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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 11/24/2021
Most recent certification approved 11/24/21 9:31 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 122
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 122
Percent signals followed since 11/24/2021 100%
This information was last updated 1/27/22 12:11 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 11/24/2021, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

AITrading EconomicCycle
(126352572)

Created by: WeiJin WeiJin
Started: 11/2019
Stocks
Last trade: Yesterday
Trading style: Equity Sector: Technology 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
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
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.
77.8%
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.

(32.6%)
Max Drawdown
85
Num Trades
42.4%
Win Trades
6.3 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                      (0.3%)+5.4%+5.1%
2020+11.5%+1.8%(8.5%)+12.9%+0.6%+6.4%+18.9%+25.4%(3.3%)+0.7%+20.3%+9.2%+139.4%
2021+14.2%(10.8%)(6.7%)+9.5%(7.3%)+5.8%(3.6%)+7.0%+6.1%+12.5%+14.0%(0.9%)+41.8%
2022(1.4%)                                                                  (1.4%)

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 122 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/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/19/22 15:58 DBA INVESCO DB AGRICULTURE LONG 294 20.28 1/25 15:58 20.20 0.04%
Trade id #139017672
Max drawdown($124)
Time1/24/22 0:00
Quant open294
Worst price19.86
Drawdown as % of equity-0.04%
($30)
Includes Typical Broker Commissions trade costs of $5.88
1/24/22 15:57 TSLA TESLA INC. LONG 9 929.15 1/25 15:58 919.24 0.07%
Trade id #139080934
Max drawdown($233)
Time1/25/22 12:42
Quant open9
Worst price903.21
Drawdown as % of equity-0.07%
($89)
Includes Typical Broker Commissions trade costs of $0.18
1/19/22 15:57 FAS DIREXION DAILY FINANCIAL BULL LONG 21 130.24 1/25 9:36 121.88 0.07%
Trade id #139017647
Max drawdown($255)
Time1/21/22 0:00
Quant open21
Worst price118.08
Drawdown as % of equity-0.07%
($176)
Includes Typical Broker Commissions trade costs of $0.42
11/24/21 9:31 ABNB AIRBNB INC. CLASS A COMMON STOCK LONG 10 175.90 1/24/22 9:52 153.83 0.07%
Trade id #138325818
Max drawdown($264)
Time12/17/21 0:00
Quant open10
Worst price149.44
Drawdown as % of equity-0.07%
($221)
Includes Typical Broker Commissions trade costs of $0.20
11/24/21 9:35 LCID LUCID GROUP INC LONG 20 50.91 1/24/22 9:50 37.55 0.1%
Trade id #138326137
Max drawdown($343)
Time1/6/22 0:00
Quant open20
Worst price33.76
Drawdown as % of equity-0.10%
($267)
Includes Typical Broker Commissions trade costs of $0.40
1/3/22 15:58 NVDA NVIDIA LONG 3 300.68 1/24 9:50 221.73 0.07%
Trade id #138798708
Max drawdown($238)
Time1/24/22 9:50
Quant open3
Worst price221.09
Drawdown as % of equity-0.07%
($237)
Includes Typical Broker Commissions trade costs of $0.06
11/24/21 9:31 PFE PFIZER LONG 40 51.16 1/24/22 9:50 51.59 0.01%
Trade id #138325820
Max drawdown($30)
Time12/7/21 0:00
Quant open40
Worst price50.40
Drawdown as % of equity-0.01%
$16
Includes Typical Broker Commissions trade costs of $0.80
1/18/22 15:57 QQQ POWERSHARES QQQ LONG 20 370.44 1/24 9:50 355.64 0.11%
Trade id #138996164
Max drawdown($380)
Time1/21/22 0:00
Quant open20
Worst price351.40
Drawdown as % of equity-0.11%
($296)
Includes Typical Broker Commissions trade costs of $0.40
1/21/22 15:57 SOXX ISHARES SEMICONDUCTOR ETF LONG 6 473.15 1/24 9:49 461.59 0.02%
Trade id #139054009
Max drawdown($76)
Time1/24/22 9:44
Quant open6
Worst price460.39
Drawdown as % of equity-0.02%
($69)
Includes Typical Broker Commissions trade costs of $0.12
