Collective2 Collective2
Featured Strategy Quant AI pro +11.0% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 05/23/2022
Most recent certification approved 5/23/22 9:32 ET
Trades at broker C2 Gateway
Scaling percentage used 100%
# trading signals issued by system since certification 3,505
# trading signals executed in manager's C2 Gateway account 3,505
Percent signals followed since 05/23/2022 100%
This information was last updated 12/28/24 4:53 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 05/23/2022, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

SP500 Stocks spike Live
(140513127)

Powered by BrokerTransmit.
Read important disclosures.

Created by: FabianKlare FabianKlare
Started: 05/2022
Stocks
Last trade: 4 days ago
Trading style: Equity Short-term Reversal

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 $49.00 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
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
10.4%
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.

(27.1%)
Max Drawdown
1743
Num Trades
58.6%
Win Trades
1.1 : 1
Profit Factor
56.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                            +13.6%+4.1%+7.1%(0.6%)(4.7%)+21.0%+12.4%(1.1%)+61.6%
2023+0.9%(0.4%)(8.7%)+1.6%+0.9%(0.1%)+3.2%(4.3%)(3.7%)(0.5%)+8.0%+4.6%+0.4%
2024(3.7%)+4.6%+3.3%(5.4%)+2.5%+0.8%+4.0%(14.1%)+0.9%(8.1%)+4.8%(9.5%)(20.1%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 3,505 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/18/24 15:05 TSLA TESLA INC. LONG 10 445.98 12/24 12:59 461.80 0.38%
Trade id #150356997
Max drawdown($283)
Time12/20/24 0:00
Quant open10
Worst price417.64
Drawdown as % of equity-0.38%
 $158
Includes Typical Broker Commissions trade costs of $0.20
12/20/24 10:10 FDX FEDEX LONG 15 271.95 12/23 9:30 274.02 0.02%
Trade id #150375000
Max drawdown($13)
Time12/20/24 10:13
Quant open15
Worst price271.02
Drawdown as % of equity-0.02%
 $31
Includes Typical Broker Commissions trade costs of $0.30
12/18/24 15:26 MPWR MONOLITHIC POWER SYSTEMS LONG 7 604.28 12/20 15:59 593.31 0.21%
Trade id #150357408
Max drawdown($153)
Time12/20/24 10:19
Quant open7
Worst price582.29
Drawdown as % of equity-0.21%
 ($77)
Includes Typical Broker Commissions trade costs of $0.14
12/18/24 15:11 WBD WARNER BROS. DISCOVERY INC. SERIES A LONG 439 10.76 12/20 15:59 10.69 0.22%
Trade id #150357131
Max drawdown($166)
Time12/20/24 9:35
Quant open439
Worst price10.38
Drawdown as % of equity-0.22%
 ($40)
Includes Typical Broker Commissions trade costs of $8.78
12/18/24 15:45 LRCX LAM RESEARCH LONG 63 74.61 12/20 15:59 71.82 0.37%
Trade id #150357843
Max drawdown($280)
Time12/19/24 0:00
Quant open63
Worst price70.16
Drawdown as % of equity-0.37%
 ($177)
Includes Typical Broker Commissions trade costs of $1.26
12/18/24 14:57 EL ESTEE LAUDER COS LONG 63 75.56 12/20 15:59 74.43 0.14%
Trade id #150356809
Max drawdown($105)
Time12/19/24 0:00
Quant open63
Worst price73.89
Drawdown as % of equity-0.14%
 ($72)
Includes Typical Broker Commissions trade costs of $1.26
