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C2Star Strategy Furry Logic C2Star Certified Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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SmallCap Growth Trend
(142865658)

Created by: ClickCapital ClickCapital
Started: 12/2022
Stocks
Last trade: 7 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 $60.00 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.
-10.0%
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.

(22.0%)
Max Drawdown
54
Num Trades
35.2%
Win Trades
0.6 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                             (7.1%)(7.1%)
2023+11.9%+3.8%(16.6%)                                                      (3.2%)

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/14/22 15:58 LUNA LUNA INNOVATIONS LONG 162 9.30 3/15/23 15:31 6.51 1.8%
Trade id #142881762
Max drawdown($461)
Time3/15/23 14:45
Quant open162
Worst price6.45
Drawdown as % of equity-1.80%
 ($455)
Includes Typical Broker Commissions trade costs of $3.24
3/3/23 15:21 RES RPC LONG 165 9.77 3/15 15:30 7.70 1.51%
Trade id #143772040
Max drawdown($387)
Time3/15/23 13:04
Quant open165
Worst price7.42
Drawdown as % of equity-1.51%
 ($345)
Includes Typical Broker Commissions trade costs of $3.30
12/13/22 15:19 VITL VITAL FARMS INC. COMMON STOCK LONG 100 14.98 3/15/23 15:30 14.48 0.4%
Trade id #142865953
Max drawdown($112)
Time3/15/23 10:00
Quant open100
Worst price13.86
Drawdown as % of equity-0.40%
 ($52)
Includes Typical Broker Commissions trade costs of $2.00
1/5/23 15:24 TITN TITAN MACHINERY LONG 38 40.05 3/15 15:30 39.27 0.25%
Trade id #143113912
Max drawdown($63)
Time3/15/23 12:56
Quant open38
Worst price38.37
Drawdown as % of equity-0.25%
 ($31)
Includes Typical Broker Commissions trade costs of $0.76
12/29/22 15:47 RNGR RANGER ENERGY SERVICES INC LONG 135 11.14 3/15/23 15:30 9.68 0.9%
Trade id #143038027
Max drawdown($229)
Time3/15/23 13:38
Quant open135
Worst price9.44
Drawdown as % of equity-0.90%
 ($200)
Includes Typical Broker Commissions trade costs of $2.70
3/3/23 15:20 PAGP PLAINS GP HOLDINGS LP LONG 114 14.13 3/15 15:30 12.22 0.92%
Trade id #143772033
Max drawdown($234)
Time3/15/23 12:58
Quant open114
Worst price12.07
Drawdown as % of equity-0.92%
 ($220)
Includes Typical Broker Commissions trade costs of $2.28
12/13/22 15:46 MNKD MANNKIND LONG 305 4.92 3/14/23 14:40 4.27 0.72%
Trade id #142866274
Max drawdown($201)
Time3/14/23 14:30
Quant open305
Worst price4.26
Drawdown as % of equity-0.72%
 ($204)
Includes Typical Broker Commissions trade costs of $6.10
1/31/23 15:06 INSE INSPIRED ENTERTAINMENT INC. LONG 102 14.95 3/13 15:11 14.21 0.88%
Trade id #143404170
Max drawdown($239)
Time3/13/23 9:49
Quant open102
Worst price12.60
Drawdown as % of equity-0.88%
 ($77)
Includes Typical Broker Commissions trade costs of $2.04
12/15/22 15:33 MGNI MAGNITE INC. COMMON STOCK LONG 138 10.91 3/10/23 14:45 8.76 1.05%
Trade id #142894784
Max drawdown($307)
Time3/10/23 13:53
Quant open138
Worst price8.68
Drawdown as % of equity-1.05%
 ($300)
Includes Typical Broker Commissions trade costs of $2.76
12/13/22 15:48 ALTG ALTA EQUIPMENT GROUP INC LONG 117 12.86 3/10/23 14:44 16.85 0.29%
Trade id #142866308
Max drawdown($83)
Time12/22/22 0:00
Quant open117
Worst price12.15
Drawdown as % of equity-0.29%
 $465
Includes Typical Broker Commissions trade costs of $2.34
12/29/22 15:46 HDSN HUDSON TECHNOLOGY LONG 153 9.81 3/9/23 14:40 8.81 0.62%
Trade id #143038017
Max drawdown($197)
Time3/9/23 11:17
Quant open153
Worst price8.52
Drawdown as % of equity-0.62%
 ($156)
Includes Typical Broker Commissions trade costs of $3.06
12/13/22 15:15 ARHS ARHAUS INC. CLASS A COMMON STOCK LONG 153 9.80 3/9/23 14:40 10.20 0.44%
Trade id #142865918
Max drawdown($125)
Time12/23/22 0:00
Quant open153
Worst price8.98
Drawdown as % of equity-0.44%
 $58
Includes Typical Broker Commissions trade costs of $3.06
