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Pure AI Madness by FDG
(133373732)

Created by: FDominguez FDominguez
Started: 01/2021
Stocks
Last trade: 8 days ago
Trading style: Equity Event-driven Short-term Reversal

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 $99.00 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.
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
53.0%
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.

(14.7%)
Max Drawdown
255
Num Trades
63.5%
Win Trades
1.7 : 1
Profit Factor
77.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021+11.9%+25.1%(3.6%)(7.9%)+3.0%+1.2%+10.8%+3.2%+3.3%                  +53.0%

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 324 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
9/17/21 15:59 ATVI ACTIVISION BLIZZARD LONG 209 79.60 9/20 15:59 76.27 1.32%
Trade id #137422682
Max drawdown($987)
Time9/20/21 15:13
Quant open209
Worst price74.87
Drawdown as % of equity-1.32%
($699)
Includes Typical Broker Commissions trade costs of $4.18
9/7/21 15:59 FAS DIREXION DAILY FINANCIAL BULL LONG 99 117.72 9/20 15:59 119.12 0.17%
Trade id #137279142
Max drawdown($130)
Time9/20/21 15:17
Quant open9
Worst price103.17
Drawdown as % of equity-0.17%
$137
Includes Typical Broker Commissions trade costs of $1.98
8/24/21 15:59 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 2,096 21.49 9/20 15:59 22.17 2.35%
Trade id #137106099
Max drawdown($1,734)
Time9/2/21 0:00
Quant open1,971
Worst price20.60
Drawdown as % of equity-2.35%
$1,403
Includes Typical Broker Commissions trade costs of $25.44
9/8/21 15:59 MA MASTERCARD LONG 56 348.77 9/17 15:59 344.77 0.32%
Trade id #137294448
Max drawdown($240)
Time9/17/21 10:47
Quant open30
Worst price340.77
Drawdown as % of equity-0.32%
($225)
Includes Typical Broker Commissions trade costs of $1.12
9/7/21 15:59 XLF FINANCIAL SELECT SECTOR SPDR LONG 30 37.95 9/16 15:59 37.59 0.02%
Trade id #137279106
Max drawdown($16)
Time9/14/21 0:00
Quant open28
Worst price37.38
Drawdown as % of equity-0.02%
($12)
Includes Typical Broker Commissions trade costs of $0.60
9/13/21 15:59 AXP AMERICAN EXPRESS LONG 63 161.53 9/14 15:59 159.40 0.23%
Trade id #137355229
Max drawdown($173)
Time9/14/21 15:37
Quant open63
Worst price158.78
Drawdown as % of equity-0.23%
($135)
Includes Typical Broker Commissions trade costs of $1.26
7/28/21 15:59 CHTR CHARTER COMMUNICATIONS LONG 29 756.60 9/14 15:59 765.29 0.02%
Trade id #136721377
Max drawdown($11)
Time7/29/21 0:00
Quant open1
Worst price711.32
Drawdown as % of equity-0.02%
$251
Includes Typical Broker Commissions trade costs of $0.58
9/8/21 15:59 ATVI ACTIVISION BLIZZARD LONG 114 80.27 9/9 15:59 78.04 0.48%
Trade id #137294450
Max drawdown($357)
Time9/9/21 10:13
Quant open114
Worst price77.13
Drawdown as % of equity-0.48%
($256)
Includes Typical Broker Commissions trade costs of $2.28
8/5/21 15:59 NFLX NETFLIX LONG 16 522.16 9/9 15:59 524.34 0.11%
Trade id #136848259
Max drawdown($79)
Time8/10/21 0:00
Quant open8
Worst price512.97
Drawdown as % of equity-0.11%
$35
Includes Typical Broker Commissions trade costs of $0.32
7/30/21 15:59 MSCI MSCI LONG 4 620.28 9/9 15:59 635.98 0%
Trade id #136764191
Max drawdown($1)
Time8/19/21 0:00
Quant open1
Worst price594.28
Drawdown as % of equity-0.00%
$63
Includes Typical Broker Commissions trade costs of $0.08
9/7/21 15:59 LULU LULULEMON ATHLETICA LONG 10 386.64 9/8 15:59 380.42 0.14%
Trade id #137279139
Max drawdown($102)
Time9/8/21 10:55
Quant open10
Worst price376.37
Drawdown as % of equity-0.14%
($62)
Includes Typical Broker Commissions trade costs of $0.20
9/2/21 15:59 AXP AMERICAN EXPRESS LONG 87 159.67 9/8 15:59 158.86 0.33%
Trade id #137231244
Max drawdown($249)
Time9/8/21 10:55
Quant open87
Worst price156.80
Drawdown as % of equity-0.33%
($72)
Includes Typical Broker Commissions trade costs of $1.74
7/26/21 15:59 HON HONEYWELL INTERNATIONAL LONG 83 230.37 9/8 15:59 230.45 0.1%
Trade id #136684186
Max drawdown($76)
Time9/8/21 9:32
Quant open9
Worst price221.82
Drawdown as % of equity-0.10%
$5
Includes Typical Broker Commissions trade costs of $1.66
9/1/21 15:59 MA MASTERCARD LONG 40 342.27 9/7 15:59 343.86 0.18%
Trade id #137215481
Max drawdown($133)
Time9/3/21 0:00
Quant open40
Worst price338.93
