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DeepValue
(125319676)

Created by: Superbull Superbull
Started: 09/2019
Stocks
Last trade: 7 days ago
Trading style: Equity Non-hedged Equity Sector Rotation

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 $125.00 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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
44.9%
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.

(13.9%)
Max Drawdown
79
Num Trades
49.4%
Win Trades
2.8 : 1
Profit Factor
83.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                        (5.2%)+12.1%+2.6%+25.5%+36.9%
2020+4.7%+1.6%                                                            +6.3%

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.

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

Trading Record

This strategy has placed 47 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/16/20 14:55 REZI RESIDEO TECHNOLOGIES INC LONG 50 12.33 2/10 9:49 9.82 0.35%
Trade id #127051666
Max drawdown($125)
Time2/10/20 9:49
Quant open50
Worst price9.83
Drawdown as % of equity-0.35%
($127)
Includes Typical Broker Commissions trade costs of $1.00
2/4/20 13:21 AIMT AIMMUNE THERAPEUTICS INC. COMMON STOCK LONG 200 29.25 2/6 9:39 30.33 0.08%
Trade id #127359983
Max drawdown($30)
Time2/4/20 13:50
Quant open200
Worst price29.10
Drawdown as % of equity-0.08%
$212
Includes Typical Broker Commissions trade costs of $4.00
1/27/20 9:42 RUBI THE RUBICON PROJECT INC LONG 300 8.86 1/31 9:32 9.31 0.16%
Trade id #127231749
Max drawdown($57)
Time1/27/20 9:51
Quant open300
Worst price8.67
Drawdown as % of equity-0.16%
$129
Includes Typical Broker Commissions trade costs of $6.00
1/10/20 12:08 UGLD VELOCITYSHARES 3X LONG GOLD ET LONG 100 152.27 1/30 10:43 155.19 1.58%
Trade id #126947941
Max drawdown($577)
Time1/14/20 0:00
Quant open100
Worst price146.50
Drawdown as % of equity-1.58%
$290
Includes Typical Broker Commissions trade costs of $2.00
1/13/20 15:09 SSI STAGE STORES LONG 300 3.09 1/29 15:12 1.64 1.17%
Trade id #126974576
Max drawdown($432)
Time1/29/20 15:08
Quant open300
Worst price1.65
Drawdown as % of equity-1.17%
($441)
Includes Typical Broker Commissions trade costs of $6.00
1/16/20 10:14 TTOO T2 BIOSYSTEMS INC. COMON STOC LONG 250 1.14 1/29 15:00 1.03 0.06%
Trade id #127036695
Max drawdown($22)
Time1/29/20 10:03
Quant open250
Worst price1.05
Drawdown as % of equity-0.06%
($33)
Includes Typical Broker Commissions trade costs of $5.00
1/13/20 9:43 RAD RITE AID LONG 150 11.61 1/29 10:01 12.36 0.1%
Trade id #126968063
Max drawdown($37)
Time1/14/20 0:00
Quant open150
Worst price11.36
Drawdown as % of equity-0.10%
$109
Includes Typical Broker Commissions trade costs of $3.00
1/13/20 9:32 ITCI INTRA-CELLULAR THERAPIES INC. LONG 400 24.63 1/27 9:30 22.56 0.82%
Trade id #126967737
Max drawdown($308)
Time1/24/20 0:00
Quant open150
Worst price23.25
Drawdown as % of equity-0.82%
($834)
Includes Typical Broker Commissions trade costs of $8.00
1/24/20 11:29 TIF TIFFANY LONG 30 134.27 1/24 11:29 134.26 n/a ($1)
Includes Typical Broker Commissions trade costs of $0.60
1/24/20 11:26 TIF TIFFANY SHORT 70 134.24 1/24 11:29 134.26 0.01%
Trade id #127209047
Max drawdown($2)
Time1/24/20 11:29
Quant open70
Worst price134.27
Drawdown as % of equity-0.01%
($2)
Includes Typical Broker Commissions trade costs of $1.40
1/17/20 13:40 BA BOEING SHORT 25 323.09 1/24 9:32 318.29 0.06%
Trade id #127076535
Max drawdown($21)
Time1/21/20 0:00
Quant open20
Worst price326.60
Drawdown as % of equity-0.06%
$120
Includes Typical Broker Commissions trade costs of $0.50
1/16/20 15:07 XON INTREXON CORPORATION LONG 100 6.04 1/22 12:24 5.56 0.12%
Trade id #127052806
Max drawdown($45)
Time1/22/20 12:23
Quant open100
Worst price5.58
Drawdown as % of equity-0.12%
($50)
Includes Typical Broker Commissions trade costs of $2.00
9/25/19 10:07 LYFT LYFT INC. CLASS A COMMON STOCK LONG 350 42.18 1/15/20 9:46 46.29 3.02%
Trade id #125501646
Max drawdown($738)
Time10/10/19 0:00
Quant open200
Worst price37.07
Drawdown as % of equity-3.02%
$1,435
Includes Typical Broker Commissions trade costs of $7.00
1/2/20 11:51 ESTC ELASTIC NV LONG 75 65.99 1/15 9:46 71.28 0.23%
Trade id #126834786
Max drawdown($81)
Time1/6/20 0:00