12/15/22 15:02 SURG SURGEPAYS INC COMMON STOCK LONG 203 7.39 3/3/23 15:19 4.79 1.68%
Trade id #142894366
Max drawdown($531)
Time3/3/23 10:41
Quant open203
Worst price4.77
Drawdown as % of equity-1.68%
 ($532)
Includes Typical Broker Commissions trade costs of $4.06
12/29/22 15:45 CTRN CITI TRENDS LONG 56 26.76 3/3/23 15:19 27.48 0.11%
Trade id #143038007
Max drawdown($36)
Time3/2/23 0:00
Quant open56
Worst price26.11
Drawdown as % of equity-0.11%
 $39
Includes Typical Broker Commissions trade costs of $1.12
12/29/22 15:47 DXLG DESTINATION XL GROUP INC. COMMON STOCK LONG 228 6.58 2/21/23 14:37 5.81 0.57%
Trade id #143038033
Max drawdown($177)
Time2/21/23 13:07
Quant open228
Worst price5.80
Drawdown as % of equity-0.57%
 ($181)
Includes Typical Broker Commissions trade costs of $4.56
12/13/22 15:17 ZYXI ZYNEX INC LONG 108 13.89 2/6/23 15:43 12.96 0.36%
Trade id #142865938
Max drawdown($112)
Time2/6/23 15:40
Quant open108
Worst price12.85
Drawdown as % of equity-0.36%
 ($102)
Includes Typical Broker Commissions trade costs of $2.16
1/9/23 14:37 HLIT HARMONIC LONG 100 15.21 1/31 14:58 13.01 0.78%
Trade id #143151299
Max drawdown($236)
Time1/31/23 9:30
Quant open100
Worst price12.85
Drawdown as % of equity-0.78%
 ($222)
Includes Typical Broker Commissions trade costs of $2.00
12/14/22 15:56 EXTR EXTREME NETWORKS LONG 76 19.97 1/25/23 15:01 16.16 1.31%
Trade id #142881649
Max drawdown($405)
Time1/25/23 9:42
Quant open76
Worst price14.63
Drawdown as % of equity-1.31%
 ($292)
Includes Typical Broker Commissions trade costs of $1.52
12/13/22 15:06 CPRX CATALYST PHARMACEUTICAL LONG 85 17.72 1/23/23 14:59 14.42 1.22%
Trade id #142865720
Max drawdown($375)
Time1/23/23 11:59
Quant open85
Worst price13.30
Drawdown as % of equity-1.22%
 ($283)
Includes Typical Broker Commissions trade costs of $1.70
12/13/22 15:42 PAYA PAYA HOLDINGS INC LONG 180 8.34 1/9/23 14:27 9.68 0.57%
Trade id #142866213
Max drawdown($162)
Time12/23/22 0:00
Quant open180
Worst price7.43
Drawdown as % of equity-0.57%
 $237
Includes Typical Broker Commissions trade costs of $3.60
12/29/22 15:47 AEHR AEHR TEST LONG 72 20.70 1/5/23 15:24 17.37 0.93%
Trade id #143038029
Max drawdown($257)
Time1/5/23 14:27
Quant open72
Worst price17.12
Drawdown as % of equity-0.93%
 ($241)
Includes Typical Broker Commissions trade costs of $1.44
12/15/22 15:03 BEEM BEEM GLOBAL LONG 81 18.80 12/29 15:45 16.14 1.27%
Trade id #142894404
Max drawdown($348)
Time12/28/22 0:00
Quant open81
Worst price14.50
Drawdown as % of equity-1.27%
 ($217)
Includes Typical Broker Commissions trade costs of $1.62
12/15/22 15:02 PRPL PURPLE INNOVATION INC. COMMON STOCK LONG 298 5.04 12/29 15:45 4.74 0.6%
Trade id #142894393
Max drawdown($166)
Time12/20/22 0:00
Quant open298
Worst price4.48
Drawdown as % of equity-0.60%
 ($95)
Includes Typical Broker Commissions trade costs of $5.96
12/15/22 14:58 HOUR HOUR LOOP INC. COMMON STOCK LONG 455 3.30 12/29 15:45 2.64 1.25%
Trade id #142894280
Max drawdown($341)
Time12/28/22 0:00
Quant open455
Worst price2.55
Drawdown as % of equity-1.25%
 ($309)
Includes Typical Broker Commissions trade costs of $9.10
12/13/22 15:39 ATEC ALPHATEC HOLDINGS LONG 143 10.50 12/29 15:45 12.01 0.18%
Trade id #142866180
Max drawdown($52)
Time12/15/22 0:00
Quant open143
Worst price10.13
Drawdown as % of equity-0.18%
 $213
Includes Typical Broker Commissions trade costs of $2.86
12/13/22 15:21 SGHT SIGHT SCIENCES INC. LONG 113 13.30 12/29 15:45 11.78 0.88%
Trade id #142865990
Max drawdown($256)
Time12/19/22 0:00
Quant open113
Worst price11.03
Drawdown as % of equity-0.88%
 ($174)
Includes Typical Broker Commissions trade costs of $2.26
12/13/22 15:16 OSUR ORASURE TECHNOLOGIES LONG 285 5.27 12/29 15:44 4.78 0.77%
Trade id #142865932
Max drawdown($210)
Time12/28/22 0:00
Quant open285
Worst price4.53
Drawdown as % of equity-0.77%
 ($146)
Includes Typical Broker Commissions trade costs of $5.70
Next

