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

Tesla S
(139682545)

Created by: AndySong AndySong
Started: 03/2022
Stocks
Last trade: 13 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 $80.00 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.
53.3%
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.

(20.9%)
Max Drawdown
42
Num Trades
45.2%
Win Trades
1.9 : 1
Profit Factor
70.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022              +11.1%+2.8%+9.1%(5.7%)(1%)(9%)+10.4%+11.3%+17.1%+0.6%+53.3%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/16/22 9:51 TSLA TESLA INC. SHORT 172 188.55 11/22 12:59 168.40 0.83%
Trade id #142584002
Max drawdown($264)
Time11/16/22 11:23
Quant open172
Worst price190.09
Drawdown as % of equity-0.83%
$3,463
Includes Typical Broker Commissions trade costs of $3.44
11/15/22 9:41 TSLA TESLA INC. LONG 173 198.31 11/16 9:51 188.52 5.29%
Trade id #142568322
Max drawdown($1,705)
Time11/16/22 9:51
Quant open173
Worst price188.45
Drawdown as % of equity-5.29%
($1,697)
Includes Typical Broker Commissions trade costs of $3.46
11/14/22 15:50 TSLA TESLA INC. SHORT 185 191.37 11/15 9:41 198.20 4.97%
Trade id #142561156
Max drawdown($1,748)
Time11/15/22 0:00
Quant open185
Worst price200.82
Drawdown as % of equity-4.97%
($1,268)
Includes Typical Broker Commissions trade costs of $3.70
11/14/22 13:29 TSLA TESLA INC. LONG 185 195.52 11/14 15:50 191.28 2.37%
Trade id #142558758
Max drawdown($834)
Time11/14/22 15:47
Quant open185
Worst price191.01
Drawdown as % of equity-2.37%
($788)
Includes Typical Broker Commissions trade costs of $3.70
11/2/22 15:35 TSLA TESLA INC. SHORT 156 213.15 11/14 13:29 195.67 5.06%
Trade id #142416648
Max drawdown($1,661)
Time11/4/22 0:00
Quant open156
Worst price223.80
Drawdown as % of equity-5.06%
$2,723
Includes Typical Broker Commissions trade costs of $3.12
10/25/22 9:48 TSLA TESLA INC. LONG 142 217.04 11/1 9:42 235.35 0.53%
Trade id #142299370
Max drawdown($168)
Time10/25/22 9:51
Quant open142
Worst price215.85
Drawdown as % of equity-0.53%
$2,597
Includes Typical Broker Commissions trade costs of $2.84
10/20/22 10:31 TSLA TESLA INC. SHORT 160 208.28 10/25 9:48 217.00 4.51%
Trade id #142245465
Max drawdown($1,431)
Time10/25/22 9:48
Quant open160
Worst price217.22
Drawdown as % of equity-4.51%
($1,398)
Includes Typical Broker Commissions trade costs of $3.20
10/14/22 9:52 TSLA TESLA INC. SHORT 141 219.40 10/17 9:30 210.04 0.36%
Trade id #142171364
Max drawdown($114)
Time10/14/22 9:55
Quant open141
Worst price220.21
Drawdown as % of equity-0.36%
$1,317
Includes Typical Broker Commissions trade costs of $2.82
10/14/22 9:30 TSLA TESLA INC. LONG 141 225.68 10/14 9:52 219.50 2.86%
Trade id #142170253
Max drawdown($895)
Time10/14/22 9:52
Quant open141
Worst price219.33
Drawdown as % of equity-2.86%
($874)
Includes Typical Broker Commissions trade costs of $2.82
10/3/22 9:30 TSLA TESLA INC. SHORT 116 250.41 10/14 9:30 225.50 2.74%
Trade id #142009886
Max drawdown($821)
Time10/4/22 0:00
Quant open116
Worst price257.50
Drawdown as % of equity-2.74%
$2,888
Includes Typical Broker Commissions trade costs of $2.32
9/22/22 9:36 TSLA TESLA INC. SHORT 94 297.82 9/28 10:41 282.50 n/a $1,438
Includes Typical Broker Commissions trade costs of $1.88
9/7/22 9:49 TSLA TESLA INC. LONG 97 280.14 9/22 9:34 298.80 1.25%
Trade id #141686010
Max drawdown($323)
Time9/7/22 10:25
Quant open97
Worst price276.80
Drawdown as % of equity-1.25%
$1,808
Includes Typical Broker Commissions trade costs of $1.94
8/26/22 11:03 TSLA TESLA INC. SHORT 85 291.28 9/7 9:49 280.10 0.41%
Trade id #141558253
Max drawdown($102)
Time8/26/22 11:54
Quant open85
Worst price292.48
Drawdown as % of equity-0.41%
$948
Includes Typical Broker Commissions trade costs of $1.70
8/26/22 10:09 TSLA TESLA INC. LONG 85 300.24 8/26 11:02 291.20 2.98%
Trade id #141556770
Max drawdown($784)
Time8/26/22 11:02
Quant open85
Worst price291.01
Drawdown as % of equity-2.98%
($770)
Includes Typical Broker Commissions trade costs of $1.70
8/25/22 11:14 TSLA TESLA INC. SHORT 90 292.20 8/26 10:09 300.50 3.18%
Trade id #141537605
Max drawdown($837)
Time8/26/22 10:09
Quant open90
Worst price301.50
Drawdown as % of equity-3.18%
($749)
Includes Typical Broker Commissions trade costs of $1.80