1/19/22 15:58 SOYB TEUCRIUM SOYBEAN LONG 412 23.54 1/21 15:58 23.80 n/a $100
Includes Typical Broker Commissions trade costs of $8.24
1/19/22 9:37 AAPL APPLE LONG 6 170.11 1/21 15:57 162.85 0.01%
Trade id #139008239
Max drawdown($46)
Time1/21/22 15:10
Quant open6
Worst price162.41
Drawdown as % of equity-0.01%
($44)
Includes Typical Broker Commissions trade costs of $0.12
11/24/21 9:35 DDD 3D SYSTEMS LONG 39 22.95 1/21/22 9:51 17.74 0.06%
Trade id #138326139
Max drawdown($207)
Time1/21/22 9:30
Quant open39
Worst price17.62
Drawdown as % of equity-0.06%
($204)
Includes Typical Broker Commissions trade costs of $0.78
1/19/22 9:37 TSLA TESLA INC. LONG 7 1049.32 1/20 15:58 997.01 0.11%
Trade id #139008286
Max drawdown($387)
Time1/20/22 15:55
Quant open7
Worst price994.00
Drawdown as % of equity-0.11%
($366)
Includes Typical Broker Commissions trade costs of $0.14
1/18/22 15:57 SOXX ISHARES SEMICONDUCTOR ETF LONG 22 511.51 1/20 15:57 480.56 0.2%
Trade id #138996166
Max drawdown($693)
Time1/20/22 15:54
Quant open22
Worst price480.00
Drawdown as % of equity-0.20%
($681)
Includes Typical Broker Commissions trade costs of $0.44
1/5/22 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 322 74.23 1/18 10:08 68.57 0.65%
Trade id #138834205
Max drawdown($2,314)
Time1/10/22 0:00
Quant open258
Worst price66.05
Drawdown as % of equity-0.65%
($1,829)
Includes Typical Broker Commissions trade costs of $6.44
1/7/22 15:57 FAS DIREXION DAILY FINANCIAL BULL LONG 59 149.83 1/14 15:57 146.60 0.11%
Trade id #138870411
Max drawdown($397)
Time1/10/22 0:00
Quant open59
Worst price143.10
Drawdown as % of equity-0.11%
($192)
Includes Typical Broker Commissions trade costs of $1.18
1/3/22 15:57 SOXL DIREXION DAILY SEMICONDCT BULL LONG 30 71.73 1/12 15:57 59.71 0.15%
Trade id #138798684
Max drawdown($537)
Time1/10/22 0:00
Quant open30
Worst price53.82
Drawdown as % of equity-0.15%
($361)
Includes Typical Broker Commissions trade costs of $0.60
1/10/22 15:57 TSLA TESLA INC. LONG 15 1057.62 1/11 15:57 1064.30 0.08%
Trade id #138894260
Max drawdown($282)
Time1/11/22 9:44
Quant open15
Worst price1038.82
Drawdown as % of equity-0.08%
$100
Includes Typical Broker Commissions trade costs of $0.30
1/3/22 15:57 DAL DELTA AIR LINES LONG 306 40.28 1/11 15:57 40.91 0.05%
Trade id #138798687
Max drawdown($165)
Time1/6/22 0:00
Quant open306
Worst price39.74
Drawdown as % of equity-0.05%
$188
Includes Typical Broker Commissions trade costs of $6.12
1/3/22 15:57 TSLA TESLA INC. LONG 18 1199.59 1/6 15:57 1063.01 0.91%
Trade id #138798694
Max drawdown($3,223)
Time1/6/22 10:12
Quant open18
Worst price1020.50
Drawdown as % of equity-0.91%
($2,458)
Includes Typical Broker Commissions trade costs of $0.36
1/4/22 15:57 FAS DIREXION DAILY FINANCIAL BULL LONG 59 144.71 1/6 15:57 144.84 0.1%
Trade id #138817864
Max drawdown($366)
Time1/5/22 0:00
Quant open59
Worst price138.50
Drawdown as % of equity-0.10%
$7
Includes Typical Broker Commissions trade costs of $1.18
12/22/21 15:57 FAS DIREXION DAILY FINANCIAL BULL LONG 2 126.31 1/3/22 9:50 133.81 n/a $15
Includes Typical Broker Commissions trade costs of $0.04
12/29/21 15:57 AAPL APPLE LONG 54 179.51 1/3/22 9:49 180.44 0.03%
Trade id #138747222
Max drawdown($121)
Time12/31/21 0:00
Quant open54
Worst price177.26
Drawdown as % of equity-0.03%
$49
Includes Typical Broker Commissions trade costs of $1.08
12/27/21 15:57 DAL DELTA AIR LINES LONG 211 39.03 1/3/22 9:49 39.86 0.03%
Trade id #138720912
Max drawdown($107)
Time12/28/21 0:00
Quant open211
Worst price38.52
Drawdown as % of equity-0.03%
$171
Includes Typical Broker Commissions trade costs of $4.22
12/16/21 15:58 NVDA NVIDIA LONG 48 284.35 1/3/22 9:49 305.11 0.17%