Statistics

  • Strategy began
    12/13/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    99.13
  • Age
    99 days ago
  • What it trades
    Stocks
  • # Trades
    54
  • # Profitable
    19
  • % Profitable
    35.20%
  • Avg trade duration
    45.4 days
  • Max peak-to-valley drawdown
    22.02%
  • drawdown period
    Feb 16, 2023 - March 15, 2023
  • Cumul. Return
    -10.0%
  • Avg win
    $189.74
  • Avg loss
    $181.03
  • Model Account Values (Raw)
  • Cash
    $6,122
  • Margin Used
    $0
  • Buying Power
    $6,980
  • Ratios
  • W:L ratio
    0.64:1
  • Sharpe Ratio
    -0.8
  • Sortino Ratio
    -0.99
  • Calmar Ratio
    -1.176
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -7.97%
  • Correlation to SP500
    0.50060
  • Return Percent SP500 (cumu) during strategy life
    -2.06%
  • Return Statistics
  • Ann Return (w trading costs)
    -31.3%
  • Slump
  • Current Slump as Pcnt Equity
    21.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.35%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.100%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -27.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    81.50%
  • Chance of 20% account loss
    10.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    623
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    293
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $181
  • Avg Win
    $190
  • Sum Trade PL (losers)
    $6,336.000
  • Age
  • Num Months filled monthly returns table
    4
  • Win / Loss
  • Sum Trade PL (winners)
    $3,605.000
  • # Winners
    19
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    213
  • Win / Loss
  • # Losers
    35
  • % Winners
    35.2%
  • Frequency
  • Avg Position Time (mins)
    65406.60
  • Avg Position Time (hrs)
    1090.11
  • Avg Trade Length
    45.4 days
  • Last Trade Ago
    6
  • Leverage
  • Daily leverage (average)
    1.24
  • Daily leverage (max)
    1.40
  • Regression
  • Alpha
    -0.06
  • Beta
    0.84
  • Treynor Index
    -0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -2.01
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -2.997
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.557
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.371
  • Hold-and-Hope Ratio
    -0.261
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.41523
  • SD
    0.42696
  • Sharpe ratio (Glass type estimate)
    -0.97253
  • Sharpe ratio (Hedges UMVUE)
    -0.54869
  • df
    2.00000
  • t
    -0.48626
  • p
    0.66258
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.88669
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.14979
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.50532
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.40794
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.17398
  • Upside Potential Ratio
    0.82602
  • Upside part of mean
    0.29215
  • Downside part of mean
    -0.70738
  • Upside SD
    0.10392
  • Downside SD
    0.35369
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    -0.14669
  • Mean of criterion
    -0.41523
  • SD of predictor
    0.16975
  • SD of criterion
    0.42696
  • Covariance
    0.06440
  • r
    0.88861
  • b (slope, estimate of beta)
    2.23498
  • a (intercept, estimate of alpha)
    -0.08738
  • Mean Square Error
    0.07670
  • DF error
    1.00000
  • t(b)
    1.93741
  • p(b)
    0.15167
  • t(a)
    -0.15088
  • p(a)
    0.54767
  • Lowerbound of 95% confidence interval for beta
    -12.42280
  • Upperbound of 95% confidence interval for beta
    16.89280
  • Lowerbound of 95% confidence interval for alpha
    -7.44626
  • Upperbound of 95% confidence interval for alpha
    7.27150
  • Treynor index (mean / b)
    -0.18579
  • Jensen alpha (a)
