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

Furry Logic
(136757944)

Created by: JerryCaesar JerryCaesar
Started: 07/2021
Stocks
Last trade: 4 days ago
Trading style: Equity Trend-following Momentum

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $125.00 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.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
1.6%
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.

(5.2%)
Max Drawdown
241
Num Trades
38.2%
Win Trades
1.3 : 1
Profit Factor
55.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                          (0.5%)+2.2%+0.8%(1.8%)+1.4%(2.4%)(0.3%)
2022+2.7%(1%)+1.4%(0.4%)+0.8%(1.4%)+0.7%+0.2%+0.2%+0.5%(0.7%)(0.4%)+2.5%

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 24 hours.

Trading Record

This strategy has placed 38 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 250 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/1/22 15:03 GDXJ VANECK JUNIOR GOLD MINERS ETF LONG 123 37.01 12/2 9:30 36.36 0.19%
Trade id #142739277
Max drawdown($98)
Time12/2/22 9:30
Quant open123
Worst price36.21
Drawdown as % of equity-0.19%
($82)
Includes Typical Broker Commissions trade costs of $2.46
11/14/22 13:08 KRE SPDR S&P REGIONAL BANKING ETF SHORT 70 64.93 11/23 14:00 63.93 0.09%
Trade id #142558289
Max drawdown($46)
Time11/15/22 0:00
Quant open70
Worst price65.60
Drawdown as % of equity-0.09%
$69
Includes Typical Broker Commissions trade costs of $1.40
11/14/22 13:25 XHB SPDR S&P HOMEBUILDERS SHORT 77 62.13 11/23 9:51 61.95 0.13%
Trade id #142558685
Max drawdown($68)
Time11/15/22 0:00
Quant open77
Worst price63.02
Drawdown as % of equity-0.13%
$12
Includes Typical Broker Commissions trade costs of $1.54
11/16/22 14:36 EWZ ISHARES MSCI BRAZIL ETF SHORT 160 29.77 11/18 9:30 30.00 0.08%
Trade id #142589173
Max drawdown($40)
Time11/18/22 9:30
Quant open160
Worst price30.02
Drawdown as % of equity-0.08%
($40)
Includes Typical Broker Commissions trade costs of $3.20
11/16/22 14:22 EWJ ISHARES MSCI JAPAN INDEX SHORT 88 54.32 11/17 13:38 54.30 0.03%
Trade id #142588958
Max drawdown($14)
Time11/16/22 15:42
Quant open88
Worst price54.48
Drawdown as % of equity-0.03%
$0
Includes Typical Broker Commissions trade costs of $1.76
11/14/22 14:13 XLU UTILITIES SELECT SECTOR SPDR LONG 70 67.89 11/17 10:58 67.17 0.1%
Trade id #142559676
Max drawdown($51)
Time11/17/22 10:58
Quant open70
Worst price67.16
Drawdown as % of equity-0.10%
($51)
Includes Typical Broker Commissions trade costs of $1.40
11/11/22 15:26 XWEB SPDR S&P INTERNET SHORT 66 70.49 11/15 9:30 71.48 0.13%
Trade id #142539902
Max drawdown($65)
Time11/15/22 9:30
Quant open66
Worst price71.48
Drawdown as % of equity-0.13%
($66)
Includes Typical Broker Commissions trade costs of $1.32
10/31/22 15:59 XLF FINANCIAL SELECT SECTOR SPDR SHORT 139 33.99 11/10 9:30 34.90 0.29%
Trade id #142386635
Max drawdown($148)
Time11/10/22 9:30
Quant open139
Worst price35.05
Drawdown as % of equity-0.29%
($129)
Includes Typical Broker Commissions trade costs of $2.78
11/4/22 16:00 TLT ISHARES 20+ YEAR TREASURY BOND SHORT 50 94.27 11/8 13:07 94.88 0.06%
Trade id #142448420
Max drawdown($31)
Time11/8/22 13:07
Quant open50
Worst price94.90
Drawdown as % of equity-0.06%
($32)
Includes Typical Broker Commissions trade costs of $1.00
10/24/22 10:51 EWZ ISHARES MSCI BRAZIL ETF SHORT 144 32.43 10/31 9:52 31.66 0.04%
Trade id #142285876
Max drawdown($21)
Time10/24/22 11:25
Quant open144
Worst price32.58
Drawdown as % of equity-0.04%
$108
Includes Typical Broker Commissions trade costs of $2.88
10/19/22 12:08 XAR SPDR S&P AEROSPACE & DEFENSE LONG 50 99.03 10/31 9:30 105.97 0.09%
Trade id #142229999
Max drawdown($48)
Time10/21/22 0:00
Quant open50
Worst price98.06
Drawdown as % of equity-0.09%
$346