Drawdown as % of equity-0.18%
$62
Includes Typical Broker Commissions trade costs of $0.80
8/27/21 15:59 ATVI ACTIVISION BLIZZARD LONG 344 82.41 9/7 15:59 81.96 0.98%
Trade id #137155777
Max drawdown($726)
Time8/30/21 0:00
Quant open289
Worst price79.92
Drawdown as % of equity-0.98%
($162)
Includes Typical Broker Commissions trade costs of $6.88
9/1/21 15:59 LULU LULULEMON ATHLETICA LONG 7 395.62 9/2 15:59 388.10 0.09%
Trade id #137215490
Max drawdown($63)
Time9/2/21 14:36
Quant open7
Worst price386.51
Drawdown as % of equity-0.09%
($53)
Includes Typical Broker Commissions trade costs of $0.14
8/19/21 15:59 XLF FINANCIAL SELECT SECTOR SPDR LONG 78 38.01 8/27 15:59 38.71 0%
Trade id #137045471
Max drawdown($2)
Time8/20/21 0:00
Quant open22
Worst price37.32
Drawdown as % of equity-0.00%
$52
Includes Typical Broker Commissions trade costs of $1.56
8/23/21 15:59 MA MASTERCARD LONG 39 361.29 8/26 15:59 352.73 0.5%
Trade id #137087234
Max drawdown($370)
Time8/26/21 11:49
Quant open39
Worst price351.80
Drawdown as % of equity-0.50%
($335)
Includes Typical Broker Commissions trade costs of $0.78
7/27/21 15:59 FAS DIREXION DAILY FINANCIAL BULL LONG 124 111.84 8/26 15:59 114.25 0.02%
Trade id #136703179
Max drawdown($16)
Time8/3/21 0:00
Quant open5
Worst price103.52
Drawdown as % of equity-0.02%
$297
Includes Typical Broker Commissions trade costs of $2.48
7/30/21 15:59 ATVI ACTIVISION BLIZZARD LONG 376 81.67 8/25 15:59 81.73 0.27%
Trade id #136764194
Max drawdown($201)
Time8/25/21 13:48
Quant open121
Worst price80.00
Drawdown as % of equity-0.27%
$17
Includes Typical Broker Commissions trade costs of $7.52
8/5/21 15:59 MA MASTERCARD LONG 62 366.69 8/20 15:59 364.98 0.44%
Trade id #136848269
Max drawdown($320)
Time8/20/21 15:06
Quant open24
Worst price353.33
Drawdown as % of equity-0.44%
($107)
Includes Typical Broker Commissions trade costs of $1.24
8/18/21 15:59 LULU LULULEMON ATHLETICA LONG 2 391.40 8/19 15:59 395.74 0.02%
Trade id #137025396
Max drawdown($14)
Time8/19/21 0:00
Quant open2
Worst price384.36
Drawdown as % of equity-0.02%
$9
Includes Typical Broker Commissions trade costs of $0.04
7/23/21 15:59 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 3,171 26.38 8/19 14:29 26.34 11.11%
Trade id #136658916
Max drawdown($7,411)
Time8/13/21 0:00
Quant open1,845
Worst price22.36
Drawdown as % of equity-11.11%
($156)
Includes Typical Broker Commissions trade costs of $37.99
8/13/21 15:59 AXP AMERICAN EXPRESS LONG 8 165.06 8/18 15:59 162.13 0.03%
Trade id #136962088
Max drawdown($24)
Time8/18/21 15:59
Quant open8
Worst price162.06
Drawdown as % of equity-0.03%
($23)
Includes Typical Broker Commissions trade costs of $0.16
8/2/21 15:59 DIS WALT DISNEY LONG 6 175.89 8/12 15:59 178.46 0.01%
Trade id #136792438
Max drawdown($5)
Time8/4/21 0:00
Quant open2
Worst price171.34
Drawdown as % of equity-0.01%
$15
Includes Typical Broker Commissions trade costs of $0.12
7/29/21 15:59 MA MASTERCARD LONG 46 378.21 8/3 15:59 371.10 0.96%
Trade id #136745981
Max drawdown($689)
Time8/3/21 11:25
Quant open37
Worst price359.57
Drawdown as % of equity-0.96%
($328)
Includes Typical Broker Commissions trade costs of $0.92
7/30/21 15:59 NFLX NETFLIX LONG 17 517.69 8/2 15:59 515.28 0.17%
Trade id #136764196
Max drawdown($122)
Time8/2/21 9:51
Quant open17
Worst price510.51
Drawdown as % of equity-0.17%
($41)
Includes Typical Broker Commissions trade costs of $0.34
5/3/21 15:59 EBAY EBAY LONG 746 62.69 7/30 15:59 63.61 0.32%
Trade id #135428414
Max drawdown($193)
Time5/4/21 0:00
Quant open149
Worst price56.82
Drawdown as % of equity-0.32%
$672
Includes Typical Broker Commissions trade costs of $14.92
7/27/21 15:59 MSCI MSCI LONG 1 585.31 7/28 15:59 592.61 n/a $7
Includes Typical Broker Commissions trade costs of $0.02
7/27/21 15:59 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 158 53.20 7/28 15:59 53.87 0.1%
Trade id #136703202
Max drawdown($67)
Time7/28/21 9:46
Quant open158
Worst price52.77
Drawdown as % of equity-0.10%
$103
Includes Typical Broker Commissions trade costs of $3.16

Statistics

  • Strategy began
    1/14/2021
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    256.88
  • Age
    9 months ago
  • What it trades
    Stocks
  • # Trades
    255
  • # Profitable
    162
  • % Profitable
