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Buffalo Q
(136878061)

Created by: James_L James_L
Started: 08/2021
Stocks
Last trade: 10 days ago
Trading style: Equity Trend-following

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $50.00 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.
37.1%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(16.8%)
Max Drawdown
23
Num Trades
69.6%
Win Trades
3.5 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                 +14.7%(10.3%)+28.0%+5.6%(1.4%)+37.1%

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 31 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
10/1/21 9:41 NFLX NETFLIX LONG 16 603.32 11/23 15:57 653.50 0.27%
Trade id #137616903
Max drawdown($138)
Time10/4/21 0:00
Quant open16
Worst price594.68
Drawdown as % of equity-0.27%
$803
Includes Typical Broker Commissions trade costs of $0.32
10/1/21 9:42 TSLA TESLA INC. LONG 13 772.42 11/15 10:13 1015.08 0.22%
Trade id #137616957
Max drawdown($114)
Time10/1/21 10:19
Quant open13
Worst price763.59
Drawdown as % of equity-0.22%
$3,155
Includes Typical Broker Commissions trade costs of $0.26
10/29/21 10:21 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A COMMON STOCK LONG 39 281.83 11/15 9:30 266.14 1.1%
Trade id #138004914
Max drawdown($725)
Time11/1/21 0:00
Quant open39
Worst price263.23
Drawdown as % of equity-1.10%
($613)
Includes Typical Broker Commissions trade costs of $0.78
10/1/21 9:40 COST COSTCO WHOLESALE LONG 22 448.47 10/29 10:18 490.32 0.53%
Trade id #137616852
Max drawdown($270)
Time10/4/21 0:00
Quant open22
Worst price436.17
Drawdown as % of equity-0.53%
$921
Includes Typical Broker Commissions trade costs of $0.44
8/31/21 10:24 ISRG INTUITIVE SURGICAL LONG 30 350.02 10/29 10:15 355.32 1.69%
Trade id #137192992
Max drawdown($868)
Time10/4/21 0:00
Quant open30
Worst price321.05
Drawdown as % of equity-1.69%
$158
Includes Typical Broker Commissions trade costs of $0.60
8/31/21 10:27 DOCU DOCUSIGN INC. COMMON STOCK LONG 34 295.60 10/1 9:36 257.44 2.65%
Trade id #137193070
Max drawdown($1,447)
Time9/28/21 0:00
Quant open34
Worst price253.03
Drawdown as % of equity-2.65%
($1,298)
Includes Typical Broker Commissions trade costs of $0.68
8/31/21 10:24 ASML ASML HOLDING LONG 12 831.77 10/1 9:36 740.76 2.17%
Trade id #137192958
Max drawdown($1,119)
Time10/1/21 9:34
Quant open12
Worst price738.48
Drawdown as % of equity-2.17%
($1,092)
Includes Typical Broker Commissions trade costs of $0.24
8/31/21 10:23 ADBE ADOBE INC LONG 15 662.71 10/1 9:35 574.99 2.6%
Trade id #137192934
Max drawdown($1,342)
Time9/30/21 0:00
Quant open15
Worst price573.24
Drawdown as % of equity-2.60%
($1,316)
Includes Typical Broker Commissions trade costs of $0.30
8/31/21 10:21 REGN REGENERON PHARMACEUTICALS LONG 15 679.95 10/1 9:35 568.02 3.24%
Trade id #137192853
Max drawdown($1,671)
Time10/1/21 9:35
Quant open15
Worst price568.51
Drawdown as % of equity-3.24%
($1,679)
Includes Typical Broker Commissions trade costs of $0.30
8/9/21 10:29 ASML ASML HOLDING LONG 31 792.06 8/31 9:56 832.19 2%
Trade id #136883979
Max drawdown($956)
Time8/19/21 0:00
Quant open31
Worst price761.21
Drawdown as % of equity-2.00%
$1,243
Includes Typical Broker Commissions trade costs of $0.62
8/9/21 10:26 NVDA NVIDIA LONG 122 204.43 8/31 9:56 222.66 4.28%
Trade id #136883911
Max drawdown($2,050)
Time8/19/21 0:00
Quant open122
Worst price187.62
Drawdown as % of equity-4.28%
$2,222
Includes Typical Broker Commissions trade costs of $2.44
8/9/21 10:25 INTU INTUIT LONG 47 535.86 8/31 9:56 564.42 0.89%
Trade id #136883895
Max drawdown($434)
Time8/11/21 0:00
Quant open47
Worst price526.62
Drawdown as % of equity-0.89%
$1,341
Includes Typical Broker Commissions trade costs of $0.94
8/9/21 10:23 TEAM ATLASSIAN CORPORATION PLC CLASS A ORDINARY SHARES LONG 75 332.91 8/31 9:55 367.05 1.22%
Trade id #136883802
Max drawdown($614)
Time8/16/21 0:00
Quant open75
Worst price324.72
Drawdown as % of equity-1.22%
$2,560
Includes Typical Broker Commissions trade costs of $1.50