8/24/22 10:00 TSLA TESLA INC. LONG 90 303.42 8/25 11:08 292.53 3.7%
Trade id #141520435
Max drawdown($998)
Time8/25/22 11:08
Quant open90
Worst price292.32
Drawdown as % of equity-3.70%
($982)
Includes Typical Broker Commissions trade costs of $1.80
8/19/22 9:42 TSLA TESLA INC. SHORT 31 892.00 8/24 10:00 910.00 2.08%
Trade id #141474667
Max drawdown($587)
Time8/24/22 10:00
Quant open31
Worst price910.94
Drawdown as % of equity-2.08%
($559)
Includes Typical Broker Commissions trade costs of $0.62
8/12/22 14:23 TSLA TESLA INC. LONG 31 890.80 8/19 9:41 892.00 n/a $36
Includes Typical Broker Commissions trade costs of $0.62
8/8/22 12:35 TSLA TESLA INC. SHORT 32 892.00 8/12 14:23 890.00 1.13%
Trade id #141339370
Max drawdown($320)
Time8/8/22 13:14
Quant open32
Worst price902.00
Drawdown as % of equity-1.13%
$63
Includes Typical Broker Commissions trade costs of $0.64
8/8/22 9:49 TSLA TESLA INC. LONG 16 910.00 8/8 12:28 895.00 0.88%
Trade id #141334314
Max drawdown($247)
Time8/8/22 12:28
Quant open16
Worst price894.52
Drawdown as % of equity-0.88%
($240)
Includes Typical Broker Commissions trade costs of $0.32
8/5/22 12:02 TSLA TESLA INC. SHORT 16 876.59 8/8 9:49 910.00 1.84%
Trade id #141319645
Max drawdown($536)
Time8/8/22 9:49
Quant open16
Worst price910.10
Drawdown as % of equity-1.84%
($535)
Includes Typical Broker Commissions trade costs of $0.32
7/25/22 9:30 TSLA TESLA INC. LONG 16 816.65 8/5 11:24 886.00 2.76%
Trade id #141166047
Max drawdown($765)
Time7/26/22 0:00
Quant open16
Worst price768.79
Drawdown as % of equity-2.76%
$1,110
Includes Typical Broker Commissions trade costs of $0.32
7/13/22 10:44 TSLA TESLA INC. LONG 19 722.22 7/14 9:33 701.00 1.69%
Trade id #141046818
Max drawdown($474)
Time7/14/22 9:33
Quant open19
Worst price697.27
Drawdown as % of equity-1.69%
($403)
Includes Typical Broker Commissions trade costs of $0.38
7/12/22 9:50 TSLA TESLA INC. SHORT 20 695.23 7/13 10:44 722.00 2.05%
Trade id #141032706
Max drawdown($590)
Time7/13/22 10:44
Quant open20
Worst price724.75
Drawdown as % of equity-2.05%
($535)
Includes Typical Broker Commissions trade costs of $0.40
7/6/22 9:33 TSLA TESLA INC. LONG 20 700.12 7/12 9:49 696.00 1.28%
Trade id #140974782
Max drawdown($371)
Time7/6/22 9:52
Quant open20
Worst price681.56
Drawdown as % of equity-1.28%
($82)
Includes Typical Broker Commissions trade costs of $0.40
7/5/22 9:30 TSLA TESLA INC. SHORT 10 667.08 7/6 9:32 702.33 1.27%
Trade id #140957714
Max drawdown($366)
Time7/6/22 0:00
Quant open10
Worst price703.69
Drawdown as % of equity-1.27%
($353)
Includes Typical Broker Commissions trade costs of $0.20
6/21/22 9:37 TSLA TESLA INC. LONG 21 683.59 6/28 11:55 709.07 n/a $535
Includes Typical Broker Commissions trade costs of $0.42
6/9/22 15:45 TSLA TESLA INC. SHORT 19 719.01 6/21 9:36 683.07 0.19%
Trade id #140726123
Max drawdown($54)
Time6/9/22 15:55
Quant open19
Worst price721.90
Drawdown as % of equity-0.19%
$683
Includes Typical Broker Commissions trade costs of $0.38
6/8/22 9:56 TSLA TESLA INC. LONG 18 743.14 6/9 15:45 719.00 1.53%
Trade id #140707561
Max drawdown($435)
Time6/9/22 15:45
Quant open18
Worst price718.96
Drawdown as % of equity-1.53%
($435)
Includes Typical Broker Commissions trade costs of $0.36
6/7/22 9:32 TSLA TESLA INC. SHORT 21 690.28 6/8 9:56 743.00 3.91%
Trade id #140696039
Max drawdown($1,138)
Time6/8/22 9:56
Quant open21
Worst price744.51
Drawdown as % of equity-3.91%
($1,107)
Includes Typical Broker Commissions trade costs of $0.42

Statistics

  • Strategy began
    3/7/2022
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    275.52
  • Age
    9 months ago
  • What it trades
    Stocks
  • # Trades
    42
  • # Profitable
    19
  • % Profitable
    45.20%
  • Avg trade duration
    5.5 days
  • Max peak-to-valley drawdown
    20.92%
  • drawdown period
    June 02, 2022 - Aug 26, 2022
  • Cumul. Return
    53.3%
  • Avg win
    $1,609
  • Avg loss
    $698.26
  • Model Account Values (Raw)
  • Cash
    $73,459
  • Margin Used
    $54,197
  • Buying Power
    $21,455
  • Ratios
  • W:L ratio
    1.90:1
  • Sharpe Ratio
    1.71
  • Sortino Ratio
    2.66
  • Calmar Ratio
    4.684
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    59.70%
  • Correlation to SP500
    -0.03230
  • Return Percent SP500 (cumu) during strategy life
