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

UnicornIndex
(129575948)

Created by: MarkEriksson MarkEriksson
Started: 06/2020
Stocks
Last trade: Today
Trading style: Equity Event-driven Sector: Technology

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 $499.00 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
Event-driven
Category: Equity

Event-driven

Seeks to exploit pricing inefficiencies that may occur before or after a corporate event, such as an earnings call, bankruptcy, merger, acquisition, or spinoff.
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
42.0%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(81.1%)
Max Drawdown
3351
Num Trades
71.9%
Win Trades
1.7 : 1
Profit Factor
57.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                   (0.5%)+4.7%+7.3%(0.1%)(6.5%)+27.8%(7.7%)+23.3%
2021+38.3%+10.7%+1.5%+10.9%+2.4%+45.2%+4.9%(0.6%)+0.2%+6.6%(11.8%)+11.0%+179.5%
2022+9.6%(3.4%)+7.5%(35.5%)(8.9%)(35.4%)+31.9%(6.4%)(17.2%)+7.0%(16.4%)(20.9%)(68.7%)
2023+78.1%+11.5%+18.7%(15.2%)+23.2%+6.3%+11.5%(11.9%)(6.9%)(15.5%)+35.0%+26.1%+244.5%
2024(6.6%)+5.3%                                                            (1.7%)

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 11,186 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
2/20/24 11:05 DFS DISCOVER FINANCIAL LONG 140 125.72 2/20 11:30 126.04 0%
Trade id #147379482
Max drawdown($2)
Time2/20/24 11:11
Quant open20
Worst price125.50
Drawdown as % of equity-0.00%
$42
Includes Typical Broker Commissions trade costs of $2.80
2/20/24 9:31 DFS DISCOVER FINANCIAL LONG 160 123.19 2/20 11:05 125.52 0.13%
Trade id #147377370
Max drawdown($241)
Time2/20/24 9:37
Quant open140
Worst price121.10
Drawdown as % of equity-0.13%
$370
Includes Typical Broker Commissions trade costs of $3.20
2/15/24 10:16 UPS UNITED PARCEL SERVICE LONG 40 147.13 2/20 9:31 147.55 0.02%
Trade id #147343983
Max drawdown($36)
Time2/16/24 0:00
Quant open20
Worst price144.94
Drawdown as % of equity-0.02%
$16
Includes Typical Broker Commissions trade costs of $0.80
2/16/24 12:58 ADBE2416N545 ADBE Feb16'24 545 put SHORT 1 0.09 2/17 9:35 0.00 0.04%
Trade id #147357449
Max drawdown($72)
Time2/16/24 15:12
Quant open1
Worst price0.81
Drawdown as % of equity-0.04%
$8
Includes Typical Broker Commissions trade costs of $1.00
2/15/24 10:26 CSCO2416N48.5 CSCO Feb16'24 48.5 put SHORT 1 0.13 2/16 15:34 0.04 0.01%
Trade id #147344222
Max drawdown($14)
Time2/15/24 11:57
Quant open1
Worst price0.27
Drawdown as % of equity-0.01%
$7
Includes Typical Broker Commissions trade costs of $2.00
2/16/24 10:28 ADBE2416N540 ADBE Feb16'24 540 put SHORT 1 0.45 2/16 10:57 0.21 n/a $22
Includes Typical Broker Commissions trade costs of $2.00
2/15/24 9:49 COIN COINBASE GLOBAL INC. CLASS A LONG 30 171.82 2/16 9:31 187.51 0.16%
Trade id #147343326
Max drawdown($292)
Time2/15/24 14:28
Quant open30
Worst price162.08
Drawdown as % of equity-0.16%
$470
Includes Typical Broker Commissions trade costs of $0.60
1/4/24 9:55 TSLA TESLA INC. LONG 675 196.01 2/16 9:31 196.41 3.38%
Trade id #146905763
Max drawdown($5,925)
Time2/5/24 0:00
Quant open250
Worst price175.01
Drawdown as % of equity-3.38%
$259
Includes Typical Broker Commissions trade costs of $13.50
2/15/24 9:37 CSCO2416N47 CSCO Feb16'24 47 put SHORT 1 0.06 2/15 14:56 0.02 n/a $2
Includes Typical Broker Commissions trade costs of $2.00
2/15/24 9:30 CSCO CISCO SYSTEMS LONG 400 49.18 2/15 10:52 49.26 n/a $21
Includes Typical Broker Commissions trade costs of $8.00
2/14/24 10:10 QCOM QUALCOMM LONG 30 155.09 2/15 10:34 156.08 0.02%
Trade id #147334114
Max drawdown($43)
Time2/14/24 11:17
Quant open20
Worst price151.94
Drawdown as % of equity-0.02%
$29
Includes Typical Broker Commissions trade costs of $0.60
2/15/24 9:38 CSCO2416N48 CSCO Feb16'24 48 put SHORT 11 0.17 2/15 10:20 0.08 n/a $79
