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

Tesla S
(139682545)

Created by: Andrea_Canto Andrea_Canto
Started: 03/2022
Stocks
Last trade: 12 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 $120.00 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.
66.5%
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.

(33.1%)
Max Drawdown
108
Num Trades
43.5%
Win Trades
1.7 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022              +11.0%+2.6%+9.0%(5.9%)(1.1%)(9.2%)+10.3%+11.3%+17.2%+27.5%+92.4%
2023+3.9%(11.2%)+1.8%(5.2%)+15.9%+15.2%+4.7%+13.0%(1.9%)+4.1%(0.8%)+3.6%+47.5%
2024+0.1%(3%)                                                            (2.9%)

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 72 hours.

Trading Record

This strategy has placed 161 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/13/24 12:07 TSLA TESLA INC. SHORT 380 183.47 2/14 15:17 187.70 2.4%
Trade id #147326702
Max drawdown($1,623)
Time2/14/24 15:17
Quant open380
Worst price187.74
Drawdown as % of equity-2.40%
($1,617)
Includes Typical Broker Commissions trade costs of $7.60
2/7/24 13:12 TSLA TESLA INC. LONG 380 188.32 2/13 12:06 183.62 2.72%
Trade id #147250659
Max drawdown($1,928)
Time2/13/24 9:32
Quant open380
Worst price183.25
Drawdown as % of equity-2.72%
($1,796)
Includes Typical Broker Commissions trade costs of $7.60
1/25/24 9:34 TSLA TESLA INC. SHORT 570 188.58 2/7 13:08 190.56 3.6%
Trade id #147123802
Max drawdown($2,571)
Time1/30/24 0:00
Quant open380
Worst price196.36
Drawdown as % of equity-3.60%
($1,138)
Includes Typical Broker Commissions trade costs of $11.40
1/9/24 10:13 TSLA TESLA INC. SHORT 290 233.55 1/19 9:44 212.01 0.9%
Trade id #146950493
Max drawdown($587)
Time1/9/24 12:11
Quant open290
Worst price235.58
Drawdown as % of equity-0.90%
$6,241
Includes Typical Broker Commissions trade costs of $5.80
1/2/24 9:30 TSLA TESLA INC. LONG 435 245.99 1/9 10:07 234.37 6.71%
Trade id #146861845
Max drawdown($4,516)
Time1/5/24 0:00
Quant open285
Worst price234.90
Drawdown as % of equity-6.71%
($5,067)
Includes Typical Broker Commissions trade costs of $8.70
12/13/23 14:00 TSLA TESLA INC. LONG 275 232.58 12/28 10:01 260.85 n/a $7,767
Includes Typical Broker Commissions trade costs of $5.50
12/11/23 11:41 TSLA TESLA INC. SHORT 265 238.00 12/12 9:48 235.10 1.14%
Trade id #146660461
Max drawdown($706)
Time12/11/23 15:07
Quant open265
Worst price240.67
Drawdown as % of equity-1.14%
$765
Includes Typical Broker Commissions trade costs of $5.30
12/5/23 10:05 TSLA TESLA INC. LONG 260 241.34 12/11 11:36 238.01 1.8%
Trade id #146614684
Max drawdown($1,133)
Time12/7/23 0:00
Quant open260
Worst price236.98
Drawdown as % of equity-1.80%
($871)
Includes Typical Broker Commissions trade costs of $5.20
