Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +40.0% Cumul. Return since Sep 23, 2025 Hypothetical

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Evolutionary Trading
(146261882)

Created by: TradingMonkey TradingMonkey
Started: 10/2023
Stocks
Last trade: Yesterday

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 $35.00 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.

22.2%
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.

(23.2%)
Max Drawdown
952
Num Trades
60.4%
Win Trades
1.5 : 1
Profit Factor
60.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                               +0.7%+1.3%(8.4%)(6.7%)
2024(1.1%)(3.1%)(2%)(5.7%)+2.9%+4.2%+2.2%+2.5%+4.2%+5.5%+14.3%(6.5%)+16.8%
2025+5.7%+2.0%(5.8%)+0.7%+2.5%+3.8%(3.3%)(0.5%)+11.5%+8.9%(3.4%)(2.7%)+19.4%
2026+0.5%+2.6%(1.8%)+16.9%+12.4%(2.3%)                                    +30.0%

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/4/26 15:23 SNDK SANDISK CORPORATION SHORT 2 1778.00 6/5 10:32 1655.00 0.05%
Trade id #156425119
Max drawdown($43)
Time6/4/26 15:39
Quant open2
Worst price1799.57
Drawdown as % of equity-0.05%
 $246
Includes Typical Broker Commissions trade costs of $0.04
6/2/26 12:24 CC CHEMOURS CO LONG 100 23.63 6/4 13:44 21.68 0.27%
Trade id #156390319
Max drawdown($229)
Time6/4/26 11:47
Quant open100
Worst price21.34
Drawdown as % of equity-0.27%
 ($197)
Includes Typical Broker Commissions trade costs of $2.00
6/3/26 15:26 SNDK SANDISK CORPORATION SHORT 3 1827.85 6/4 12:02 1813.00 0.12%
Trade id #156409338
Max drawdown($99)
Time6/3/26 15:46
Quant open3
Worst price1861.00
Drawdown as % of equity-0.12%
 $45
Includes Typical Broker Commissions trade costs of $0.06
6/3/26 12:25 RIVN RIVIAN AUTOMOTIVE INC. CLASS A LONG 100 17.87 6/3 15:26 18.02 0.01%
Trade id #156407009
Max drawdown($11)
Time6/3/26 12:42
Quant open100
Worst price17.76
Drawdown as % of equity-0.01%
 $13
Includes Typical Broker Commissions trade costs of $2.00
5/19/26 11:27 XLRE STATE ST REAL ESTATE SELECT SECTOR SPDR LONG 101 44.17 6/3 12:56 43.81 0.1%
Trade id #156187719
Max drawdown($92)
Time6/2/26 0:00
Quant open76
Worst price43.08
Drawdown as % of equity-0.10%
 ($38)
Includes Typical Broker Commissions trade costs of $2.02
5/29/26 13:23 XPO XPO INC LONG 20 219.43 6/3 10:16 218.96 0.14%
Trade id #156340336
Max drawdown($126)
Time6/3/26 9:30
Quant open20
Worst price213.12
Drawdown as % of equity-0.14%
 ($9)
Includes Typical Broker Commissions trade costs of $0.40
5/29/26 13:23 XLC STATE ST COMMUNICATION SERVICES SELECT SPDR FUND LONG 10 115.69 6/2 14:40 113.78 0.02%
Trade id #156340344
Max drawdown($20)
Time6/2/26 14:33
Quant open10
Worst price113.61
Drawdown as % of equity-0.02%
 ($19)
Includes Typical Broker Commissions trade costs of $0.20
5/29/26 13:23 XLI STATE ST INDUSTRIAL SELECT SECTOR SPDR LONG 10 173.43 6/2 14:40 173.88 0.04%
Trade id #156340342
Max drawdown($30)
Time6/1/26 0:00
Quant open10
Worst price170.39
Drawdown as % of equity-0.04%
 $5
Includes Typical Broker Commissions trade costs of $0.20
6/1/26 12:25 PLUG PLUG POWER LONG 800 4.03 6/2 12:25 4.10 0.04%
Trade id #156375274
Max drawdown($38)
Time6/2/26 9:30
Quant open400
Worst price3.85
Drawdown as % of equity-0.04%
 $44
Includes Typical Broker Commissions trade costs of $10.50
5/28/26 15:54 XLV STATE ST HEALTH CARE SELECT SECTOR SPDR LONG 15 151.18 6/1 12:26 147.44 0.07%
Trade id #156325211
Max drawdown($58)
Time6/1/26 10:41
Quant open15
Worst price147.28
Drawdown as % of equity-0.07%
 ($56)
Includes Typical Broker Commissions trade costs of $0.30
5/28/26 10:37 XLY STATE ST CONSUMER DISCRET SELECT SPDR LONG 10 121.34 6/1 12:26 118.14 0.04%
Trade id #156319304
Max drawdown($33)
Time6/1/26 12:18
Quant open10
Worst price117.97
Drawdown as % of equity-0.04%
 ($32)
Includes Typical Broker Commissions trade costs of $0.20
5/20/26 11:37 PRGO PERRIGO COMPANY PLC SHORT 1,023 10.90 6/1 12:25 10.69 0.78%
Trade id #156206074
Max drawdown($675)
Time5/22/26 0:00
Quant open1,023
Worst price11.56
Drawdown as % of equity-0.78%
 $204
Includes Typical Broker Commissions trade costs of $10.00
5/27/26 12:49 ANET ARISTA NETWORKS INC LONG 5 155.31 6/1 11:20 169.25 0.03%
Trade id #156305581
Max drawdown($23)
Time5/28/26 0:00
Quant open5
Worst price150.66
Drawdown as % of equity-0.03%
 $70
Includes Typical Broker Commissions trade costs of $0.10