    -6.36%
  • Return Statistics
  • Ann Return (w trading costs)
    75.0%
  • Slump
  • Current Slump as Pcnt Equity
    1.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.10%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.533%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    83.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.50%
  • Chance of 20% account loss
    4.00%
  • Chance of 30% account loss
    1.00%
  • 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)
    951
  • Popularity (Last 6 weeks)
    984
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    996
  • Popularity (7 days, Percentile 1000 scale)
    975
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $698
  • Avg Win
    $1,610
  • Sum Trade PL (losers)
    $16,060.000
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $30,582.000
  • # Winners
    19
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    157859
  • Win / Loss
  • # Losers
    23
  • % Winners
    45.2%
  • Frequency
  • Avg Position Time (mins)
    7970.00
  • Avg Position Time (hrs)
    132.83
  • Avg Trade Length
    5.5 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.71
  • Daily leverage (max)
    1.06
  • Regression
  • Alpha
    0.16
  • Beta
    -0.04
  • Treynor Index
    -4.39
  • 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)
    -0.45
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    2.236
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.257
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.084
  • Hold-and-Hope Ratio
    0.490
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.60216
  • SD
    0.25744
  • Sharpe ratio (Glass type estimate)
    2.33904
  • Sharpe ratio (Hedges UMVUE)
    2.11146
  • df
    8.00000
  • t
    2.02567
  • p
    0.03869
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.24625
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.81014
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37698
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.59989
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.59542
  • Upside Potential Ratio
    7.97557
  • Upside part of mean
    0.72817
  • Downside part of mean
    -0.12601
  • Upside SD
    0.28424
  • Downside SD
    0.09130
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    -0.09589
  • Mean of criterion
    0.60216
  • SD of predictor
    0.20811
  • SD of criterion
    0.25744
  • Covariance
    0.01779
  • r
    0.33213
  • b (slope, estimate of beta)
    0.41085
  • a (intercept, estimate of alpha)
    0.64155
  • Mean Square Error
    0.06739
  • DF error
    7.00000
  • t(b)
    0.93161
  • p(b)
    0.19127
  • t(a)
    2.11931
  • p(a)
    0.03590
  • Lowerbound of 95% confidence interval for beta
    -0.63199
  • Upperbound of 95% confidence interval for beta
    1.45369
  • Lowerbound of 95% confidence interval for alpha
    -0.07426
  • Upperbound of 95% confidence interval for alpha
    1.35737
  • Treynor index (mean / b)
    1.46564
  • Jensen alpha (a)
    0.64155
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.55940
  • SD
    0.24617
  • Sharpe ratio (Glass type estimate)
    2.27244
  • Sharpe ratio (Hedges UMVUE)
    2.05134
  • df
    8.00000
  • t
    1.96799
  • p
    0.04230
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.29778
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.73039
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42500
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.52768
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.91048
  • Upside Potential Ratio
    7.28488
  • Upside part of mean
    0.68948
  • Downside part of mean
    -0.13008
  • Upside SD
    0.26643
  • Downside SD
    0.09465
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    -0.11552
  • Mean of criterion
    0.55940
  • SD of predictor
    0.20932
  • SD of criterion
    0.24617
  • Covariance
    0.01825
  • r
    0.35420
  • b (slope, estimate of beta)
    0.41656
  • a (intercept, estimate of alpha)
    0.60752
  • Mean Square Error
    0.06057
  • DF error
    7.00000
  • t(b)
    1.00210
  • p(b)
    0.17483
  • t(a)
    2.10795
  • p(a)
    0.03650
  • Lowerbound of 95% confidence interval for beta
    -0.56639