Includes Typical Broker Commissions trade costs of $1.00
10/24/22 10:29 EWI ISHARES MSCI ITALY ETF SHORT 200 23.23 10/26 9:37 23.89 0.26%
Trade id #142285409
Max drawdown($134)
Time10/26/22 9:37
Quant open200
Worst price23.90
Drawdown as % of equity-0.26%
($136)
Includes Typical Broker Commissions trade costs of $4.00
10/17/22 9:30 GDXJ VANECK JUNIOR GOLD MINERS ETF SHORT 166 28.77 10/21 13:50 29.50 0.23%
Trade id #142190484
Max drawdown($121)
Time10/21/22 13:50
Quant open166
Worst price29.50
Drawdown as % of equity-0.23%
($124)
Includes Typical Broker Commissions trade costs of $3.32
10/14/22 15:55 TLT ISHARES 20+ YEAR TREASURY BOND LONG 48 98.66 10/17 14:32 98.11 0.05%
Trade id #142179124
Max drawdown($26)
Time10/17/22 14:32
Quant open48
Worst price98.10
Drawdown as % of equity-0.05%
($27)
Includes Typical Broker Commissions trade costs of $0.96
10/13/22 10:19 GDXJ VANECK JUNIOR GOLD MINERS ETF LONG 166 28.20 10/13 12:20 28.82 0.12%
Trade id #142155230
Max drawdown($59)
Time10/13/22 10:41
Quant open166
Worst price27.84
Drawdown as % of equity-0.12%
$100
Includes Typical Broker Commissions trade costs of $3.32
10/11/22 12:44 XAR SPDR S&P AEROSPACE & DEFENSE LONG 50 97.97 10/12 9:30 95.51 0.24%
Trade id #142126112
Max drawdown($123)
Time10/12/22 0:00
Quant open50
Worst price95.51
Drawdown as % of equity-0.24%
($124)
Includes Typical Broker Commissions trade costs of $1.00
10/10/22 14:44 COPX GLOBAL X COPPER MINERS ETF SHORT 166 28.83 10/11 11:47 28.75 0.02%
Trade id #142110412
Max drawdown($12)
Time10/10/22 15:22
Quant open166
Worst price28.90
Drawdown as % of equity-0.02%
$10
Includes Typical Broker Commissions trade costs of $3.32
9/27/22 15:23 XLY SPDR CONSUMER DISCRET SELECT SHORT 33 146.64 10/11 11:47 140.94 0.3%
Trade id #141950321
Max drawdown($153)
Time9/28/22 0:00
Quant open33
Worst price151.30
Drawdown as % of equity-0.30%
$187
Includes Typical Broker Commissions trade costs of $0.66
10/3/22 15:34 KIE SPDR S&P INSURANCE ETF SHORT 100 37.06 10/11 11:30 37.66 0.28%
Trade id #142018022
Max drawdown($143)
Time10/4/22 0:00
Quant open100
Worst price38.49
Drawdown as % of equity-0.28%
($62)
Includes Typical Broker Commissions trade costs of $2.00
10/6/22 12:18 FDN FIRST TRUST DOW JONES INTERNET SHORT 36 134.77 10/11 11:28 124.53 0.08%
Trade id #142070140
Max drawdown($39)
Time10/6/22 13:21
Quant open36
Worst price135.88
Drawdown as % of equity-0.08%
$368
Includes Typical Broker Commissions trade costs of $0.72
10/5/22 14:19 TLT ISHARES 20+ YEAR TREASURY BOND SHORT 48 102.36 10/11 10:36 99.99 0.05%
Trade id #142053729
Max drawdown($23)
Time10/6/22 0:00
Quant open48
Worst price102.84
Drawdown as % of equity-0.05%
$113
Includes Typical Broker Commissions trade costs of $0.96
9/27/22 15:52 KBE SPDR S&P BANK ETF SHORT 111 44.44 10/4 9:30 46.04 0.39%
Trade id #141950815
Max drawdown($200)
Time10/4/22 9:30
Quant open111
Worst price46.25
Drawdown as % of equity-0.39%
($180)
Includes Typical Broker Commissions trade costs of $2.22
9/28/22 11:00 XAR SPDR S&P AEROSPACE & DEFENSE LONG 51 93.38 9/29 14:54 91.37 0.2%
Trade id #141961141
Max drawdown($102)
Time9/29/22 14:54
Quant open51
Worst price91.37
Drawdown as % of equity-0.20%
($104)
Includes Typical Broker Commissions trade costs of $1.02
9/16/22 12:41 ECH ISHARES MSCI CHILE CAPPED ETF SHORT 100 26.77 9/27 9:32 24.04 0.1%
Trade id #141833485
Max drawdown($52)
Time9/19/22 0:00
Quant open100
Worst price27.30
Drawdown as % of equity-0.10%
$271
Includes Typical Broker Commissions trade costs of $2.00
9/19/22 15:07 KSA ISHARES MSCI SAUDI ARABIA ETF SHORT 113 41.60 9/27 9:30 39.89 0.03%
Trade id #141855351
Max drawdown($14)
Time9/21/22 0:00
Quant open113
Worst price41.73
Drawdown as % of equity-0.03%
$191
Includes Typical Broker Commissions trade costs of $2.26