    63.50%
  • Avg trade duration
    9.5 days
  • Max peak-to-valley drawdown
    14.72%
  • drawdown period
    March 01, 2021 - May 10, 2021
  • Cumul. Return
    53.0%
  • Avg win
    $337.32
  • Avg loss
    $350.22
  • Model Account Values (Raw)
  • Cash
    $45,353
  • Margin Used
    $0
  • Buying Power
    $51,977
  • Ratios
  • W:L ratio
    1.68:1
  • Sharpe Ratio
    1.77
  • Sortino Ratio
    3.75
  • Calmar Ratio
    5.977
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    35.96%
  • Correlation to SP500
    -0.08280
  • Return Percent SP500 (cumu) during strategy life
    17.06%
  • Return Statistics
  • Ann Return (w trading costs)
    81.8%
  • Slump
  • Current Slump as Pcnt Equity
    0.60%
  • 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)
    0.530%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    88.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    18.50%
  • Chance of 20% account loss
    0.50%
  • 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
    94.59%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    860
  • Popularity (Last 6 weeks)
    941
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    975
  • Popularity (7 days, Percentile 1000 scale)
    886
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $351
  • Avg Win
    $376
  • Sum Trade PL (losers)
    $32,648.000
  • AUM
  • AUM (AutoTrader num accounts)
    2
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $60,948.000
  • # Winners
    162
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    47
  • AUM
  • AUM (AutoTrader live capital)
    2338660
  • Win / Loss
  • # Losers
    93
  • % Winners
    63.5%
  • Frequency
  • Avg Position Time (mins)
    13668.90
  • Avg Position Time (hrs)
    227.81
  • Avg Trade Length
    9.5 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.16
  • Daily leverage (max)
    3.37
  • Regression
  • Alpha
    0.17
  • Beta
    -0.18
  • Treynor Index
    -0.88
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.04
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    4.550
  • 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
    0.425
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.684
  • Hold-and-Hope Ratio
    0.288
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62339
  • SD
    0.30640
  • Sharpe ratio (Glass type estimate)
    2.03454
  • Sharpe ratio (Hedges UMVUE)
    1.80709
  • df
    7.00000
  • t
    1.66120
  • p
    0.07032
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.64299
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.59339
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77327
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.38744
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.33835
  • Upside Potential Ratio
    6.74199
  • Upside part of mean
    0.78730
  • Downside part of mean
    -0.16391
  • Upside SD
    0.31764
  • Downside SD
    0.11678
  • N nonnegative terms
    6.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.22299
  • Mean of criterion
    0.62339
  • SD of predictor
    0.06454
  • SD of criterion
    0.30640
  • Covariance
    -0.00463
  • r
    -0.23406
  • b (slope, estimate of beta)
    -1.11127
  • a (intercept, estimate of alpha)
    0.87119
  • Mean Square Error
    0.10353
  • DF error
    6.00000
  • t(b)
    -0.58971
  • p(b)
    0.71155
  • t(a)
    1.51226
  • p(a)
    0.09061
  • Lowerbound of 95% confidence interval for beta
    -5.72239
  • Upperbound of 95% confidence interval for beta
    3.49986
  • Lowerbound of 95% confidence interval for alpha
    -0.53845
  • Upperbound of 95% confidence interval for alpha
    2.28083
  • Treynor index (mean / b)
    -0.56097
  • Jensen alpha (a)
    0.87119
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56888
  • SD
    0.29384
  • Sharpe ratio (Glass type estimate)
    1.93600
  • Sharpe ratio (Hedges UMVUE)
    1.71956
  • df
    7.00000
  • t
    1.58074
  • p
    0.07898
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71969
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.47693
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84433
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.28345
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.65449