Trade id #138610739
Max drawdown($619)
Time12/20/21 0:00
Quant open48
Worst price271.45
Drawdown as % of equity-0.17%
$995
Includes Typical Broker Commissions trade costs of $0.96
12/28/21 15:57 TSLA TESLA INC. LONG 10 1087.87 1/3/22 9:49 1150.61 0.1%
Trade id #138734269
Max drawdown($347)
Time12/30/21 0:00
Quant open10
Worst price1053.15
Drawdown as % of equity-0.10%
$627
Includes Typical Broker Commissions trade costs of $0.20
12/28/21 15:57 SOXL DIREXION DAILY SEMICONDCT BULL LONG 19 70.42 12/31 15:57 67.91 0.01%
Trade id #138734263
Max drawdown($48)
Time12/31/21 15:54
Quant open19
Worst price67.85
Drawdown as % of equity-0.01%
($48)
Includes Typical Broker Commissions trade costs of $0.38
12/30/21 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 201 169.23 12/31 15:57 165.88 0.2%
Trade id #138759703
Max drawdown($699)
Time12/31/21 15:54
Quant open201
Worst price165.75
Drawdown as % of equity-0.20%
($676)
Includes Typical Broker Commissions trade costs of $4.02
12/27/21 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 201 173.49 12/28 15:57 170.72 0.19%
Trade id #138720906
Max drawdown($695)
Time12/28/21 14:04
Quant open201
Worst price170.03
Drawdown as % of equity-0.19%
($561)
Includes Typical Broker Commissions trade costs of $4.02
12/22/21 15:57 AAPL APPLE LONG 54 175.64 12/23 15:57 176.43 0.01%
Trade id #138671488
Max drawdown($19)
Time12/23/21 9:32
Quant open54
Worst price175.27
Drawdown as % of equity-0.01%
$42
Includes Typical Broker Commissions trade costs of $1.08

Statistics

  • Strategy began
    11/25/2019
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    794.08
  • Age
    26 months ago
  • What it trades
    Stocks
  • # Trades
    85
  • # Profitable
    36
  • % Profitable
    42.40%
  • Avg trade duration
    14.6 days
  • Max peak-to-valley drawdown
    32.6%
  • drawdown period
    Feb 19, 2020 - March 18, 2020
  • Annual Return (Compounded)
    77.8%
  • Avg win
    $8,449
  • Avg loss
    $985.12
  • Model Account Values (Raw)
  • Cash
    $344,207
  • Margin Used
    $0
  • Buying Power
    $344,492
  • Ratios
  • W:L ratio
    6.31:1
  • Sharpe Ratio
    1.5
  • Sortino Ratio
    2.98
  • Calmar Ratio
    10.395
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    210.98%
  • Correlation to SP500
    0.28150
  • Return Percent SP500 (cumu) during strategy life
    38.81%
  • Return Statistics
  • Ann Return (w trading costs)
    77.8%
  • Slump
  • Current Slump as Pcnt Equity
    8.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.08%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.778%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    79.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    22.50%
  • Chance of 20% account loss
    4.00%
  • 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)
    762
  • Popularity (Last 6 weeks)
    968
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    983
  • Popularity (7 days, Percentile 1000 scale)
    905
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $985
  • Avg Win
    $8,450
  • Sum Trade PL (losers)
    $48,271.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    27
  • Win / Loss
  • Sum Trade PL (winners)
    $304,192.000
  • # Winners
    36
  • Num Months Winners
    18
  • Dividends
  • Dividends Received in Model Acct
    234
  • AUM
  • AUM (AutoTrader live capital)
    355830
  • Win / Loss
  • # Losers
    49
  • % Winners
    42.4%
  • Frequency
  • Avg Position Time (mins)
    21094.60
  • Avg Position Time (hrs)
    351.58
  • Avg Trade Length
    14.6 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.29
  • Daily leverage (max)
    1.52
  • Regression
  • Alpha
    0.15
  • Beta
