2.11616
  • Sharpe ratio (Hedges UMVUE)
    1.83815
  • df
    6.00000
  • t
    1.61624
  • p
    0.07858
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77467
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.86620
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93078
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.60708
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.75097
  • Upside Potential Ratio
    11.82420
  • Upside part of mean
    0.98503
  • Downside part of mean
    -0.17271
  • Upside SD
    0.41755
  • Downside SD
    0.08331
  • N nonnegative terms
    4.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.21820
  • Mean of criterion
    0.81231
  • SD of predictor
    0.15076
  • SD of criterion
    0.38386
  • Covariance
    0.04869
  • r
    0.84142
  • b (slope, estimate of beta)
    2.14235
  • a (intercept, estimate of alpha)
    0.34486
  • Mean Square Error
    0.05163
  • DF error
    5.00000
  • t(b)
    3.48175
  • p(b)
    0.00881
  • t(a)
    1.05653
  • p(a)
    0.16954
  • Lowerbound of 95% confidence interval for beta
    0.56058
  • Upperbound of 95% confidence interval for beta
    3.72412
  • Lowerbound of 95% confidence interval for alpha
    -0.49423
  • Upperbound of 95% confidence interval for alpha
    1.18394
  • Treynor index (mean / b)
    0.37917
  • Jensen alpha (a)
    0.34486
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.73034
  • SD
    0.35264
  • Sharpe ratio (Glass type estimate)
    2.07104
  • Sharpe ratio (Hedges UMVUE)
    1.79896
  • df
    6.00000
  • t
    1.58178
  • p
    0.08239
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80854
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.81175
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.96172
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.55964
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.58535
  • Upside Potential Ratio
    10.65280
  • Upside part of mean
    0.90621
  • Downside part of mean
    -0.17588
  • Upside SD
    0.37922
  • Downside SD
    0.08507
  • N nonnegative terms
    4.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.20619
  • Mean of criterion
    0.73034
  • SD of predictor
    0.15011
  • SD of criterion
    0.35264
  • Covariance
    0.04468
  • r
    0.84405
  • b (slope, estimate of beta)
    1.98293
  • a (intercept, estimate of alpha)
    0.32149
  • Mean Square Error
    0.04292
  • DF error
    5.00000
  • t(b)
    3.51941
  • p(b)
    0.00846
  • t(a)
    1.08953
  • p(a)
    0.16281
  • Lowerbound of 95% confidence interval for beta
    0.53453
  • Upperbound of 95% confidence interval for beta
    3.43132
  • Lowerbound of 95% confidence interval for alpha
    -0.43704
  • Upperbound of 95% confidence interval for alpha
    1.08002
  • Treynor index (mean / b)
    0.36831
  • Jensen alpha (a)
    0.32149
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10110
  • Expected Shortfall on VaR
    0.13793
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03083
  • Expected Shortfall on VaR
    0.05397
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.94880
  • Quartile 1
    0.97872
  • Median
    1.07701
  • Quartile 3
    1.12474
  • Maximum
    1.25742
  • Mean of quarter 1
    0.96085
  • Mean of quarter 2
    1.03078
  • Mean of quarter 3
    1.10146
  • Mean of quarter 4
    1.20272
  • Inter Quartile Range
    0.14602
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.09119
  • Quartile 1
    0.09119
  • Median
    0.09119
  • Quartile 3
    0.09119
  • Maximum
    0.09119
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.95365
  • Compounded annual return (geometric extrapolation)
    1.13453
  • Calmar ratio (compounded annual return / max draw down)
    12.44160
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    8.22538
  • 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
    0.76389
  • SD
    0.26102
  • Sharpe ratio (Glass type estimate)
    2.92654
  • Sharpe ratio (Hedges UMVUE)
    2.91208
  • df
    152.00000
  • t
    2.23640
  • p
    0.41076
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33604
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.50766
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.32647
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.49768
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.41955
  • Upside Potential Ratio
    14.94150
  • Upside part of mean
    1.77795
  • Downside part of mean
    -1.01406
  • Upside SD
    0.23612
  • Downside SD
    0.11899
  • N nonnegative terms
    72.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    153.00000
  • Mean of predictor
    0.21304
  • Mean of criterion
    0.76389
  • SD of predictor
    0.11879
  • SD of criterion
    0.26102
  • Covariance
    0.01500
  • r
    0.48387