  • Upside Potential Ratio
    6.05165
  • Upside part of mean
    0.73964
  • Downside part of mean
    -0.17076
  • Upside SD
    0.29594
  • Downside SD
    0.12222
  • N nonnegative terms
    6.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.21869
  • Mean of criterion
    0.56888
  • SD of predictor
    0.06304
  • SD of criterion
    0.29384
  • Covariance
    -0.00486
  • r
    -0.26241
  • b (slope, estimate of beta)
    -1.22314
  • a (intercept, estimate of alpha)
    0.83637
  • Mean Square Error
    0.09380
  • DF error
    6.00000
  • t(b)
    -0.66612
  • p(b)
    0.73495
  • t(a)
    1.52204
  • p(a)
    0.08941
  • Lowerbound of 95% confidence interval for beta
    -5.71628
  • Upperbound of 95% confidence interval for beta
    3.27001
  • Lowerbound of 95% confidence interval for alpha
    -0.50823
  • Upperbound of 95% confidence interval for alpha
    2.18098
  • Treynor index (mean / b)
    -0.46510
  • Jensen alpha (a)
    0.83637
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08800
  • Expected Shortfall on VaR
    0.11933
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01849
  • Expected Shortfall on VaR
    0.04457
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.90819
  • Quartile 1
    1.00983
  • Median
    1.05398
  • Quartile 3
    1.10439
  • Maximum
    1.18640
  • Mean of quarter 1
    0.94769
  • Mean of quarter 2
    1.01833
  • Mean of quarter 3
    1.09196
  • Mean of quarter 4
    1.15913
  • Inter Quartile Range
    0.09456
  • 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
    0.09181
  • Quartile 1
    0.09181
  • Median
    0.09181
  • Quartile 3
    0.09181
  • Maximum
    0.09181
  • 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)
    0.73295
  • Compounded annual return (geometric extrapolation)
    0.81627
  • Calmar ratio (compounded annual return / max draw down)
    8.89093
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    6.84037
  • 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
    0.60214
  • SD
    0.26645
  • Sharpe ratio (Glass type estimate)
    2.25983
  • Sharpe ratio (Hedges UMVUE)
    2.25050
  • df
    182.00000
  • t
    1.88864
  • p
    0.43068
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09984
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.61342
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10603
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.60703
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.01536
  • Upside Potential Ratio
    12.99390
  • Upside part of mean
    1.56004
  • Downside part of mean
    -0.95790
  • Upside SD
    0.23996
  • Downside SD
    0.12006
  • N nonnegative terms
    94.00000
  • N negative terms
    89.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    183.00000
  • Mean of predictor
    0.20561
  • Mean of criterion
    0.60214
  • SD of predictor
    0.12593
  • SD of criterion
    0.26645
  • Covariance
    -0.00249
  • r
    -0.07420
  • b (slope, estimate of beta)
    -0.15700
  • a (intercept, estimate of alpha)
    0.63400
  • Mean Square Error
    0.07100
  • DF error
    181.00000
  • t(b)
    -1.00106
  • p(b)
    0.54720
  • t(a)
    1.97981
  • p(a)
    0.40764
  • Lowerbound of 95% confidence interval for beta
    -0.46646
  • Upperbound of 95% confidence interval for beta
    0.15246
  • Lowerbound of 95% confidence interval for alpha
    0.00213
  • Upperbound of 95% confidence interval for alpha
    1.26671
  • Treynor index (mean / b)
    -3.83528
  • Jensen alpha (a)
    0.63442
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56729
  • SD
    0.25994
  • Sharpe ratio (Glass type estimate)
    2.18236
  • Sharpe ratio (Hedges UMVUE)
    2.17335
  • df
    182.00000
  • t
    1.82390
  • p
    0.43301
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17645
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.53527
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18241
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.52912
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.68062
  • Upside Potential Ratio
    12.64350
  • Upside part of mean
    1.53239
  • Downside part of mean
    -0.96510
  • Upside SD
    0.23182
  • Downside SD
    0.12120
