Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
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 09/28/2023
Most recent certification approved 9/28/23 9:30 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 1,491
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 1,491
Percent signals followed since 09/28/2023 100%
This information was last updated 2/25/24 9:20 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 09/28/2023, 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.

Steady MAKE money
(145879204)

Created by: RayHsieh RayHsieh
Started: 09/2023
Stocks
Last trade: 4 days ago
Trading style: Equity Trend-following

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 $100.00 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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
66.4%
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.

(20.8%)
Max Drawdown
724
Num Trades
66.2%
Win Trades
2.1 : 1
Profit Factor
83.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                        +3.1%(5.4%)+21.4%+9.5%+29.7%
2024+8.2%+18.5%                                                            +28.2%

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.

System developer has asked us to delay this information by 72 hours.

Trading Record

This strategy has placed 1,491 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
2/5/24 11:50 AMD ADVANCED MICRO DEVICES INC. C LONG 110 172.87 2/21 13:50 163.51 0.78%
Trade id #147229782
Max drawdown($1,216)
Time2/21/24 9:30
Quant open110
Worst price161.81
Drawdown as % of equity-0.78%
($1,031)
Includes Typical Broker Commissions trade costs of $2.20
2/20/24 12:50 JPM JPMORGAN CHASE LONG 100 179.28 2/21 12:50 179.95 0.05%
Trade id #147381640
Max drawdown($75)
Time2/21/24 9:45
Quant open100
Worst price178.52
Drawdown as % of equity-0.05%
$65
Includes Typical Broker Commissions trade costs of $2.00
2/16/24 14:50 INTC INTEL LONG 412 43.52 2/21 12:50 43.78 0.03%
Trade id #147358745
Max drawdown($51)
Time2/21/24 10:45
Quant open412
Worst price43.40
Drawdown as % of equity-0.03%
$99
Includes Typical Broker Commissions trade costs of $8.24
2/20/24 13:50 NTES NETEASE LONG 168 107.08 2/20 14:50 107.48 0.01%
Trade id #147382378
Max drawdown($17)
Time2/20/24 13:54
Quant open168
Worst price106.98
Drawdown as % of equity-0.01%
$64
Includes Typical Broker Commissions trade costs of $3.36
2/20/24 9:35 CMCSA COMCAST LONG 436 40.91 2/20 11:50 41.55 n/a $270
Includes Typical Broker Commissions trade costs of $8.72
2/8/24 12:50 WMT WALMART INC LONG 212 169.56 2/16 15:50 170.31 0.28%
Trade id #147261151
Max drawdown($429)
Time2/14/24 0:00
Quant open212
Worst price167.54
Drawdown as % of equity-0.28%
$154
Includes Typical Broker Commissions trade costs of $4.24
2/7/24 11:50 PG PROCTER & GAMBLE LONG 113 159.60 2/16 15:50 157.53 0.34%
Trade id #147249569
Max drawdown($529)
Time2/14/24 0:00
Quant open113
Worst price154.91
Drawdown as % of equity-0.34%
($236)
Includes Typical Broker Commissions trade costs of $2.26
2/8/24 13:50 ABBV ABBVIE INC LONG 104 175.02 2/16 15:50 177.49 0.2%
Trade id #147261987
Max drawdown($317)
Time2/13/24 0:00
Quant open104
Worst price171.97
Drawdown as % of equity-0.20%
$255
Includes Typical Broker Commissions trade costs of $2.08
2/9/24 14:51 JPM JPMORGAN CHASE LONG 103 174.75 2/16 14:05 179.08 0.14%
Trade id #147277701
Max drawdown($219)
Time2/13/24 0:00
Quant open103
Worst price172.62
Drawdown as % of equity-0.14%
$444
Includes Typical Broker Commissions trade costs of $2.06
2/9/24 14:51 V VISA LONG 65 277.07 2/16 10:51 279.94 0.17%
Trade id #147277704
Max drawdown($279)
Time2/13/24 0:00
Quant open65
Worst price272.76
Drawdown as % of equity-0.17%
$186
Includes Typical Broker Commissions trade costs of $1.30
2/15/24 13:50 SPY SPDR S&P 500 LONG 72 501.12 2/16 10:51 500.75 0.11%
Trade id #147348098
Max drawdown($171)
Time2/16/24 10:00
Quant open72
Worst price498.75
Drawdown as % of equity-0.11%
($28)
Includes Typical Broker Commissions trade costs of $1.44
2/15/24 12:51 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 93 386.70 2/16 10:51 386.93 0.06%
Trade id #147347433
Max drawdown($93)
Time2/16/24 10:00
Quant open93
Worst price385.70
Drawdown as % of equity-0.06%
$19
Includes Typical Broker Commissions trade costs of $1.86
2/5/24 10:50 MA MASTERCARD LONG 39 457.19 2/16 9:35 471.33 0.05%
Trade id #147228339
Max drawdown($71)
Time2/6/24 0:00
Quant open39