Quant open75
Worst price64.91
Drawdown as % of equity-0.23%
$396
Includes Typical Broker Commissions trade costs of $1.50
1/3/20 9:39 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A COMMON STOCK LONG 50 49.70 1/15 9:43 60.98 0.04%
Trade id #126851266
Max drawdown($15)
Time1/3/20 9:40
Quant open50
Worst price49.40
Drawdown as % of equity-0.04%
$563
Includes Typical Broker Commissions trade costs of $1.00
12/30/19 10:00 ONDK ON DECK CAPITAL INC LONG 600 4.00 1/13/20 9:33 4.06 0.03%
Trade id #126789074
Max drawdown($12)
Time1/6/20 0:00
Quant open600
Worst price3.98
Drawdown as % of equity-0.03%
$31
Includes Typical Broker Commissions trade costs of $5.00
12/30/19 10:00 PINS PINTEREST INC LONG 100 18.27 1/13/20 9:33 19.92 0.07%
Trade id #126789096
Max drawdown($24)
Time12/31/19 0:00
Quant open100
Worst price18.03
Drawdown as % of equity-0.07%
$163
Includes Typical Broker Commissions trade costs of $2.00
12/30/19 10:02 MCRB SERES THERAPEUTICS INC. COMMON STOCK LONG 500 3.92 1/13/20 9:33 2.88 1.46%
Trade id #126789129
Max drawdown($537)
Time1/10/20 0:00
Quant open500
Worst price2.84
Drawdown as % of equity-1.46%
($530)
Includes Typical Broker Commissions trade costs of $10.00
12/30/19 9:59 HEAR TURTLE BEACH CORPORATION COMMO LONG 300 8.88 1/13/20 9:33 8.44 0.49%
Trade id #126789048
Max drawdown($174)
Time1/8/20 0:00
Quant open300
Worst price8.30
Drawdown as % of equity-0.49%
($138)
Includes Typical Broker Commissions trade costs of $6.00
12/30/19 9:58 ZUO ZUORA INC LONG 200 13.78 1/13/20 9:33 15.03 0.05%
Trade id #126789028
Max drawdown($16)
Time12/30/19 10:14
Quant open200
Worst price13.70
Drawdown as % of equity-0.05%
$246
Includes Typical Broker Commissions trade costs of $4.00
12/30/19 9:56 LGF.A LIONS GATE ENTERTAINMENT CLASS A LONG 100 10.31 1/13/20 9:33 10.65 0.07%
Trade id #126789017
Max drawdown($25)
Time12/31/19 0:00
Quant open100
Worst price10.06
Drawdown as % of equity-0.07%
$32
Includes Typical Broker Commissions trade costs of $2.00
9/25/19 10:09 UBER UBER TECHNOLOGIES INC LONG 200 31.31 1/13/20 9:33 34.17 4.2%
Trade id #125501700
Max drawdown($1,146)
Time11/6/19 0:00
Quant open200
Worst price25.58
Drawdown as % of equity-4.20%
$568
Includes Typical Broker Commissions trade costs of $4.00
1/8/20 9:35 NIO NIO INC LONG 1,000 3.29 1/10 12:09 3.45 0.28%
Trade id #126911871
Max drawdown($100)
Time1/8/20 10:10
Quant open1,000
Worst price3.19
Drawdown as % of equity-0.28%
$155
Includes Typical Broker Commissions trade costs of $5.00
10/23/19 15:41 NLS NAUTILUS GROUP LONG 500 1.73 1/9/20 13:18 2.53 0.78%
Trade id #125924803
Max drawdown($210)
Time11/27/19 0:00
Quant open500
Worst price1.31
Drawdown as % of equity-0.78%
$390
Includes Typical Broker Commissions trade costs of $10.00
9/25/19 10:28 NGL-C NGL ENERGY PARTNERS LP 9.625% CLASS C PFD LONG 200 25.70 1/9/20 10:45 26.00 0.63%
Trade id #125502344
Max drawdown($160)
Time10/16/19 0:00
Quant open200
Worst price24.90
Drawdown as % of equity-0.63%
$56
Includes Typical Broker Commissions trade costs of $4.00
1/8/20 12:13 LEN LENNAR LONG 50 58.59 1/8 13:25 58.17 0.1%
Trade id #126916391
Max drawdown($37)
Time1/8/20 13:22
Quant open50
Worst price57.84
Drawdown as % of equity-0.10%
($22)
Includes Typical Broker Commissions trade costs of $1.00
1/3/20 9:39 NIO NIO INC LONG 1,000 3.68 1/3 9:48 3.85 0.23%
Trade id #126851276
Max drawdown($80)
Time1/3/20 9:41
Quant open1,000
Worst price3.60
Drawdown as % of equity-0.23%
$165
Includes Typical Broker Commissions trade costs of $5.00
10/31/19 9:33 ETSY ETSY INC. COMMON STOCK LONG 30 45.93 12/30 13:26 45.05 0.69%
Trade id #126019078
Max drawdown($185)
Time12/5/19 0:00
Quant open30
Worst price39.76
Drawdown as % of equity-0.69%
($27)
Includes Typical Broker Commissions trade costs of $0.60
9/25/19 9:55 NIO NIO INC LONG 3,000 1.78 12/30 13:23 3.50 3.83%
Trade id #125501151
Max drawdown($870)
Time10/2/19 0:00
Quant open1,000
Worst price1.19
Drawdown as % of equity-3.83%
$5,145
Includes Typical Broker Commissions trade costs of $15.00
12/5/19 10:29 ESTC ELASTIC NV LONG 75 64.05 12/30 12:18 64.05 0.93%
Trade id #126498291
Max drawdown($257)
Time12/16/19 0:00
Quant open75
Worst price60.62
Drawdown as % of equity-0.93%
($2)
Includes Typical Broker Commissions trade costs of $1.50