12/4/23 10:58 TSLA TESLA INC. SHORT 280 233.82 12/5 10:02 240.95 3.13%
Trade id #146606104
Max drawdown($2,036)
Time12/5/23 10:02
Quant open280
Worst price241.09
Drawdown as % of equity-3.13%
($2,003)
Includes Typical Broker Commissions trade costs of $5.60
12/1/23 13:01 TSLA TESLA INC. LONG 280 238.83 12/4 10:54 234.25 2.05%
Trade id #146591901
Max drawdown($1,347)
Time12/4/23 10:54
Quant open280
Worst price234.01
Drawdown as % of equity-2.05%
($1,287)
Includes Typical Broker Commissions trade costs of $5.60
11/13/23 10:00 TSLA TESLA INC. LONG 285 215.95 12/1 10:16 234.04 0.2%
Trade id #146419170
Max drawdown($124)
Time11/13/23 10:08
Quant open285
Worst price215.51
Drawdown as % of equity-0.20%
$5,151
Includes Typical Broker Commissions trade costs of $5.70
11/2/23 10:24 TSLA TESLA INC. LONG 295 216.42 11/9 12:38 209.28 3.51%
Trade id #146315377
Max drawdown($2,190)
Time11/9/23 12:34
Quant open295
Worst price209.00
Drawdown as % of equity-3.51%
($2,114)
Includes Typical Broker Commissions trade costs of $5.90
10/30/23 10:15 TSLA TESLA INC. SHORT 330 204.25 11/2 9:55 216.52 7.31%
Trade id #146275774
Max drawdown($4,929)
Time11/2/23 9:43
Quant open330
Worst price219.19
Drawdown as % of equity-7.31%
($4,054)
Includes Typical Broker Commissions trade costs of $6.60
10/30/23 9:33 TSLA TESLA INC. LONG 330 209.09 10/30 10:11 204.94 3.61%
Trade id #146274366
Max drawdown($2,500)
Time10/30/23 10:03
Quant open330
Worst price201.51
Drawdown as % of equity-3.61%
($1,374)
Includes Typical Broker Commissions trade costs of $6.60
10/19/23 9:30 TSLA TESLA INC. SHORT 290 225.42 10/27 9:30 210.67 1.07%
Trade id #146171715
Max drawdown($694)
Time10/19/23 9:33
Quant open145
Worst price230.61
Drawdown as % of equity-1.07%
$4,273
Includes Typical Broker Commissions trade costs of $5.80
10/4/23 9:47 TSLA TESLA INC. LONG 250 253.15 10/13 9:30 258.87 1.06%
Trade id #146027083
Max drawdown($680)
Time10/4/23 10:09
Quant open250
Worst price250.43
Drawdown as % of equity-1.06%
$1,425
Includes Typical Broker Commissions trade costs of $5.00
10/2/23 9:30 TSLA TESLA INC. SHORT 280 243.71 10/4 9:46 252.78 4.63%
Trade id #145990587
Max drawdown($2,960)
Time10/2/23 11:31
Quant open280
Worst price254.28
Drawdown as % of equity-4.63%
($2,546)
Includes Typical Broker Commissions trade costs of $5.60
9/22/23 9:40 TSLA TESLA INC. SHORT 250 251.49 9/28 9:33 240.62 0.47%
Trade id #145903990
Max drawdown($302)
Time9/22/23 11:06
Quant open125
Worst price256.14
Drawdown as % of equity-0.47%
$2,714
Includes Typical Broker Commissions trade costs of $5.00
9/21/23 12:50 TSLA TESLA INC. LONG 255 260.08 9/22 9:39 253.76 2.56%
Trade id #145897076
Max drawdown($1,642)
Time9/22/23 9:39
Quant open255
Worst price253.64
Drawdown as % of equity-2.56%
($1,617)
Includes Typical Broker Commissions trade costs of $5.10
