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

C2 Grow
(146861540)

Created by: C2Grow C2Grow
Started: 01/2024
Stocks
Last trade: 2 days ago

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 $20.00 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.

21.3%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(7.6%)
Max Drawdown
304
Num Trades
83.9%
Win Trades
5.6 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024+1.2%+0.9%+3.6%+2.4%+0.8%+2.2%+2.2%+4.7%+1.4%+0.1%            +21.3%

Model Account Details

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

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

Trading Record

This strategy has placed 582 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/4/24 9:31 ZIM ZIM INTEGRATED SHIPPING SERVICES LTD LONG 430 18.83 10/4 12:50 18.91 0.35%
Trade id #149577426
Max drawdown($208)
Time10/4/24 11:28
Quant open330
Worst price18.20
Drawdown as % of equity-0.35%
$26
Includes Typical Broker Commissions trade costs of $8.60
10/4/24 9:44 JBLU JETBLUE AIRWAYS SHORT 250 7.47 10/4 9:55 7.42 0.07%
Trade id #149578017
Max drawdown($43)
Time10/4/24 9:47
Quant open250
Worst price7.65
Drawdown as % of equity-0.07%
$8
Includes Typical Broker Commissions trade costs of $5.00
10/1/24 9:30 UNFI UNITED NATURAL FOODS SHORT 565 20.68 10/3 11:06 20.75 1.23%
Trade id #149548094
Max drawdown($740)
Time10/2/24 0:00
Quant open300
Worst price23.15
Drawdown as % of equity-1.23%
($49)
Includes Typical Broker Commissions trade costs of $11.30
10/3/24 9:30 LEVI LEVI STRAUSS & CO LONG 145 18.75 10/3 9:32 19.15 n/a $55
Includes Typical Broker Commissions trade costs of $2.90
10/2/24 9:30 HUM HUMANA LONG 14 217.60 10/2 9:58 220.99 0.08%
Trade id #149558577
Max drawdown($46)
Time10/2/24 9:33
Quant open7
Worst price213.31
Drawdown as % of equity-0.08%
$47
Includes Typical Broker Commissions trade costs of $0.28
9/27/24 9:30 ACHC ACADIA HEALTHCARE COMPANY LONG 195 58.31 9/27 10:57 58.23 1.61%
Trade id #149523104
Max drawdown($973)
Time9/27/24 10:06
Quant open155
Worst price53.22
Drawdown as % of equity-1.61%
($21)
Includes Typical Broker Commissions trade costs of $3.90
9/26/24 9:45 JBL JABIL INC SHORT 15 129.09 9/26 9:56 128.03 0.02%
Trade id #149512909
Max drawdown($9)
Time9/26/24 9:50
Quant open15
Worst price129.73
Drawdown as % of equity-0.02%
$16
Includes Typical Broker Commissions trade costs of $0.30
9/26/24 9:30 MU MICRON TECHNOLOGY SHORT 30 112.63 9/26 9:37 111.47 0.01%
Trade id #149512170
Max drawdown($6)
Time9/26/24 9:33
Quant open30
Worst price112.84
Drawdown as % of equity-0.01%
$34
Includes Typical Broker Commissions trade costs of $0.60
9/25/24 9:45 PRGS PROGRESS SOFTWARE SHORT 70 64.09 9/25 10:09 63.87 0.09%
Trade id #149502157
Max drawdown($52)
Time9/25/24 9:51
Quant open70
Worst price64.84
Drawdown as % of equity-0.09%
$15
Includes Typical Broker Commissions trade costs of $1.40
9/25/24 9:30 FLUT FLUTTER ENTERTAINMENT PLC SHORT 13 249.00 9/25 9:42 246.81 0.03%
Trade id #149501608
Max drawdown($15)
Time9/25/24 9:33
Quant open13
Worst price250.17
Drawdown as % of equity-0.03%
$28
Includes Typical Broker Commissions trade costs of $0.26
9/24/24 9:30 LNW LIGHT & WONDER INC. COMMON STOCK LONG 104 93.31 9/24 13:09 93.33 0.4%
Trade id #149491554
Max drawdown($240)
Time9/24/24 10:59
Quant open86
Worst price90.51
Drawdown as % of equity-0.40%
$0
Includes Typical Broker Commissions trade costs of $2.08
9/23/24 9:34 BHVN BIOHAVEN PHARMACEUTICAL HOLDING CO LTD SHORT 90 48.07 9/23 10:22 47.92 0.19%
Trade id #149482148
Max drawdown($113)
Time9/23/24 9:51
Quant open50
Worst price49.91
Drawdown as % of equity-0.19%
$11
Includes Typical Broker Commissions trade costs of $1.80
9/20/24 9:30 FDX FEDEX LONG 29 258.06 9/20 12:51 258.12 0.22%
Trade id #149465951
Max drawdown($132)
Time9/20/24 10:58
Quant open29
Worst price253.50
Drawdown as % of equity-0.22%
$1
Includes Typical Broker Commissions trade costs of $0.58
9/20/24 9:34 CEG CONSTELLATION ENERGY CORPORATION SHORT 16 240.39 9/20 10:00 237.92 0.09%