Statistics

  • Strategy began
    9/12/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    166.64
  • Age
    167 days ago
  • What it trades
    Stocks
  • # Trades
    79
  • # Profitable
    39
  • % Profitable
    49.40%
  • Avg trade duration
    24.0 days
  • Max peak-to-valley drawdown
    13.92%
  • drawdown period
    Oct 29, 2019 - Nov 19, 2019
  • Cumul. Return
    44.9%
  • Avg win
    $483.90
  • Avg loss
    $179.57
  • Model Account Values (Raw)
  • Cash
    $19,729
  • Margin Used
    $1,580
  • Buying Power
    $17,291
  • Ratios
  • W:L ratio
    2.79:1
  • Sharpe Ratio
    2.43
  • Sortino Ratio
    3.93
  • Calmar Ratio
    10.546
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    40.99%
  • Correlation to SP500
    0.32110
  • Return Percent SP500 (cumu) during strategy life
    5.43%
  • Return Statistics
  • Ann Return (w trading costs)
    122.2%
  • Slump
  • Current Slump as Pcnt Equity
    0.05%
  • Instruments
  • Percent Trades Futures
    0.04%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.03%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.449%
  • Instruments
  • Percent Trades Options
    0.04%
  • Percent Trades Stocks
    0.92%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    138.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    13.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    885
  • Popularity (Last 6 weeks)
    991
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    976
  • Popularity (7 days, Percentile 1000 scale)
    960
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $180
  • Avg Win
    $484
  • Sum Trade PL (losers)
    $7,183.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $18,872.000
  • # Winners
    39
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    569
  • AUM
  • AUM (AutoTrader live capital)
    37014
  • Win / Loss
  • # Losers
    40
  • % Winners
    49.4%
  • Frequency
  • Avg Position Time (mins)
    28146.20
  • Avg Position Time (hrs)
    469.10
  • Avg Trade Length
    19.5 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.65
  • Daily leverage (max)
    2.43
  • Regression
  • Alpha
    0.20
  • Beta
    0.72
  • Treynor Index
    0.30
  • 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)
    -0.86
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.683
  • 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
    0.413
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.155
  • Hold-and-Hope Ratio
    0.624
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.07347
  • SD
    0.53007
  • Sharpe ratio (Glass type estimate)
    2.02514
  • Sharpe ratio (Hedges UMVUE)
    1.61583
  • df
    4.00000
  • t
    1.30722
  • p
    0.13061
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.39893
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.25058
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.62040
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.85206
  • Statistics related to Sortino ratio
  • Sortino ratio
    34.35740
  • Upside Potential Ratio
    36.05150
  • Upside part of mean
    1.12640
  • Downside part of mean
    -0.05293
  • Upside SD
    0.56554
  • Downside SD
    0.03124
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.25646
  • Mean of criterion
    1.07347
  • SD of predictor
    0.07845
  • SD of criterion
    0.53007
  • Covariance
    0.01684
  • r
    0.40495
  • b (slope, estimate of beta)
    2.73615
  • a (intercept, estimate of alpha)
    0.37174
  • Mean Square Error
    0.31320
  • DF error
    3.00000
  • t(b)
    0.76710
  • p(b)
    0.24943
  • t(a)
    0.29495
  • p(a)
    0.39363
  • Lowerbound of 95% confidence interval for beta
    -8.61519
  • Upperbound of 95% confidence interval for beta
    14.08750
  • Lowerbound of 95% confidence interval for alpha
    -3.63927
  • Upperbound of 95% confidence interval for alpha
    4.38276
  • Treynor index (mean / b)
    0.39233
  • Jensen alpha (a)
    0.37174
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.93956
  • SD
    0.45421
  • Sharpe ratio (Glass type estimate)
    2.06858
  • Sharpe ratio (Hedges UMVUE)
    1.65049
  • df
    4.00000
  • t
    1.33526
  • p
    0.12636
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36872