    0.41
  • Treynor Index
    0.41
  • 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)
    -0.39
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.364
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.101
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.277
  • Hold-and-Hope Ratio
    2.747
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.82904
  • SD
    0.75407
  • Sharpe ratio (Glass type estimate)
    2.42557
  • Sharpe ratio (Hedges UMVUE)
    2.21667
  • df
    9.00000
  • t
    2.21423
  • p
    0.02704
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04083
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.78760
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16207
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.59540
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.76800
  • Upside Potential Ratio
    12.91260
  • Upside part of mean
    2.00694
  • Downside part of mean
    -0.17790
  • Upside SD
    0.87543
  • Downside SD
    0.15543
  • N nonnegative terms
    8.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.54334
  • Mean of criterion
    1.82904
  • SD of predictor
    0.41884
  • SD of criterion
    0.75407
  • Covariance
    0.19850
  • r
    0.62850
  • b (slope, estimate of beta)
    1.13153
  • a (intercept, estimate of alpha)
    1.21423
  • Mean Square Error
    0.38701
  • DF error
    8.00000
  • t(b)
    2.28545
  • p(b)
    0.02582
  • t(a)
    1.65731
  • p(a)
    0.06802
  • Lowerbound of 95% confidence interval for beta
    -0.01018
  • Upperbound of 95% confidence interval for beta
    2.27324
  • Lowerbound of 95% confidence interval for alpha
    -0.47527
  • Upperbound of 95% confidence interval for alpha
    2.90373
  • Treynor index (mean / b)
    1.61643
  • Jensen alpha (a)
    1.21423
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.51300
  • SD
    0.63738
  • Sharpe ratio (Glass type estimate)
    2.37377
  • Sharpe ratio (Hedges UMVUE)
    2.16933
  • df
    9.00000
  • t
    2.16695
  • p
    0.02920
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08126
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.72576
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20007
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.53873
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.05121
  • Upside Potential Ratio
    10.19250
  • Upside part of mean
    1.70378
  • Downside part of mean
    -0.19078
  • Upside SD
    0.72695
  • Downside SD
    0.16716
  • N nonnegative terms
    8.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.45868
  • Mean of criterion
    1.51300
  • SD of predictor
    0.39860
  • SD of criterion
    0.63738
  • Covariance
    0.16278
  • r
    0.64070
  • b (slope, estimate of beta)
    1.02452
  • a (intercept, estimate of alpha)
    1.04307
  • Mean Square Error
    0.26943
  • DF error
    8.00000
  • t(b)
    2.36024
  • p(b)
    0.02297
  • t(a)
    1.73136
  • p(a)
    0.06081
  • Lowerbound of 95% confidence interval for beta
    0.02354
  • Upperbound of 95% confidence interval for beta
    2.02551
  • Lowerbound of 95% confidence interval for alpha
    -0.34620
  • Upperbound of 95% confidence interval for alpha
    2.43235
  • Treynor index (mean / b)
    1.47679
  • Jensen alpha (a)
    1.04307
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16185
  • Expected Shortfall on VaR
    0.22212
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01588
  • Expected Shortfall on VaR
    0.04311
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.86060
  • Quartile 1
    1.01566
  • Median
    1.08003
  • Quartile 3
    1.36474
  • Maximum
    1.46899
  • Mean of quarter 1
    0.95632