Worst price455.36
Drawdown as % of equity-0.05%
$550
Includes Typical Broker Commissions trade costs of $0.78
2/8/24 13:50 NTES NETEASE LONG 172 104.57 2/15 15:50 107.74 0.04%
Trade id #147261998
Max drawdown($70)
Time2/9/24 0:00
Quant open172
Worst price104.16
Drawdown as % of equity-0.04%
$541
Includes Typical Broker Commissions trade costs of $3.44
1/29/24 12:50 INTC INTEL LONG 392 43.30 2/15 15:50 44.19 0.46%
Trade id #147151134
Max drawdown($668)
Time2/2/24 0:00
Quant open392
Worst price41.60
Drawdown as % of equity-0.46%
$340
Includes Typical Broker Commissions trade costs of $7.84
2/15/24 11:51 HD HOME DEPOT LONG 50 359.67 2/15 13:50 360.86 0.02%
Trade id #147346431
Max drawdown($28)
Time2/15/24 11:58
Quant open50
Worst price359.09
Drawdown as % of equity-0.02%
$58
Includes Typical Broker Commissions trade costs of $1.00
2/9/24 14:50 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 93 387.09 2/15 11:51 386.62 0.38%
Trade id #147277690
Max drawdown($616)
Time2/13/24 0:00
Quant open93
Worst price380.46
Drawdown as % of equity-0.38%
($45)
Includes Typical Broker Commissions trade costs of $1.86
2/13/24 9:49 TQQQ PROSHARES ULTRAPRO QQQ LONG 350 56.45 2/15 11:11 57.91 0.23%
Trade id #147324126
Max drawdown($354)
Time2/13/24 15:22
Quant open350
Worst price55.44
Drawdown as % of equity-0.23%
$503
Includes Typical Broker Commissions trade costs of $7.00
2/7/24 9:30 SOXL DIREXION DAILY SEMICONDCT BULL LONG 532 34.50 2/15 11:05 38.68 0.36%
Trade id #147246026
Max drawdown($553)
Time2/7/24 9:41
Quant open532
Worst price33.46
Drawdown as % of equity-0.36%
$2,219
Includes Typical Broker Commissions trade costs of $5.00
2/9/24 14:51 HD HOME DEPOT LONG 50 363.75 2/15 10:51 358.25 0.31%
Trade id #147277695
Max drawdown($493)
Time2/13/24 0:00
Quant open50
Worst price353.88
Drawdown as % of equity-0.31%
($276)
Includes Typical Broker Commissions trade costs of $1.00
2/9/24 10:50 ASML ASML HOLDING LONG 19 941.47 2/15 10:51 926.08 0.62%
Trade id #147268759
Max drawdown($996)
Time2/13/24 0:00
Quant open19
Worst price889.01
Drawdown as % of equity-0.62%
($292)
Includes Typical Broker Commissions trade costs of $0.38
2/9/24 9:35 JPM JPMORGAN CHASE LONG 103 174.48 2/9 10:50 174.37 0.02%
Trade id #147267363
Max drawdown($29)
Time2/9/24 10:37
Quant open103
Worst price174.20
Drawdown as % of equity-0.02%
($14)
Includes Typical Broker Commissions trade costs of $2.06
2/8/24 15:50 CMCSA COMCAST LONG 437 41.28 2/9 9:35 41.50 0.02%
Trade id #147263241
Max drawdown($26)
Time2/8/24 15:57
Quant open437
Worst price41.22
Drawdown as % of equity-0.02%
$89
Includes Typical Broker Commissions trade costs of $8.74
2/6/24 15:51 MSFT MICROSOFT LONG 45 404.61 2/8 15:51 414.02 0.04%
Trade id #147242086
Max drawdown($58)
Time2/6/24 15:57
Quant open45
Worst price403.32
Drawdown as % of equity-0.04%
$423
Includes Typical Broker Commissions trade costs of $0.90
2/6/24 12:50 HD HOME DEPOT LONG 25 355.42 2/8 15:51 363.37 0.02%
Trade id #147240454
Max drawdown($27)
Time2/6/24 14:10
Quant open25
Worst price354.30
Drawdown as % of equity-0.02%
$199
Includes Typical Broker Commissions trade costs of $0.50
2/1/24 11:50 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 94 382.40 2/8 15:51 387.17 0.02%
Trade id #147195154
Max drawdown($26)
Time2/5/24 0:00
Quant open94
Worst price382.12
Drawdown as % of equity-0.02%
$446
Includes Typical Broker Commissions trade costs of $1.88
2/8/24 11:50 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 14 1291.99 2/8 15:50 1276.93 0.15%
Trade id #147259643
Max drawdown($233)
Time2/8/24 15:49
Quant open14
Worst price1275.28
Drawdown as % of equity-0.15%
($211)
Includes Typical Broker Commissions trade costs of $0.28
2/6/24 15:51 NVDA NVIDIA LONG 26 683.88 2/8 14:50 699.43 0.13%
Trade id #147242090
Max drawdown($204)
Time2/7/24 0:00
Quant open26
Worst price676.00
Drawdown as % of equity-0.13%
$403
Includes Typical Broker Commissions trade costs of $0.52
2/6/24 15:50 JPM JPMORGAN CHASE LONG 103 174.59 2/8 14:50 174.60 0.07%
Trade id #147242016
Max drawdown($105)
Time2/8/24 11:45
Quant open103
Worst price173.57
Drawdown as % of equity-0.07%
($1)
Includes Typical Broker Commissions trade costs of $2.06
2/8/24 12:50 CMCSA COMCAST LONG 433 41.48 2/8 13:50 41.27 0.06%
Trade id #147261147
Max drawdown($90)
Time2/8/24 13:50
Quant open433
Worst price41.27
Drawdown as % of equity-0.06%
($97)
Includes Typical Broker Commissions trade costs of $8.66

