Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +37.2% Cumul. Return since Sep 23, 2025 Hypothetical

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Signal vs Noise
(137657820)

Created by: MendelFried MendelFried
Started: 10/2021
Stocks
Last trade: 1,537 days ago

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.

-2.8%
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.

(50.8%)
Max Drawdown
1770
Num Trades
50.4%
Win Trades
1.0 : 1
Profit Factor
3.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                               (3.6%)(0.3%)+7.3%+3.1%
2022(14.9%)(8.4%)+9.0%  -    -    -    -    -    -    -    -    -  (15.1%)
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -    -                                      0.0

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.

Trading Record

This strategy has placed 2,671 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1556 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/26/22 15:57 VIGL VIGIL NEUROSCIENCE INC. COMMON STOCK LONG 146 13.92 2/1 9:30 12.84 0.18%
Trade id #139116343
Max drawdown($157)
Time2/1/22 9:30
Quant open146
Worst price12.84
Drawdown as % of equity-0.18%
 ($161)
Includes Typical Broker Commissions trade costs of $2.92
1/24/22 9:30 MRVL MARVELL TECHNOLOGY LONG 97 70.65 1/31 15:58 65.43 0.9%
Trade id #139069626
Max drawdown($785)
Time1/28/22 0:00
Quant open97
Worst price62.55
Drawdown as % of equity-0.90%
 ($508)
Includes Typical Broker Commissions trade costs of $1.94
1/25/22 12:16 LYV LIVE NATION ENTERTAINMENT LONG 38 104.12 1/31 9:30 105.01 0.19%
Trade id #139094356
Max drawdown($165)
Time1/28/22 0:00
Quant open38
Worst price99.76
Drawdown as % of equity-0.19%
 $33
Includes Typical Broker Commissions trade costs of $0.76
1/26/22 15:58 CINC CINCOR PHARMA INC. LONG 120 16.99 1/28 11:55 18.48 0.17%
Trade id #139116349
Max drawdown($148)
Time1/27/22 0:00
Quant open120
Worst price15.76
Drawdown as % of equity-0.17%
 $177
Includes Typical Broker Commissions trade costs of $2.40
1/24/22 9:30 TSLA TESLA INC. LONG 11 905.12 1/28 10:04 805.97 1.42%
Trade id #139069628
Max drawdown($1,244)
Time1/28/22 9:47
Quant open11
Worst price792.01
Drawdown as % of equity-1.42%
 ($1,091)
Includes Typical Broker Commissions trade costs of $0.22
1/24/22 9:30 PANW PALO ALTO NETWORKS LONG 8 471.49 1/28 10:02 482.32 0.16%
Trade id #139069614
Max drawdown($125)
Time1/24/22 12:20
Quant open8
Worst price455.76
Drawdown as % of equity-0.16%
 $87
Includes Typical Broker Commissions trade costs of $0.16
1/24/22 9:30 FTNT FORTINET LONG 13 280.77 1/28 10:02 265.53 0.29%
Trade id #139069619
Max drawdown($233)
Time1/24/22 12:17
Quant open13
Worst price262.84
Drawdown as % of equity-0.29%
 ($198)
Includes Typical Broker Commissions trade costs of $0.26
1/25/22 12:36 MYNZ MAINZ BIOMED B.V. ORDINARY SHARES LONG 292 19.30 1/28 9:33 15.13 1.59%