12/3/24 15:57 D DOMINION RESOURCES LONG 87 56.72 12/20 9:34 53.15 0.49%
Trade id #150236522
Max drawdown($372)
Time12/19/24 0:00
Quant open87
Worst price52.44
Drawdown as % of equity-0.49%
 ($313)
Includes Typical Broker Commissions trade costs of $1.74
12/3/24 9:55 UPS UNITED PARCEL SERVICE LONG 37 131.68 12/20 9:30 123.93 0.45%
Trade id #150231322
Max drawdown($345)
Time12/19/24 0:00
Quant open37
Worst price122.33
Drawdown as % of equity-0.45%
 ($288)
Includes Typical Broker Commissions trade costs of $0.74
12/19/24 9:55 KMX CARMAX LONG 53 84.41 12/20 9:30 84.49 0.1%
Trade id #150364017
Max drawdown($75)
Time12/19/24 13:19
Quant open53
Worst price82.98
Drawdown as % of equity-0.10%
 $3
Includes Typical Broker Commissions trade costs of $1.06
12/19/24 11:02 LW LAMB WESTON HOLDINGS INC LONG 73 61.01 12/20 9:30 62.44 0.1%
Trade id #150364813
Max drawdown($75)
Time12/19/24 12:47
Quant open73
Worst price59.97
Drawdown as % of equity-0.10%
 $103
Includes Typical Broker Commissions trade costs of $1.46
12/3/24 15:57 DUK DUKE ENERGY LONG 43 113.83 12/20 9:30 107.16 0.44%
Trade id #150236514
Max drawdown($352)
Time12/18/24 0:00
Quant open43
Worst price105.63
Drawdown as % of equity-0.44%
 ($288)
Includes Typical Broker Commissions trade costs of $0.86
12/3/24 11:49 CAT CATERPILLAR LONG 12 396.66 12/20 9:30 358.53 0.63%
Trade id #150233925
Max drawdown($473)
Time12/20/24 9:30
Quant open12
Worst price357.24
Drawdown as % of equity-0.63%
 ($458)
Includes Typical Broker Commissions trade costs of $0.24
12/3/24 9:55 SJM J.M. SMUCKER LONG 42 117.58 12/20 9:30 108.55 0.51%
Trade id #150231329
Max drawdown($379)
Time12/20/24 9:30
Quant open42
Worst price108.55
Drawdown as % of equity-0.51%
 ($380)
Includes Typical Broker Commissions trade costs of $0.84
12/3/24 9:53 KR KROGER LONG 84 59.38 12/20 9:30 61.69 0.17%
Trade id #150231297
Max drawdown($141)
Time12/9/24 0:00
Quant open84
Worst price57.69
Drawdown as % of equity-0.17%
 $192
Includes Typical Broker Commissions trade costs of $1.68
12/3/24 9:53 EPAM EPAM SYSTEMS LONG 20 240.84 12/20 9:30 242.78 0.04%
Trade id #150231290
Max drawdown($36)
Time12/5/24 0:00
Quant open20
Worst price239.00
Drawdown as % of equity-0.04%
 $39
Includes Typical Broker Commissions trade costs of $0.40
12/3/24 9:47 NKE NIKE LONG 64 77.66 12/20 9:30 77.06 0.2%
Trade id #150231218
Max drawdown($152)
Time12/20/24 9:30
Quant open64
Worst price75.28
Drawdown as % of equity-0.20%
 ($39)
Includes Typical Broker Commissions trade costs of $1.28
12/3/24 9:36 UNP UNION PACIFIC LONG 21 237.61 12/20 9:30 223.10 0.44%
Trade id #150231011
Max drawdown($327)
Time12/20/24 9:30
Quant open21
Worst price222.02
Drawdown as % of equity-0.44%
 ($305)
Includes Typical Broker Commissions trade costs of $0.42
12/2/24 10:42 IP INTERNATIONAL PAPER LONG 86 57.53 12/20 9:30 53.86 0.5%
Trade id #150222194
Max drawdown($385)
Time12/19/24 0:00
Quant open86
Worst price53.05
Drawdown as % of equity-0.50%
 ($317)
Includes Typical Broker Commissions trade costs of $1.72
12/3/24 15:55 AEP AMERICAN ELECTRIC POWER LONG 51 97.22 12/20 9:30 91.83 0.45%
