Collective2 Collective2
For your consideration SharpeQuant Strategy +33.2% Annual Return (Compounded) since Jun 13, 2025 Hypothetical

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test2System

By BrilliantProgramme

Stocks · Started Jun 2006

hypothetical · Annual Return (Compounded)
6.6%
Max Drawdown
4.9%
Trades
8
Win Trades
87.5%
Profit Factor
25738.90
Win Months
54.5%

About this strategy

Do not really trade or follow the advice here. Trades will be completely random and probably very horrible. This system is used by Collective2 and its partners to develop software and new features.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2006-0.02.712.86.33.84.2-0.033.1
20070.00.0-0.00.00.0-0.0-0.10.00.10.00.8-0.00.6
2008-0.1-0.0-0.10.1-0.0-0.20.00.0-0.2-0.2-0.1-0.0-0.7
2009-0.1-0.10.10.10.1-0.00.10.10.0-0.00.10.00.3
2010-0.10.00.10.0-0.1-0.10.1-0.10.10.10.00.10.2
20110.10.1-0.00.00.4-0.10.5-0.1-0.10.10.40.11.5
20120.10.60.5-0.0-0.10.10.50.00.1-0.00.6-0.02.3
20130.10.80.10.00.6-0.10.10.50.10.70.10.13.1
2014-0.10.80.00.60.00.7-0.00.10.60.10.10.02.9
20150.70.10.60.1-0.0-0.10.7-0.20.10.90.0-0.02.8
20160.60.10.10.70.00.00.80.0-0.00.70.10.13.2
20170.90.1-0.00.70.00.00.00.00.10.10.90.13.0
20181.0-0.1-0.10.70.0-0.00.90.10.1-0.30.8-0.22.9
20191.20.1-0.00.10.70.0-0.10.10.00.10.12.5
20200.0-0.3-0.40.20.20.00.20.3-0.10.00.30.10.5
20210.00.20.10.20.00.10.10.1-0.10.2-0.20.31.0
2022-0.40.00.1-0.30.0-0.30.2-0.0-0.40.20.2-0.1-0.7
20230.2-0.1-0.00.10.10.10.2-0.1-0.2-0.20.40.30.9
20240.10.10.1-0.20.10.10.10.10.10.10.10.11.3
2025-0.0-0.1-0.3-0.30.50.30.20.10.10.2-0.20.30.8
20260.10.0-0.40.50.30.1-0.10.3-0.00.00.7

Statistics

Overview

Strategy began6/15/2006
Suggested Minimum Capital$100,000
Age247 months
What it tradesStocks, Futures
# Trades8
# Profitable7
% Profitable87.5%
Avg trade duration1808.4 days
Max peak-to-valley drawdown4.9%
drawdown periodSept 05, 2006 - Sept 08, 2006
Annual return (compounded)2.9%
Avg win$6,193
Avg loss$4

Ratios

W:L ratio25738.86
Sharpe Ratio0.22
Sortino Ratio0.42
Calmar Ratio0.15

CORRELATION STATISTICS

Correlation to SP5000.13
Return Percent SP500 (cumu) during strategy life509.8%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)7.1%

Return Statistics

Ann Return (w trading costs)6.6%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)2.9%

Slump

Current Slump as Pcnt Equity0.1%
Current Slump, time of slump as pcnt of strategy life0.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.2%
Percent Trades Options0.0%
Percent Trades Stocks0.8%

Automation

Percentage Signals Automated0.0%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$4
Avg Win$6,182
# Winners7
Sum Trade PL (losers)$4
Sum Trade PL (winners)$43,276
Num Months Winners167
# Losers1
% Winners87.5%

Dividends

Dividends Received in Model Acct34422

Age

Num Months filled monthly returns table245

Frequency

Avg Position Time (mins)2602308
Avg Position Time (hrs)43371.80
Avg Trade Length1807.20
Last Trade Ago7023

Regression

Alpha0
Beta0.02
Treynor Index0.11

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades0.09
MAE:PL (avg, all trades)-0.22
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats56.21
MAE:PL - Winning Trades - this strat Percentile of All Strats5.48
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.09
Avg(MAE) / Avg(PL) - Losing trades-2.71
Hold-and-Hope Ratio12.89

RATIO STATISTICS

a (intercept, estimate of alpha)0.01
VAR (95 Confidence Intrvl)0.02

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)3
Last 4 Months - Pcnt Negative0.8%

Trading record

SymbolSideQtyOpenedClosedP/L
IBM long2Aug 16, 2006Nov 17, 2006$32
INTC long5000Jul 24, 2006Nov 17, 2006$23,695
MSFT long1000Aug 16, 2006Nov 17, 2006$4,695
@ES U6long1Aug 2, 2006Sep 15, 2006$2,130
@YM U6long2Aug 15, 2006Sep 14, 2006$2,754
IBM long2Jun 19, 2006Jul 24, 2006($4)

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.