  • Upperbound of 95% confidence interval for beta
    1.39950
  • Lowerbound of 95% confidence interval for alpha
    -0.07398
  • Upperbound of 95% confidence interval for alpha
    1.28902
  • Treynor index (mean / b)
    1.34292
  • Jensen alpha (a)
    0.60752
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06786
  • Expected Shortfall on VaR
    0.09482
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01279
  • Expected Shortfall on VaR
    0.03202
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.92519
  • Quartile 1
    1.01696
  • Median
    1.06559
  • Quartile 3
    1.07475
  • Maximum
    1.17120
  • Mean of quarter 1
    0.97570
  • Mean of quarter 2
    1.04888
  • Mean of quarter 3
    1.07085
  • Mean of quarter 4
    1.15300
  • Inter Quartile Range
    0.05779
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.92519
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.17120
  • 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)
    -0.09871
  • VaR(95%) (regression method)
    0.09244
  • Expected Shortfall (regression method)
    0.14324
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01504
  • Quartile 1
    0.02998
  • Median
    0.04492
  • Quartile 3
    0.05987
  • Maximum
    0.07481
  • Mean of quarter 1
    0.01504
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.07481
  • Inter Quartile Range
    0.02988
  • 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)
    0.73794
  • Compounded annual return (geometric extrapolation)
    0.79914
  • Calmar ratio (compounded annual return / max draw down)
    10.68250
  • Compounded annual return / average of 25% largest draw downs
    10.68250
  • Compounded annual return / Expected Shortfall lognormal
    8.42803
  • 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
    0.60661
  • SD
    0.27473
  • Sharpe ratio (Glass type estimate)
    2.20802
  • Sharpe ratio (Hedges UMVUE)
    2.19960
  • df
    197.00000
  • t
    1.91949
  • p
    0.41401
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05981
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.47039
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06541
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.46462
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.48820
  • Upside Potential Ratio
    11.46250
  • Upside part of mean
    1.99336
  • Downside part of mean
    -1.38675
  • Upside SD
    0.21507
  • Downside SD
    0.17390
  • N nonnegative terms
    96.00000
  • N negative terms
    102.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    198.00000
  • Mean of predictor
    -0.08311
  • Mean of criterion
    0.60661
  • SD of predictor
    0.25248
  • SD of criterion
    0.27473
  • Covariance
    -0.00193
  • r
    -0.02790
  • b (slope, estimate of beta)
    -0.03035
  • a (intercept, estimate of alpha)
    0.60400
  • Mean Square Error
    0.07580
  • DF error
    196.00000
  • t(b)
    -0.39069
  • p(b)
    0.51395
  • t(a)
    1.90699
  • p(a)
    0.43252
  • Lowerbound of 95% confidence interval for beta
    -0.18358
  • Upperbound of 95% confidence interval for beta
    0.12287
  • Lowerbound of 95% confidence interval for alpha
    -0.02064
  • Upperbound of 95% confidence interval for alpha
    1.22881
  • Treynor index (mean / b)
    -19.98440
  • Jensen alpha (a)
    0.60408
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56842
  • SD
    0.27440
  • Sharpe ratio (Glass type estimate)
    2.07154
  • Sharpe ratio (Hedges UMVUE)
    2.06364
  • df
    197.00000
  • t
    1.80084
  • p
    0.41920
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19487
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.33281
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20013
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.32741
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.21797
  • Upside Potential Ratio
    11.15530
  • Upside part of mean
    1.97046
  • Downside part of mean
    -1.40204
  • Upside SD
    0.21200
  • Downside SD
    0.17664
  • N nonnegative terms
    96.00000
  • N negative terms
    102.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    198.00000
  • Mean of predictor
    -0.11485
  • Mean of criterion
    0.56842
  • SD of predictor
    0.25262
  • SD of criterion