Trade id #150236488
Max drawdown($346)
Time12/19/24 0:00
Quant open51
Worst price90.42
Drawdown as % of equity-0.45%
 ($276)
Includes Typical Broker Commissions trade costs of $1.02
12/18/24 15:55 PSX PHILLIPS 66 LONG 42 111.78 12/19 15:59 110.35 0.13%
Trade id #150358368
Max drawdown($100)
Time12/19/24 13:26
Quant open42
Worst price109.39
Drawdown as % of equity-0.13%
 ($61)
Includes Typical Broker Commissions trade costs of $0.84
12/18/24 15:38 WDC WESTERN DIGITAL LONG 74 63.52 12/19 15:59 59.66 0.4%
Trade id #150357601
Max drawdown($304)
Time12/19/24 15:51
Quant open74
Worst price59.41
Drawdown as % of equity-0.40%
 ($286)
Includes Typical Broker Commissions trade costs of $1.48
12/18/24 15:28 TECH BIO-TECHNE CORP COMMON STOCK LONG 65 72.14 12/19 15:59 71.36 0.23%
Trade id #150357429
Max drawdown($172)
Time12/19/24 9:45
Quant open65
Worst price69.48
Drawdown as % of equity-0.23%
 ($52)
Includes Typical Broker Commissions trade costs of $1.30
12/18/24 14:07 NOW SERVICENOW LONG 4 1089.53 12/19 15:59 1075.96 0.17%
Trade id #150355955
Max drawdown($130)
Time12/18/24 15:45
Quant open4
Worst price1056.99
Drawdown as % of equity-0.17%
 ($54)
Includes Typical Broker Commissions trade costs of $0.08
12/2/24 10:10 VLO VALERO ENERGY LONG 36 136.24 12/19 15:59 118.87 0.91%
Trade id #150221831
Max drawdown($687)
Time12/19/24 13:26
Quant open36
Worst price117.14
Drawdown as % of equity-0.91%
 ($626)
Includes Typical Broker Commissions trade costs of $0.72
12/18/24 15:40 RCL ROYAL CARIBBEAN GROUP LONG 20 231.42 12/19 15:59 230.74 0.09%
Trade id #150357646
Max drawdown($70)
Time12/19/24 12:28
Quant open20
Worst price227.90
Drawdown as % of equity-0.09%
 ($13)
Includes Typical Broker Commissions trade costs of $0.40
12/18/24 15:38 KLAC KLA CORP LONG 7 629.70 12/19 15:59 622.07 0.08%
Trade id #150357609
Max drawdown($63)
Time12/19/24 15:54
Quant open7
Worst price620.58
Drawdown as % of equity-0.08%
 ($53)
Includes Typical Broker Commissions trade costs of $0.14
12/18/24 15:05 HST HOST HOTELS & RESORTS LONG 264 17.92 12/19 15:59 17.64 0.13%
Trade id #150357005
Max drawdown($102)
Time12/18/24 15:59
Quant open264
Worst price17.53
Drawdown as % of equity-0.13%
 ($80)
Includes Typical Broker Commissions trade costs of $5.28
12/18/24 14:56 NDSN NORDSON LONG 22 217.25 12/19 15:59 208.94 0.25%
Trade id #150356805
Max drawdown($185)
Time12/19/24 15:59
Quant open22
Worst price208.81
Drawdown as % of equity-0.25%
 ($183)
Includes Typical Broker Commissions trade costs of $0.44
12/18/24 13:03 PAYC PAYCOM SOFTWARE INC LONG 21 220.50 12/19 15:59 207.03 0.42%
Trade id #150355222
Max drawdown($313)
Time12/19/24 13:04
Quant open21
Worst price205.55
Drawdown as % of equity-0.42%
 ($283)
Includes Typical Broker Commissions trade costs of $0.42
12/17/24 9:30 HUM HUMANA LONG 19 250.13 12/19 15:59 235.81 0.46%
Trade id #150342366
Max drawdown($351)
Time12/19/24 12:55
Quant open19
Worst price231.65
Drawdown as % of equity-0.46%
 ($272)
Includes Typical Broker Commissions trade costs of $0.38
Next