  • N nonnegative terms
    94.00000
  • N negative terms
    89.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    183.00000
  • Mean of predictor
    0.19762
  • Mean of criterion
    0.56729
  • SD of predictor
    0.12601
  • SD of criterion
    0.25994
  • Covariance
    -0.00230
  • r
    -0.07031
  • b (slope, estimate of beta)
    -0.14504
  • a (intercept, estimate of alpha)
    0.59595
  • Mean Square Error
    0.06761
  • DF error
    181.00000
  • t(b)
    -0.94822
  • p(b)
    0.54472
  • t(a)
    1.90655
  • p(a)
    0.41097
  • Lowerbound of 95% confidence interval for beta
    -0.44685
  • Upperbound of 95% confidence interval for beta
    0.15677
  • Lowerbound of 95% confidence interval for alpha
    -0.02082
  • Upperbound of 95% confidence interval for alpha
    1.21273
  • Treynor index (mean / b)
    -3.91130
  • Jensen alpha (a)
    0.59595
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02396
  • Expected Shortfall on VaR
    0.03047
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00829
  • Expected Shortfall on VaR
    0.01620
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    183.00000
  • Minimum
    0.97180
  • Quartile 1
    0.99550
  • Median
    1.00015
  • Quartile 3
    1.00605
  • Maximum
    1.11495
  • Mean of quarter 1
    0.98715
  • Mean of quarter 2
    0.99852
  • Mean of quarter 3
    1.00297
  • Mean of quarter 4
    1.02099
  • Inter Quartile Range
    0.01055
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.04918
  • Mean of outliers low
    0.97642
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.07650
  • Mean of outliers high
    1.04167
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.03630
  • VaR(95%) (moments method)
    0.01129
  • Expected Shortfall (moments method)
    0.01583
  • Extreme Value Index (regression method)
    -0.42983
  • VaR(95%) (regression method)
    0.01321
  • Expected Shortfall (regression method)
    0.01584
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00251
  • Median
    0.01001
  • Quartile 3
    0.02905
  • Maximum
    0.13609
  • Mean of quarter 1
    0.00126
  • Mean of quarter 2
    0.00584
  • Mean of quarter 3
    0.01688
  • Mean of quarter 4
    0.08594
  • Inter Quartile Range
    0.02654
  • 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
    0.18750
  • Mean of outliers high
    0.10191
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -6.64470
  • VaR(95%) (moments method)
    0.07989
  • Expected Shortfall (moments method)
    0.07990
  • Extreme Value Index (regression method)
    -0.75579
  • VaR(95%) (regression method)
    0.12809
  • Expected Shortfall (regression method)
    0.14552
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.73800
  • Compounded annual return (geometric extrapolation)
    0.81339
  • Calmar ratio (compounded annual return / max draw down)
    5.97682
  • Compounded annual return / average of 25% largest draw downs
    9.46415
  • Compounded annual return / Expected Shortfall lognormal
    26.69560
  • 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
    0.25181
  • SD
    0.17871
  • Sharpe ratio (Glass type estimate)
    1.40908
  • Sharpe ratio (Hedges UMVUE)
    1.40094
  • df
    130.00000
  • t
    0.99637
  • p
    0.45647
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.37067
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.18352
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37610
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.17797
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.21407
  • Upside Potential Ratio
    10.11540
  • Upside part of mean
    1.15045
  • Downside part of mean
    -0.89864
  • Upside SD
    0.13784
  • Downside SD
    0.11373
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20246
  • Mean of criterion
    0.25181
  • SD of predictor
    0.10667
  • SD of criterion
    0.17871
  • Covariance
    -0.00064
  • r
    -0.03373
  • b (slope, estimate of beta)
    -0.05651
  • a (intercept, estimate of alpha)
    0.26325
  • Mean Square Error
    0.03215
  • DF error
    129.00000
  • t(b)
    -0.38329
  • p(b)
    0.52147
  • t(a)
    1.03110
  • p(a)
    0.44252
  • Lowerbound of 95% confidence interval for beta
    -0.34819