Statistics

  • Strategy began
    8/9/2021
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    116.79
  • Age
    117 days ago
  • What it trades
    Stocks
  • # Trades
    23
  • # Profitable
    16
  • % Profitable
    69.60%
  • Avg trade duration
    36.7 days
  • Max peak-to-valley drawdown
    16.84%
  • drawdown period
    Sept 03, 2021 - Oct 04, 2021
  • Cumul. Return
    37.1%
  • Avg win
    $1,455
  • Avg loss
    $957.43
  • Model Account Values (Raw)
  • Cash
    $17,388
  • Margin Used
    $0
  • Buying Power
    $29,340
  • Ratios
  • W:L ratio
    3.49:1
  • Sharpe Ratio
    2.85
  • Sortino Ratio
    4.56
  • Calmar Ratio
    10.957
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    34.74%
  • Correlation to SP500
    0.53920
  • Return Percent SP500 (cumu) during strategy life
    2.39%
  • Return Statistics
  • Ann Return (w trading costs)
    162.0%
  • Slump
  • Current Slump as Pcnt Equity
    6.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.12%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.371%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    170.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    8.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    864
  • Popularity (Last 6 weeks)
    927
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    934
  • Popularity (7 days, Percentile 1000 scale)
    936
  • 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
    $957
  • Avg Win
    $1,599
  • Sum Trade PL (losers)
    $6,702.000
  • AUM
  • AUM (AutoTrader num accounts)
    2
  • Age
  • Num Months filled monthly returns table
    5
  • Win / Loss
  • Sum Trade PL (winners)
    $25,584.000
  • # Winners
    16
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    34
  • AUM
  • AUM (AutoTrader live capital)
    137903
  • Win / Loss
  • # Losers
    7
  • % Winners
    69.6%
  • Frequency
  • Avg Position Time (mins)
    52880.00
  • Avg Position Time (hrs)
    881.33
  • Avg Trade Length
    36.7 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    1.45
  • Daily leverage (max)
    2.08
  • Regression
  • Alpha
    0.25
  • Beta
    1.32
  • Treynor Index
    0.21
  • 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)
    0.21
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.053
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.381
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.044
  • Hold-and-Hope Ratio
    1.207
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.56815
  • SD
    0.74843
  • Sharpe ratio (Glass type estimate)
    2.09526
  • Sharpe ratio (Hedges UMVUE)
    1.18212
  • df
    2.00000
  • t
    1.04763
  • p
    0.20237
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.44509
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.27075
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.90540
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.26965
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.07341
  • Upside Potential Ratio
    10.07340
  • Upside part of mean
    1.95663
  • Downside part of mean
    -0.38847
  • Upside SD
    0.73528
  • Downside SD
    0.19424
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.20477
  • Mean of criterion
    1.56815
  • SD of predictor
    0.16304
  • SD of criterion
    0.74843
  • Covariance
    0.12113
  • r
    0.99266
  • b (slope, estimate of beta)
    4.55673
  • a (intercept, estimate of alpha)
    0.63506
  • Mean Square Error
    0.01638
  • DF error
    1.00000
  • t(b)
    8.20910
  • p(b)
    0.03859
  • t(a)
    2.26741
  • p(a)
    0.13222
  • Lowerbound of 95% confidence interval for beta
    -2.49627
  • Upperbound of 95% confidence interval for beta
    11.60970
  • Lowerbound of 95% confidence interval for alpha
    -2.92369
  • Upperbound of 95% confidence interval for alpha
    4.19381
  • Treynor index (mean / b)
    0.34414
  • Jensen alpha (a)
    0.63506
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.31905
  • SD
    0.68115
  • Sharpe ratio (Glass type estimate)
    1.93652
  • Sharpe ratio (Hedges UMVUE)
    1.09256
  • df
    2.00000
  • t
    0.96826
  • p
    0.21753
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.53530
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.05833
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.97096
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.15608
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.47139
  • Upside Potential Ratio
    8.47139
  • Upside part of mean
    1.72671
  • Downside part of mean
    -0.40766
  • Upside SD
    0.64246
  • Downside SD
    0.20383
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.19405
  • Mean of criterion
    1.31905
  • SD of predictor
    0.15996
  • SD of criterion
    0.68115
  • Covariance
    0.10757
  • r
    0.98727
  • b (slope, estimate of beta)
    4.20415
  • a (intercept, estimate of alpha)
    0.50323
  • Mean Square Error
    0.02347
  • DF error
    1.00000
  • t(b)
    6.20808
  • p(b)
    0.05084
  • t(a)
    1.50951
  • p(a)
    0.18624
  • Lowerbound of 95% confidence interval for beta
    -4.40057
  • Upperbound of 95% confidence interval for beta
    12.80890
  • Lowerbound of 95% confidence interval for alpha
    -3.73272
  • Upperbound of 95% confidence interval for alpha
    4.73919
  • Treynor index (mean / b)
    0.31375
  • Jensen alpha (a)
    0.50323
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19225
  • Expected Shortfall on VaR
    0.25405
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05894
  • Expected Shortfall on VaR
    0.11096
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.90521
  • Quartile 1
    1.03201
  • Median
    1.15882
  • Quartile 3
    1.24691
  • Maximum