Includes Typical Broker Commissions trade costs of $15.70
2/14/24 9:44 SHOP SHOPIFY INC LONG 260 79.79 2/15 10:20 80.02 0.07%
Trade id #147333586
Max drawdown($123)
Time2/14/24 10:03
Quant open100
Worst price77.48
Drawdown as % of equity-0.07%
$53
Includes Typical Broker Commissions trade costs of $5.20
2/12/24 10:21 ABNB AIRBNB INC. CLASS A COMMON STOCK LONG 145 153.58 2/15 10:20 153.91 0.01%
Trade id #147288071
Max drawdown($27)
Time2/15/24 9:31
Quant open8
Worst price148.75
Drawdown as % of equity-0.01%
$45
Includes Typical Broker Commissions trade costs of $2.90
2/14/24 10:06 WU WESTERN UNION LONG 400 12.88 2/15 10:07 12.95 0.01%
Trade id #147334031
Max drawdown($27)
Time2/15/24 9:30
Quant open300
Worst price12.77
Drawdown as % of equity-0.01%
$18
Includes Typical Broker Commissions trade costs of $8.00
2/12/24 12:11 INTC INTEL LONG 500 44.67 2/15 10:05 44.97 0.02%
Trade id #147291404
Max drawdown($43)
Time2/12/24 12:15
Quant open310
Worst price44.68
Drawdown as % of equity-0.02%
$144
Includes Typical Broker Commissions trade costs of $10.00
2/6/24 10:51 HES HESS LONG 185 145.00 2/15 10:04 145.77 0.19%
Trade id #147238580
Max drawdown($351)
Time2/15/24 9:30
Quant open140
Worst price142.49
Drawdown as % of equity-0.19%
$139
Includes Typical Broker Commissions trade costs of $3.70
2/12/24 11:36 META META PLATFORMS INC. CLASS A LONG 40 473.18 2/15 9:53 475.54 0.25%
Trade id #147290295
Max drawdown($461)
Time2/13/24 0:00
Quant open20
Worst price455.09
Drawdown as % of equity-0.25%
$93
Includes Typical Broker Commissions trade costs of $0.80
12/22/23 9:36 NKE NIKE LONG 410 106.56 2/15/24 9:46 107.10 0.47%
Trade id #146786695
Max drawdown($816)
Time2/5/24 0:00
Quant open90
Worst price99.05
Drawdown as % of equity-0.47%
$214
Includes Typical Broker Commissions trade costs of $8.20
2/14/24 9:46 SHOP2416N77 SHOP Feb16'24 77 put SHORT 3 0.67 2/15 9:35 0.16 0.04%
Trade id #147333638
Max drawdown($78)
Time2/14/24 11:02
Quant open3
Worst price0.93
Drawdown as % of equity-0.04%
$149
Includes Typical Broker Commissions trade costs of $4.50
2/14/24 9:41 AMAT APPLIED MATERIALS LONG 40 185.55 2/14 10:27 186.17 0.01%
Trade id #147333506
Max drawdown($13)
Time2/14/24 9:50
Quant open20
Worst price184.38
Drawdown as % of equity-0.01%
$24
Includes Typical Broker Commissions trade costs of $0.80
2/14/24 9:44 COIN COINBASE GLOBAL INC. CLASS A LONG 15 156.37 2/14 10:04 157.53 n/a $17
Includes Typical Broker Commissions trade costs of $0.30
2/14/24 9:57 UBER UBER TECHNOLOGIES INC LONG 400 75.68 2/14 10:04 76.47 n/a $308
Includes Typical Broker Commissions trade costs of $8.00
3/29/22 14:44 COIN COINBASE GLOBAL INC. CLASS A LONG 35,057 78.40 2/14/24 9:42 78.48 197.98%
Trade id #139958457
Max drawdown($101,911)
Time1/6/23 0:00
Quant open1,150
Worst price31.55
Drawdown as % of equity-197.98%
$2,009
Includes Typical Broker Commissions trade costs of $653.54
2/12/24 10:48 IBIT ISHARES BITCOIN TRUST LONG 20 29.07 2/14 9:41 29.64 0%
Trade id #147288409
Max drawdown($8)
Time2/13/24 0:00
Quant open10
Worst price27.62
Drawdown as % of equity-0.00%
$11
Includes Typical Broker Commissions trade costs of $0.40
2/13/24 11:09 NVDA NVIDIA LONG 30 733.00 2/14 9:33 733.46 0.34%
Trade id #147325323
Max drawdown($585)
Time2/13/24 15:26
Quant open30
Worst price713.50
Drawdown as % of equity-0.34%
$13
Includes Typical Broker Commissions trade costs of $0.60
2/7/24 15:52 UBER UBER TECHNOLOGIES INC LONG 150 73.20 2/14 9:32 74.82 0.38%
Trade id #147252066
Max drawdown($689)
Time2/13/24 0:00
Quant open120
Worst price66.71
Drawdown as % of equity-0.38%
$239
Includes Typical Broker Commissions trade costs of $3.00
2/8/24 10:29 AAPL APPLE LONG 20 187.85 2/12 11:36 188.12 0.01%
Trade id #147257630
Max drawdown($10)
Time2/8/24 10:32
Quant open20
Worst price187.35
Drawdown as % of equity-0.01%
$6
Includes Typical Broker Commissions trade costs of $0.40