  • Upperbound of 95% confidence interval for beta
    0.23518
  • Lowerbound of 95% confidence interval for alpha
    -0.24189
  • Upperbound of 95% confidence interval for alpha
    0.76840
  • Treynor index (mean / b)
    -4.45633
  • Jensen alpha (a)
    0.26325
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23588
  • SD
    0.17827
  • Sharpe ratio (Glass type estimate)
    1.32316
  • Sharpe ratio (Hedges UMVUE)
    1.31551
  • df
    130.00000
  • t
    0.93562
  • p
    0.45911
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.45573
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.09709
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.46090
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.09193
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.05485
  • Upside Potential Ratio
    9.93940
  • Upside part of mean
    1.14098
  • Downside part of mean
    -0.90509
  • Upside SD
    0.13628
  • Downside SD
    0.11479
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19672
  • Mean of criterion
    0.23588
  • SD of predictor
    0.10668
  • SD of criterion
    0.17827
  • Covariance
    -0.00065
  • r
    -0.03440
  • b (slope, estimate of beta)
    -0.05749
  • a (intercept, estimate of alpha)
    0.24719
  • Mean Square Error
    0.03199
  • DF error
    129.00000
  • t(b)
    -0.39096
  • p(b)
    0.52190
  • t(a)
    0.97094
  • p(a)
    0.44584
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    -0.34841
  • Upperbound of 95% confidence interval for beta
    0.23344
  • Lowerbound of 95% confidence interval for alpha
    -0.25652
  • Upperbound of 95% confidence interval for alpha
    0.75090
  • Treynor index (mean / b)
    -4.10323
  • Jensen alpha (a)
    0.24719
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01707
  • Expected Shortfall on VaR
    0.02157
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00739
  • Expected Shortfall on VaR
    0.01469
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97180
  • Quartile 1
    0.99555
  • Median
    1.00049
  • Quartile 3
    1.00553
  • Maximum
    1.03458
  • Mean of quarter 1
    0.98797
  • Mean of quarter 2
    0.99867
  • Mean of quarter 3
    1.00304
  • Mean of quarter 4
    1.01465
  • Inter Quartile Range
    0.00999
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.97594
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.02757
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16714
  • VaR(95%) (moments method)
    0.01146
  • Expected Shortfall (moments method)
    0.01747
  • Extreme Value Index (regression method)
    -0.06799
  • VaR(95%) (regression method)
    0.01240
  • Expected Shortfall (regression method)
    0.01675
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00171
  • Median
    0.00539
  • Quartile 3
    0.01511
  • Maximum
    0.10862
  • Mean of quarter 1
    0.00111
  • Mean of quarter 2
    0.00312
  • Mean of quarter 3
    0.00922
  • Mean of quarter 4
    0.07052
  • Inter Quartile Range
    0.01340
  • 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
    0.16667
  • Mean of outliers high
    0.09275
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -24.59170
  • VaR(95%) (moments method)
    0.06008
  • Expected Shortfall (moments method)
    0.06008
  • Extreme Value Index (regression method)
    -1.67862
  • VaR(95%) (regression method)
    0.13646
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.14221
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -293226000
  • Max Equity Drawdown (num days)
    70
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28198
  • Compounded annual return (geometric extrapolation)
    0.30185
  • Calmar ratio (compounded annual return / max draw down)
    2.77900
  • Compounded annual return / average of 25% largest draw downs
    4.28068
  • Compounded annual return / Expected Shortfall lognormal
    13.99200

Strategy Description

Summary Statistics

Strategy began
2021-01-14
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 2.5%
Rank # 
#20
# Trades
255
# Profitable
162
% Profitable
63.5%
Net Dividends
Correlation S&P500
-0.083
Sharpe Ratio
1.77
Sortino Ratio
3.75
Beta
-0.18
Alpha
0.17
Leverage
1.16 Average
3.37 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.