    0.27440
  • Covariance
    -0.00181
  • r
    -0.02610
  • b (slope, estimate of beta)
    -0.02835
  • a (intercept, estimate of alpha)
    0.56516
  • Mean Square Error
    0.07562
  • DF error
    196.00000
  • t(b)
    -0.36555
  • p(b)
    0.51305
  • t(a)
    1.78587
  • p(a)
    0.43673
  • Lowerbound of 95% confidence interval for beta
    -0.18131
  • Upperbound of 95% confidence interval for beta
    0.12461
  • Lowerbound of 95% confidence interval for alpha
    -0.05895
  • Upperbound of 95% confidence interval for alpha
    1.18927
  • Treynor index (mean / b)
    -20.04870
  • Jensen alpha (a)
    0.56516
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02539
  • Expected Shortfall on VaR
    0.03225
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01243
  • Expected Shortfall on VaR
    0.02412
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    198.00000
  • Minimum
    0.94069
  • Quartile 1
    0.99250
  • Median
    1.00000
  • Quartile 3
    1.01322
  • Maximum
    1.04834
  • Mean of quarter 1
    0.98171
  • Mean of quarter 2
    0.99749
  • Mean of quarter 3
    1.00667
  • Mean of quarter 4
    1.02380
  • Inter Quartile Range
    0.02072
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01010
  • Mean of outliers low
    0.95044
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01010
  • Mean of outliers high
    1.04641
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.06513
  • VaR(95%) (moments method)
    0.01697
  • Expected Shortfall (moments method)
    0.02224
  • Extreme Value Index (regression method)
    -0.06453
  • VaR(95%) (regression method)
    0.02125
  • Expected Shortfall (regression method)
    0.02883
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00114
  • Quartile 1
    0.01489
  • Median
    0.02193
  • Quartile 3
    0.04200
  • Maximum
    0.17408
  • Mean of quarter 1
    0.00729
  • Mean of quarter 2
    0.01744
  • Mean of quarter 3
    0.03715
  • Mean of quarter 4
    0.12077
  • Inter Quartile Range
    0.02711
  • 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
    0.15385
  • Mean of outliers high
    0.15566
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.10753
  • VaR(95%) (moments method)
    0.10323
  • Expected Shortfall (moments method)
    0.13648
  • Extreme Value Index (regression method)
    0.01280
  • VaR(95%) (regression method)
    0.13894
  • Expected Shortfall (regression method)
    0.19590
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.75338
  • Compounded annual return (geometric extrapolation)
    0.81544
  • Calmar ratio (compounded annual return / max draw down)
    4.68433
  • Compounded annual return / average of 25% largest draw downs
    6.75186
  • Compounded annual return / Expected Shortfall lognormal
    25.28740
  • 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
    0.63871
  • SD
    0.29042
  • Sharpe ratio (Glass type estimate)
    2.19924
  • Sharpe ratio (Hedges UMVUE)
    2.18653
  • df
    130.00000
  • t
    1.55510
  • p
    0.43243
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58955
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.97979
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59799
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.97105
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.52129
  • Upside Potential Ratio
    11.62350
  • Upside part of mean
    2.10832
  • Downside part of mean
    -1.46961
  • Upside SD
    0.22882
  • Downside SD
    0.18138
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08716
  • Mean of criterion
    0.63871
  • SD of predictor
    0.25063
  • SD of criterion
    0.29042
  • Covariance
    -0.00111
  • r
    -0.01530
  • b (slope, estimate of beta)
    -0.01773
  • a (intercept, estimate of alpha)
    0.63716
  • Mean Square Error
    0.08498
  • DF error
    129.00000
  • t(b)
    -0.17376
  • p(b)
    0.50974
  • t(a)
    1.54518
  • p(a)
    0.41444
  • Lowerbound of 95% confidence interval for beta
    -0.21956
  • Upperbound of 95% confidence interval for beta
    0.18411
  • Lowerbound of 95% confidence interval for alpha
    -0.17869
  • Upperbound of 95% confidence interval for alpha
    1.45302
  • Treynor index (mean / b)
    -36.03260
  • Jensen alpha (a)