9/21/23 9:51 TSLA TESLA INC. SHORT 285 255.08 9/21 12:47 259.72 2.33%
Trade id #145889764
Max drawdown($1,535)
Time9/21/23 12:47
Quant open285
Worst price260.47
Drawdown as % of equity-2.33%
($1,327)
Includes Typical Broker Commissions trade costs of $5.70
8/23/23 11:44 TSLA TESLA INC. LONG 266 236.22 9/21 9:50 254.63 3.44%
Trade id #145615459
Max drawdown($2,139)
Time8/24/23 0:00
Quant open266
Worst price228.18
Drawdown as % of equity-3.44%
$4,891
Includes Typical Broker Commissions trade costs of $5.32
8/22/23 11:46 TSLA TESLA INC. SHORT 274 232.55 8/23 11:41 236.11 1.63%
Trade id #145605047
Max drawdown($1,013)
Time8/23/23 11:41
Quant open274
Worst price236.25
Drawdown as % of equity-1.63%
($981)
Includes Typical Broker Commissions trade costs of $5.48
8/22/23 9:34 TSLA TESLA INC. LONG 300 239.45 8/22 11:43 232.54 3.34%
Trade id #145601315
Max drawdown($2,112)
Time8/22/23 11:43
Quant open300
Worst price232.41
Drawdown as % of equity-3.34%
($2,078)
Includes Typical Broker Commissions trade costs of $6.00
7/20/23 9:55 TSLA TESLA INC. SHORT 315 264.48 8/22 9:30 242.92 0.3%
Trade id #145272129
Max drawdown($173)
Time7/20/23 9:58
Quant open105
Worst price277.18
Drawdown as % of equity-0.30%
$6,787
Includes Typical Broker Commissions trade costs of $6.30
7/3/23 9:32 TSLA TESLA INC. LONG 206 279.82 7/18 10:25 286.47 5.36%
Trade id #145098917
Max drawdown($3,033)
Time7/10/23 0:00
Quant open206
Worst price265.10
Drawdown as % of equity-5.36%
$1,364
Includes Typical Broker Commissions trade costs of $4.12
6/26/23 10:25 TSLA TESLA INC. SHORT 240 254.34 6/28 10:34 258.00 1.47%
Trade id #145031054
Max drawdown($877)
Time6/28/23 10:34
Quant open240
Worst price258.00
Drawdown as % of equity-1.47%
($882)
Includes Typical Broker Commissions trade costs of $4.80
6/22/23 10:16 TSLA TESLA INC. LONG 245 260.49 6/26 10:24 254.43 4.34%
Trade id #144997650
Max drawdown($2,570)
Time6/26/23 9:30
Quant open245
Worst price250.00
Drawdown as % of equity-4.34%
($1,489)
Includes Typical Broker Commissions trade costs of $4.90
6/22/23 9:34 TSLA TESLA INC. SHORT 245 253.57 6/22 10:13 259.14 2.19%
Trade id #144996621
Max drawdown($1,403)
Time6/22/23 10:13
Quant open245
Worst price259.30
Drawdown as % of equity-2.19%
($1,369)
Includes Typical Broker Commissions trade costs of $4.90
5/17/23 9:48 TSLA TESLA INC. LONG 375 196.16 6/22 9:30 249.15 0.5%
Trade id #144649287
Max drawdown($214)
Time5/17/23 9:57
Quant open250
Worst price169.39
Drawdown as % of equity-0.50%
$19,861
Includes Typical Broker Commissions trade costs of $7.50
5/15/23 9:57 TSLA TESLA INC. SHORT 263 166.19 5/17 9:48 170.25 2.67%
Trade id #144613075
Max drawdown($1,143)
Time5/17/23 9:48
Quant open263
Worst price170.54
Drawdown as % of equity-2.67%
($1,073)
Includes Typical Broker Commissions trade costs of $5.26