5/28/26 13:03 RIVN RIVIAN AUTOMOTIVE INC. CLASS A LONG 100 15.21 6/1 10:29 16.42 0.01%
Trade id #156322852
Max drawdown($11)
Time5/28/26 15:41
Quant open100
Worst price15.10
Drawdown as % of equity-0.01%
 $119
Includes Typical Broker Commissions trade costs of $2.00
5/19/26 11:25 RNG RINGCENTRAL INC. LONG 288 42.60 6/1 10:28 46.88 0.61%
Trade id #156187661
Max drawdown($527)
Time5/28/26 0:00
Quant open288
Worst price40.77
Drawdown as % of equity-0.61%
 $1,226
Includes Typical Broker Commissions trade costs of $5.76
5/28/26 13:11 TKO TKO GROUP HOLDINGS INC LONG 10 199.17 5/29 13:22 203.30 0.01%
Trade id #156322986
Max drawdown($5)
Time5/28/26 13:40
Quant open10
Worst price198.63
Drawdown as % of equity-0.01%
 $41
Includes Typical Broker Commissions trade costs of $0.20
5/20/26 11:37 EMN EASTMAN CHEMICAL SHORT 84 68.71 5/28 12:18 76.75 0.79%
Trade id #156206066
Max drawdown($686)
Time5/27/26 0:00
Quant open84
Worst price76.88
Drawdown as % of equity-0.79%
 ($677)
Includes Typical Broker Commissions trade costs of $1.68
5/22/26 15:37 IVW ISHARES S&P 500 GROWTH INDEX LONG 28 137.62 5/28 10:38 138.51 0%
Trade id #156249074
Max drawdown($2)
Time5/22/26 15:46
Quant open14
Worst price136.51
Drawdown as % of equity-0.00%
 $24
Includes Typical Broker Commissions trade costs of $0.56
5/19/26 11:26 XLI STATE ST INDUSTRIAL SELECT SECTOR SPDR LONG 20 171.50 5/28 10:38 173.32 0%
Trade id #156187691
Max drawdown($2)
Time5/20/26 0:00
Quant open10
Worst price168.37
Drawdown as % of equity-0.00%
 $36
Includes Typical Broker Commissions trade costs of $0.40
5/26/26 13:19 CGNX COGNEX LONG 20 67.73 5/27 12:49 66.62 0.05%
Trade id #156290273
Max drawdown($42)
Time5/27/26 9:47
Quant open20
Worst price65.62
Drawdown as % of equity-0.05%
 ($22)
Includes Typical Broker Commissions trade costs of $0.40
5/22/26 15:36 ANET ARISTA NETWORKS INC LONG 31 152.41 5/26 13:19 158.65 0.01%
Trade id #156249035
Max drawdown($6)
Time5/22/26 15:40
Quant open31
Worst price152.20
Drawdown as % of equity-0.01%
 $192
Includes Typical Broker Commissions trade costs of $0.62
5/21/26 12:00 PLUG PLUG POWER LONG 1,000 3.73 5/22 15:38 3.78 0.05%
Trade id #156228343
Max drawdown($40)
Time5/22/26 9:30
Quant open1,000
Worst price3.69
Drawdown as % of equity-0.05%
 $45
Includes Typical Broker Commissions trade costs of $5.00
5/21/26 10:24 LLY ELI LILLY LONG 4 1030.50 5/22 15:38 1066.99 0%
Trade id #156225646
Max drawdown($0)
Time5/21/26 10:30
Quant open4
Worst price1030.28
Drawdown as % of equity-0.00%
 $146
Includes Typical Broker Commissions trade costs of $0.08
5/21/26 10:35 IBM INTERNATIONAL BUSINESS MACHINES LONG 10 240.64 5/22 15:37 254.58 0.01%
Trade id #156225889
Max drawdown($6)
Time5/21/26 12:38
Quant open10
Worst price240.02
Drawdown as % of equity-0.01%
 $139
Includes Typical Broker Commissions trade costs of $0.20
5/21/26 10:25 HIVE DIGITAL TECHNOLOGIES LTD LONG 500 3.75 5/22 15:37 4.10 0.03%
Trade id #156225658
Max drawdown($25)
Time5/21/26 10:51
Quant open500
Worst price3.70
Drawdown as % of equity-0.03%
 $165
Includes Typical Broker Commissions trade costs of $10.00
5/20/26 13:54 CEG CONSTELLATION ENERGY CORPORATION LONG 20 283.31 5/22 15:36 294.03 0.01%
Trade id #156208764
Max drawdown($10)
Time5/20/26 14:28
Quant open10
Worst price279.38
Drawdown as % of equity-0.01%
 $214
Includes Typical Broker Commissions trade costs of $0.40
5/21/26 11:58 CGNX COGNEX LONG 84 63.03 5/22 15:36 66.52 0.03%
Trade id #156228329
Max drawdown($23)
Time5/21/26 12:24
Quant open84
Worst price62.75
Drawdown as % of equity-0.03%
 $291
Includes Typical Broker Commissions trade costs of $1.68
5/21/26 10:25 QUBT QUANTUM COMPUTING INC. COMMON STOCK LONG 100 11.00 5/22 10:36 13.25 0.02%
Trade id #156225649
Max drawdown($21)
Time5/21/26 10:34
Quant open100
Worst price10.79
Drawdown as % of equity-0.02%
 $223
Includes Typical Broker Commissions trade costs of $2.00
5/22/26 9:56 DELL DELL TECHNOLOGIES INC LONG 25 286.68 5/22 9:57 287.63 n/a $24
Includes Typical Broker Commissions trade costs of $0.50
5/19/26 11:26 XLC STATE ST COMMUNICATION SERVICES SELECT SPDR FUND LONG 5 116.33 5/20 10:19 115.26 0.01%
Trade id #156187684
Max drawdown($7)
Time5/20/26 10:11
Quant open5
Worst price114.81
Drawdown as % of equity-0.01%
 ($5)
Includes Typical Broker Commissions trade costs of $0.10