    -0.08738
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.49022
  • SD
    0.45998
  • Sharpe ratio (Glass type estimate)
    -1.06574
  • Sharpe ratio (Hedges UMVUE)
    -0.60128
  • df
    2.00000
  • t
    -0.53287
  • p
    0.67630
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.99069
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.08459
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.56525
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.36269
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.26272
  • Upside Potential Ratio
    0.73728
  • Upside part of mean
    0.28623
  • Downside part of mean
    -0.77645
  • Upside SD
    0.10179
  • Downside SD
    0.38822
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    -0.15707
  • Mean of criterion
    -0.49022
  • SD of predictor
    0.17172
  • SD of criterion
    0.45998
  • Covariance
    0.07057
  • r
    0.89351
  • b (slope, estimate of beta)
    2.39347
  • a (intercept, estimate of alpha)
    -0.11428
  • Mean Square Error
    0.08532
  • DF error
    1.00000
  • t(b)
    1.98983
  • p(b)
    0.14823
  • t(a)
    -0.18613
  • p(a)
    0.55858
  • Lowerbound of 95% confidence interval for beta
    -12.89020
  • Upperbound of 95% confidence interval for beta
    17.67720
  • Lowerbound of 95% confidence interval for alpha
    -7.91583
  • Upperbound of 95% confidence interval for alpha
    7.68726
  • Treynor index (mean / b)
    -0.20481
  • Jensen alpha (a)
    -0.11428
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.22838
  • Expected Shortfall on VaR
    0.26916
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10732
  • Expected Shortfall on VaR
    0.20204
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.82548
  • Quartile 1
    0.93016
  • Median
    1.03483
  • Quartile 3
    1.03885
  • Maximum
    1.04287
  • Mean of quarter 1
    0.82548
  • Mean of quarter 2
    1.03483
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.04287
  • Inter Quartile Range
    0.10869
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.17452
  • Quartile 1
    0.17452
  • Median
    0.17452
  • Quartile 3
    0.17452
  • Maximum
    0.17452
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.43659
  • Compounded annual return (geometric extrapolation)
    -0.37017
  • Calmar ratio (compounded annual return / max draw down)
    -2.12113
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.37530
  • 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
    -0.23837
  • SD
    0.29725
  • Sharpe ratio (Glass type estimate)
    -0.80191
  • Sharpe ratio (Hedges UMVUE)
    -0.79329
  • df
    70.00000
  • t
    -0.41745
  • p
    0.66119
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.56651
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.96825
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.56062
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.97404
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.99043
  • Upside Potential Ratio
    6.79207
  • Upside part of mean
    1.63468
  • Downside part of mean
    -1.87306
  • Upside SD
    0.17149
  • Downside SD
    0.24068
  • N nonnegative terms
    36.00000
  • N negative terms
    35.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    71.00000
  • Mean of predictor
    -0.08939
  • Mean of criterion
    -0.23837
  • SD of predictor
    0.17560
  • SD of criterion
    0.29725
  • Covariance
    0.02588
  • r
    0.49582
  • b (slope, estimate of beta)
    0.83930
  • a (intercept, estimate of alpha)
    -0.16300
  • Mean Square Error
    0.06760
  • DF error
    69.00000
  • t(b)
    4.74260
  • p(b)
    0.00001
  • t(a)
    -0.32688
  • p(a)
    0.62763
  • Lowerbound of 95% confidence interval for beta