  • Mean of quarter 2
    1.04537
  • Mean of quarter 3
    1.11572
  • Mean of quarter 4
    1.45212
  • Inter Quartile Range
    0.34908
  • 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)
    2.01352
  • VaR(95%) (regression method)
    0.20389
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00419
  • Quartile 1
    0.03800
  • Median
    0.07180
  • Quartile 3
    0.10560
  • Maximum
    0.13940
  • Mean of quarter 1
    0.00419
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13940
  • Inter Quartile Range
    0.06761
  • 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)
    3.13367
  • Compounded annual return (geometric extrapolation)
    3.66884
  • Calmar ratio (compounded annual return / max draw down)
    26.31800
  • Compounded annual return / average of 25% largest draw downs
    26.31800
  • Compounded annual return / Expected Shortfall lognormal
    16.51710
  • 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
    1.59146
  • SD
    0.66033
  • Sharpe ratio (Glass type estimate)
    2.41011
  • Sharpe ratio (Hedges UMVUE)
    2.40234
  • df
    233.00000
  • t
    2.27769
  • p
    0.01183
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.32217
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.49302
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31699
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.48770
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.20209
  • Upside Potential Ratio
    13.06190
  • Upside part of mean
    3.35169
  • Downside part of mean
    -1.76024
  • Upside SD
    0.61481
  • Downside SD
    0.25660
  • N nonnegative terms
    118.00000
  • N negative terms
    116.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    234.00000
  • Mean of predictor
    0.42042
  • Mean of criterion
    1.59146
  • SD of predictor
    0.36309
  • SD of criterion
    0.66033
  • Covariance
    0.07123
  • r
    0.29712
  • b (slope, estimate of beta)
    0.54035
  • a (intercept, estimate of alpha)
    1.36400
  • Mean Square Error
    0.39925
  • DF error
    232.00000
  • t(b)
    4.73955
  • p(b)
    0.00000
  • t(a)
    2.03529
  • p(a)
    0.02148
  • Lowerbound of 95% confidence interval for beta
    0.31572
  • Upperbound of 95% confidence interval for beta
    0.76497
  • Lowerbound of 95% confidence interval for alpha
    0.04360
  • Upperbound of 95% confidence interval for alpha
    2.68497
  • Treynor index (mean / b)
    2.94525
  • Jensen alpha (a)
    1.36429
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.39276
  • SD
    0.60920
  • Sharpe ratio (Glass type estimate)
    2.28622
  • Sharpe ratio (Hedges UMVUE)
    2.27886
  • df
    233.00000
  • t
    2.16061
  • p
    0.01587
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.19957
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.36812
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19465
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.36306
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.27088
  • Upside Potential Ratio
    12.06130
  • Upside part of mean
    3.18704
  • Downside part of mean
    -1.79428
  • Upside SD
    0.55418
  • Downside SD
    0.26424
  • N nonnegative terms
    118.00000
  • N negative terms
    116.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    234.00000
  • Mean of predictor
    0.35400
  • Mean of criterion
    1.39276
  • SD of predictor
    0.36519
  • SD of criterion
    0.60920
  • Covariance
    0.06673
  • r
    0.29996
  • b (slope, estimate of beta)
    0.50038
  • a (intercept, estimate of alpha)
    1.21563
  • Mean Square Error
    0.33918
  • DF error
    232.00000
  • t(b)
    4.78940
  • p(b)
    0.00000