Statistics

  • Strategy began
    10/27/2023
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    953.33
  • Age
    32 months ago
  • What it trades
    Stocks
  • # Trades
    952
  • # Profitable
    575
  • % Profitable
    60.40%
  • Avg trade duration
    28.9 days
  • Max peak-to-valley drawdown
    23.17%
  • drawdown period
    Nov 03, 2023 - April 20, 2024
  • Annual Return (Compounded)
    22.2%
  • Avg win
    $212.85
  • Avg loss
    $221.70
  • Model Account Values (Raw)
  • Cash
    $86,762
  • Margin Used
    $65,998
  • Buying Power
    $13,560
  • Ratios
  • W:L ratio
    1.46:1
  • Sharpe Ratio
    0.84
  • Sortino Ratio
    1.23
  • Calmar Ratio
    2.091
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -10.26%
  • Correlation to SP500
    0.49420
  • Return Percent SP500 (cumu) during strategy life
    79.33%
  • Return Statistics
  • Ann Return (w trading costs)
    22.2%
  • Slump
  • Current Slump as Pcnt Equity
    5.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.222%
  • Instruments
  • Percent Trades Options
    0.00%
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    24.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    31.50%
  • Chance of 20% account loss
    8.00%
  • Chance of 30% account loss
    0.50%
  • 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)
    392
  • Popularity (Last 6 weeks)
    837
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    314
  • Popularity (7 days, Percentile 1000 scale)
    555
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $222
  • Avg Win
    $213
  • Sum Trade PL (losers)
    $83,582.000
  • Age
  • Num Months filled monthly returns table
    33
  • Win / Loss
  • Sum Trade PL (winners)
    $122,391.000
  • # Winners
    575
  • Num Months Winners
    20
  • Dividends
  • Dividends Received in Model Acct
    -344
  • Win / Loss
  • # Losers
    377
  • % Winners
    60.4%
  • Frequency
  • Avg Position Time (mins)
    41604.30
  • Avg Position Time (hrs)
    693.41
  • Avg Trade Length
    28.9 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.77
  • Daily leverage (max)
    2.53
  • Regression
  • Alpha
    0.02
  • Beta
    0.62
  • Treynor Index
    0.09
  • 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)
    0.73
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    4.971
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.566
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.296
  • Hold-and-Hope Ratio
    0.209
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37803
  • SD
    0.35168
  • Sharpe ratio (Glass type estimate)
    1.07491
  • Sharpe ratio (Hedges UMVUE)
    1.03182
  • df
    19.00000
  • t
    1.38771
  • p
    0.30988
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49413
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.61722
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52140
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.58504
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.13547
  • Upside Potential Ratio
    4.75615
  • Upside part of mean
    0.57342
  • Downside part of mean
    -0.19540
  • Upside SD
    0.33892
  • Downside SD
    0.12057
  • N nonnegative terms
    11.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.35038
  • Mean of criterion
    0.37803
  • SD of predictor
    0.21445
  • SD of criterion
    0.35168
  • Covariance
    0.05106
  • r
    0.67702
  • b (slope, estimate of beta)
    1.11025
  • a (intercept, estimate of alpha)
    -0.01098
  • Mean Square Error
    0.07071
  • DF error
    18.00000
  • t(b)
    3.90281
  • p(b)
    0.16149
  • t(a)
    -0.04798
  • p(a)
    0.50565
  • Lowerbound of 95% confidence interval for beta
    0.51259
  • Upperbound of 95% confidence interval for beta
    1.70791
  • Lowerbound of 95% confidence interval for alpha
    -0.49173
  • Upperbound of 95% confidence interval for alpha
    0.46977
  • Treynor index (mean / b)
    0.34049
  • Jensen alpha (a)
    -0.01098
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32040
  • SD
    0.32164
  • Sharpe ratio (Glass type estimate)
    0.99615
  • Sharpe ratio (Hedges UMVUE)
    0.95621
  • df
    19.00000
  • t
    1.28602
  • p
    0.32229
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56673
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.53410
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59211