9/19/22 10:44 COPX GLOBAL X COPPER MINERS ETF SHORT 160 30.10 9/26 15:53 26.98 0.12%
Trade id #141850240
Max drawdown($61)
Time9/19/22 15:59
Quant open160
Worst price30.48
Drawdown as % of equity-0.12%
$496
Includes Typical Broker Commissions trade costs of $3.20
9/19/22 10:45 EZA ISHARES MSCI SOUTH AFRICA INDE SHORT 123 38.40 9/21 14:55 39.00 0.15%
Trade id #141850256
Max drawdown($78)
Time9/21/22 14:55
Quant open123
Worst price39.03
Drawdown as % of equity-0.15%
($76)
Includes Typical Broker Commissions trade costs of $2.46
9/9/22 13:48 XHB SPDR S&P HOMEBUILDERS SHORT 77 62.03 9/21 14:45 58.49 0.19%
Trade id #141727364
Max drawdown($95)
Time9/12/22 0:00
Quant open77
Worst price63.27
Drawdown as % of equity-0.19%
$271
Includes Typical Broker Commissions trade costs of $1.54
9/15/22 15:45 GDX VANECK GOLD MINERS ETF SHORT 200 23.64 9/21 14:42 24.24 0.31%
Trade id #141821592
Max drawdown($158)
Time9/19/22 0:00
Quant open200
Worst price24.43
Drawdown as % of equity-0.31%
($124)
Includes Typical Broker Commissions trade costs of $4.00
9/16/22 13:38 EWZ ISHARES MSCI BRAZIL ETF SHORT 160 29.80 9/19 11:04 30.60 0.25%
Trade id #141834238
Max drawdown($128)
Time9/19/22 11:04
Quant open160
Worst price30.61
Drawdown as % of equity-0.25%
($131)
Includes Typical Broker Commissions trade costs of $3.20

Statistics

  • Strategy began
    7/30/2021
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    493.76
  • Age
    16 months ago
  • What it trades
    Stocks
  • # Trades
    241
  • # Profitable
    92
  • % Profitable
    38.20%
  • Avg trade duration
    8.0 days
  • Max peak-to-valley drawdown
    5.23%
  • drawdown period
    Sept 20, 2021 - Oct 22, 2021
  • Annual Return (Compounded)
    1.6%
  • Avg win
    $221.20
  • Avg loss
    $105.96
  • Model Account Values (Raw)
  • Cash
    $51,651
  • Margin Used
    $0
  • Buying Power
    $51,804
  • Ratios
  • W:L ratio
    1.30:1
  • Sharpe Ratio
    0.01
  • Sortino Ratio
    0.02
  • Calmar Ratio
    1.615
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    11.20%
  • Correlation to SP500
    -0.24230
  • Return Percent SP500 (cumu) during strategy life
    -9.02%
  • Verified
  • C2Star
    1
  • Return Statistics
  • Ann Return (w trading costs)
    1.6%
  • Slump
  • Current Slump as Pcnt Equity
    2.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.89%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.016%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    755
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    314
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $106
  • Avg Win
    $221
  • Sum Trade PL (losers)
    $15,788.000
  • Age
  • Num Months filled monthly returns table
    18
  • Win / Loss
  • Sum Trade PL (winners)
    $20,350.000
  • # Winners
    92
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    -300
  • Win / Loss
  • # Losers
    149
  • % Winners
    38.2%
  • Frequency
  • Avg Position Time (mins)
    11516.60
  • Avg Position Time (hrs)
    191.94
  • Avg Trade Length
    8.0 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    0.40
  • Daily leverage (max)
    1.00
  • Regression
  • Alpha
    -0.00
  • Beta
    -0.06
  • Treynor Index
    -0.00
  • 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)
    -0.54
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    10.846
  • 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
    0.248
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.108
  • Hold-and-Hope Ratio
    0.092
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03899
  • SD
    0.04997
  • Sharpe ratio (Glass type estimate)
    0.78021
  • Sharpe ratio (Hedges UMVUE)
    0.74043
  • df
    15.00000
  • t
    0.90091
  • p
    0.35701
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.95213