Statistics

  • Strategy began
    9/20/2023
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    157.91
  • Age
    158 days ago
  • What it trades
    Stocks
  • # Trades
    724
  • # Profitable
    479
  • % Profitable
    66.20%
  • Avg trade duration
    4.3 days
  • Max peak-to-valley drawdown
    20.78%
  • drawdown period
    Oct 12, 2023 - Oct 26, 2023
  • Cumul. Return
    66.4%
  • Avg win
    $268.43
  • Avg loss
    $250.57
  • Model Account Values (Raw)
  • Cash
    $75,440
  • Margin Used
    $0
  • Buying Power
    $74,255
  • Ratios
  • W:L ratio
    2.11:1
  • Sharpe Ratio
    3.17
  • Sortino Ratio
    4.9
  • Calmar Ratio
    13.421
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    50.78%
  • Correlation to SP500
    0.71240
  • Return Percent SP500 (cumu) during strategy life
    15.60%
  • Return Statistics
  • Ann Return (w trading costs)
    217.9%
  • Slump
  • Current Slump as Pcnt Equity
    0.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.664%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    231.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    23.00%
  • Chance of 20% account loss
    2.50%
  • Chance of 30% account loss
    0.50%
  • 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)
    846
  • Popularity (Last 6 weeks)
    937
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    934
  • Popularity (7 days, Percentile 1000 scale)
    918
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $251
  • Avg Win
    $268
  • Sum Trade PL (losers)
    $61,389.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $128,576.000
  • # Winners
    479
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    1257
  • AUM
  • AUM (AutoTrader live capital)
    192271
  • Win / Loss
  • # Losers
    245
  • % Winners
    66.2%
  • Frequency
  • Avg Position Time (mins)
    6207.90
  • Avg Position Time (hrs)
    103.47
  • Avg Trade Length
    4.3 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    2.82
  • Daily leverage (max)
    4.01
  • Regression
  • Alpha
    0.17
  • Beta
    1.88
  • Treynor Index
    0.18
  • 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)
    -0.14
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    2.873
  • 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
    0.536
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.725
  • Hold-and-Hope Ratio
    0.354
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.26088
  • SD
    0.18211
  • Sharpe ratio (Glass type estimate)
    6.92367
  • Sharpe ratio (Hedges UMVUE)
    5.52429
  • df
    4.00000
  • t
    4.46921
  • p
    0.00554
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.31824
  • Upperbound of 95% confidence interval for Sharpe Ratio
    12.35100
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63823
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    10.41030
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.26088
  • Downside part of mean
    0.00000
  • Upside SD
    0.39877
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.33304
  • Mean of criterion
    1.26088
  • SD of predictor
    0.14957
  • SD of criterion
    0.18211
  • Covariance
    0.01922
  • r
    0.70555
  • b (slope, estimate of beta)
    0.85906
  • a (intercept, estimate of alpha)
    0.97478
  • Mean Square Error
    0.02221
  • DF error
    3.00000
  • t(b)
    1.72445
  • p(b)
    0.09155
  • t(a)
    3.42882
  • p(a)
    0.02079
  • Lowerbound of 95% confidence interval for beta
    -0.72632
  • Upperbound of 95% confidence interval for beta
    2.44443
  • Lowerbound of 95% confidence interval for alpha
    0.07004
  • Upperbound of 95% confidence interval for alpha
    1.87952
  • Treynor index (mean / b)
    1.46775
  • Jensen alpha (a)
    0.97478
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.18547
  • SD
    0.16450
  • Sharpe ratio (Glass type estimate)
    7.20665
  • Sharpe ratio (Hedges UMVUE)
    5.75007
  • df
    4.00000
  • t
    4.65187
  • p
    0.00482
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.44924
  • Upperbound of 95% confidence interval for Sharpe Ratio
    12.79560
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.74049
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    10.75970
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.18547
  • Downside part of mean
    0.00000
  • Upside SD
    0.37250
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.31911
  • Mean of criterion
    1.18547
  • SD of predictor
    0.14783
  • SD of criterion
    0.16450
  • Covariance
    0.01736
  • r
    0.71371
  • b (slope, estimate of beta)
    0.79418
  • a (intercept, estimate of alpha)
    0.93204
  • Mean Square Error
    0.01770
  • DF error
    3.00000
  • t(b)
    1.76484
  • p(b)
    0.08789
  • t(a)
    3.71029
  • p(a)
    0.01702
  • Lowerbound of 95% confidence interval for beta
    -0.63792
  • Upperbound of 95% confidence interval for beta
    2.22627
  • Lowerbound of 95% confidence interval for alpha
    0.13260
  • Upperbound of 95% confidence interval for alpha
    1.73148
  • Treynor index (mean / b)
    1.49270
  • Jensen alpha (a)
    0.93204
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    -0.02090
  • Expected Shortfall on VaR
    -0.00099
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    1.04433
  • Quartile 1
    1.06855
  • Median
    1.10844
  • Quartile 3
    1.14241
  • Maximum
    1.17328
  • Mean of quarter 1
    1.05644
  • Mean of quarter 2
    1.10844
  • Mean of quarter 3
    1.14241
  • Mean of quarter 4
    1.17328
  • Inter Quartile Range
    0.07387