Trade id #139094717
Max drawdown($1,422)
Time1/26/22 0:00
Quant open292
Worst price14.43
Drawdown as % of equity-1.59%
 ($1,223)
Includes Typical Broker Commissions trade costs of $5.84
1/26/22 10:33 NUS NU SKIN ENTERPRISES LONG 118 48.25 1/27 15:58 48.90 0.11%
Trade id #139108705
Max drawdown($97)
Time1/26/22 15:23
Quant open118
Worst price47.42
Drawdown as % of equity-0.11%
 $75
Includes Typical Broker Commissions trade costs of $2.36
1/26/22 15:20 KR KROGER LONG 129 44.24 1/27 15:58 45.42 0%
Trade id #139115377
Max drawdown($1)
Time1/26/22 15:23
Quant open129
Worst price44.23
Drawdown as % of equity-0.00%
 $150
Includes Typical Broker Commissions trade costs of $2.58
1/26/22 15:03 CHKP CHECK POINT SOFTWARE LONG 49 117.07 1/27 15:57 117.46 0.05%
Trade id #139114771
Max drawdown($46)
Time1/26/22 15:24
Quant open49
Worst price116.12
Drawdown as % of equity-0.05%
 $18
Includes Typical Broker Commissions trade costs of $0.98
1/25/22 10:03 SCHW CHARLES SCHWAB LONG 47 85.97 1/27 9:30 91.27 0.01%
Trade id #139089822
Max drawdown($10)
Time1/25/22 10:12
Quant open47
Worst price85.74
Drawdown as % of equity-0.01%
 $248
Includes Typical Broker Commissions trade costs of $0.94
1/25/22 11:01 JXN JACKSON FINANCIAL INC LONG 108 37.15 1/27 9:30 39.59 0.01%
Trade id #139091649
Max drawdown($7)
Time1/25/22 11:04
Quant open108
Worst price37.08
Drawdown as % of equity-0.01%
 $262
Includes Typical Broker Commissions trade costs of $2.16
1/25/22 9:43 FWONK FORMULA ONE GROUP LONG 98 57.43 1/26 15:57 56.97 0.19%
Trade id #139088719
Max drawdown($169)
Time1/26/22 15:26
Quant open98
Worst price55.70
Drawdown as % of equity-0.19%
 ($47)
Includes Typical Broker Commissions trade costs of $1.96
1/24/22 9:30 TTM TATA MOTORS LONG 128 31.13 1/26 9:40 32.21 0.14%
Trade id #139069596
Max drawdown($112)
Time1/24/22 12:17
Quant open128
Worst price30.25
Drawdown as % of equity-0.14%
 $135
Includes Typical Broker Commissions trade costs of $2.56
1/25/22 10:50 CF CF INDUSTRIES HOLDINGS SHORT 86 70.15 1/26 9:33 70.66 0.22%
Trade id #139091328
Max drawdown($199)
Time1/26/22 0:00
Quant open86
Worst price72.47
Drawdown as % of equity-0.22%
 ($46)
Includes Typical Broker Commissions trade costs of $1.72
1/24/22 15:57 GSL GLOBAL SHIP LEASE LONG 257 22.19 1/26 9:33 22.80 0.23%
Trade id #139080947
Max drawdown($202)
Time1/25/22 0:00
Quant open257
Worst price21.40
Drawdown as % of equity-0.23%
 $152
Includes Typical Broker Commissions trade costs of $5.14
1/24/22 9:49 SU SUNCOR ENERGY LONG 151 26.23 1/26 9:30 28.19 0.18%
Trade id #139070799
Max drawdown($144)
Time1/24/22 12:38
Quant open151
Worst price25.27
Drawdown as % of equity-0.18%
 $293
Includes Typical Broker Commissions trade costs of $3.02
1/24/22 9:30 CVE CENOVUS ENERGY LONG 291 13.42 1/26 9:30 14.93 0.15%
Trade id #139069635
Max drawdown($119)
Time1/24/22 12:40
Quant open291