Statistics

  • Strategy began
    5/18/2022
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    955.06
  • Age
    32 months ago
  • What it trades
    Stocks
  • # Trades
    1743
  • # Profitable
    1021
  • % Profitable
    58.60%
  • Avg trade duration
    6.1 days
  • Max peak-to-valley drawdown
    27.09%
  • drawdown period
    July 31, 2024 - Dec 23, 2024
  • Annual Return (Compounded)
    10.4%
  • Avg win
    $190.58
  • Avg loss
    $239.36
  • Model Account Values (Raw)
  • Cash
    $11,221
  • Margin Used
    $0
  • Buying Power
    $12,873
  • Ratios
  • W:L ratio
    1.14:1
  • Sharpe Ratio
    0.39
  • Sortino Ratio
    0.59
  • Calmar Ratio
    0.588
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -22.54%
  • Correlation to SP500
    0.42100
  • Return Percent SP500 (cumu) during strategy life
    52.17%
  • Return Statistics
  • Ann Return (w trading costs)
    10.4%
  • Slump
  • Current Slump as Pcnt Equity
    32.30%
  • Instruments
  • Percent Trades Futures
    0.02%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.16%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.104%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.98%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    13.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    72.50%
  • Chance of 20% account loss
    42.50%
  • Chance of 30% account loss
    10.00%
  • Chance of 40% account loss
    8.00%
  • 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
    1.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    702
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    434
  • Popularity (7 days, Percentile 1000 scale)
    393
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $239
  • Avg Win
    $191
  • Sum Trade PL (losers)
    $172,816.000
  • Age
  • Num Months filled monthly returns table
    32
  • Win / Loss
  • Sum Trade PL (winners)
    $194,579.000
  • # Winners
    1021
  • Num Months Winners
    18
  • Dividends
  • Dividends Received in Model Acct
    2213
  • AUM
  • AUM (AutoTrader live capital)
    83804
  • Win / Loss
  • # Losers
    722
  • % Winners
    58.6%
  • Frequency
  • Avg Position Time (mins)
    8791.45
  • Avg Position Time (hrs)
    146.52
  • Avg Trade Length
    6.1 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.86
  • Daily leverage (max)
    4.68
  • Regression
  • Alpha
    0.00
  • Beta
    0.60
  • Treynor Index
    0.05
  • 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)
    0.06
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    58.342
  • 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
    1.174
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.782
  • Hold-and-Hope Ratio
    0.019
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13147
  • SD
    0.24356
  • Sharpe ratio (Glass type estimate)
    0.53981
  • Sharpe ratio (Hedges UMVUE)
    0.52618
  • df
    30.00000
  • t
    0.86762
  • p
    0.19625
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69159
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76242
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70050
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75286
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.13879
  • Upside Potential Ratio
    2.92779
  • Upside part of mean
    0.33801
  • Downside part of mean
    -0.20654
  • Upside SD
    0.21335
  • Downside SD
    0.11545
  • N nonnegative terms
    16.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.15059
  • Mean of criterion
    0.13147
  • SD of predictor
    0.14597
  • SD of criterion
    0.24356
  • Covariance
    0.01336
  • r
    0.37584
  • b (slope, estimate of beta)
    0.62711
  • a (intercept, estimate of alpha)
    0.03704
  • Mean Square Error
    0.05270
  • DF error
    29.00000
  • t(b)
    2.18412
  • p(b)
    0.01859
  • t(a)
    0.24819
  • p(a)
    0.40287
  • Lowerbound of 95% confidence interval for beta
    0.03988
  • Upperbound of 95% confidence interval for beta
    1.21435
  • Lowerbound of 95% confidence interval for alpha
    -0.26816
  • Upperbound of 95% confidence interval for alpha
    0.34224
  • Treynor index (mean / b)
    0.20965
  • Jensen alpha (a)
    0.03704
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10410
  • SD
    0.23025
  • Sharpe ratio (Glass type estimate)
    0.45210
  • Sharpe ratio (Hedges UMVUE)
    0.44069
  • df
    30.00000
  • t
    0.72665
  • p
    0.23654