    1.33500
  • Mean of quarter 1
    0.90521
  • Mean of quarter 2
    1.15882
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.33500
  • Inter Quartile Range
    0.21489
  • 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
    0.09479
  • Quartile 1
    0.09479
  • Median
    0.09479
  • Quartile 3
    0.09479
  • Maximum
    0.09479
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.60150
  • Compounded annual return (geometric extrapolation)
    2.84571
  • Calmar ratio (compounded annual return / max draw down)
    30.02120
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    11.20150
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.01095
  • SD
    0.29600
  • Sharpe ratio (Glass type estimate)
    3.41541
  • Sharpe ratio (Hedges UMVUE)
    3.38446
  • df
    83.00000
  • t
    1.93389
  • p
    0.02827
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09472
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.90556
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.11508
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.88399
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.72969
  • Upside Potential Ratio
    13.86420
  • Upside part of mean
    2.44621
  • Downside part of mean
    -1.43526
  • Upside SD
    0.24360
  • Downside SD
    0.17644
  • N nonnegative terms
    49.00000
  • N negative terms
    35.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    84.00000
  • Mean of predictor
    0.05330
  • Mean of criterion
    1.01095
  • SD of predictor
    0.12240
  • SD of criterion
    0.29600
  • Covariance
    0.01961
  • r
    0.54140
  • b (slope, estimate of beta)
    1.30929
  • a (intercept, estimate of alpha)
    0.94100
  • Mean Square Error
    0.06269
  • DF error
    82.00000
  • t(b)
    5.83108
  • p(b)
    0.00000
  • t(a)
    2.12767
  • p(a)
    0.01818
  • Lowerbound of 95% confidence interval for beta
    0.86262
  • Upperbound of 95% confidence interval for beta
    1.75597
  • Lowerbound of 95% confidence interval for alpha
    0.06120
  • Upperbound of 95% confidence interval for alpha
    1.82114
  • Treynor index (mean / b)
    0.77213
  • Jensen alpha (a)
    0.94117
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.96591
  • SD
    0.29509
  • Sharpe ratio (Glass type estimate)
    3.27322
  • Sharpe ratio (Hedges UMVUE)
    3.24356
  • df
    83.00000
  • t
    1.85338
  • p
    0.03369
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23337
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.76062
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.25289
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.74000
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.39233
  • Upside Potential Ratio
    13.49270
  • Upside part of mean
    2.41690
  • Downside part of mean
    -1.45099
  • Upside SD
    0.23983
  • Downside SD
    0.17913
  • N nonnegative terms
    49.00000
  • N negative terms
    35.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    84.00000
  • Mean of predictor
    0.04586
  • Mean of criterion
    0.96591
  • SD of predictor
    0.12269
  • SD of criterion
    0.29509
  • Covariance
    0.01968
  • r
    0.54357
  • b (slope, estimate of beta)
    1.30735
  • a (intercept, estimate of alpha)
    0.90595
  • Mean Square Error
    0.06210
  • DF error
    82.00000
  • t(b)
    5.86428
  • p(b)
    0.00000
  • t(a)
    2.05795
  • p(a)
    0.02139
  • Lowerbound of 95% confidence interval for beta
    0.86386
  • Upperbound of 95% confidence interval for beta
    1.75084
  • Lowerbound of 95% confidence interval for alpha
    0.03021
  • Upperbound of 95% confidence interval for alpha
    1.78168
  • Treynor index (mean / b)
    0.73882
  • Jensen alpha (a)
    0.90595
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02596
  • Expected Shortfall on VaR
    0.03333
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01126
  • Expected Shortfall on VaR
    0.02232
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    84.00000
  • Minimum
    0.94752
  • Quartile 1
    0.99111
  • Median
    1.00511
  • Quartile 3
    1.01511
  • Maximum
    1.05132
  • Mean of quarter 1
    0.98101
  • Mean of quarter 2
    0.99829
  • Mean of quarter 3
    1.01018
  • Mean of quarter 4
    1.02639
  • Inter Quartile Range
    0.02401
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01190
  • Mean of outliers low
    0.94752
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01190
  • Mean of outliers high
    1.05132
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01837
  • VaR(95%) (moments method)
    0.01874
  • Expected Shortfall (moments method)
    0.02498
  • Extreme Value Index (regression method)
    -0.15601
  • VaR(95%) (regression method)
    0.02081
  • Expected Shortfall (regression method)
    0.02629
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00143
  • Quartile 1
    0.00262
  • Median
    0.03149
  • Quartile 3
    0.04351
  • Maximum
    0.15529
  • Mean of quarter 1
    0.00198
  • Mean of quarter 2
    0.01710
  • Mean of quarter 3
    0.03272
  • Mean of quarter 4
    0.10479
  • Inter Quartile Range
    0.04089
  • 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
    0.15529
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.17038
  • Compounded annual return (geometric extrapolation)
    1.70151
  • Calmar ratio (compounded annual return / max draw down)
    10.95730
  • Compounded annual return / average of 25% largest draw downs
    16.23730
  • Compounded annual return / Expected Shortfall lognormal
    51.05420
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.02600
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -318618000
  • Max Equity Drawdown (num days)
    31