  • b (slope, estimate of beta)
    1.06327
  • a (intercept, estimate of alpha)
    0.53700
  • Mean Square Error
    0.05253
  • DF error
    151.00000
  • t(b)
    6.79423
  • p(b)
    0.20444
  • t(a)
    1.78081
  • p(a)
    0.40901
  • Lowerbound of 95% confidence interval for beta
    0.75406
  • Upperbound of 95% confidence interval for beta
    1.37247
  • Lowerbound of 95% confidence interval for alpha
    -0.05884
  • Upperbound of 95% confidence interval for alpha
    1.13359
  • Treynor index (mean / b)
    0.71844
  • Jensen alpha (a)
    0.53737
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72951
  • SD
    0.25761
  • Sharpe ratio (Glass type estimate)
    2.83189
  • Sharpe ratio (Hedges UMVUE)
    2.81789
  • df
    152.00000
  • t
    2.16407
  • p
    0.41356
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24294
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.41179
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23361
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.40217
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.06574
  • Upside Potential Ratio
    14.55620
  • Upside part of mean
    1.75065
  • Downside part of mean
    -1.02113
  • Upside SD
    0.23129
  • Downside SD
    0.12027
  • N nonnegative terms
    72.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    153.00000
  • Mean of predictor
    0.20593
  • Mean of criterion
    0.72951
  • SD of predictor
    0.11871
  • SD of criterion
    0.25761
  • Covariance
    0.01480
  • r
    0.48396
  • b (slope, estimate of beta)
    1.05019
  • a (intercept, estimate of alpha)
    0.51325
  • Mean Square Error
    0.05115
  • DF error
    151.00000
  • t(b)
    6.79590
  • p(b)
    0.20439
  • t(a)
    1.72418
  • p(a)
    0.41183
  • Lowerbound of 95% confidence interval for beta
    0.74486
  • Upperbound of 95% confidence interval for beta
    1.35552
  • Lowerbound of 95% confidence interval for alpha
    -0.07490
  • Upperbound of 95% confidence interval for alpha
    1.10139
  • Treynor index (mean / b)
    0.69465
  • Jensen alpha (a)
    0.51325
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02312
  • Expected Shortfall on VaR
    0.02958
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00929
  • Expected Shortfall on VaR
    0.01730
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    153.00000
  • Minimum
    0.96245
  • Quartile 1
    0.99407
  • Median
    0.99951
  • Quartile 3
    1.00685
  • Maximum
    1.06361
  • Mean of quarter 1
    0.98781
  • Mean of quarter 2
    0.99715
  • Mean of quarter 3
    1.00246
  • Mean of quarter 4
    1.02507
  • Inter Quartile Range
    0.01278
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01307
  • Mean of outliers low
    0.96356
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.08497
  • Mean of outliers high
    1.04246
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22853
  • VaR(95%) (moments method)
    0.01297
  • Expected Shortfall (moments method)
    0.01977
  • Extreme Value Index (regression method)
    0.18395
  • VaR(95%) (regression method)
    0.01155
  • Expected Shortfall (regression method)
    0.01646
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00139
  • Quartile 1
    0.00586
  • Median
    0.00975
  • Quartile 3
    0.02679
  • Maximum
    0.14517
  • Mean of quarter 1
    0.00359
  • Mean of quarter 2
    0.00723
  • Mean of quarter 3
    0.02034
  • Mean of quarter 4
    0.06801
  • Inter Quartile Range
    0.02092
  • 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
    0.12500
  • Mean of outliers high
    0.10437
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.38521
  • VaR(95%) (moments method)
    0.07187
  • Expected Shortfall (moments method)
    0.13798
  • Extreme Value Index (regression method)
    1.65606
  • VaR(95%) (regression method)
    0.10447
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.95261
  • Compounded annual return (geometric extrapolation)
    1.13277
  • Calmar ratio (compounded annual return / max draw down)
    7.80309
  • Compounded annual return / average of 25% largest draw downs
    16.65670
  • Compounded annual return / Expected Shortfall lognormal
    38.29510
  • 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
    0.92198
  • SD
    0.25795
  • Sharpe ratio (Glass type estimate)
    3.57422
  • Sharpe ratio (Hedges UMVUE)
    3.55356
  • df
    130.00000
  • t
    2.52736
  • p
    0.39180
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.76198
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.37315
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.74830
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.35882
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.83824
  • Upside Potential Ratio
    15.86470
  • Upside part of mean