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77636
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67316
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78383
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66521
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.86492
  • Upside Potential Ratio
    2.63547
  • Upside part of mean
    0.31719
  • Downside part of mean
    -0.21309
  • Upside SD
    0.19423
  • Downside SD
    0.12036
  • N nonnegative terms
    16.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.13908
  • Mean of criterion
    0.10410
  • SD of predictor
    0.14620
  • SD of criterion
    0.23025
  • Covariance
    0.01243
  • r
    0.36925
  • b (slope, estimate of beta)
    0.58152
  • a (intercept, estimate of alpha)
    0.02322
  • Mean Square Error
    0.04737
  • DF error
    29.00000
  • t(b)
    2.13968
  • p(b)
    0.02046
  • t(a)
    0.16517
  • p(a)
    0.43498
  • Lowerbound of 95% confidence interval for beta
    0.02567
  • Upperbound of 95% confidence interval for beta
    1.13738
  • Lowerbound of 95% confidence interval for alpha
    -0.26431
  • Upperbound of 95% confidence interval for alpha
    0.31075
  • Treynor index (mean / b)
    0.17901
  • Jensen alpha (a)
    0.02322
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09576
  • Expected Shortfall on VaR
    0.12026
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03906
  • Expected Shortfall on VaR
    0.07449
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    31.00000
  • Minimum
    0.89694
  • Quartile 1
    0.97949
  • Median
    1.00865
  • Quartile 3
    1.03009
  • Maximum
    1.27014
  • Mean of quarter 1
    0.94572
  • Mean of quarter 2
    0.99303
  • Mean of quarter 3
    1.01863
  • Mean of quarter 4
    1.09643
  • Inter Quartile Range
    0.05060
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.06452
  • Mean of outliers low
    0.89705
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.09677
  • Mean of outliers high
    1.17567
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.16830
  • VaR(95%) (moments method)
    0.05158
  • Expected Shortfall (moments method)
    0.06628
  • Extreme Value Index (regression method)
    -1.85854
  • VaR(95%) (regression method)
    0.05691
  • Expected Shortfall (regression method)
    0.05810
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.01034
  • Quartile 1
    0.01914
  • Median
    0.03179
  • Quartile 3
    0.08832
  • Maximum
    0.19689
  • Mean of quarter 1
    0.01424
  • Mean of quarter 2
    0.02212
  • Mean of quarter 3
    0.04145
  • Mean of quarter 4
    0.15042
  • Inter Quartile Range
    0.06919
  • 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
    0.16667
  • Mean of outliers high
    0.19689
  • 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)
    0.15730
  • Compounded annual return (geometric extrapolation)
    0.14111
  • Calmar ratio (compounded annual return / max draw down)
    0.71673
  • Compounded annual return / average of 25% largest draw downs
    0.93815
  • Compounded annual return / Expected Shortfall lognormal
    1.17340
  • 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
    0.12821
  • SD
    0.22706
  • Sharpe ratio (Glass type estimate)
    0.56467
  • Sharpe ratio (Hedges UMVUE)
    0.56405
  • df
    678.00000
  • t
    0.90903
  • p
    0.18183
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65337
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78234
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65381
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78190
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.86088
  • Upside Potential Ratio
    6.58403
  • Upside part of mean
    0.98056
  • Downside part of mean
    -0.85235
  • Upside SD
    0.17135
  • Downside SD
    0.14893
  • N nonnegative terms
    350.00000
  • N negative terms
    329.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    679.00000
  • Mean of predictor
    0.14739
  • Mean of criterion
    0.12821
  • SD of predictor
    0.16288
  • SD of criterion
    0.22706
  • Covariance
    0.01487
  • r
    0.40210
  • b (slope, estimate of beta)
    0.56052
  • a (intercept, estimate of alpha)
    0.04600
  • Mean Square Error
    0.04328
  • DF error
    677.00000
  • t(b)
    11.42670
  • p(b)
    -0.00000
  • t(a)
    0.35227
  • p(a)
    0.36237
  • Lowerbound of 95% confidence interval for beta
    0.46420