Worst price13.01
Drawdown as % of equity-0.15%
 $434
Includes Typical Broker Commissions trade costs of $5.82
1/25/22 9:54 PCAR PACCAR LONG 46 87.88 1/25 15:57 93.91 0.01%
Trade id #139089481
Max drawdown($9)
Time1/25/22 9:57
Quant open46
Worst price87.67
Drawdown as % of equity-0.01%
 $276
Includes Typical Broker Commissions trade costs of $0.92
1/24/22 13:03 ARDS ARIDIS PHARMACEUTICALS INC. SHORT 938 2.04 1/25 9:40 1.98 0.22%
Trade id #139076862
Max drawdown($196)
Time1/25/22 0:00
Quant open938
Worst price2.25
Drawdown as % of equity-0.22%
 $51
Includes Typical Broker Commissions trade costs of $5.00
1/24/22 10:04 WBS WEBSTER FINANCIAL LONG 92 58.75 1/25 9:38 59.15 0.14%
Trade id #139071408
Max drawdown($107)
Time1/24/22 12:37
Quant open92
Worst price57.58
Drawdown as % of equity-0.14%
 $35
Includes Typical Broker Commissions trade costs of $1.84
1/24/22 10:11 AU ANGLOGOLD LONG 277 19.44 1/25 9:38 19.76 0.04%
Trade id #139071629
Max drawdown($30)
Time1/24/22 11:14
Quant open277
Worst price19.33
Drawdown as % of equity-0.04%
 $83
Includes Typical Broker Commissions trade costs of $5.54
1/24/22 12:49 BDSI BIODELIVERY SCIENCES SHORT 520 3.68 1/25 9:38 3.61 0.06%
Trade id #139076554
Max drawdown($46)
Time1/24/22 14:08
Quant open520
Worst price3.77
Drawdown as % of equity-0.06%
 $31
Includes Typical Broker Commissions trade costs of $5.00
1/24/22 10:03 FNB F.N.B. LONG 429 12.65 1/25 9:36 12.91 0.01%
Trade id #139071351
Max drawdown($8)
Time1/24/22 10:11
Quant open429
Worst price12.63
Drawdown as % of equity-0.01%
 $103
Includes Typical Broker Commissions trade costs of $8.58
1/24/22 10:00 EVA ENVIVA INC LONG 76 70.46 1/25 9:36 69.50 0.21%
Trade id #139071232
Max drawdown($186)
Time1/24/22 10:11
Quant open76
Worst price68.01
Drawdown as % of equity-0.21%
 ($75)
Includes Typical Broker Commissions trade costs of $1.52
1/24/22 10:03 STL STERLING BANCORP LONG 201 26.99 1/25 9:36 27.17 0.13%
Trade id #139071349
Max drawdown($105)
Time1/24/22 12:36
Quant open201
Worst price26.46
Drawdown as % of equity-0.13%
 $32
Includes Typical Broker Commissions trade costs of $4.02
1/24/22 9:30 SSL SASOL LONG 277 19.61 1/25 9:32 19.87 0.28%
Trade id #139069616
Max drawdown($227)
Time1/24/22 12:37
Quant open277
Worst price18.79
Drawdown as % of equity-0.28%
 $66
Includes Typical Broker Commissions trade costs of $5.54
1/24/22 9:30 SBSW SIBANYE-STILLWATER LONG 370 14.37 1/25 9:32 14.60 0.2%
Trade id #139069622
Max drawdown($179)
Time1/24/22 10:11
Quant open370
Worst price13.88
Drawdown as % of equity-0.20%
 $78
Includes Typical Broker Commissions trade costs of $7.40
1/24/22 9:30 FHB FIRST HAWAIIAN INC. COMMON STOCK LONG 192 28.19 1/25 9:32 28.58 0.2%
Trade id #139069658
Max drawdown($160)
Time1/24/22 12:26
Quant open192
Worst price27.36
Drawdown as % of equity-0.20%
 $71
Includes Typical Broker Commissions trade costs of $3.84