Strategy Description

****Keep a closed tracking of this strategy.
****It is FREE to add this strategy to your Watch List or to start Simulate.

If you have questions about my strategy, feel free to reach me out by email buffaloasset@gmail.com.

--------------------------------------------------------------------------------
Main difference between our two strategies
………………..............…………...Buffalo………….........……Buffalo Q...............
Focus:…………...........…………US large-cap stocks…..US tech stocks.....
Equity holding:………….......10 to 20…………......……5 to 10...................
Average trade per month:12…………..........………….6.............................
Average holding time:…....1.5 month……….....…….1.5 month.............
Average leverage:………......1.3…………………..........…1.4..........................
Return:....…………………….....Moderate……….....……..High.......................
Risk:....……………….........…….Moderate……….....……..High.......................
------------------------------------------------------------------------------------------

****Description of strategy "Buffalo Q" ****
Although this strategy only deployed on Colletive2 in August 2021, I have been back-testing, optimising, and tracking real-time performance of this model for years. I saw promising results. I know it is weak to say how good our strategy is without having a Collective2 solid tracking record. You may want to wait for six months or more before subscription. However, if you are reading, add this strategy to your Watch List or start Simulate, it is free to do so. Track it for six months and see the result.

1. Summary
This strategy focuses on technology section and holds companies that have the most upward momentum.

2. Objective
To achieve an outsized return higher than SPX500 over the long term, with a lower maximum drawback.

3. System description
The theory behind this model is momentum. Stocks that have risen in the past tend to keep rising. Stocks that have done poorly tend to keep falling. Stocks that have the most upward momentum beat the market.
This strategy is fully algorithm based. It uses a diverse set of factors and multiple performance windows to rank assets from an asset pool. It only holds the top best-performing assets. The performance of each asset will be reviewed monthly. Generally, changes in asset allocation happen once a month especially on the last trading day of each month. At the time when there is no asset meeting its criteria, it simply holds cash.
To ensure best performance and avoid lack of liquidity, our asset pool is composed of carefully selected medium-large US stocks, index ETFs and Bond ETFs.