  • 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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)
    1.57904
  • Compounded annual return (geometric extrapolation)
    2.36481
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000
  • 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
    1.26445
  • SD
    0.31791
  • Sharpe ratio (Glass type estimate)
    3.97742
  • Sharpe ratio (Hedges UMVUE)
    3.94999
  • df
    109.00000
  • t
    2.57720
  • p
    0.34890
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.89810
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.03910
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.88004
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.01994
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.15853
  • Upside Potential Ratio
    12.59650
  • Upside part of mean
    2.58627
  • Downside part of mean
    -1.32182
  • Upside SD
    0.25317
  • Downside SD
    0.20532
  • N nonnegative terms
    67.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    110.00000
  • Mean of predictor
    0.32510
  • Mean of criterion
    1.26445
  • SD of predictor
    0.12363
  • SD of criterion
    0.31791
  • Covariance
    0.02837
  • r
    0.72189
  • b (slope, estimate of beta)
    1.85623
  • a (intercept, estimate of alpha)
    0.66100
  • Mean Square Error
    0.04885
  • DF error
    108.00000
  • t(b)
    10.84110
  • p(b)
    0.13906
  • t(a)
    1.91257
  • p(a)
    0.40950
  • Lowerbound of 95% confidence interval for beta
    1.51684
  • Upperbound of 95% confidence interval for beta
    2.19563
  • Lowerbound of 95% confidence interval for alpha
    -0.02406
  • Upperbound of 95% confidence interval for alpha
    1.34602
  • Treynor index (mean / b)
    0.68119
  • Jensen alpha (a)
    0.66098
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.21118
  • SD
    0.31885
  • Sharpe ratio (Glass type estimate)
    3.79860
  • Sharpe ratio (Hedges UMVUE)
    3.77240
  • df
    109.00000
  • t
    2.46133
  • p
    0.35521
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.72371
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.85666
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.70639
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.83841
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.75296
  • Upside Potential Ratio
    12.13430
  • Upside part of mean
    2.55465
  • Downside part of mean
    -1.34347
  • Upside SD
    0.24903
  • Downside SD
    0.21053
  • N nonnegative terms
    67.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    110.00000
  • Mean of predictor
    0.31731
  • Mean of criterion
    1.21118
  • SD of predictor
    0.12354
  • SD of criterion
    0.31885
  • Covariance
    0.02836
  • r
    0.71998
  • b (slope, estimate of beta)
    1.85825
  • a (intercept, estimate of alpha)
    0.62154
  • Mean Square Error
    0.04942
  • DF error
    108.00000
  • t(b)
    10.78150
  • p(b)
    0.14001
  • t(a)
    1.78905
  • p(a)
    0.41517
  • Lowerbound of 95% confidence interval for beta
    1.51661
  • Upperbound of 95% confidence interval for beta
    2.19989
  • Lowerbound of 95% confidence interval for alpha
    -0.06709
  • Upperbound of 95% confidence interval for alpha
    1.31017
  • Treynor index (mean / b)
    0.65178
  • Jensen alpha (a)
    0.62154
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02740
  • Expected Shortfall on VaR
    0.03534
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00963
  • Expected Shortfall on VaR
    0.02126
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    110.00000
  • Minimum
    0.92174
  • Quartile 1
    0.99571
  • Median
    1.00593
  • Quartile 3
    1.01500
  • Maximum
    1.06242
  • Mean of quarter 1
    0.98097
  • Mean of quarter 2
    1.00105
  • Mean of quarter 3
    1.01096
  • Mean of quarter 4
    1.02683
  • Inter Quartile Range
    0.01930
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03636
  • Mean of outliers low
    0.94967
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01818
  • Mean of outliers high
    1.05657
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20021
  • VaR(95%) (moments method)
    0.01447
  • Expected Shortfall (moments method)
    0.02374
  • Extreme Value Index (regression method)
    0.33455
  • VaR(95%) (regression method)
    0.01673
  • Expected Shortfall (regression method)
    0.03159
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00118
  • Quartile 1
    0.00704
  • Median
    0.02923
  • Quartile 3
    0.04853
  • Maximum
    0.18273
  • Mean of quarter 1
    0.00261
  • Mean of quarter 2
    0.01731
  • Mean of quarter 3
    0.03778
  • Mean of quarter 4
    0.10013
  • Inter Quartile Range
    0.04149
  • 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
    0.09091
  • Mean of outliers high
    0.18273
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.40001
  • VaR(95%) (moments method)
    0.11682
  • Expected Shortfall (moments method)
    0.21877
  • Extreme Value Index (regression method)
    3.02452
  • VaR(95%) (regression method)
    0.24002
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.62537
  • Compounded annual return (geometric extrapolation)
    2.45245
  • Calmar ratio (compounded annual return / max draw down)
    13.42150
  • Compounded annual return / average of 25% largest draw downs
    24.49280
  • Compounded annual return / Expected Shortfall lognormal
    69.38960
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.02700
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -365876000
  • Max Equity Drawdown (num days)
    14