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.48749
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97750
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.45836
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.38278
  • Upside Potential Ratio
    3.26661
  • Upside part of mean
    0.09210
  • Downside part of mean
    -0.05312
  • Upside SD
    0.04090
  • Downside SD
    0.02820
  • N nonnegative terms
    9.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    -0.06720
  • Mean of criterion
    0.03899
  • SD of predictor
    0.19082
  • SD of criterion
    0.04997
  • Covariance
    -0.00136
  • r
    -0.14260
  • b (slope, estimate of beta)
    -0.03734
  • a (intercept, estimate of alpha)
    0.03648
  • Mean Square Error
    0.00262
  • DF error
    14.00000
  • t(b)
    -0.53908
  • p(b)
    0.57130
  • t(a)
    0.81825
  • p(a)
    0.39318
  • Lowerbound of 95% confidence interval for beta
    -0.18592
  • Upperbound of 95% confidence interval for beta
    0.11123
  • Lowerbound of 95% confidence interval for alpha
    -0.05914
  • Upperbound of 95% confidence interval for alpha
    0.13209
  • Treynor index (mean / b)
    -1.04401
  • Jensen alpha (a)
    0.03648
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03768
  • SD
    0.04972
  • Sharpe ratio (Glass type estimate)
    0.75780
  • Sharpe ratio (Hedges UMVUE)
    0.71915
  • df
    15.00000
  • t
    0.87503
  • p
    0.36085
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97293
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.46412
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99762
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.43593
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.32609
  • Upside Potential Ratio
    3.20536
  • Upside part of mean
    0.09107
  • Downside part of mean
    -0.05339
  • Upside SD
    0.04035
  • Downside SD
    0.02841
  • N nonnegative terms
    9.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    -0.08436
  • Mean of criterion
    0.03768
  • SD of predictor
    0.19103
  • SD of criterion
    0.04972
  • Covariance
    -0.00127
  • r
    -0.13332
  • b (slope, estimate of beta)
    -0.03470
  • a (intercept, estimate of alpha)
    0.03475
  • Mean Square Error
    0.00260
  • DF error
    14.00000
  • t(b)
    -0.50334
  • p(b)
    0.56666
  • t(a)
    0.77997
  • p(a)
    0.39797
  • Lowerbound of 95% confidence interval for beta
    -0.18255
  • Upperbound of 95% confidence interval for beta
    0.11316
  • Lowerbound of 95% confidence interval for alpha
    -0.06080
  • Upperbound of 95% confidence interval for alpha
    0.13030
  • Treynor index (mean / b)
    -1.08582
  • Jensen alpha (a)
    0.03475
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02026
  • Expected Shortfall on VaR
    0.02610
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00949
  • Expected Shortfall on VaR
    0.01779
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.97671
  • Quartile 1
    0.99650
  • Median
    1.00821
  • Quartile 3
    1.01466
  • Maximum
    1.03297
  • Mean of quarter 1
    0.98832
  • Mean of quarter 2
    0.99964
  • Mean of quarter 3
    1.01206
  • Mean of quarter 4
    1.02228
  • Inter Quartile Range
    0.01816
  • 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)
    -2.16959
  • VaR(95%) (moments method)
    0.01055
  • Expected Shortfall (moments method)
    0.01082
  • Extreme Value Index (regression method)
    0.13654
  • VaR(95%) (regression method)
    0.01639
  • Expected Shortfall (regression method)
    0.02661
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00225
  • Quartile 1
    0.00278
  • Median
    0.00406
  • Quartile 3
    0.00968
  • Maximum
    0.02329
  • Mean of quarter 1
    0.00225