Statistics

  • Strategy began
    3/7/2022
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    720.57
  • Age
    24 months ago
  • What it trades
    Stocks
  • # Trades
    108
  • # Profitable
    47
  • % Profitable
    43.50%
  • Avg trade duration
    5.7 days
  • Max peak-to-valley drawdown
    33.11%
  • drawdown period
    Feb 09, 2023 - May 03, 2023
  • Annual Return (Compounded)
    66.5%
  • Avg win
    $2,587
  • Avg loss
    $1,207
  • Model Account Values (Raw)
  • Cash
    $37,695
  • Margin Used
    $0
  • Buying Power
    $39,147
  • Ratios
  • W:L ratio
    1.65:1
  • Sharpe Ratio
    1.34
  • Sortino Ratio
    2.05
  • Calmar Ratio
    2.41
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    153.80%
  • Correlation to SP500
    0.00760
  • Return Percent SP500 (cumu) during strategy life
    21.13%
  • Return Statistics
  • Ann Return (w trading costs)
    66.5%
  • Slump
  • Current Slump as Pcnt Equity
    10.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.03%
  • 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)
    0.665%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    71.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    42.00%
  • Chance of 20% account loss
    14.00%
  • Chance of 30% account loss
    2.50%
  • Chance of 40% account loss
    0.50%
  • 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
  • Chance of 100% 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)
    815
  • Popularity (Last 6 weeks)
    987
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    972
  • Popularity (7 days, Percentile 1000 scale)
    909
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,208
  • Avg Win
    $2,588
  • Sum Trade PL (losers)
    $73,659.000
  • Age
  • Num Months filled monthly returns table
    24
  • Win / Loss
  • Sum Trade PL (winners)
    $121,635.000
  • # Winners
    47
  • Num Months Winners
    16
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    909924
  • Win / Loss
  • # Losers
    61
  • % Winners
    43.5%
  • Frequency
  • Avg Position Time (mins)
    8223.27
  • Avg Position Time (hrs)
    137.05
  • Avg Trade Length
    5.7 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.83
  • Daily leverage (max)
    1.88
  • Regression
  • Alpha
    0.15
  • Beta
    0.01
  • Treynor Index
    10.92
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • 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
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    2.883
  • 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
    0.07
  • Avg(MAE) / Avg(PL) - Winning trades
    0.226
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.115
  • Hold-and-Hope Ratio
    0.348
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62469
  • SD
    0.36558
  • Sharpe ratio (Glass type estimate)
    1.70876
  • Sharpe ratio (Hedges UMVUE)
    1.64973
  • df
    22.00000
  • t
    2.36568
  • p
    0.01361
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18955
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.19366
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15245
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14701
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.64661
  • Upside Potential Ratio
    6.04041
  • Upside part of mean
    0.81207
  • Downside part of mean
    -0.18738
  • Upside SD
    0.37720
  • Downside SD
    0.13444
  • N nonnegative terms
    16.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.07828
  • Mean of criterion
    0.62469
  • SD of predictor
    0.15973
  • SD of criterion
    0.36558
  • Covariance
    0.01297
  • r
    0.22214
  • b (slope, estimate of beta)
    0.50841
  • a (intercept, estimate of alpha)
    0.58489
  • Mean Square Error
    0.13310
  • DF error
    21.00000
  • t(b)
    1.04408
  • p(b)
    0.35975
  • t(a)
    2.19663
  • p(a)
    0.23365
  • Lowerbound of 95% confidence interval for beta
    -0.50425
  • Upperbound of 95% confidence interval for beta
    1.52108
  • Lowerbound of 95% confidence interval for alpha
    0.03116
  • Upperbound of 95% confidence interval for alpha
    1.13862
  • Treynor index (mean / b)
    1.22870
  • Jensen alpha (a)
    0.58489
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.55164
  • SD
    0.34009
  • Sharpe ratio (Glass type estimate)
    1.62204
  • Sharpe ratio (Hedges UMVUE)
    1.56599
  • df
    22.00000
  • t
    2.24561
  • p
    0.01755
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11179
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09928
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07659
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.05540