Trade id #149466200
Max drawdown($52)
Time9/20/24 9:37
Quant open9
Worst price243.79
Drawdown as % of equity-0.09%
$40
Includes Typical Broker Commissions trade costs of $0.32
9/19/24 9:31 PGNY PROGYNY INC. LONG 100 15.10 9/19 9:41 15.44 0.19%
Trade id #149453132
Max drawdown($117)
Time9/19/24 9:34
Quant open100
Worst price13.93
Drawdown as % of equity-0.19%
$32
Includes Typical Broker Commissions trade costs of $2.00
9/17/24 9:33 LI LI AUTO INC SHORT 160 20.76 9/18 15:53 20.79 0.07%
Trade id #149417928
Max drawdown($43)
Time9/17/24 12:09
Quant open80
Worst price21.30
Drawdown as % of equity-0.07%
($7)
Includes Typical Broker Commissions trade costs of $3.20
9/10/24 9:30 ALLY ALLY FINANCIAL INC LONG 450 33.43 9/17 11:06 33.26 0.82%
Trade id #149336239
Max drawdown($491)
Time9/10/24 13:14
Quant open300
Worst price31.95
Drawdown as % of equity-0.82%
($87)
Includes Typical Broker Commissions trade costs of $9.00
9/16/24 9:30 BLCO BAUSCH + LOMB CORP SHORT 150 18.01 9/16 10:01 17.79 n/a $29
Includes Typical Broker Commissions trade costs of $3.00
9/13/24 10:41 RH RH SHORT 29 316.71 9/13 14:19 316.22 0.15%
Trade id #149383793
Max drawdown($89)
Time9/13/24 11:57
Quant open16
Worst price322.30
Drawdown as % of equity-0.15%
$13
Includes Typical Broker Commissions trade costs of $0.58
9/13/24 9:30 ADBE ADOBE INC LONG 9 531.21 9/13 9:59 533.82 0.07%
Trade id #149382349
Max drawdown($41)
Time9/13/24 9:44
Quant open9
Worst price526.60
Drawdown as % of equity-0.07%
$23
Includes Typical Broker Commissions trade costs of $0.18
9/13/24 9:31 RH RH SHORT 16 307.44 9/13 9:39 304.40 0.13%
Trade id #149382511
Max drawdown($76)
Time9/13/24 9:35
Quant open13
Worst price312.50
Drawdown as % of equity-0.13%
$49
Includes Typical Broker Commissions trade costs of $0.32
9/12/24 9:39 MRNA MODERNA INC. COMMON STOCK LONG 66 65.50 9/12 9:44 66.75 0.05%
Trade id #149369649
Max drawdown($32)
Time9/12/24 9:43
Quant open66
Worst price65.01
Drawdown as % of equity-0.05%
$81
Includes Typical Broker Commissions trade costs of $1.32
9/12/24 9:32 SIG SIGNET JEWELERS SHORT 27 90.15 9/12 9:36 88.96 0%
Trade id #149369369
Max drawdown($0)
Time9/12/24 9:35
Quant open15
Worst price90.19
Drawdown as % of equity-0.00%
$31
Includes Typical Broker Commissions trade costs of $0.54
9/12/24 9:30 CAL CALERES INC LONG 120 30.16 9/12 9:35 30.77 0.03%
Trade id #149369241
Max drawdown($18)
Time9/12/24 9:34
Quant open120
Worst price30.01
Drawdown as % of equity-0.03%
$71
Includes Typical Broker Commissions trade costs of $2.40
9/11/24 9:30 PLAY DAVE & BUSTERS ENTERTAINMENT SHORT 50 34.70 9/11 9:31 33.43 n/a $63
Includes Typical Broker Commissions trade costs of $1.00
9/9/24 9:32 SMMT SUMMIT THERAPEUTICS PLC AMERIC SHORT 400 18.34 9/10 10:04 18.53 1.39%
Trade id #149321672
Max drawdown($832)
Time9/9/24 10:30
Quant open250
Worst price21.50
Drawdown as % of equity-1.39%
($86)
Includes Typical Broker Commissions trade costs of $8.00
9/10/24 9:44 ORCL ORACLE CORP SHORT 15 159.81 9/10 9:52 157.80 0%
Trade id #149336786
Max drawdown($0)
Time9/10/24 9:47
Quant open15
Worst price159.83
Drawdown as % of equity-0.00%
$30
Includes Typical Broker Commissions trade costs of $0.30
9/6/24 9:49 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 25 137.89 9/6 10:05 139.18 0.04%
Trade id #149295585
Max drawdown($21)
Time9/6/24 10:00
Quant open25
Worst price137.02
Drawdown as % of equity-0.04%
$32
Includes Typical Broker Commissions trade costs of $0.50
9/6/24 9:30 GWRE GUIDEWIRE SOFTWARE SHORT 22 167.32 9/6 9:50 165.98 0.11%
Trade id #149292093
Max drawdown($66)
Time9/6/24 9:35
Quant open15
Worst price171.74
Drawdown as % of equity-0.11%
$30
Includes Typical Broker Commissions trade costs of $0.44
9/4/24 9:34 DLTR DOLLAR TREE STORES LONG 325 65.76 9/5 12:45 65.69 1.46%
Trade id #149244853
Max drawdown($865)
Time9/4/24 14:44
Quant open175
Worst price60.81
Drawdown as % of equity-1.46%
($30)
Includes Typical Broker Commissions trade costs of $6.50