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.50453
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.53693
  • Upside Potential Ratio
    4.14162
  • Upside part of mean
    0.52306
  • Downside part of mean
    -0.20266
  • Upside SD
    0.30147
  • Downside SD
    0.12629
  • N nonnegative terms
    11.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.32393
  • Mean of criterion
    0.32040
  • SD of predictor
    0.20887
  • SD of criterion
    0.32164
  • Covariance
    0.04468
  • r
    0.66502
  • b (slope, estimate of beta)
    1.02407
  • a (intercept, estimate of alpha)
    -0.01133
  • Mean Square Error
    0.06091
  • DF error
    18.00000
  • t(b)
    3.77791
  • p(b)
    0.16749
  • t(a)
    -0.05385
  • p(a)
    0.50635
  • Lowerbound of 95% confidence interval for beta
    0.45458
  • Upperbound of 95% confidence interval for beta
    1.59356
  • Lowerbound of 95% confidence interval for alpha
    -0.45329
  • Upperbound of 95% confidence interval for alpha
    0.43063
  • Treynor index (mean / b)
    0.31287
  • Jensen alpha (a)
    -0.01133
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11840
  • Expected Shortfall on VaR
    0.15146
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03490
  • Expected Shortfall on VaR
    0.07081
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.89027
  • Quartile 1
    0.98673
  • Median
    1.00749
  • Quartile 3
    1.04145
  • Maximum
    1.32047
  • Mean of quarter 1
    0.94193
  • Mean of quarter 2
    0.99811
  • Mean of quarter 3
    1.02497
  • Mean of quarter 4
    1.17031
  • Inter Quartile Range
    0.05473
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05000
  • Mean of outliers low
    0.89027
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15000
  • Mean of outliers high
    1.23388
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52816
  • VaR(95%) (moments method)
    0.06778
  • Expected Shortfall (moments method)
    0.15007
  • Extreme Value Index (regression method)
    1.53786
  • VaR(95%) (regression method)
    0.05334
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00096
  • Quartile 1
    0.00783
  • Median
    0.03392
  • Quartile 3
    0.10973
  • Maximum
    0.12248
  • Mean of quarter 1
    0.00440
  • Mean of quarter 2
    0.03392
  • Mean of quarter 3
    0.10973
  • Mean of quarter 4
    0.12248
  • Inter Quartile Range
    0.10191
  • 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)
    0.47217
  • Compounded annual return (geometric extrapolation)
    0.41667
  • Calmar ratio (compounded annual return / max draw down)
    3.40203
  • Compounded annual return / average of 25% largest draw downs
    3.40203
  • Compounded annual return / Expected Shortfall lognormal
    2.75103
  • 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
    0.34179
  • SD
    0.25340
  • Sharpe ratio (Glass type estimate)
    1.34881
  • Sharpe ratio (Hedges UMVUE)
    1.34658
  • df
    454.00000
  • t
    1.77749
  • p
    0.03808
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14175
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.83798
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14327
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.83644
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.27743
  • Upside Potential Ratio
    9.00032
  • Upside part of mean
    1.35074
  • Downside part of mean
    -1.00895
  • Upside SD
    0.20492
  • Downside SD
    0.15008
  • N nonnegative terms
    257.00000
  • N negative terms
    198.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    455.00000
  • Mean of predictor
    0.32755
  • Mean of criterion
    0.34179
  • SD of predictor
    0.19563
  • SD of criterion
    0.25340
  • Covariance
    0.02733
  • r
    0.55124
  • b (slope, estimate of beta)
    0.71403
  • a (intercept, estimate of alpha)
    0.10800
  • Mean Square Error
    0.04480
  • DF error
    453.00000
  • t(b)
    14.06190
  • p(b)
    -0.00000
  • t(a)
    0.66829
  • p(a)
    0.25215
  • Lowerbound of 95% confidence interval for beta
    0.61425
  • Upperbound of 95% confidence interval for beta
    0.81382
  • Lowerbound of 95% confidence interval for alpha
    -0.20942
  • Upperbound of 95% confidence interval for alpha
    0.42523
  • Treynor index (mean / b)
    0.47868
  • Jensen alpha (a)
    0.10791