  • Upperbound of 95% confidence interval for beta
    0.65683
  • Lowerbound of 95% confidence interval for alpha
    -0.20855
  • Upperbound of 95% confidence interval for alpha
    0.29974
  • Treynor index (mean / b)
    0.22874
  • Jensen alpha (a)
    0.04560
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10253
  • SD
    0.22655
  • Sharpe ratio (Glass type estimate)
    0.45255
  • Sharpe ratio (Hedges UMVUE)
    0.45205
  • df
    678.00000
  • t
    0.72854
  • p
    0.23327
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.76531
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67014
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76567
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66978
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.66686
  • Upside Potential Ratio
    6.28541
  • Upside part of mean
    0.96636
  • Downside part of mean
    -0.86383
  • Upside SD
    0.16629
  • Downside SD
    0.15375
  • N nonnegative terms
    350.00000
  • N negative terms
    329.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    679.00000
  • Mean of predictor
    0.13410
  • Mean of criterion
    0.10253
  • SD of predictor
    0.16283
  • SD of criterion
    0.22655
  • Covariance
    0.01464
  • r
    0.39691
  • b (slope, estimate of beta)
    0.55225
  • a (intercept, estimate of alpha)
    0.02847
  • Mean Square Error
    0.04330
  • DF error
    677.00000
  • t(b)
    11.25140
  • p(b)
    -0.00000
  • t(a)
    0.21996
  • p(a)
    0.41298
  • Lowerbound of 95% confidence interval for beta
    0.45588
  • Upperbound of 95% confidence interval for beta
    0.64862
  • Lowerbound of 95% confidence interval for alpha
    -0.22567
  • Upperbound of 95% confidence interval for alpha
    0.28261
  • Treynor index (mean / b)
    0.18565
  • Jensen alpha (a)
    0.02847
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02238
  • Expected Shortfall on VaR
    0.02806
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00714
  • Expected Shortfall on VaR
    0.01575
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    679.00000
  • Minimum
    0.87474
  • Quartile 1
    0.99716
  • Median
    1.00026
  • Quartile 3
    1.00358
  • Maximum
    1.11976
  • Mean of quarter 1
    0.98818
  • Mean of quarter 2
    0.99904
  • Mean of quarter 3
    1.00169
  • Mean of quarter 4
    1.01348
  • Inter Quartile Range
    0.00642
  • Number outliers low
    45.00000
  • Percentage of outliers low
    0.06627
  • Mean of outliers low
    0.97276
  • Number of outliers high
    43.00000
  • Percentage of outliers high
    0.06333
  • Mean of outliers high
    1.03366
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.51589
  • VaR(95%) (moments method)
    0.01062
  • Expected Shortfall (moments method)
    0.02527
  • Extreme Value Index (regression method)
    0.28334
  • VaR(95%) (regression method)
    0.00982
  • Expected Shortfall (regression method)
    0.01732
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    27.00000
  • Minimum
    0.00026
  • Quartile 1
    0.00329
  • Median
    0.01856
  • Quartile 3
    0.04405
  • Maximum
    0.23679
  • Mean of quarter 1
    0.00132
  • Mean of quarter 2
    0.00894
  • Mean of quarter 3
    0.02872
  • Mean of quarter 4
    0.10652
  • Inter Quartile Range
    0.04076
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.16585
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.07405
  • VaR(95%) (moments method)
    0.10538
  • Expected Shortfall (moments method)
    0.14929
  • Extreme Value Index (regression method)
    0.33308
  • VaR(95%) (regression method)
    0.12383
  • Expected Shortfall (regression method)
    0.21515
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15519
  • Compounded annual return (geometric extrapolation)
    0.13932
  • Calmar ratio (compounded annual return / max draw down)
    0.58838
  • Compounded annual return / average of 25% largest draw downs
    1.30800
  • Compounded annual return / Expected Shortfall lognormal
    4.96437
  • 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
    -0.44238
  • SD
    0.19025
  • Sharpe ratio (Glass type estimate)
    -2.32520
  • Sharpe ratio (Hedges UMVUE)
    -2.31176
  • df
    130.00000
  • t
    -1.64416
  • p
    0.57136
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.10701
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.46535
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.09777