Statistics

  • Strategy began
    1/2/2024
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    278.49
  • Age
    9 months ago
  • What it trades
    Stocks
  • # Trades
    304
  • # Profitable
    255
  • % Profitable
    83.90%
  • Avg trade duration
    2.0 days
  • Max peak-to-valley drawdown
    7.58%
  • drawdown period
    May 17, 2024 - May 21, 2024
  • Cumul. Return
    21.3%
  • Avg win
    $58.63
  • Avg loss
    $55.41
  • Model Account Values (Raw)
  • Cash
    $62,517
  • Margin Used
    $0
  • Buying Power
    $62,087
  • Ratios
  • W:L ratio
    5.61:1
  • Sharpe Ratio
    1.72
  • Sortino Ratio
    2.6
  • Calmar Ratio
    5.624
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    0.05%
  • Correlation to SP500
    -0.01540
  • Return Percent SP500 (cumu) during strategy life
    21.26%
  • Return Statistics
  • Ann Return (w trading costs)
    28.4%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • 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
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.213%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    33.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.50%
  • Chance of 20% account loss
    n/a
  • 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)
    928
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    941
  • Popularity (7 days, Percentile 1000 scale)
    825
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $55
  • Avg Win
    $59
  • Sum Trade PL (losers)
    $2,715.000
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $14,951.000
  • # Winners
    255
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    278
  • Win / Loss
  • # Losers
    49
  • % Winners
    83.9%
  • Frequency
  • Avg Position Time (mins)
    2917.67
  • Avg Position Time (hrs)
    48.63
  • Avg Trade Length
    2.0 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.28
  • Daily leverage (max)
    1.70
  • Regression
  • Alpha
    0.07
  • Beta
    -0.01
  • Treynor Index
    -4.65
  • 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)
    4.77
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    10.494
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    4.147
  • Avg(MAE) / Avg(PL) - Losing trades
    -13.290
  • Hold-and-Hope Ratio
    0.088
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27296
  • SD
    0.04288
  • Sharpe ratio (Glass type estimate)
    6.36553
  • Sharpe ratio (Hedges UMVUE)
    5.74618
  • df
    8.00000
  • t
    5.51271
  • p
    0.00028
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.49462
  • Upperbound of 95% confidence interval for Sharpe Ratio
    10.10750
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13379
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    9.35858
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.27296
  • Downside part of mean
    0.00000
  • Upside SD
    0.08856
  • Downside SD
    0.00000
  • N nonnegative terms
    9.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.22489
  • Mean of criterion
    0.27296
  • SD of predictor
    0.10828
  • SD of criterion
    0.04288
  • Covariance
    -0.00234
  • r
    -0.50399
  • b (slope, estimate of beta)
    -0.19959
  • a (intercept, estimate of alpha)
    0.31785
  • Mean Square Error
    0.00157
  • DF error
    7.00000
  • t(b)
    -1.54386
  • p(b)
    0.91673
  • t(a)
    5.86644
  • p(a)
    0.00031
  • Lowerbound of 95% confidence interval for beta
    -0.50530
  • Upperbound of 95% confidence interval for beta
    0.10611
  • Lowerbound of 95% confidence interval for alpha
    0.18973
  • Upperbound of 95% confidence interval for alpha
    0.44596
  • Treynor index (mean / b)
    -1.36759
  • Jensen alpha (a)
    0.31785
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26850
  • SD
    0.04185
  • Sharpe ratio (Glass type estimate)
    6.41552
  • Sharpe ratio (Hedges UMVUE)
    5.79131
  • df
    8.00000
  • t
    5.55601
  • p
    0.00027
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.52548
  • Upperbound of 95% confidence interval for Sharpe Ratio
    10.17690
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16165
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    9.42097