2/9/24 14:00 IBIT ISHARES BITCOIN TRUST LONG 140 27.92 2/12 10:15 28.03 0%
Trade id #147272939
Max drawdown($1)
Time2/9/24 14:10
Quant open10
Worst price27.04
Drawdown as % of equity-0.00%
$12
Includes Typical Broker Commissions trade costs of $2.80
2/12/24 9:41 INTC INTEL LONG 200 43.91 2/12 10:05 44.37 n/a $88
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    6/16/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1345.3
  • Age
    45 months ago
  • What it trades
    Stocks
  • # Trades
    3351
  • # Profitable
    2408
  • % Profitable
    71.90%
  • Avg trade duration
    5.3 days
  • Max peak-to-valley drawdown
    81.06%
  • drawdown period
    March 29, 2022 - June 03, 2022
  • Annual Return (Compounded)
    42.0%
  • Avg win
    $181.70
  • Avg loss
    $291.57
  • Model Account Values (Raw)
  • Cash
    $106,618
  • Margin Used
    $13,612
  • Buying Power
    $82,614
  • Ratios
  • W:L ratio
    1.66:1
  • Sharpe Ratio
    0.7
  • Sortino Ratio
    1.13
  • Calmar Ratio
    0.747
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    206.26%
  • Correlation to SP500
    0.48430
  • Return Percent SP500 (cumu) during strategy life
    58.92%
  • Return Statistics
  • Ann Return (w trading costs)
    42.0%
  • Slump
  • Current Slump as Pcnt Equity
    14.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.52%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    6.67%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.420%
  • Instruments
  • Percent Trades Options
    0.00%
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    49.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    86.50%
  • Chance of 20% account loss
    72.00%
  • Chance of 30% account loss
    62.50%
  • Chance of 40% account loss
    49.50%
  • Chance of 60% account loss (Monte Carlo)
    24.50%
  • Chance of 70% account loss (Monte Carlo)
    15.50%
  • Chance of 80% account loss (Monte Carlo)
    3.50%
  • Chance of 90% account loss (Monte Carlo)
    1.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    9.13%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    38.00%
  • Popularity
  • Popularity (Today)
    418
  • Popularity (Last 6 weeks)
    754
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    386
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $294
  • Avg Win
    $182
  • Sum Trade PL (losers)
    $277,313.000
  • Age
  • Num Months filled monthly returns table
    45
  • Win / Loss
  • Sum Trade PL (winners)
    $437,539.000
  • # Winners
    2407
  • Num Months Winners
    27
  • Dividends
  • Dividends Received in Model Acct
    8898
  • AUM
  • AUM (AutoTrader live capital)
    20661
  • Win / Loss
  • # Losers
    943
  • % Winners
    71.8%
  • Frequency
  • Avg Position Time (mins)
    7673.53
  • Avg Position Time (hrs)
    127.89
  • Avg Trade Length
    5.3 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    2.40
  • Daily leverage (max)
    10.20
  • Regression
  • Alpha
    0.09
  • Beta
    1.73
  • Treynor Index
    0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.96
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    20.421
  • 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
    1.999
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.781
  • Hold-and-Hope Ratio
    0.049
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.55114
  • SD
    0.62012
  • Sharpe ratio (Glass type estimate)
    0.88876
  • Sharpe ratio (Hedges UMVUE)
    0.87278
  • df
    42.00000
  • t
    1.68240
  • p
    0.04996
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16893
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.93625
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17930
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92486
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.81790