    1.86609
  • Downside part of mean
    -0.94411
  • Upside SD
    0.23546
  • Downside SD
    0.11762
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23943
  • Mean of criterion
    0.92198
  • SD of predictor
    0.12202
  • SD of criterion
    0.25795
  • Covariance
    0.01560
  • r
    0.49551
  • b (slope, estimate of beta)
    1.04755
  • a (intercept, estimate of alpha)
    0.67116
  • Mean Square Error
    0.05059
  • DF error
    129.00000
  • t(b)
    6.47931
  • p(b)
    0.19798
  • t(a)
    2.09450
  • p(a)
    0.38518
  • Lowerbound of 95% confidence interval for beta
    0.72767
  • Upperbound of 95% confidence interval for beta
    1.36743
  • Lowerbound of 95% confidence interval for alpha
    0.03716
  • Upperbound of 95% confidence interval for alpha
    1.30515
  • Treynor index (mean / b)
    0.88012
  • Jensen alpha (a)
    0.67116
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.88787
  • SD
    0.25476
  • Sharpe ratio (Glass type estimate)
    3.48508
  • Sharpe ratio (Hedges UMVUE)
    3.46494
  • df
    130.00000
  • t
    2.46433
  • p
    0.39437
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.67462
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.28248
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.66132
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.26856
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.46176
  • Upside Potential Ratio
    15.45440
  • Upside part of mean
    1.83891
  • Downside part of mean
    -0.95104
  • Upside SD
    0.23078
  • Downside SD
    0.11899
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23192
  • Mean of criterion
    0.88787
  • SD of predictor
    0.12193
  • SD of criterion
    0.25476
  • Covariance
    0.01538
  • r
    0.49529
  • b (slope, estimate of beta)
    1.03488
  • a (intercept, estimate of alpha)
    0.64785
  • Mean Square Error
    0.04936
  • DF error
    129.00000
  • t(b)
    6.47543
  • p(b)
    0.19810
  • t(a)
    2.04770
  • p(a)
    0.38764
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    0.71868
  • Upperbound of 95% confidence interval for beta
    1.35108
  • Lowerbound of 95% confidence interval for alpha
    0.02189
  • Upperbound of 95% confidence interval for alpha
    1.27383
  • Treynor index (mean / b)
    0.85795
  • Jensen alpha (a)
    0.64785
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02225
  • Expected Shortfall on VaR
    0.02864
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00827
  • Expected Shortfall on VaR
    0.01608
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96245
  • Quartile 1
    0.99486
  • Median
    1.00027
  • Quartile 3
    1.01073
  • Maximum
    1.06361
  • Mean of quarter 1
    0.98826
  • Mean of quarter 2
    0.99765
  • Mean of quarter 3
    1.00350
  • Mean of quarter 4
    1.02508
  • Inter Quartile Range
    0.01586
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.96356
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.05329
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.42129
  • VaR(95%) (moments method)
    0.01314
  • Expected Shortfall (moments method)
    0.02464
  • Extreme Value Index (regression method)
    0.36269
  • VaR(95%) (regression method)
    0.01173
  • Expected Shortfall (regression method)
    0.01982
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00139
  • Quartile 1
    0.00621
  • Median
    0.01154
  • Quartile 3
    0.02977
  • Maximum
    0.12587
  • Mean of quarter 1
    0.00411
  • Mean of quarter 2
    0.00857
  • Mean of quarter 3
    0.02490
  • Mean of quarter 4
    0.05861
  • Inter Quartile Range
    0.02356
  • 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
    0.05882
  • Mean of outliers high
    0.12587
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.57246
  • VaR(95%) (moments method)
    0.06728
  • Expected Shortfall (moments method)
    0.15271
  • Extreme Value Index (regression method)
    1.39773
  • VaR(95%) (regression method)
    0.06545
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -362804000
  • Max Equity Drawdown (num days)
    92
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.16146
  • Compounded annual return (geometric extrapolation)
    1.49871
  • Calmar ratio (compounded annual return / max draw down)
    11.90720
  • Compounded annual return / average of 25% largest draw downs
    25.57010
  • Compounded annual return / Expected Shortfall lognormal
    52.32640

Strategy Description

Summary Statistics

Strategy began
2023-07-11
Suggested Minimum Capital
$70,000
Rank at C2 %
Top 6.6%
Rank # 
#309
# Trades
433
# Profitable
191
% Profitable
44.1%
Net Dividends
Correlation S&P500
0.494
Sharpe Ratio
2.09
Sortino Ratio
4.50
Beta
1.08
Alpha
0.12
Leverage
1.61 Average
5.27 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.