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.30462
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.59413
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.89511
  • Statistics related to Sortino ratio
  • Sortino ratio
    29.84120
  • Upside Potential Ratio
    31.53410
  • Upside part of mean
    0.99286
  • Downside part of mean
    -0.05330
  • Upside SD
    0.48746
  • Downside SD
    0.03149
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.25079
  • Mean of criterion
    0.93956
  • SD of predictor
    0.07749
  • SD of criterion
    0.45421
  • Covariance
    0.01440
  • r
    0.40926
  • b (slope, estimate of beta)
    2.39893
  • a (intercept, estimate of alpha)
    0.33792
  • Mean Square Error
    0.22900
  • DF error
    3.00000
  • t(b)
    0.77689
  • p(b)
    0.24693
  • t(a)
    0.31521
  • p(a)
    0.38663
  • Lowerbound of 95% confidence interval for beta
    -7.42797
  • Upperbound of 95% confidence interval for beta
    12.22580
  • Lowerbound of 95% confidence interval for alpha
    -3.07386
  • Upperbound of 95% confidence interval for alpha
    3.74970
  • Treynor index (mean / b)
    0.39166
  • Jensen alpha (a)
    0.33792
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12835
  • Expected Shortfall on VaR
    0.17387
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00879
  • Expected Shortfall on VaR
    0.01779
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.98226
  • Quartile 1
    1.00034
  • Median
    1.02915
  • Quartile 3
    1.09199
  • Maximum
    1.35518
  • Mean of quarter 1
    0.99130
  • Mean of quarter 2
    1.02915
  • Mean of quarter 3
    1.09199
  • Mean of quarter 4
    1.35518
  • Inter Quartile Range
    0.09164
  • 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
    0.20000
  • Mean of outliers high
    1.35518
  • 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
    0.01774
  • Quartile 1
    0.01774
  • Median
    0.01774
  • Quartile 3
    0.01774
  • Maximum
    0.01774
  • 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)
    1.19153
  • Compounded annual return (geometric extrapolation)
    1.63127
  • Calmar ratio (compounded annual return / max draw down)
    91.94410
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    9.38215
  • 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
    0.83837
  • SD
    0.27118
  • Sharpe ratio (Glass type estimate)
    3.09159
  • Sharpe ratio (Hedges UMVUE)
    3.07138
  • df
    115.00000
  • t
    2.05712
  • p
    0.38078
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11257
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.05753
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09918
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.04357
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.98801
  • Upside Potential Ratio
    12.48350
  • Upside part of mean
    2.09820
  • Downside part of mean
    -1.25983
  • Upside SD
    0.21757
  • Downside SD
    0.16808
  • N nonnegative terms
    65.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    116.00000
  • Mean of predictor
    0.06669
  • Mean of criterion
    0.83837
  • SD of predictor
    0.12053
  • SD of criterion
    0.27118
  • Covariance
    0.01063
  • r
    0.32522
  • b (slope, estimate of beta)
    0.73171
  • a (intercept, estimate of alpha)
    0.79000
  • Mean Square Error
    0.06634
  • DF error
    114.00000
  • t(b)
    3.67202
  • p(b)
    0.33739
  • t(a)
    2.03863
  • p(a)
    0.40623
  • Lowerbound of 95% confidence interval for beta
    0.33697
  • Upperbound of 95% confidence interval for beta
    1.12646
  • Lowerbound of 95% confidence interval for alpha
    0.02232
  • Upperbound of 95% confidence interval for alpha
    1.55683
  • Treynor index (mean / b)
    1.14577
  • Jensen alpha (a)
    0.78958
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.80064
  • SD
    0.27085
  • Sharpe ratio (Glass type estimate)
    2.95605
  • Sharpe ratio (Hedges UMVUE)
    2.93673
  • df
    115.00000
  • t
    1.96694
  • p
    0.38577
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02037
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.91997
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03319