    0.63716
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.59618
  • SD
    0.28993
  • Sharpe ratio (Glass type estimate)
    2.05632
  • Sharpe ratio (Hedges UMVUE)
    2.04443
  • df
    130.00000
  • t
    1.45404
  • p
    0.43675
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73061
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.83550
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73849
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.82736
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.23305
  • Upside Potential Ratio
    11.29290
  • Upside part of mean
    2.08245
  • Downside part of mean
    -1.48627
  • Upside SD
    0.22532
  • Downside SD
    0.18440
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.11829
  • Mean of criterion
    0.59618
  • SD of predictor
    0.25036
  • SD of criterion
    0.28993
  • Covariance
    -0.00097
  • r
    -0.01343
  • b (slope, estimate of beta)
    -0.01555
  • a (intercept, estimate of alpha)
    0.59434
  • Mean Square Error
    0.08469
  • DF error
    129.00000
  • t(b)
    -0.15250
  • p(b)
    0.50855
  • t(a)
    1.44348
  • p(a)
    0.41995
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    -0.21726
  • Upperbound of 95% confidence interval for beta
    0.18616
  • Lowerbound of 95% confidence interval for alpha
    -0.22030
  • Upperbound of 95% confidence interval for alpha
    1.40899
  • Treynor index (mean / b)
    -38.34640
  • Jensen alpha (a)
    0.59434
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02682
  • Expected Shortfall on VaR
    0.03406
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01314
  • Expected Shortfall on VaR
    0.02530
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94069
  • Quartile 1
    0.99062
  • Median
    1.00005
  • Quartile 3
    1.01360
  • Maximum
    1.04834
  • Mean of quarter 1
    0.98104
  • Mean of quarter 2
    0.99690
  • Mean of quarter 3
    1.00703
  • Mean of quarter 4
    1.02534
  • Inter Quartile Range
    0.02298
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.94069
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.04834
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25555
  • VaR(95%) (moments method)
    0.02049
  • Expected Shortfall (moments method)
    0.03170
  • Extreme Value Index (regression method)
    0.21880
  • VaR(95%) (regression method)
    0.02078
  • Expected Shortfall (regression method)
    0.03132
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00331
  • Quartile 1
    0.01408
  • Median
    0.01835
  • Quartile 3
    0.03567
  • Maximum
    0.13923
  • Mean of quarter 1
    0.00952
  • Mean of quarter 2
    0.01599
  • Mean of quarter 3
    0.02829
  • Mean of quarter 4
    0.10438
  • Inter Quartile Range
    0.02159
  • 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
    0.18182
  • Mean of outliers high
    0.13823
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -17078.90000
  • VaR(95%) (moments method)
    0.08535
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -6.66325
  • VaR(95%) (regression method)
    0.48656
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.48657
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -384346000
  • Max Equity Drawdown (num days)
    85
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.73243
  • Compounded annual return (geometric extrapolation)
    0.86655
  • Calmar ratio (compounded annual return / max draw down)
    6.22399
  • Compounded annual return / average of 25% largest draw downs
    8.30153
  • Compounded annual return / Expected Shortfall lognormal
    25.44490

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: once the stop is triggered, the system reverses direction (i.e. from Long to Short).
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.

About me: I work as financial analyst and I am a stock trader since 1997.

Summary Statistics

Strategy began
2022-03-07
Suggested Minimum Capital
$5,000
Rank at C2 %
Top 0.4%
Rank # 
#3
# Trades
42
# Profitable
19
% Profitable
45.2%
Correlation S&P500
-0.032
Sharpe Ratio
1.71
Sortino Ratio
2.66
Beta
-0.04
Alpha
0.16
Leverage
0.71 Average
1.06 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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