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31006
  • SD
    0.25030
  • Sharpe ratio (Glass type estimate)
    1.23877
  • Sharpe ratio (Hedges UMVUE)
    1.23672
  • df
    454.00000
  • t
    1.63247
  • p
    0.05164
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25132
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.72761
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.25273
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72618
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.01636
  • Upside Potential Ratio
    8.65258
  • Upside part of mean
    1.33054
  • Downside part of mean
    -1.02048
  • Upside SD
    0.19807
  • Downside SD
    0.15377
  • N nonnegative terms
    257.00000
  • N negative terms
    198.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    455.00000
  • Mean of predictor
    0.30841
  • Mean of criterion
    0.31006
  • SD of predictor
    0.19429
  • SD of criterion
    0.25030
  • Covariance
    0.02685
  • r
    0.55207
  • b (slope, estimate of beta)
    0.71120
  • a (intercept, estimate of alpha)
    0.09072
  • Mean Square Error
    0.04365
  • DF error
    453.00000
  • t(b)
    14.09230
  • p(b)
    -0.00000
  • t(a)
    0.56947
  • p(a)
    0.28466
  • Lowerbound of 95% confidence interval for beta
    0.61202
  • Upperbound of 95% confidence interval for beta
    0.81038
  • Lowerbound of 95% confidence interval for alpha
    -0.22235
  • Upperbound of 95% confidence interval for alpha
    0.40379
  • Treynor index (mean / b)
    0.43597
  • Jensen alpha (a)
    0.09072
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02396
  • Expected Shortfall on VaR
    0.03023
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00796
  • Expected Shortfall on VaR
    0.01703
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    455.00000
  • Minimum
    0.90467
  • Quartile 1
    0.99494
  • Median
    1.00144
  • Quartile 3
    1.00629
  • Maximum
    1.11766
  • Mean of quarter 1
    0.98647
  • Mean of quarter 2
    0.99855
  • Mean of quarter 3
    1.00361
  • Mean of quarter 4
    1.01703
  • Inter Quartile Range
    0.01134
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.02637
  • Mean of outliers low
    0.95889
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.02857
  • Mean of outliers high
    1.05692
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35890
  • VaR(95%) (moments method)
    0.01364
  • Expected Shortfall (moments method)
    0.02460
  • Extreme Value Index (regression method)
    0.29120
  • VaR(95%) (regression method)
    0.01173
  • Expected Shortfall (regression method)
    0.01904
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00032
  • Quartile 1
    0.00462
  • Median
    0.01533
  • Quartile 3
    0.06492
  • Maximum
    0.19231
  • Mean of quarter 1
    0.00186
  • Mean of quarter 2
    0.00881
  • Mean of quarter 3
    0.04336
  • Mean of quarter 4
    0.12356
  • Inter Quartile Range
    0.06030
  • 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
    0.07143
  • Mean of outliers high
    0.19231
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.01424
  • VaR(95%) (moments method)
    0.13860
  • Expected Shortfall (moments method)
    0.14941
  • Extreme Value Index (regression method)
    -0.43997
  • VaR(95%) (regression method)
    0.18051
  • Expected Shortfall (regression method)
    0.21262
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.45977
  • Compounded annual return (geometric extrapolation)
    0.40210
  • Calmar ratio (compounded annual return / max draw down)
    2.09085
  • Compounded annual return / average of 25% largest draw downs
    3.25427
  • Compounded annual return / Expected Shortfall lognormal
    13.30110
  • 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
    0.49522
  • SD
    0.15651
  • Sharpe ratio (Glass type estimate)
    3.16411
  • Sharpe ratio (Hedges UMVUE)
    3.14582
  • df
    130.00000
  • t
    2.23736
  • p
    0.40372
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35990
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.95650
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34776
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.94387
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.16564
  • Upside Potential Ratio
    14.82600
  • Upside part of mean
    1.19081
  • Downside part of mean