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.26850
  • Downside part of mean
    0.00000
  • Upside SD
    0.08698
  • Downside SD
    0.00000
  • N nonnegative terms
    9.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.21719
  • Mean of criterion
    0.26850
  • SD of predictor
    0.10772
  • SD of criterion
    0.04185
  • Covariance
    -0.00227
  • r
    -0.50321
  • b (slope, estimate of beta)
    -0.19552
  • a (intercept, estimate of alpha)
    0.31097
  • Mean Square Error
    0.00149
  • DF error
    7.00000
  • t(b)
    -1.54064
  • p(b)
    0.91635
  • t(a)
    5.92675
  • p(a)
    0.00029
  • Lowerbound of 95% confidence interval for beta
    -0.49561
  • Upperbound of 95% confidence interval for beta
    0.10457
  • Lowerbound of 95% confidence interval for alpha
    0.18690
  • Upperbound of 95% confidence interval for alpha
    0.43504
  • Treynor index (mean / b)
    -1.37330
  • Jensen alpha (a)
    0.31097
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    -0.00251
  • Expected Shortfall on VaR
    0.00253
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    1.00932
  • Quartile 1
    1.01466
  • Median
    1.02795
  • Quartile 3
    1.03697
  • Maximum
    1.04001
  • Mean of quarter 1
    1.01184
  • Mean of quarter 2
    1.02152
  • Mean of quarter 3
    1.03469
  • Mean of quarter 4
    1.03887
  • Inter Quartile Range
    0.02231
  • 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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)
    0.33194
  • Compounded annual return (geometric extrapolation)
    0.34502
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    136.23900
  • 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
    0.27388
  • SD
    0.11597
  • Sharpe ratio (Glass type estimate)
    2.36173
  • Sharpe ratio (Hedges UMVUE)
    2.35273
  • df
    197.00000
  • t
    2.05311
  • p
    0.40818
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09223
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.62538
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08621
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.61925
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.63235
  • Upside Potential Ratio
    8.65704
  • Upside part of mean
    0.65275
  • Downside part of mean
    -0.37887
  • Upside SD
    0.08934
  • Downside SD
    0.07540
  • N nonnegative terms
    138.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    198.00000
  • Mean of predictor
    0.23529
  • Mean of criterion
    0.27388
  • SD of predictor
    0.12683
  • SD of criterion
    0.11597
  • Covariance
    -0.00021
  • r
    -0.01436
  • b (slope, estimate of beta)
    -0.01313
  • a (intercept, estimate of alpha)
    0.27700
  • Mean Square Error
    0.01351
  • DF error
    196.00000
  • t(b)
    -0.20107
  • p(b)
    0.50718
  • t(a)
    2.05767
  • p(a)
    0.42729
  • Lowerbound of 95% confidence interval for beta
    -0.14192
  • Upperbound of 95% confidence interval for beta
    0.11566
  • Lowerbound of 95% confidence interval for alpha
    0.01151
  • Upperbound of 95% confidence interval for alpha
    0.54243
  • Treynor index (mean / b)
    -20.85820
  • Jensen alpha (a)
    0.27697
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26703
  • SD
    0.11593
  • Sharpe ratio (Glass type estimate)
    2.30339
  • Sharpe ratio (Hedges UMVUE)
    2.29460
  • df
    197.00000
  • t
    2.00239
  • p
    0.41039
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03455
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.56652
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02867
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.56054
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.49749
  • Upside Potential Ratio
    8.49714
  • Upside part of mean
    0.64875
  • Downside part of mean
    -0.38172
  • Upside SD
    0.08840
  • Downside SD
    0.07635
  • N nonnegative terms
    138.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    198.00000
  • Mean of predictor
    0.22715
  • Mean of criterion
    0.26703
  • SD of predictor
    0.12695
  • SD of criterion
    0.11593
  • Covariance
    -0.00020