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.87143
  • Upside Potential Ratio
    5.25183
  • Upside part of mean
    0.74834
  • Downside part of mean
    -0.19670
  • Upside SD
    0.34013
  • Downside SD
    0.14249
  • N nonnegative terms
    16.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.06569
  • Mean of criterion
    0.55164
  • SD of predictor
    0.15994
  • SD of criterion
    0.34009
  • Covariance
    0.01312
  • r
    0.24114
  • b (slope, estimate of beta)
    0.51278
  • a (intercept, estimate of alpha)
    0.51796
  • Mean Square Error
    0.11413
  • DF error
    21.00000
  • t(b)
    1.13867
  • p(b)
    0.34798
  • t(a)
    2.10721
  • p(a)
    0.24199
  • Lowerbound of 95% confidence interval for beta
    -0.42374
  • Upperbound of 95% confidence interval for beta
    1.44930
  • Lowerbound of 95% confidence interval for alpha
    0.00678
  • Upperbound of 95% confidence interval for alpha
    1.02913
  • Treynor index (mean / b)
    1.07579
  • Jensen alpha (a)
    0.51796
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10909
  • Expected Shortfall on VaR
    0.14434
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02476
  • Expected Shortfall on VaR
    0.05712
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.86251
  • Quartile 1
    0.99631
  • Median
    1.03570
  • Quartile 3
    1.11168
  • Maximum
    1.29510
  • Mean of quarter 1
    0.94300
  • Mean of quarter 2
    1.01539
  • Mean of quarter 3
    1.07100
  • Mean of quarter 4
    1.19092
  • Inter Quartile Range
    0.11537
  • 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
    0.08696
  • Mean of outliers high
    1.29191
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.11799
  • VaR(95%) (moments method)
    0.02621
  • Expected Shortfall (moments method)
    0.03719
  • Extreme Value Index (regression method)
    0.12287
  • VaR(95%) (regression method)
    0.07763
  • Expected Shortfall (regression method)
    0.13316
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01504
  • Quartile 1
    0.02380
  • Median
    0.05076
  • Quartile 3
    0.10857
  • Maximum
    0.20985
  • Mean of quarter 1
    0.01504
  • Mean of quarter 2
    0.02671
  • Mean of quarter 3
    0.07481
  • Mean of quarter 4
    0.20985
  • Inter Quartile Range
    0.08477
  • 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)
    1.06268
  • Compounded annual return (geometric extrapolation)
    0.78523
  • Calmar ratio (compounded annual return / max draw down)
    3.74187
  • Compounded annual return / average of 25% largest draw downs
    3.74187
  • Compounded annual return / Expected Shortfall lognormal
    5.44006
  • 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
    0.56867
  • SD
    0.32499
  • Sharpe ratio (Glass type estimate)
    1.74982
  • Sharpe ratio (Hedges UMVUE)
    1.74726
  • df
    512.00000
  • t
    2.44851
  • p
    0.00734
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34424
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.15380
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34249
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.15202
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.68004
  • Upside Potential Ratio
    10.47730
  • Upside part of mean
    2.22316
  • Downside part of mean
    -1.65448
  • Upside SD
    0.24824
  • Downside SD
    0.21219
  • N nonnegative terms
    266.00000
  • N negative terms
    247.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    513.00000
  • Mean of predictor
    0.08774
  • Mean of criterion
    0.56867
  • SD of predictor
    0.18839
  • SD of criterion
    0.32499
  • Covariance
    0.00061
  • r
    0.00999
  • b (slope, estimate of beta)
    0.01723
  • a (intercept, estimate of alpha)
    0.56700
  • Mean Square Error
    0.10581
  • DF error
    511.00000
  • t(b)
    0.22583
  • p(b)
    0.41071
  • t(a)
    2.43872
  • p(a)
    0.00754
  • Lowerbound of 95% confidence interval for beta
    -0.13269
  • Upperbound of 95% confidence interval for beta
    0.16715
  • Lowerbound of 95% confidence interval for alpha
    0.11026
  • Upperbound of 95% confidence interval for alpha
    1.02406
  • Treynor index (mean / b)
    32.99920
  • Jensen alpha (a)
    0.56716
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51545
  • SD
    0.32465
  • Sharpe ratio (Glass type estimate)
    1.58769
  • Sharpe ratio (Hedges UMVUE)
    1.58536
  • df
    512.00000
  • t
    2.22164
  • p
    0.01337
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18289
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.99100
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18132
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98941