  • Mean of quarter 2
    0.00369
  • Mean of quarter 3
    0.00902
  • Mean of quarter 4
    0.01681
  • Inter Quartile Range
    0.00689
  • 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
    0.02329
  • 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)
    0.06854
  • Compounded annual return (geometric extrapolation)
    0.06778
  • Calmar ratio (compounded annual return / max draw down)
    2.91049
  • Compounded annual return / average of 25% largest draw downs
    4.03230
  • Compounded annual return / Expected Shortfall lognormal
    2.59658
  • 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
    0.03476
  • SD
    0.04863
  • Sharpe ratio (Glass type estimate)
    0.71473
  • Sharpe ratio (Hedges UMVUE)
    0.71320
  • df
    351.00000
  • t
    0.82844
  • p
    0.20399
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97753
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40600
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97856
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40496
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.05438
  • Upside Potential Ratio
    9.43026
  • Upside part of mean
    0.31085
  • Downside part of mean
    -0.27609
  • Upside SD
    0.03572
  • Downside SD
    0.03296
  • N nonnegative terms
    178.00000
  • N negative terms
    174.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    352.00000
  • Mean of predictor
    -0.07489
  • Mean of criterion
    0.03476
  • SD of predictor
    0.21636
  • SD of criterion
    0.04863
  • Covariance
    -0.00250
  • r
    -0.23734
  • b (slope, estimate of beta)
    -0.05334
  • a (intercept, estimate of alpha)
    0.03100
  • Mean Square Error
    0.00224
  • DF error
    350.00000
  • t(b)
    -4.57090
  • p(b)
    1.00000
  • t(a)
    0.75353
  • p(a)
    0.22582
  • Lowerbound of 95% confidence interval for beta
    -0.07630
  • Upperbound of 95% confidence interval for beta
    -0.03039
  • Lowerbound of 95% confidence interval for alpha
    -0.04953
  • Upperbound of 95% confidence interval for alpha
    0.11105
  • Treynor index (mean / b)
    -0.65154
  • Jensen alpha (a)
    0.03076
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03357
  • SD
    0.04863
  • Sharpe ratio (Glass type estimate)
    0.69039
  • Sharpe ratio (Hedges UMVUE)
    0.68891
  • df
    351.00000
  • t
    0.80023
  • p
    0.21206
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00177
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.38165
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.00279
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.38062
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.01524
  • Upside Potential Ratio
    9.38043
  • Upside part of mean
    0.31018
  • Downside part of mean
    -0.27661
  • Upside SD
    0.03562
  • Downside SD
    0.03307
  • N nonnegative terms
    178.00000
  • N negative terms
    174.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    352.00000
  • Mean of predictor
    -0.09826
  • Mean of criterion
    0.03357
  • SD of predictor
    0.21654
  • SD of criterion
    0.04863
  • Covariance
    -0.00249
  • r
    -0.23690
  • b (slope, estimate of beta)
    -0.05320
  • a (intercept, estimate of alpha)
    0.02834
  • Mean Square Error
    0.00224
  • DF error
    350.00000
  • t(b)
    -4.56186
  • p(b)
    1.00000
  • t(a)
    0.69416
  • p(a)
    0.24402
  • Lowerbound of 95% confidence interval for beta
    -0.07613
  • Upperbound of 95% confidence interval for beta
    -0.03026
  • Lowerbound of 95% confidence interval for alpha
    -0.05196
  • Upperbound of 95% confidence interval for alpha
    0.10865
  • Treynor index (mean / b)
    -0.63105
  • Jensen alpha (a)
    0.02834
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00480