Statistics

  • Strategy began
    10/4/2021
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1705.2
  • Age
    57 months ago
  • What it trades
    Stocks
  • # Trades
    1770
  • # Profitable
    892
  • % Profitable
    50.40%
  • Avg trade duration
    7.6 days
  • Max peak-to-valley drawdown
    50.83%
  • drawdown period
    Jan 09, 2022 - Jan 20, 2022
  • Annual Return (Compounded)
    -2.8%
  • Avg win
    $200.62
  • Avg loss
    $211.52
  • Model Account Values (Raw)
  • Cash
    $92,430
  • Margin Used
    $0
  • Buying Power
    $91,316
  • Ratios
  • W:L ratio
    0.97:1
  • Sharpe Ratio
    -0.13
  • Sortino Ratio
    -0.19
  • Calmar Ratio
    -0.331
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -84.11%
  • Correlation to SP500
    -0.03900
  • Return Percent SP500 (cumu) during strategy life
    71.94%
  • Return Statistics
  • Ann Return (w trading costs)
    -2.8%
  • Slump
  • Current Slump as Pcnt Equity
    39.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.94%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.028%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -1.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    92.50%
  • Chance of 20% account loss
    85.50%
  • Chance of 30% account loss
    67.50%
  • Chance of 40% account loss
    55.00%
  • Chance of 60% account loss (Monte Carlo)
    11.00%
  • Chance of 70% account loss (Monte Carlo)
    1.00%
  • 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
    32.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $212
  • Avg Win
    $201
  • Sum Trade PL (losers)
    $185,714.000
  • Age
  • Num Months filled monthly returns table
    57
  • Win / Loss
  • Sum Trade PL (winners)
    $178,953.000
  • # Winners
    892
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    283
  • Win / Loss
  • # Losers
    878
  • % Winners
    50.4%
  • Frequency
  • Avg Position Time (mins)
    10935.70
  • Avg Position Time (hrs)
    182.26
  • Avg Trade Length
    7.6 days
  • Last Trade Ago
    1530
  • Leverage
  • Daily leverage (average)
    3.29
  • Daily leverage (max)
    5.39
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.05
  • Treynor Index
    0.18
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.37
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -11.690
  • 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
    0.723
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.740
  • Hold-and-Hope Ratio
    -0.088
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09316
  • SD
    0.22748
  • Sharpe ratio (Glass type estimate)
    -0.40952
  • Sharpe ratio (Hedges UMVUE)
    -0.36968
  • df
    8.00000
  • t
    -0.35466
  • p
    0.63399
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.66884
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87470
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.64009
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.90073
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.52786
  • Upside Potential Ratio
    1.12624
  • Upside part of mean
    0.19876
  • Downside part of mean
    -0.29192
  • Upside SD
    0.12479
  • Downside SD
    0.17648
  • N nonnegative terms
    2.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.53457
  • Mean of criterion
    -0.09316
  • SD of predictor
    0.31572
  • SD of criterion
    0.22748
  • Covariance
    0.00701
  • r
    0.09760
  • b (slope, estimate of beta)
    0.07032
  • a (intercept, estimate of alpha)
    -0.13075
  • Mean Square Error
    0.05857
  • DF error
    7.00000
  • t(b)
    0.25948
  • p(b)
    0.40137
  • t(a)
    -0.41536
  • p(a)
    0.65484
  • Lowerbound of 95% confidence interval for beta
    -0.57055
  • Upperbound of 95% confidence interval for beta
    0.71120
  • Lowerbound of 95% confidence interval for alpha
    -0.87510
  • Upperbound of 95% confidence interval for alpha
    0.61360
  • Treynor index (mean / b)
    -1.32468
  • Jensen alpha (a)
    -0.13075
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11716
  • SD
    0.23330
  • Sharpe ratio (Glass type estimate)
    -0.50220
  • Sharpe ratio (Hedges UMVUE)
    -0.45334
  • df
    8.00000
  • t
    -0.43492
  • p
    0.66244
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.76312
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78905
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.72739
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82070
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.62451
  • Upside Potential Ratio
    1.01779
  • Upside part of mean
    0.19095
  • Downside part of mean
    -0.30811
  • Upside SD
    0.11969
  • Downside SD
    0.18761
  • N nonnegative terms
    2.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.48052
  • Mean of criterion
    -0.11716
  • SD of predictor
    0.30651
  • SD of criterion
    0.23330
  • Covariance
    0.00884
  • r
    0.12367
  • b (slope, estimate of beta)
    0.09413
  • a (intercept, estimate of alpha)
    -0.16239
  • Mean Square Error
    0.06125
  • DF error
    7.00000
  • t(b)
    0.32974
  • p(b)
    0.37562
  • t(a)
    -0.51230
  • p(a)
    0.68790
  • Lowerbound of 95% confidence interval for beta
    -0.58090
  • Upperbound of 95% confidence interval for beta
    0.76916
  • Lowerbound of 95% confidence interval for alpha
    -0.91197
  • Upperbound of 95% confidence interval for alpha
    0.58718
  • Treynor index (mean / b)
    -1.24467
  • Jensen alpha (a)
    -0.16239
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11356