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47426
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.63724
  • Upside Potential Ratio
    4.10629
  • Upside part of mean
    0.68880
  • Downside part of mean
    -1.13117
  • Upside SD
    0.09236
  • Downside SD
    0.16774
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15470
  • Mean of criterion
    -0.44238
  • SD of predictor
    0.14330
  • SD of criterion
    0.19025
  • Covariance
    0.01604
  • r
    0.58844
  • b (slope, estimate of beta)
    0.78126
  • a (intercept, estimate of alpha)
    -0.56324
  • Mean Square Error
    0.02385
  • DF error
    129.00000
  • t(b)
    8.26601
  • p(b)
    0.14830
  • t(a)
    -2.57334
  • p(a)
    0.63952
  • Lowerbound of 95% confidence interval for beta
    0.59426
  • Upperbound of 95% confidence interval for beta
    0.96826
  • Lowerbound of 95% confidence interval for alpha
    -0.99629
  • Upperbound of 95% confidence interval for alpha
    -0.13019
  • Treynor index (mean / b)
    -0.56623
  • Jensen alpha (a)
    -0.56324
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.46099
  • SD
    0.19276
  • Sharpe ratio (Glass type estimate)
    -2.39159
  • Sharpe ratio (Hedges UMVUE)
    -2.37776
  • df
    130.00000
  • t
    -1.69111
  • p
    0.57336
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.17411
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.39991
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.16459
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40907
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.69152
  • Upside Potential Ratio
    3.99656
  • Upside part of mean
    0.68452
  • Downside part of mean
    -1.14551
  • Upside SD
    0.09136
  • Downside SD
    0.17128
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14442
  • Mean of criterion
    -0.46099
  • SD of predictor
    0.14364
  • SD of criterion
    0.19276
  • Covariance
    0.01633
  • r
    0.58960
  • b (slope, estimate of beta)
    0.79119
  • a (intercept, estimate of alpha)
    -0.57526
  • Mean Square Error
    0.02443
  • DF error
    129.00000
  • t(b)
    8.29101
  • p(b)
    0.14770
  • t(a)
    -2.59761
  • p(a)
    0.64075
  • VAR (95 Confidence Intrvl)
    0.02200
  • Lowerbound of 95% confidence interval for beta
    0.60238
  • Upperbound of 95% confidence interval for beta
    0.97999
  • Lowerbound of 95% confidence interval for alpha
    -1.01342
  • Upperbound of 95% confidence interval for alpha
    -0.13710
  • Treynor index (mean / b)
    -0.58266
  • Jensen alpha (a)
    -0.57526
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02112
  • Expected Shortfall on VaR
    0.02597
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00976
  • Expected Shortfall on VaR
    0.02045
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94237
  • Quartile 1
    0.99518
  • Median
    1.00020
  • Quartile 3
    1.00368
  • Maximum
    1.03784
  • Mean of quarter 1
    0.98514
  • Mean of quarter 2
    0.99794
  • Mean of quarter 3
    1.00161
  • Mean of quarter 4
    1.00909
  • Inter Quartile Range
    0.00850
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.96491
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.02671
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.68942
  • VaR(95%) (moments method)
    0.01650
  • Expected Shortfall (moments method)
    0.05528
  • Extreme Value Index (regression method)
    0.32955
  • VaR(95%) (regression method)
    0.01293
  • Expected Shortfall (regression method)
    0.02254
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01154
  • Quartile 1
    0.01680
  • Median
    0.02723
  • Quartile 3
    0.08612
  • Maximum
    0.23679
  • Mean of quarter 1
    0.01154
  • Mean of quarter 2
    0.01856
  • Mean of quarter 3
    0.03589
  • Mean of quarter 4
    0.23679
  • Inter Quartile Range
    0.06931
  • 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
    0.25000
  • Mean of outliers high
    0.23679
  • 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?
    -370104000
  • Max Equity Drawdown (num days)
    145
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.38941
  • Compounded annual return (geometric extrapolation)
    -0.35150
  • Calmar ratio (compounded annual return / max draw down)
    -1.48442
  • Compounded annual return / average of 25% largest draw downs
    -1.48442
  • Compounded annual return / Expected Shortfall lognormal
    -13.53440