  • r
    -0.01361
  • b (slope, estimate of beta)
    -0.01243
  • a (intercept, estimate of alpha)
    0.26985
  • Mean Square Error
    0.01351
  • DF error
    196.00000
  • t(b)
    -0.19052
  • p(b)
    0.50680
  • t(a)
    2.00632
  • p(a)
    0.42907
  • Lowerbound of 95% confidence interval for beta
    -0.14105
  • Upperbound of 95% confidence interval for beta
    0.11620
  • Lowerbound of 95% confidence interval for alpha
    0.00460
  • Upperbound of 95% confidence interval for alpha
    0.53511
  • Treynor index (mean / b)
    -21.48960
  • Jensen alpha (a)
    0.26985
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01070
  • Expected Shortfall on VaR
    0.01366
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00221
  • Expected Shortfall on VaR
    0.00545
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    198.00000
  • Minimum
    0.96075
  • Quartile 1
    0.99984
  • Median
    1.00111
  • Quartile 3
    1.00270
  • Maximum
    1.02943
  • Mean of quarter 1
    0.99441
  • Mean of quarter 2
    1.00046
  • Mean of quarter 3
    1.00188
  • Mean of quarter 4
    1.00786
  • Inter Quartile Range
    0.00286
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.10101
  • Mean of outliers low
    0.98855
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.07576
  • Mean of outliers high
    1.01710
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.46019
  • VaR(95%) (moments method)
    0.00348
  • Expected Shortfall (moments method)
    0.00824
  • Extreme Value Index (regression method)
    0.43835
  • VaR(95%) (regression method)
    0.00593
  • Expected Shortfall (regression method)
    0.01449
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    31.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00056
  • Median
    0.00212
  • Quartile 3
    0.00842
  • Maximum
    0.06099
  • Mean of quarter 1
    0.00018
  • Mean of quarter 2
    0.00127
  • Mean of quarter 3
    0.00478
  • Mean of quarter 4
    0.02600
  • Inter Quartile Range
    0.00786
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.12903
  • Mean of outliers high
    0.03845
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.52464
  • VaR(95%) (moments method)
    0.02295
  • Expected Shortfall (moments method)
    0.02708
  • Extreme Value Index (regression method)
    -0.00180
  • VaR(95%) (regression method)
    0.03924
  • Expected Shortfall (regression method)
    0.05828
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33039
  • Compounded annual return (geometric extrapolation)
    0.34304
  • Calmar ratio (compounded annual return / max draw down)
    5.62427
  • Compounded annual return / average of 25% largest draw downs
    13.19380
  • Compounded annual return / Expected Shortfall lognormal
    25.11910
  • 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
    0.28997
  • SD
    0.13150
  • Sharpe ratio (Glass type estimate)
    2.20512
  • Sharpe ratio (Hedges UMVUE)
    2.19237
  • df
    130.00000
  • t
    1.55926
  • p
    0.43225
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58374
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.98574
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59221
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.97696
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.33148
  • Upside Potential Ratio
    8.70891
  • Upside part of mean
    0.75803
  • Downside part of mean
    -0.46805
  • Upside SD
    0.09952
  • Downside SD
    0.08704
  • N nonnegative terms
    90.00000
  • N negative terms
    41.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20307
  • Mean of criterion
    0.28997
  • SD of predictor
    0.13467
  • SD of criterion
    0.13150
  • Covariance
    -0.00054
  • r
    -0.03034
  • b (slope, estimate of beta)
    -0.02962
  • a (intercept, estimate of alpha)
    0.29599
  • Mean Square Error
    0.01741
  • DF error
    129.00000
  • t(b)
    -0.34472
  • p(b)
    0.51931
  • t(a)
    1.57931
  • p(a)
    0.41260
  • Lowerbound of 95% confidence interval for beta
    -0.19964
  • Upperbound of 95% confidence interval for beta
    0.14040
  • Lowerbound of 95% confidence interval for alpha
    -0.07482