  • Upside Potential Ratio
    3.53800
  • Upside part of mean
    1.07263
  • Downside part of mean
    -0.52149
  • Upside SD
    0.55589
  • Downside SD
    0.30317
  • N nonnegative terms
    25.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.10714
  • Mean of criterion
    0.55114
  • SD of predictor
    0.13786
  • SD of criterion
    0.62012
  • Covariance
    0.04522
  • r
    0.52897
  • b (slope, estimate of beta)
    2.37951
  • a (intercept, estimate of alpha)
    0.29620
  • Mean Square Error
    0.28370
  • DF error
    41.00000
  • t(b)
    3.99122
  • p(b)
    0.00013
  • t(a)
    1.02656
  • p(a)
    0.15532
  • Lowerbound of 95% confidence interval for beta
    1.17549
  • Upperbound of 95% confidence interval for beta
    3.58353
  • Lowerbound of 95% confidence interval for alpha
    -0.28651
  • Upperbound of 95% confidence interval for alpha
    0.87891
  • Treynor index (mean / b)
    0.23162
  • Jensen alpha (a)
    0.29620
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37141
  • SD
    0.58191
  • Sharpe ratio (Glass type estimate)
    0.63826
  • Sharpe ratio (Hedges UMVUE)
    0.62678
  • df
    42.00000
  • t
    1.20820
  • p
    0.11686
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40974
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67884
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41725
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67081
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.07532
  • Upside Potential Ratio
    2.73949
  • Upside part of mean
    0.94621
  • Downside part of mean
    -0.57480
  • Upside SD
    0.47217
  • Downside SD
    0.34540
  • N nonnegative terms
    25.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.09713
  • Mean of criterion
    0.37141
  • SD of predictor
    0.13876
  • SD of criterion
    0.58191
  • Covariance
    0.04677
  • r
    0.57917
  • b (slope, estimate of beta)
    2.42884
  • a (intercept, estimate of alpha)
    0.13550
  • Mean Square Error
    0.23052
  • DF error
    41.00000
  • t(b)
    4.54918
  • p(b)
    0.00002
  • t(a)
    0.52341
  • p(a)
    0.30175
  • Lowerbound of 95% confidence interval for beta
    1.35059
  • Upperbound of 95% confidence interval for beta
    3.50708
  • Lowerbound of 95% confidence interval for alpha
    -0.38732
  • Upperbound of 95% confidence interval for alpha
    0.65833
  • Treynor index (mean / b)
    0.15292
  • Jensen alpha (a)
    0.13550
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21757
  • Expected Shortfall on VaR
    0.26923
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08948
  • Expected Shortfall on VaR
    0.17830
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    43.00000
  • Minimum
    0.66819
  • Quartile 1
    0.94235
  • Median
    1.04030
  • Quartile 3
    1.12636
  • Maximum
    1.49390
  • Mean of quarter 1
    0.85069
  • Mean of quarter 2
    0.99338
  • Mean of quarter 3
    1.07175
  • Mean of quarter 4
    1.27934
  • Inter Quartile Range
    0.18401
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.06977
  • Mean of outliers high
    1.47563
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.37008
  • VaR(95%) (moments method)
    0.14428
  • Expected Shortfall (moments method)
    0.17340
  • Extreme Value Index (regression method)
    -0.18505
  • VaR(95%) (regression method)
    0.17404
  • Expected Shortfall (regression method)
    0.22462
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00517
  • Quartile 1
    0.03500
  • Median
    0.05363
  • Quartile 3
    0.08948
  • Maximum
    0.64874
  • Mean of quarter 1
    0.01349
  • Mean of quarter 2
    0.05092
  • Mean of quarter 3
    0.08847
  • Mean of quarter 4
    0.36961
  • Inter Quartile Range
    0.05448
  • 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