    0.48625
  • Upperbound of 95% confidence interval for beta
    1.19234
  • Lowerbound of 95% confidence interval for alpha
    -1.16025
  • Upperbound of 95% confidence interval for alpha
    0.83356
  • Treynor index (mean / b)
    -0.28401
  • Jensen alpha (a)
    -0.16335
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.28274
  • SD
    0.30089
  • Sharpe ratio (Glass type estimate)
    -0.93968
  • Sharpe ratio (Hedges UMVUE)
    -0.92958
  • df
    70.00000
  • t
    -0.48917
  • p
    0.68688
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.70460
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.83180
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.69777
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.83860
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.14684
  • Upside Potential Ratio
    6.57099
  • Upside part of mean
    1.62002
  • Downside part of mean
    -1.90276
  • Upside SD
    0.16966
  • Downside SD
    0.24654
  • N nonnegative terms
    36.00000
  • N negative terms
    35.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    71.00000
  • Mean of predictor
    -0.10460
  • Mean of criterion
    -0.28274
  • SD of predictor
    0.17563
  • SD of criterion
    0.30089
  • Covariance
    0.02598
  • r
    0.49161
  • b (slope, estimate of beta)
    0.84224
  • a (intercept, estimate of alpha)
    -0.19465
  • Mean Square Error
    0.06965
  • DF error
    69.00000
  • t(b)
    4.68946
  • p(b)
    0.00001
  • t(a)
    -0.38367
  • p(a)
    0.64880
  • Lowerbound of 95% confidence interval for beta
    0.48394
  • Upperbound of 95% confidence interval for beta
    1.20053
  • Lowerbound of 95% confidence interval for alpha
    -1.20672
  • Upperbound of 95% confidence interval for alpha
    0.81743
  • Treynor index (mean / b)
    -0.33571
  • Jensen alpha (a)
    -0.19465
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03116
  • Expected Shortfall on VaR
    0.03863
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01630
  • Expected Shortfall on VaR
    0.03221
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    71.00000
  • Minimum
    0.93434
  • Quartile 1
    0.99033
  • Median
    1.00062
  • Quartile 3
    1.01196
  • Maximum
    1.03257
  • Mean of quarter 1
    0.97695
  • Mean of quarter 2
    0.99509
  • Mean of quarter 3
    1.00580
  • Mean of quarter 4
    1.01931
  • Inter Quartile Range
    0.02163
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.04225
  • Mean of outliers low
    0.94117
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.55149
  • VaR(95%) (moments method)
    0.02635
  • Expected Shortfall (moments method)
    0.06149
  • Extreme Value Index (regression method)
    0.59447
  • VaR(95%) (regression method)
    0.02020
  • Expected Shortfall (regression method)
    0.04493
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00079
  • Quartile 1
    0.01078
  • Median
    0.02486
  • Quartile 3
    0.07863
  • Maximum
    0.19135
  • Mean of quarter 1
    0.00560
  • Mean of quarter 2
    0.01192
  • Mean of quarter 3
    0.03780
  • Mean of quarter 4
    0.14179
  • Inter Quartile Range
    0.06784
  • 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
    0.19135
  • 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)
    -0.24624
  • Compounded annual return (geometric extrapolation)
    -0.22496
  • Calmar ratio (compounded annual return / max draw down)
    -1.17564
  • Compounded annual return / average of 25% largest draw downs
    -1.58651
  • Compounded annual return / Expected Shortfall lognormal
    -5.82285
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.03100
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -355009000
  • Max Equity Drawdown (num days)
    27