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.38076
  • Upside Potential Ratio
    10.12850
  • Upside part of mean
    2.19288
  • Downside part of mean
    -1.67743
  • Upside SD
    0.24358
  • Downside SD
    0.21651
  • N nonnegative terms
    266.00000
  • N negative terms
    247.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    513.00000
  • Mean of predictor
    0.07000
  • Mean of criterion
    0.51545
  • SD of predictor
    0.18846
  • SD of criterion
    0.32465
  • Covariance
    0.00061
  • r
    0.00993
  • b (slope, estimate of beta)
    0.01710
  • a (intercept, estimate of alpha)
    0.51425
  • Mean Square Error
    0.10560
  • DF error
    511.00000
  • t(b)
    0.22442
  • p(b)
    0.41126
  • t(a)
    2.21384
  • p(a)
    0.01364
  • Lowerbound of 95% confidence interval for beta
    -0.13261
  • Upperbound of 95% confidence interval for beta
    0.16681
  • Lowerbound of 95% confidence interval for alpha
    0.05789
  • Upperbound of 95% confidence interval for alpha
    0.97061
  • Treynor index (mean / b)
    30.14140
  • Jensen alpha (a)
    0.51425
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03055
  • Expected Shortfall on VaR
    0.03861
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01419
  • Expected Shortfall on VaR
    0.02810
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    513.00000
  • Minimum
    0.91351
  • Quartile 1
    0.99177
  • Median
    1.00100
  • Quartile 3
    1.01353
  • Maximum
    1.08868
  • Mean of quarter 1
    0.97765
  • Mean of quarter 2
    0.99747
  • Mean of quarter 3
    1.00718
  • Mean of quarter 4
    1.02700
  • Inter Quartile Range
    0.02175
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.01559
  • Mean of outliers low
    0.94090
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.02144
  • Mean of outliers high
    1.05710
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.18471
  • VaR(95%) (moments method)
    0.02008
  • Expected Shortfall (moments method)
    0.02542
  • Extreme Value Index (regression method)
    -0.14012
  • VaR(95%) (regression method)
    0.02203
  • Expected Shortfall (regression method)
    0.02872
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    26.00000
  • Minimum
    0.00013
  • Quartile 1
    0.00505
  • Median
    0.03347
  • Quartile 3
    0.07562
  • Maximum
    0.29956
  • Mean of quarter 1
    0.00171
  • Mean of quarter 2
    0.01893
  • Mean of quarter 3
    0.04374
  • Mean of quarter 4
    0.15795
  • Inter Quartile Range
    0.07057
  • 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
    0.03846
  • Mean of outliers high
    0.29956
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.64148
  • VaR(95%) (moments method)
    0.16390
  • Expected Shortfall (moments method)
    0.16852
  • Extreme Value Index (regression method)
    -0.04018
  • VaR(95%) (regression method)
    0.18338
  • Expected Shortfall (regression method)
    0.24185
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.96917
  • Compounded annual return (geometric extrapolation)
    0.72178
  • Calmar ratio (compounded annual return / max draw down)
    2.40950
  • Compounded annual return / average of 25% largest draw downs
    4.56967
  • Compounded annual return / Expected Shortfall lognormal
    18.69310
  • 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
    0.24161
  • SD
    0.31370
  • Sharpe ratio (Glass type estimate)
    0.77019
  • Sharpe ratio (Hedges UMVUE)
    0.76574
  • df
    130.00000
  • t
    0.54461
  • p
    0.47614
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.00465
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.54213
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.00763
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.53911
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.17210
  • Upside Potential Ratio
    9.71566
  • Upside part of mean
    2.00271
  • Downside part of mean
    -1.76110
  • Upside SD
    0.23535
  • Downside SD
    0.20613
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25418
  • Mean of criterion
    0.24161
  • SD of predictor
    0.12190
  • SD of criterion
    0.31370
  • Covariance
    0.00518
  • r
    0.13552
  • b (slope, estimate of beta)
    0.34873
  • a (intercept, estimate of alpha)
    0.15297
  • Mean Square Error
    0.09735
  • DF error
    129.00000
  • t(b)
    1.55351
  • p(b)
    0.41399
  • t(a)
    0.34381
  • p(a)
    0.48074
  • Lowerbound of 95% confidence interval for beta
    -0.09541
  • Upperbound of 95% confidence interval for beta
    0.79287
  • Lowerbound of 95% confidence interval for alpha
    -0.72732