Strategy Description

There are 2 main systems. The 1st main system trades all stocks from the S&P 500.
The 2nd main system trades the SPY. Since I, as an EU citizen, cannot trade the SPY directly, I trade this system with the E-Mirco Future. (If you want to trade SPY directly, then check out my non-TOS systems.)
The 1st system is leading. The SPY system only becomes active if there are few trades open in the 1st system.
The SPY system always trades with half of the total capital including leverage!
The SPY trade cannot be closed until the next day at the earliest! Then a stop loss of 0.3% and a take profit of 2.3% apply!

The 1st main system generate trades from several subsystems. There are both long subsystems and short subsystems. All subsystems run fully automatically and before trading begins, the stocks that are eligible for a trade are selected. If the stock reaches the price generated by my system intraday, the trade is entered.
There is no classic stop loss, but if a trade has lost 10% (long trade) or 8% (short trade) or more, it will be closed the next day.
To prevent stocks from being bought in a crash, there are several safety features. These security features can cause my system to close positions in a pullback as the system anticipates further losses. See August 2024 and March 2023. This is unpleasant, but necessary. In a crash, the losses would be many times higher.

Max 60 trades can be open at the same time.
Each trade is therefore entered into with 1/60th of the available capital (incl. leverage). There is no weighting that a trade is entered with more capital. In addition, there is no martingale or something like that. When a trade is open on a stock, another subsystem cannot open a trade until the open trade has been closed.

No intraday trading! Opened trades cannot be closed until the next day.
No Pattern Day Trader!

The majority of subsystems are not trend following systems! Therefore, the performance in strong bull markets is worse than the S&P 500 (for example the year 2023).
The core systems try to generate profits from a countermovement when stocks are overbought or oversold.
See for example the year 2022:
S&P 500:
YTD -18% DD -26%
My System (with 3.5 leverage):
YTD: 61% DD -20%
My system had a smaller draw down even though I trade with a maximum leverage of 3.5.

I recommend at least $10,000 for my system. Since up to 60 trades can be open at a time, at $10,000 only $583 per trade is buying shares.

Max leverage 3.5 (also overnight max leverage 3.5!)

The scaling factor for autotrading must be determined using the following formula:
("your capital"
divided by
"current equity of the system")
divided by
(3.5 (my max leverage)
divided by "your leverage").

So if you want to invest $10,000 in my system with a leverage of 2 and my current equity is $84.000, that would be a scaling factor of:
($10,000 / $84.000(get the current equity!!!) / (3.5 / 2) = 8%.

If you only want to trade the long systems, you can follow this system.
https://collective2.com/details/148698883
There is only a max leverage of 2 here!

If you have any questions, get in touch with me.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-05-18
Suggested Minimum Capital
$80,000
# Trades
1743
# Profitable
1021
% Profitable
58.6%
Net Dividends
$2,213
Correlation S&P500
0.421
Sharpe Ratio
0.39
Sortino Ratio
0.59
Beta
0.60
Alpha
0.00
Leverage
0.86 Average
4.68 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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Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.