  • Expected Shortfall on VaR
    0.13789
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07289
  • Expected Shortfall on VaR
    0.13686
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.86820
  • Quartile 1
    0.99991
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.09373
  • Mean of quarter 1
    0.93245
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.07686
  • Inter Quartile Range
    0.00009
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.22222
  • Mean of outliers low
    0.89872
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.22222
  • Mean of outliers high
    1.07686
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -247.78100
  • VaR(95%) (moments method)
    0.00069
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.21100
  • VaR(95%) (regression method)
    0.16900
  • Expected Shortfall (regression method)
    0.18093
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.07075
  • Quartile 1
    0.08603
  • Median
    0.10131
  • Quartile 3
    0.11660
  • Maximum
    0.13188
  • Mean of quarter 1
    0.07075
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13188
  • Inter Quartile Range
    0.03056
  • 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)
    -0.08633
  • Compounded annual return (geometric extrapolation)
    -0.08539
  • Calmar ratio (compounded annual return / max draw down)
    -0.64748
  • Compounded annual return / average of 25% largest draw downs
    -0.64748
  • Compounded annual return / Expected Shortfall lognormal
    -0.61925
  • 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
    -0.07677
  • SD
    0.25349
  • Sharpe ratio (Glass type estimate)
    -0.30285
  • Sharpe ratio (Hedges UMVUE)
    -0.30179
  • df
    215.00000
  • t
    -0.27498
  • p
    0.60820
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.46135
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.85623
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.46058
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.85699
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.40913
  • Upside Potential Ratio
    4.64081
  • Upside part of mean
    0.87080
  • Downside part of mean
    -0.94757
  • Upside SD
    0.16962
  • Downside SD
    0.18764
  • N nonnegative terms
    40.00000
  • N negative terms
    176.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    216.00000
  • Mean of predictor
    0.70411
  • Mean of criterion
    -0.07677
  • SD of predictor
    0.39283
  • SD of criterion
    0.25349
  • Covariance
    0.00208
  • r
    0.02093
  • b (slope, estimate of beta)
    0.01350
  • a (intercept, estimate of alpha)
    -0.08600
  • Mean Square Error
    0.06453
  • DF error
    214.00000
  • t(b)
    0.30619
  • p(b)
    0.37988
  • t(a)
    -0.30651
  • p(a)
    0.62024
  • Lowerbound of 95% confidence interval for beta
    -0.07343
  • Upperbound of 95% confidence interval for beta
    0.10043
  • Lowerbound of 95% confidence interval for alpha
    -0.64111
  • Upperbound of 95% confidence interval for alpha
    0.46856
  • Treynor index (mean / b)
    -5.68513
  • Jensen alpha (a)
    -0.08628
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10910
  • SD
    0.25563
  • Sharpe ratio (Glass type estimate)
    -0.42681
  • Sharpe ratio (Hedges UMVUE)
    -0.42532
  • df
    215.00000
  • t
    -0.38754
  • p
    0.65063
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.58535
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73260
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.58429
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73365
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.56323
  • Upside Potential Ratio
    4.42266
  • Upside part of mean
    0.85672
  • Downside part of mean
    -0.96583
  • Upside SD
    0.16602
  • Downside SD
    0.19371
  • N nonnegative terms
    40.00000
  • N negative terms
    176.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    216.00000
  • Mean of predictor
    0.62777
  • Mean of criterion
    -0.10910
  • SD of predictor
    0.38786
  • SD of criterion
    0.25563
  • Covariance
    0.00198
  • r
    0.01998
  • b (slope, estimate of beta)
    0.01317
  • a (intercept, estimate of alpha)
    -0.11737
  • Mean Square Error
    0.06562
  • DF error
    214.00000
  • t(b)
    0.29235
  • p(b)
    0.38515
  • t(a)
    -0.41394
  • p(a)
    0.66033
  • Lowerbound of 95% confidence interval for beta
    -0.07562
  • Upperbound of 95% confidence interval for beta
    0.10196
  • Lowerbound of 95% confidence interval for alpha
    -0.67628
  • Upperbound of 95% confidence interval for alpha
    0.44153
  • Treynor index (mean / b)
    -8.28509
  • Jensen alpha (a)
    -0.11737
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02605
  • Expected Shortfall on VaR
    0.03244
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01111
  • Expected Shortfall on VaR
    0.02367
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    216.00000
  • Minimum
    0.90851
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.06644
  • Mean of quarter 1
    0.98588
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01337
  • Inter Quartile Range
    0.00000
  • Number outliers low
    47.00000
  • Percentage of outliers low
    0.21759
  • Mean of outliers low
    0.98378
  • Number of outliers high
    40.00000
  • Percentage of outliers high
    0.18518
  • Mean of outliers high
    1.01805
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -6.35499
  • VaR(95%) (moments method)
    0.00056