    0.14286
  • Mean of outliers high
    0.64874
  • 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)
    0.88811
  • Compounded annual return (geometric extrapolation)
    0.49080
  • Calmar ratio (compounded annual return / max draw down)
    0.75655
  • Compounded annual return / average of 25% largest draw downs
    1.32788
  • Compounded annual return / Expected Shortfall lognormal
    1.82298
  • 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
    0.50694
  • SD
    0.51205
  • Sharpe ratio (Glass type estimate)
    0.99001
  • Sharpe ratio (Hedges UMVUE)
    0.98923
  • df
    956.00000
  • t
    1.89211
  • p
    0.02939
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03670
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01626
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03724
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01571
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.58239
  • Upside Potential Ratio
    8.83178
  • Upside part of mean
    2.82938
  • Downside part of mean
    -2.32244
  • Upside SD
    0.40034
  • Downside SD
    0.32036
  • N nonnegative terms
    515.00000
  • N negative terms
    442.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    957.00000
  • Mean of predictor
    0.11389
  • Mean of criterion
    0.50694
  • SD of predictor
    0.17370
  • SD of criterion
    0.51205
  • Covariance
    0.04338
  • r
    0.48770
  • b (slope, estimate of beta)
    1.43769
  • a (intercept, estimate of alpha)
    0.34300
  • Mean Square Error
    0.20004
  • DF error
    955.00000
  • t(b)
    17.26380
  • p(b)
    -0.00000
  • t(a)
    1.46530
  • p(a)
    0.07158
  • Lowerbound of 95% confidence interval for beta
    1.27426
  • Upperbound of 95% confidence interval for beta
    1.60112
  • Lowerbound of 95% confidence interval for alpha
    -0.11644
  • Upperbound of 95% confidence interval for alpha
    0.80283
  • Treynor index (mean / b)
    0.35261
  • Jensen alpha (a)
    0.34319
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37764
  • SD
    0.50660
  • Sharpe ratio (Glass type estimate)
    0.74544
  • Sharpe ratio (Hedges UMVUE)
    0.74485
  • df
    956.00000
  • t
    1.42468
  • p
    0.07729
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28079
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.77133
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28121
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77091
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.12664
  • Upside Potential Ratio
    8.21716
  • Upside part of mean
    2.75431
  • Downside part of mean
    -2.37667
  • Upside SD
    0.38022
  • Downside SD
    0.33519
  • N nonnegative terms
    515.00000
  • N negative terms
    442.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    957.00000
  • Mean of predictor
    0.09877
  • Mean of criterion
    0.37764
  • SD of predictor
    0.17388
  • SD of criterion
    0.50660
  • Covariance
    0.04373
  • r
    0.49646
  • b (slope, estimate of beta)
    1.44642
  • a (intercept, estimate of alpha)
    0.23477
  • Mean Square Error
    0.19359
  • DF error
    955.00000
  • t(b)
    17.67400
  • p(b)
    -0.00000
  • t(a)
    1.01916
  • p(a)
    0.15419
  • Lowerbound of 95% confidence interval for beta
    1.28581
  • Upperbound of 95% confidence interval for beta
    1.60702
  • Lowerbound of 95% confidence interval for alpha
    -0.21729
  • Upperbound of 95% confidence interval for alpha
    0.68684
  • Treynor index (mean / b)
    0.26108
  • Jensen alpha (a)
    0.23477
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04881
  • Expected Shortfall on VaR
    0.06110
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01924
  • Expected Shortfall on VaR
    0.03962
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    957.00000