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.90665
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.68297
  • Upside Potential Ratio
    12.13550
  • Upside part of mean
    2.07478
  • Downside part of mean
    -1.27414
  • Upside SD
    0.21434
  • Downside SD
    0.17097
  • N nonnegative terms
    65.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    116.00000
  • Mean of predictor
    0.05942
  • Mean of criterion
    0.80064
  • SD of predictor
    0.12123
  • SD of criterion
    0.27085
  • Covariance
    0.01086
  • r
    0.33062
  • b (slope, estimate of beta)
    0.73864
  • a (intercept, estimate of alpha)
    0.75675
  • Mean Square Error
    0.06591
  • DF error
    114.00000
  • t(b)
    3.74046
  • p(b)
    0.33469
  • t(a)
    1.96040
  • p(a)
    0.40970
  • Lowerbound of 95% confidence interval for beta
    0.34745
  • Upperbound of 95% confidence interval for beta
    1.12983
  • Lowerbound of 95% confidence interval for alpha
    -0.00795
  • Upperbound of 95% confidence interval for alpha
    1.52144
  • Treynor index (mean / b)
    1.08394
  • Jensen alpha (a)
    0.75675
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02417
  • Expected Shortfall on VaR
    0.03095
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01014
  • Expected Shortfall on VaR
    0.02073
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    116.00000
  • Minimum
    0.93942
  • Quartile 1
    0.99463
  • Median
    1.00292
  • Quartile 3
    1.01350
  • Maximum
    1.05805
  • Mean of quarter 1
    0.98264
  • Mean of quarter 2
    0.99867
  • Mean of quarter 3
    1.00838
  • Mean of quarter 4
    1.02354
  • Inter Quartile Range
    0.01887
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01724
  • Mean of outliers low
    0.95223
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00862
  • Mean of outliers high
    1.05805
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.39562
  • VaR(95%) (moments method)
    0.01500
  • Expected Shortfall (moments method)
    0.01805
  • Extreme Value Index (regression method)
    -0.05141
  • VaR(95%) (regression method)
    0.01782
  • Expected Shortfall (regression method)
    0.02472
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00120
  • Quartile 1
    0.00431
  • Median
    0.00526
  • Quartile 3
    0.07307
  • Maximum
    0.12232
  • Mean of quarter 1
    0.00301
  • Mean of quarter 2
    0.00522
  • Mean of quarter 3
    0.06197
  • Mean of quarter 4
    0.10444
  • Inter Quartile Range
    0.06876
  • 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)
    -1.11751
  • VaR(95%) (moments method)
    0.11151
  • Expected Shortfall (moments method)
    0.11624
  • Extreme Value Index (regression method)
    0.40653
  • VaR(95%) (regression method)
    0.13338
  • Expected Shortfall (regression method)
    0.21325
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.00093
  • Compounded annual return (geometric extrapolation)
    1.28998
  • Calmar ratio (compounded annual return / max draw down)
    10.54630
  • Compounded annual return / average of 25% largest draw downs
    12.35180
  • Compounded annual return / Expected Shortfall lognormal
    41.67810
  • 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)
    0.02400
  • 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
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -259333000
  • Max Equity Drawdown (num days)
    21

Strategy Description

- 10+ years trading experience
- Swing trade under/over-valued stocks both in short-term and long-term
- Scale in and out trading style
- Risk no more than 2% for each position
- Stop loss is placed when a position is opened, subscribers should receive notification

Daily Scalp (C2Star certified): https://collective2.com/details/126079605
Futures Operator (TOS certified): https://collective2.com/details/126205039

Summary Statistics

Strategy began
2019-09-12
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 2.4%
Rank # 
#16
# Trades
79
# Profitable
39
% Profitable
49.4%
Net Dividends
Correlation S&P500
0.321
Sharpe Ratio
2.43
Sortino Ratio
3.93
Beta
0.72
Alpha
0.20
Leverage
1.65 Average
2.43 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.