Strategy Description

As a data analyst with nine years of experience, I deeply understand that formulating a successful trading strategy is not possible without thorough stock screening, monitoring market trends, implementing technical analysis strategies, continuous backtesting of data, and analyzing backtest results.
Fortunately, my background in knowledge supports me through the entire process, and I've successfully implemented fully automated trading. This includes automated data feeding, automated calculations, and the automatic generation of trading signals according to predefined strategies. Most importantly, I use it on my own money in my Interactive Brokers account. In this age where data can easily be manipulated, you may find it reassuring to know that there are individuals who use the system for real trading in their own accounts. The fluctuations on my statements represent my actual investments, with no exaggerations or false claims of profits. My automated trading strategy strives to exit positions when stock prices reach relative highs and enter when they are relatively low, eliminating emotional trading. Ultimately, this approach allows for stability and the realization of deserved profits in the market. It's that simple!
I maintain a disciplined routine of checking the market every hour while trading, making necessary adjustments, and potentially entering or exiting positions. I also personally monitor the connection of my automated trading system to Interactive Brokers to prevent any unnecessary losses. You're welcome to replicate my trades now and join me in experiencing stable growth in the market for your assets!

Summary Statistics

Strategy began
2023-09-20
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 6.6%
Rank # 
#416
# Trades
724
# Profitable
479
% Profitable
66.2%
Net Dividends
Correlation S&P500
0.712
Sharpe Ratio
3.17
Sortino Ratio
4.90
Beta
1.88
Alpha
0.17
Leverage
2.82 Average
4.01 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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.