    -0.69559
  • Upside SD
    0.13709
  • Downside SD
    0.08032
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13703
  • Mean of criterion
    0.49522
  • SD of predictor
    0.13313
  • SD of criterion
    0.15651
  • Covariance
    0.01103
  • r
    0.52936
  • b (slope, estimate of beta)
    0.62234
  • a (intercept, estimate of alpha)
    0.40994
  • Mean Square Error
    0.01777
  • DF error
    129.00000
  • t(b)
    7.08678
  • p(b)
    0.17948
  • t(a)
    2.17021
  • p(a)
    0.38122
  • Lowerbound of 95% confidence interval for beta
    0.44859
  • Upperbound of 95% confidence interval for beta
    0.79609
  • Lowerbound of 95% confidence interval for alpha
    0.03621
  • Upperbound of 95% confidence interval for alpha
    0.78367
  • Treynor index (mean / b)
    0.79573
  • Jensen alpha (a)
    0.40994
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48267
  • SD
    0.15545
  • Sharpe ratio (Glass type estimate)
    3.10505
  • Sharpe ratio (Hedges UMVUE)
    3.08710
  • df
    130.00000
  • t
    2.19560
  • p
    0.40545
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.30194
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.89659
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29001
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.88419
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.97644
  • Upside Potential Ratio
    14.62860
  • Upside part of mean
    1.18144
  • Downside part of mean
    -0.69876
  • Upside SD
    0.13545
  • Downside SD
    0.08076
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12819
  • Mean of criterion
    0.48267
  • SD of predictor
    0.13312
  • SD of criterion
    0.15545
  • Covariance
    0.01098
  • r
    0.53079
  • b (slope, estimate of beta)
    0.61979
  • a (intercept, estimate of alpha)
    0.40322
  • Mean Square Error
    0.01749
  • DF error
    129.00000
  • t(b)
    7.11334
  • p(b)
    0.17871
  • t(a)
    2.15205
  • p(a)
    0.38217
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    0.44740
  • Upperbound of 95% confidence interval for beta
    0.79219
  • Lowerbound of 95% confidence interval for alpha
    0.03251
  • Upperbound of 95% confidence interval for alpha
    0.77393
  • Treynor index (mean / b)
    0.77876
  • Jensen alpha (a)
    0.40322
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01386
  • Expected Shortfall on VaR
    0.01780
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00547
  • Expected Shortfall on VaR
    0.01046
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98346
  • Quartile 1
    0.99494
  • Median
    1.00173
  • Quartile 3
    1.00735
  • Maximum
    1.04322
  • Mean of quarter 1
    0.99113
  • Mean of quarter 2
    0.99890
  • Mean of quarter 3
    1.00370
  • Mean of quarter 4
    1.01430
  • Inter Quartile Range
    0.01240
  • 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
    0.02290
  • Mean of outliers high
    1.03549
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.05633
  • VaR(95%) (moments method)
    0.00931
  • Expected Shortfall (moments method)
    0.01226
  • Extreme Value Index (regression method)
    -0.12087
  • VaR(95%) (regression method)
    0.00857
  • Expected Shortfall (regression method)
    0.01033
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00147
  • Quartile 1
    0.00746
  • Median
    0.01533
  • Quartile 3
    0.03928
  • Maximum
    0.06613
  • Mean of quarter 1
    0.00413
  • Mean of quarter 2
    0.00974
  • Mean of quarter 3
    0.02421
  • Mean of quarter 4
    0.05610
  • Inter Quartile Range
    0.03182
  • 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)
    -23.96370
  • VaR(95%) (moments method)
    0.05980
  • Expected Shortfall (moments method)
    0.05980
  • Extreme Value Index (regression method)
    -2.28894
  • VaR(95%) (regression method)
    0.07862
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.07914
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -449610000
  • Max Equity Drawdown (num days)
    169
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.58167
  • Compounded annual return (geometric extrapolation)
    0.66626
  • Calmar ratio (compounded annual return / max draw down)
    10.07570
  • Compounded annual return / average of 25% largest draw downs
    11.87610
  • Compounded annual return / Expected Shortfall lognormal
    37.42910