  • Minimum
    0.79771
  • Quartile 1
    0.98852
  • Median
    1.00137
  • Quartile 3
    1.01344
  • Maximum
    1.24072
  • Mean of quarter 1
    0.96933
  • Mean of quarter 2
    0.99561
  • Mean of quarter 3
    1.00661
  • Mean of quarter 4
    1.03676
  • Inter Quartile Range
    0.02492
  • Number outliers low
    29.00000
  • Percentage of outliers low
    0.03030
  • Mean of outliers low
    0.91966
  • Number of outliers high
    39.00000
  • Percentage of outliers high
    0.04075
  • Mean of outliers high
    1.09328
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28846
  • VaR(95%) (moments method)
    0.03027
  • Expected Shortfall (moments method)
    0.05080
  • Extreme Value Index (regression method)
    0.18209
  • VaR(95%) (regression method)
    0.02899
  • Expected Shortfall (regression method)
    0.04431
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    46.00000
  • Minimum
    0.00015
  • Quartile 1
    0.00612
  • Median
    0.02283
  • Quartile 3
    0.05211
  • Maximum
    0.66908
  • Mean of quarter 1
    0.00285
  • Mean of quarter 2
    0.01447
  • Mean of quarter 3
    0.03859
  • Mean of quarter 4
    0.15123
  • Inter Quartile Range
    0.04599
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.08696
  • Mean of outliers high
    0.29095
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.51594
  • VaR(95%) (moments method)
    0.15845
  • Expected Shortfall (moments method)
    0.36081
  • Extreme Value Index (regression method)
    0.78251
  • VaR(95%) (regression method)
    0.14724
  • Expected Shortfall (regression method)
    0.61629
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.93048
  • Compounded annual return (geometric extrapolation)
    0.50012
  • Calmar ratio (compounded annual return / max draw down)
    0.74747
  • Compounded annual return / average of 25% largest draw downs
    3.30698
  • Compounded annual return / Expected Shortfall lognormal
    8.18483
  • 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
    0.67267
  • SD
    0.26854
  • Sharpe ratio (Glass type estimate)
    2.50489
  • Sharpe ratio (Hedges UMVUE)
    2.49041
  • df
    130.00000
  • t
    1.77123
  • p
    0.42325
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28820
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.28864
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29787
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.27870
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.27394
  • Upside Potential Ratio
    12.71250
  • Upside part of mean
    2.00082
  • Downside part of mean
    -1.32814
  • Upside SD
    0.22027
  • Downside SD
    0.15739
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23409
  • Mean of criterion
    0.67267
  • SD of predictor
    0.11987
  • SD of criterion
    0.26854
  • Covariance
    0.01786
  • r
    0.55480
  • b (slope, estimate of beta)
    1.24290
  • a (intercept, estimate of alpha)
    0.38173
  • Mean Square Error
    0.05031
  • DF error
    129.00000
  • t(b)
    7.57374
  • p(b)
    0.16587
  • t(a)
    1.19473
  • p(a)
    0.43352
  • Lowerbound of 95% confidence interval for beta
    0.91821
  • Upperbound of 95% confidence interval for beta
    1.56759
  • Lowerbound of 95% confidence interval for alpha
    -0.25043
  • Upperbound of 95% confidence interval for alpha
    1.01389
  • Treynor index (mean / b)
    0.54121
  • Jensen alpha (a)
    0.38173
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.63625
  • SD
    0.26726
  • Sharpe ratio (Glass type estimate)
    2.38064
  • Sharpe ratio (Hedges UMVUE)
    2.36688
  • df
    130.00000
  • t
    1.68337
  • p
    0.42697
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41072
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.16303
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41981