  • Expected Shortfall on VaR
    0.00605
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00242
  • Expected Shortfall on VaR
    0.00460
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    352.00000
  • Minimum
    0.98426
  • Quartile 1
    0.99855
  • Median
    1.00013
  • Quartile 3
    1.00192
  • Maximum
    1.01176
  • Mean of quarter 1
    0.99667
  • Mean of quarter 2
    0.99933
  • Mean of quarter 3
    1.00097
  • Mean of quarter 4
    1.00399
  • Inter Quartile Range
    0.00337
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.01705
  • Mean of outliers low
    0.99134
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.01420
  • Mean of outliers high
    1.00897
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02735
  • VaR(95%) (moments method)
    0.00314
  • Expected Shortfall (moments method)
    0.00414
  • Extreme Value Index (regression method)
    -0.03549
  • VaR(95%) (regression method)
    0.00336
  • Expected Shortfall (regression method)
    0.00446
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00067
  • Quartile 1
    0.00176
  • Median
    0.00693
  • Quartile 3
    0.01071
  • Maximum
    0.03927
  • Mean of quarter 1
    0.00094
  • Mean of quarter 2
    0.00396
  • Mean of quarter 3
    0.00849
  • Mean of quarter 4
    0.02247
  • Inter Quartile Range
    0.00895
  • 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
    0.09091
  • Mean of outliers high
    0.03412
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.67195
  • VaR(95%) (moments method)
    0.02323
  • Expected Shortfall (moments method)
    0.02390
  • Extreme Value Index (regression method)
    -0.21176
  • VaR(95%) (regression method)
    0.02922
  • Expected Shortfall (regression method)
    0.03687
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06409
  • Compounded annual return (geometric extrapolation)
    0.06341
  • Calmar ratio (compounded annual return / max draw down)
    1.61480
  • Compounded annual return / average of 25% largest draw downs
    2.82197
  • Compounded annual return / Expected Shortfall lognormal
    10.48130
  • 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
    -0.00829
  • SD
    0.04371
  • Sharpe ratio (Glass type estimate)
    -0.18955
  • Sharpe ratio (Hedges UMVUE)
    -0.18845
  • df
    130.00000
  • t
    -0.13403
  • p
    0.50588
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.96109
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.58272
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.96035
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.58345
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.27761
  • Upside Potential Ratio
    8.67054
  • Upside part of mean
    0.25878
  • Downside part of mean
    -0.26706
  • Upside SD
    0.03171
  • Downside SD
    0.02985
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05717
  • Mean of criterion
    -0.00829
  • SD of predictor
    0.25063
  • SD of criterion
    0.04371
  • Covariance
    -0.00165
  • r
    -0.15060
  • b (slope, estimate of beta)
    -0.02626
  • a (intercept, estimate of alpha)
    -0.00979
  • Mean Square Error
    0.00188
  • DF error
    129.00000
  • t(b)
    -1.73018
  • p(b)
    0.59551
  • t(a)
    -0.15952
  • p(a)
    0.50894
  • Lowerbound of 95% confidence interval for beta
    -0.05630
  • Upperbound of 95% confidence interval for beta
    0.00377
  • Lowerbound of 95% confidence interval for alpha
    -0.13118
  • Upperbound of 95% confidence interval for alpha
    0.11160
  • Treynor index (mean / b)
    0.31546
  • Jensen alpha (a)
    -0.00979
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00923
  • SD
    0.04369
  • Sharpe ratio (Glass type estimate)
    -0.21130
  • Sharpe ratio (Hedges UMVUE)