Strategy Description

Our system focuses exclusively on highly liquid, large-cap U.S. equities with:

Market capitalizations above $10 billion
At least 5 years of historical market data
Strong average daily trading volume, typically near or above 1 million shares per day

The trading universe includes over 90% of the S&P 500 along with several other well-known market leaders. By concentrating on established, liquid stocks, the strategy avoids thinly traded names and emphasizes consistency, execution quality, and risk management.

How Are Trade Entries Selected?

Trade entries are generated using our proprietary Trading Monkey Framework, an evolutionary modeling system designed to identify high-probability trading opportunities.

The framework uses a process inspired by natural selection and machine learning:

Millions of trading model variations are created and tested against historical market data
Models compete based on performance metrics such as expectancy, consistency, and efficiency
The strongest models evolve through reproduction and mutation, while weaker models are eliminated
Over countless optimization cycles, highly refined trading models emerge

The primary objective of the system is simple:

Identify moments when a stock has the highest probability of making a significant move in the shortest possible period of time.

The result is a systematic, data-driven approach focused on capturing momentum and asymmetric risk/reward opportunities while removing emotion from the trading process.

Strategy Philosophy

This is not a “buy and hope” strategy. Every position is selected using quantitative analysis, historical pattern recognition, and continuously evolved models designed to adapt to changing market conditions.

The goal is to deliver:

High-quality entry timing
Disciplined exits
Shorter holding periods when possible
Consistent risk-adjusted returns over time
Trade this strategy at Tradier

Summary Statistics

Strategy began
2023-10-27
Suggested Minimum Capital
$5,000
# Trades
952
# Profitable
575
% Profitable
60.4%
Net Dividends
($344)
Correlation S&P500
0.494
Sharpe Ratio
0.84
Sortino Ratio
1.23
Beta
0.62
Alpha
0.02
Leverage
1.77 Average
2.53 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

subscribed on started simulation

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.