  • Expected Shortfall (moments method)
    0.00056
  • Extreme Value Index (regression method)
    0.15169
  • VaR(95%) (regression method)
    0.01625
  • Expected Shortfall (regression method)
    0.03075
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00411
  • Quartile 1
    0.00821
  • Median
    0.02681
  • Quartile 3
    0.06155
  • Maximum
    0.23566
  • Mean of quarter 1
    0.00577
  • Mean of quarter 2
    0.01789
  • Mean of quarter 3
    0.03877
  • Mean of quarter 4
    0.15999
  • Inter Quartile Range
    0.05333
  • 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
    0.23566
  • 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)
    -0.07854
  • Compounded annual return (geometric extrapolation)
    -0.07799
  • Calmar ratio (compounded annual return / max draw down)
    -0.33094
  • Compounded annual return / average of 25% largest draw downs
    -0.48745
  • Compounded annual return / Expected Shortfall lognormal
    -2.40428
  • 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
    0.09552
  • SD
    0.08740
  • Sharpe ratio (Glass type estimate)
    1.09293
  • Sharpe ratio (Hedges UMVUE)
    1.08661
  • df
    130.00000
  • t
    0.77282
  • p
    0.46619
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.68412
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.86586
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.68834
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.86156
  • Statistics related to Sortino ratio
  • Sortino ratio
    55.13900
  • Upside Potential Ratio
    71.22440
  • Upside part of mean
    0.12339
  • Downside part of mean
    -0.02787
  • Upside SD
    0.08725
  • Downside SD
    0.00173
  • N nonnegative terms
    1.00000
  • N negative terms
    130.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.09808
  • Mean of criterion
    0.09552
  • SD of predictor
    0.48823
  • SD of criterion
    0.08740
  • Covariance
    0.00423
  • r
    0.09905
  • b (slope, estimate of beta)
    0.01773
  • a (intercept, estimate of alpha)
    0.07605
  • Mean Square Error
    0.00762
  • DF error
    129.00000
  • t(b)
    1.13050
  • p(b)
    0.43705
  • t(a)
    0.61005
  • p(a)
    0.46587
  • Lowerbound of 95% confidence interval for beta
    -0.01330
  • Upperbound of 95% confidence interval for beta
    0.04876
  • Lowerbound of 95% confidence interval for alpha
    -0.17060
  • Upperbound of 95% confidence interval for alpha
    0.32271
  • Treynor index (mean / b)
    5.38745
  • Jensen alpha (a)
    0.07605
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09186
  • SD
    0.08481
  • Sharpe ratio (Glass type estimate)
    1.08311
  • Sharpe ratio (Hedges UMVUE)
    1.07685
  • df
    130.00000
  • t
    0.76588
  • p
    0.46649
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.69387
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.85599
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.69804
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.85175
  • Statistics related to Sortino ratio
  • Sortino ratio
    53.02470
  • Upside Potential Ratio
    69.11020
  • Upside part of mean
    0.11972
  • Downside part of mean
    -0.02787
  • Upside SD
    0.08465
  • Downside SD
    0.00173
  • N nonnegative terms
    1.00000
  • N negative terms
    130.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.97983
  • Mean of criterion
    0.09186
  • SD of predictor
    0.48195
  • SD of criterion
    0.08481
  • Covariance
    0.00407
  • r
    0.09957
  • b (slope, estimate of beta)
    0.01752
  • a (intercept, estimate of alpha)
    0.07469
  • Mean Square Error
    0.00718
  • DF error
    129.00000
  • t(b)
    1.13653
  • p(b)
    0.43672
  • t(a)
    0.61854
  • p(a)
    0.46540
  • VAR (95 Confidence Intrvl)
    0.02600
  • Lowerbound of 95% confidence interval for beta
    -0.01298
  • Upperbound of 95% confidence interval for beta
    0.04802
  • Lowerbound of 95% confidence interval for alpha
    -0.16422
  • Upperbound of 95% confidence interval for alpha
    0.31359
  • Treynor index (mean / b)
    5.24264
  • Jensen alpha (a)
    0.07469
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00823
  • Expected Shortfall on VaR
    0.01040
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99991
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.06180
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00187
  • Inter Quartile Range
    0.00000
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.99991
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.06180
  • 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
    0.00009
  • Quartile 1
    0.00009
  • Median
    0.00009
  • Quartile 3
    0.00009
  • Maximum
    0.00009
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -483632000
  • Max Equity Drawdown (num days)
    11
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12342
  • Compounded annual return (geometric extrapolation)
    0.12723
  • Calmar ratio (compounded annual return / max draw down)
    1487.51000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    12.23310

Strategy Description

Trade this strategy at Tradier

Summary Statistics

Strategy began
2021-10-04
Suggested Minimum Capital
$15,000
# Trades
1770
# Profitable
892
% Profitable
50.4%
Net Dividends
$283
Correlation S&P500
-0.039
Sharpe Ratio
-0.13
Sortino Ratio
-0.19
Beta
-0.05
Alpha
-0.01
Leverage
3.29 Average
5.39 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

subscribed on started simulation

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.