    -0.21008
  • df
    130.00000
  • t
    -0.14941
  • p
    0.50655
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.98287
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.56099
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.98201
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.56184
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.30865
  • Upside Potential Ratio
    8.63396
  • Upside part of mean
    0.25825
  • Downside part of mean
    -0.26748
  • Upside SD
    0.03162
  • Downside SD
    0.02991
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08830
  • Mean of criterion
    -0.00923
  • SD of predictor
    0.25037
  • SD of criterion
    0.04369
  • Covariance
    -0.00165
  • r
    -0.15051
  • b (slope, estimate of beta)
    -0.02627
  • a (intercept, estimate of alpha)
    -0.01155
  • Mean Square Error
    0.00188
  • DF error
    129.00000
  • t(b)
    -1.72921
  • p(b)
    0.59546
  • t(a)
    -0.18833
  • p(a)
    0.51055
  • VAR (95 Confidence Intrvl)
    0.00500
  • Lowerbound of 95% confidence interval for beta
    -0.05632
  • Upperbound of 95% confidence interval for beta
    0.00379
  • Lowerbound of 95% confidence interval for alpha
    -0.13290
  • Upperbound of 95% confidence interval for alpha
    0.10980
  • Treynor index (mean / b)
    0.35149
  • Jensen alpha (a)
    -0.01155
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00447
  • Expected Shortfall on VaR
    0.00559
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00251
  • Expected Shortfall on VaR
    0.00450
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99216
  • Quartile 1
    0.99866
  • Median
    0.99985
  • Quartile 3
    1.00164
  • Maximum
    1.00943
  • Mean of quarter 1
    0.99687
  • Mean of quarter 2
    0.99932
  • Mean of quarter 3
    1.00069
  • Mean of quarter 4
    1.00344
  • Inter Quartile Range
    0.00298
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.99280
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.00792
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.28512
  • VaR(95%) (moments method)
    0.00304
  • Expected Shortfall (moments method)
    0.00369
  • Extreme Value Index (regression method)
    0.10560
  • VaR(95%) (regression method)
    0.00302
  • Expected Shortfall (regression method)
    0.00427
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00067
  • Quartile 1
    0.00151
  • Median
    0.00518
  • Quartile 3
    0.00878
  • Maximum
    0.01910
  • Mean of quarter 1
    0.00076
  • Mean of quarter 2
    0.00313
  • Mean of quarter 3
    0.00728
  • Mean of quarter 4
    0.01522
  • Inter Quartile Range
    0.00727
  • 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)
    -27.14100
  • VaR(95%) (moments method)
    0.01600
  • Expected Shortfall (moments method)
    0.01600
  • Extreme Value Index (regression method)
    -2.25724
  • VaR(95%) (regression method)
    0.02376
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.02402
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -315376000
  • Max Equity Drawdown (num days)
    32
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01876
  • Compounded annual return (geometric extrapolation)
    0.01885
  • Calmar ratio (compounded annual return / max draw down)
    0.98687
  • Compounded annual return / average of 25% largest draw downs
    1.23819
  • Compounded annual return / Expected Shortfall lognormal
    3.37415

Strategy Description

Summary Statistics

Strategy began
2021-07-30
Suggested Minimum Capital
$5,000
# Trades
241
# Profitable
92
% Profitable
38.2%
Net Dividends
Correlation S&P500
-0.242
Sharpe Ratio
0.01
Sortino Ratio
0.02
Beta
-0.06
Alpha
-0.00
Leverage
0.40 Average
1.00 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.