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.15358
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.99400
  • Upside Potential Ratio
    12.40940
  • Upside part of mean
    1.97684
  • Downside part of mean
    -1.34059
  • Upside SD
    0.21691
  • Downside SD
    0.15930
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22683
  • Mean of criterion
    0.63625
  • SD of predictor
    0.11985
  • SD of criterion
    0.26726
  • Covariance
    0.01783
  • r
    0.55672
  • b (slope, estimate of beta)
    1.24148
  • a (intercept, estimate of alpha)
    0.35464
  • Mean Square Error
    0.04967
  • DF error
    129.00000
  • t(b)
    7.61182
  • p(b)
    0.16485
  • t(a)
    1.11750
  • p(a)
    0.43776
  • VAR (95 Confidence Intrvl)
    0.04900
  • Lowerbound of 95% confidence interval for beta
    0.91878
  • Upperbound of 95% confidence interval for beta
    1.56417
  • Lowerbound of 95% confidence interval for alpha
    -0.27325
  • Upperbound of 95% confidence interval for alpha
    0.98253
  • Treynor index (mean / b)
    0.51250
  • Jensen alpha (a)
    0.35464
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02443
  • Expected Shortfall on VaR
    0.03112
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01077
  • Expected Shortfall on VaR
    0.02076
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95965
  • Quartile 1
    0.99192
  • Median
    1.00198
  • Quartile 3
    1.01311
  • Maximum
    1.04580
  • Mean of quarter 1
    0.98285
  • Mean of quarter 2
    0.99747
  • Mean of quarter 3
    1.00610
  • Mean of quarter 4
    1.02438
  • Inter Quartile Range
    0.02119
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.95965
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.04580
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.08671
  • VaR(95%) (moments method)
    0.01702
  • Expected Shortfall (moments method)
    0.02173
  • Extreme Value Index (regression method)
    -0.13871
  • VaR(95%) (regression method)
    0.01763
  • Expected Shortfall (regression method)
    0.02217
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00191
  • Quartile 1
    0.01165
  • Median
    0.01713
  • Quartile 3
    0.04036
  • Maximum
    0.20020
  • Mean of quarter 1
    0.00754
  • Mean of quarter 2
    0.01710
  • Mean of quarter 3
    0.02960
  • Mean of quarter 4
    0.13638
  • Inter Quartile Range
    0.02871
  • 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
    0.11111
  • Mean of outliers high
    0.20020
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.73022
  • VaR(95%) (moments method)
    0.10978
  • Expected Shortfall (moments method)
    0.12464
  • Extreme Value Index (regression method)
    0.98680
  • VaR(95%) (regression method)
    0.25295
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    19.41810
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -375071000
  • Max Equity Drawdown (num days)
    66
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.78773
  • Compounded annual return (geometric extrapolation)
    0.94285
  • Calmar ratio (compounded annual return / max draw down)
    4.70947
  • Compounded annual return / average of 25% largest draw downs
    6.91327
  • Compounded annual return / Expected Shortfall lognormal
    30.30060

Strategy Description

Actual intrinsic value trading.
Not for trading with margin accounts. Trading for serious investors only.

Summary Statistics

Strategy began
2020-06-16
Suggested Minimum Capital
$100,000
# Trades
3351
# Profitable
2408
% Profitable
71.9%
Net Dividends
Correlation S&P500
0.484
Sharpe Ratio
0.70
Sortino Ratio
1.13
Beta
1.73
Alpha
0.09
Leverage
2.40 Average
10.20 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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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.