4. Key Features:
Fully algorithm based
Designed to scale up
Average 1.5 months holding time
Average 6 trades each month
Medium-large stocks and ETFs only strategy
Long-only strategy
AutoTrade (recommended, hassle-free) or manual.
Sophisticated risk management

5. Risk management
The following defensive strategy is used to protecting profits.
a. Hold and be patient. Keep a close eye on the market.
b. Close risky positions.
c. Reduce leverage
d. Add hedges to the portfolio, including Inverse ETFs and Bond ETFs.

Stop Loss is used and will be updated regularly as well.


********************************************************************************************************
FAQs
1. Should I copy open trades?
Yes

2. What is the minimum amount I should copy?
For AutoTraders, the recommended minimum amount is $20000 otherwise you may not 100% copy all my trades. Why? First, some stocks are not cheap. e.g. AMZN $3300/share, GOOGL $2800/share. Second, C2 AutoTrade rounds down fractions.
For manual traders, if your broker has fractional trading available, a minimum amount of $1000 will do, otherwise recommended minimum amount is $20000.

3. When is the best time to start copying?
The best time is now. You have to enter the market, in order to beat the market. As a long-term investor, the daily movements in markets will ultimately have a marginal effect on your returns.

4. Does this system need to be AutoTraded?
AutoTrade is recommended, hassle-free.
Manual trading also works.
As we know that AutoTrade is not supported by all brokers, you can copy my positions manually. Signals will be sent by C2 system-generated emails at the same time when I enter/close positions. You could simply copy my trade at market price. It is been back-tested that there is not much difference in returns between trading by using end of day price and trading by using the next day open price. Manual trading may have a little advantage which is you could 100% copy my portfolio if your broker has fractional trading available. Why? Because C2 AutoTrade rounds down fractions.

For manual traders, make sure you have C2 signal alerts turned on. Refer to https://support.collective2.com/hc/en-us/articles/115013734467-Can-I-receive-real-time-signal-alerts-

5. Do you short stocks?
No.

6. Do you use leverage?
Yes, average 1.5 leverage

7. Do you use Stops?
Yes, our strategy has a 20% Stop Loss at portfolio level, and will be updated regularly.

8. How do I set up Auto Stop Loss?
Choose "No custom stop loss. Follow strategy rules." (Recommended)
If you want to set up a custom stop loss, make it as more than 30% of every position. A stop-loss that is too small pretty much guarantees you to sell at the worst time possible. We use inverse ETFs and bond ETFs to protect our positions when necessary. Follow our strategy rules. Don't panic sell. The last thing you want is for your positions to be sold when the market crashes.

9. Which account type should I have?
Your account must have permission to trade stocks (Long) and ETF(Long). We may buy inverse ETFs (e.g. SH, PSQ) to hedge against market crashes but we DO NOT short stocks.
1). Margin account is recommended. (Recommend 100% AutoTrade Scaling)
2). Non-margin account including Cash account, Individual Retirement Account (IRA) or Self-Managed Superannuation Fund account (SMSF) also works. HOWEVER, as we know, these accounts don't allow you to borrow funds. As my strategy uses an average 1.5X leverage, please set your AutoTrade Scaling as 60% or under, otherwise, you may not copy all my positions or you may exceed your account limit.

10. How much scaling should I use?
1). For margin account holders, recommended Scaling= (the amount you wish to allocate / my model account equity)*100%.
Example:
Strategy’s current Model Account equity is $50,000.
You wish to allocate $40,000 to my strategy.
You might consider doing the following: set your AutoTrade Scaling to 80% = 40000/50000*100%.
2). For non-margin account holders, recommended Scaling= (the amount you wish to allocate / my model account equity)*100%*60%.
Our strategy uses 1.5x leverage, you cannot borrow funds and you do not want to exceed your account limit.
Example:
Strategy’s current Model Account equity is $50,000.
You wish to allocate $40,000 to my strategy.
You might consider doing the following: set your AutoTrade Scaling to 48% = (40000/50000)*100%*60%.

About Scaling, refer to https://support.collective2.com/hc/en-us/articles/115008510008-AutoTrade-Setting-Scaling-How-big-or-small-should-I-make-my-scaling-

Summary Statistics

Strategy began
2021-08-09
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 6.6%
Rank # 
#54
# Trades
23
# Profitable
16
% Profitable
69.6%
Net Dividends
Correlation S&P500
0.539
Sharpe Ratio
2.85
Sortino Ratio
4.56
Beta
1.32
Alpha
0.25
Leverage
1.45 Average
2.08 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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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.