  • Upperbound of 95% confidence interval for alpha
    1.03325
  • Treynor index (mean / b)
    0.69282
  • Jensen alpha (a)
    0.15297
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19290
  • SD
    0.31264
  • Sharpe ratio (Glass type estimate)
    0.61702
  • Sharpe ratio (Hedges UMVUE)
    0.61345
  • df
    130.00000
  • t
    0.43630
  • p
    0.48088
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.15689
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.38875
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.15936
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.38626
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.92185
  • Upside Potential Ratio
    9.44060
  • Upside part of mean
    1.97549
  • Downside part of mean
    -1.78259
  • Upside SD
    0.23098
  • Downside SD
    0.20925
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24667
  • Mean of criterion
    0.19290
  • SD of predictor
    0.12183
  • SD of criterion
    0.31264
  • Covariance
    0.00513
  • r
    0.13466
  • b (slope, estimate of beta)
    0.34558
  • a (intercept, estimate of alpha)
    0.10766
  • Mean Square Error
    0.09671
  • DF error
    129.00000
  • t(b)
    1.54355
  • p(b)
    0.41453
  • t(a)
    0.24288
  • p(a)
    0.48639
  • VAR (95 Confidence Intrvl)
    0.03100
  • Lowerbound of 95% confidence interval for beta
    -0.09739
  • Upperbound of 95% confidence interval for beta
    0.78855
  • Lowerbound of 95% confidence interval for alpha
    -0.76933
  • Upperbound of 95% confidence interval for alpha
    0.98465
  • Treynor index (mean / b)
    0.55819
  • Jensen alpha (a)
    0.10766
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03056
  • Expected Shortfall on VaR
    0.03833
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01523
  • Expected Shortfall on VaR
    0.02869
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95084
  • Quartile 1
    0.99075
  • Median
    1.00100
  • Quartile 3
    1.01144
  • Maximum
    1.07071
  • Mean of quarter 1
    0.97676
  • Mean of quarter 2
    0.99683
  • Mean of quarter 3
    1.00507
  • Mean of quarter 4
    1.02558
  • Inter Quartile Range
    0.02069
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.95135
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.05281
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.67780
  • VaR(95%) (moments method)
    0.02131
  • Expected Shortfall (moments method)
    0.02188
  • Extreme Value Index (regression method)
    -0.72888
  • VaR(95%) (regression method)
    0.02286
  • Expected Shortfall (regression method)
    0.02542
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00017
  • Quartile 1
    0.02197
  • Median
    0.04946
  • Quartile 3
    0.07989
  • Maximum
    0.13109
  • Mean of quarter 1
    0.01107
  • Mean of quarter 2
    0.04946
  • Mean of quarter 3
    0.07989
  • Mean of quarter 4
    0.13109
  • Inter Quartile Range
    0.05793
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -315504000
  • Max Equity Drawdown (num days)
    83
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23346
  • Compounded annual return (geometric extrapolation)
    0.24708
  • Calmar ratio (compounded annual return / max draw down)
    1.88488
  • Compounded annual return / average of 25% largest draw downs
    1.88488
  • Compounded annual return / Expected Shortfall lognormal
    6.44707

Strategy Description

Tesla S is a mechanical trading system that trades only Tesla stock, both on long and short side using a simple algo.

Each trade has a stop loss. This stop depends from TSLA price action and volume traded each day. So, it is a "mental" stop loss that is provided by my algo that I monitor every day during each trade.

Tesla S invests 100% of available equity in each trade. For example, if Tesla S has an equity value of 50,000$ I will go long/short using 50,000$.

The holding period of each trade can range from some days to some weeks.

The system stays in cash during earning release days, due to extreme volatility linked to earnings.


If you subscribe to Tesla S, I would suggest you to:

1) put money at work immediately without waiting for the next signal;
2) stay invested for a minimum of 6 months.


ABOUT ME
I am 52 years old. I work as financial analyst in an M&A consulting firm and I am a stock trader and investor since 1995.

Summary Statistics

Strategy began
2022-03-07
Suggested Minimum Capital
$5,000
Rank at C2 %
Top 2.8%
Rank # 
#23
# Trades
108
# Profitable
47
% Profitable
43.5%
Correlation S&P500
0.008
Sharpe Ratio
1.34
Sortino Ratio
2.05
Beta
0.01
Alpha
0.15
Leverage
0.83 Average
1.88 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.