Strategy Description

Welcome potential new subscriber,

Our SmallCap Growth Trend strategy is designed to invest in fast growing small cap stocks that also have strong technical uptrends in the stock price that we hold open until the uptrend ends. These are stocks with a market capitalization between $300 million and $5 billion dollars that often trade for less than $20 per share.

Our investment process identifies high quality small cap stocks that are experiencing strong business growth with significant potential to achieve more in a large addressable market. Our quantitative algorithm identifies stocks at early stages of uptrends then keeps the position open as long as there’s an uptrend, hence the word “trend” in the strategy name. When the algorithm determines the uptrend is breaking down it will automatically exit the position and replace it with the next best choice available at that time.

These trend following characteristics result in many positions ending with marginal results in order to capture the handful of “outliers” where a few investments account for the majority of portfolio gains. Positions can be open from several weeks to several months, and sometimes up to a year or longer when a good uptrend develops as our system will ride the trend for as long as possible. The goal is to expose the portfolio to potential 10x investments, that is stocks that have the potential to deliver 1,000% or more in returns in under 2 years time. Just a few of these investments can deliver significant outperformance for a portfolio over the long term.

Since this is a long-only portfolio of small cap growth stocks it will have a reasonably high correlation with the overall market and short term sentiment. It can be expected to have similar volatility and drawdowns to the market, however over time investing in small cap growth stocks with a trend following overlay can be expected to generate a premium for the patient and committed investor. The goal is to outperform the S&P 500 Index on a yearly basis and significantly so over the long term.

The portfolio always holds open 25 positions, with 5% of the current account value placed into each position at the time of opening. Total leverage is equal to 125% of the account value. We always carry a diversified portfolio of stocks with limits on how much sector and industry concentration is allowed, however, since we’re investing in high growth small caps stocks, we naturally have a tilted portfolio concentration towards the health and technology sectors as those stocks have plenty of “blue sky” potential that our strategy looks for.

When you join this strategy to auto-trade be sure to enable the option “join current trades”. Some months there may be no trades, others there many be several or more trades. Keeping portfolio turnover to a minimum helps to keep trading costs low. All trades are done in the last hour of trading when liquidity and spreads are favorable for good fills.

Due to the liquidity restraints inherent with investing in SmallCap stocks, we've set a limit in the Collective2 platform to a maximum of 200 subscribers allowed to follow, after that number is reached this strategy will then be closed to new subscribers in order to preserve available liquidity for current members.

We keep our subscribers updated with a monthly performance report that we send out at the end of every month, providing commentary on the markets and how our SmallCap Growth Trend portfolio is performing. When you join, you're becoming a part of a community of investors that are committed to achieving investing excellence.

If you have any questions or feedback feel free to send me a message, we're looking for long-term subscribers to our SmallCap Growth Trend strategy as we strongly believe it will deliver significantly higher returns than the market over the long term.

Regards,
Jared
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-12-13
Suggested Minimum Capital
$15,000
# Trades
54
# Profitable
19
% Profitable
35.2%
Net Dividends
$213
Correlation S&P500
0.501
Sharpe Ratio
-0.80
Sortino Ratio
-0.99
Beta
0.84
Alpha
-0.06
Leverage
1.24 Average
1.40 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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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.