  • Upperbound of 95% confidence interval for alpha
    0.66680
  • Treynor index (mean / b)
    -9.78890
  • Jensen alpha (a)
    0.29599
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28121
  • SD
    0.13153
  • Sharpe ratio (Glass type estimate)
    2.13794
  • Sharpe ratio (Hedges UMVUE)
    2.12558
  • df
    130.00000
  • t
    1.51175
  • p
    0.43428
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65002
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.91791
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65824
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.90940
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.18871
  • Upside Potential Ratio
    8.53929
  • Upside part of mean
    0.75307
  • Downside part of mean
    -0.47186
  • Upside SD
    0.09845
  • Downside SD
    0.08819
  • N nonnegative terms
    90.00000
  • N negative terms
    41.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19395
  • Mean of criterion
    0.28121
  • SD of predictor
    0.13492
  • SD of criterion
    0.13153
  • Covariance
    -0.00052
  • r
    -0.02919
  • b (slope, estimate of beta)
    -0.02846
  • a (intercept, estimate of alpha)
    0.28673
  • Mean Square Error
    0.01742
  • DF error
    129.00000
  • t(b)
    -0.33165
  • p(b)
    0.51858
  • t(a)
    1.53007
  • p(a)
    0.41526
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    -0.19821
  • Upperbound of 95% confidence interval for beta
    0.14130
  • Lowerbound of 95% confidence interval for alpha
    -0.08404
  • Upperbound of 95% confidence interval for alpha
    0.65749
  • Treynor index (mean / b)
    -9.88233
  • Jensen alpha (a)
    0.28673
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01222
  • Expected Shortfall on VaR
    0.01556
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00283
  • Expected Shortfall on VaR
    0.00682
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96075
  • Quartile 1
    0.99964
  • Median
    1.00125
  • Quartile 3
    1.00333
  • Maximum
    1.02943
  • Mean of quarter 1
    0.99307
  • Mean of quarter 2
    1.00050
  • Mean of quarter 3
    1.00226
  • Mean of quarter 4
    1.00906
  • Inter Quartile Range
    0.00370
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.98635
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.02189
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.47463
  • VaR(95%) (moments method)
    0.00401
  • Expected Shortfall (moments method)
    0.00959
  • Extreme Value Index (regression method)
    0.35033
  • VaR(95%) (regression method)
    0.00821
  • Expected Shortfall (regression method)
    0.01764
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00104
  • Median
    0.00328
  • Quartile 3
    0.00930
  • Maximum
    0.06099
  • Mean of quarter 1
    0.00031
  • Mean of quarter 2
    0.00172
  • Mean of quarter 3
    0.00680
  • Mean of quarter 4
    0.03176
  • Inter Quartile Range
    0.00826
  • 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
    0.15000
  • Mean of outliers high
    0.04293
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.31626
  • VaR(95%) (moments method)
    0.02980
  • Expected Shortfall (moments method)
    0.03178
  • Extreme Value Index (regression method)
    -0.20907
  • VaR(95%) (regression method)
    0.05088
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.06846
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -346040000
  • Max Equity Drawdown (num days)
    4
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33428
  • Compounded annual return (geometric extrapolation)
    0.36222
  • Calmar ratio (compounded annual return / max draw down)
    5.93867
  • Compounded annual return / average of 25% largest draw downs
    11.40620
  • Compounded annual return / Expected Shortfall lognormal
    23.27650

Strategy Description

Summary Statistics

Strategy began
2024-01-02
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 5.9%
Rank # 
#50
# Trades
304
# Profitable
255
% Profitable
83.9%
Net Dividends
Correlation S&P500
-0.015
Sharpe Ratio
1.72
Sortino Ratio
2.60
Beta
-0.01
Alpha
0.07
Leverage
0.28 Average
1.70 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.