  • t(a)
    1.96906
  • p(a)
    0.02507
  • Lowerbound of 95% confidence interval for beta
    0.29453
  • Upperbound of 95% confidence interval for beta
    0.70622
  • Lowerbound of 95% confidence interval for alpha
    -0.00073
  • Upperbound of 95% confidence interval for alpha
    2.43198
  • Treynor index (mean / b)
    2.78342
  • Jensen alpha (a)
    1.21563
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05502
  • Expected Shortfall on VaR
    0.06967
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01520
  • Expected Shortfall on VaR
    0.03165
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    234.00000
  • Minimum
    0.89435
  • Quartile 1
    0.99471
  • Median
    1.00016
  • Quartile 3
    1.01092
  • Maximum
    1.38618
  • Mean of quarter 1
    0.97536
  • Mean of quarter 2
    0.99818
  • Mean of quarter 3
    1.00399
  • Mean of quarter 4
    1.04702
  • Inter Quartile Range
    0.01620
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.07692
  • Mean of outliers low
    0.95257
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.09829
  • Mean of outliers high
    1.08955
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31888
  • VaR(95%) (moments method)
    0.01952
  • Expected Shortfall (moments method)
    0.03612
  • Extreme Value Index (regression method)
    0.26204
  • VaR(95%) (regression method)
    0.02292
  • Expected Shortfall (regression method)
    0.04102
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00146
  • Quartile 1
    0.00606
  • Median
    0.02862
  • Quartile 3
    0.06881
  • Maximum
    0.30205
  • Mean of quarter 1
    0.00407
  • Mean of quarter 2
    0.01368
  • Mean of quarter 3
    0.05049
  • Mean of quarter 4
    0.18228
  • Inter Quartile Range
    0.06275
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.28114
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.64215
  • VaR(95%) (moments method)
    0.18173
  • Expected Shortfall (moments method)
    0.21021
  • Extreme Value Index (regression method)
    -0.89936
  • VaR(95%) (regression method)
    0.25417
  • Expected Shortfall (regression method)
    0.27915
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.86265
  • Compounded annual return (geometric extrapolation)
    3.13988
  • Calmar ratio (compounded annual return / max draw down)
    10.39510
  • Compounded annual return / average of 25% largest draw downs
    17.22580
  • Compounded annual return / Expected Shortfall lognormal
    45.06550
  • 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
    2.22409
  • SD
    0.81062
  • Sharpe ratio (Glass type estimate)
    2.74370
  • Sharpe ratio (Hedges UMVUE)
    2.72784
  • df
    130.00000
  • t
    1.94009
  • p
    0.41613
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05320
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.53027
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06373
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.51941
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.76656
  • Upside Potential Ratio
    14.38660
  • Upside part of mean
    4.11985
  • Downside part of mean
    -1.89576
  • Upside SD
    0.76744
  • Downside SD
    0.28637
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.74153
  • Mean of criterion
    2.22409
  • SD of predictor
    0.23158
  • SD of criterion
    0.81062
  • Covariance
    0.08651
  • r
    0.46083
  • b (slope, estimate of beta)
    1.61308
  • a (intercept, estimate of alpha)
    1.02794
  • Mean Square Error
    0.52157
  • DF error
    129.00000
  • t(b)
    5.89750
  • p(b)
    0.21737
  • t(a)
    0.98719
  • p(a)
    0.44494
  • Lowerbound of 95% confidence interval for beta
    1.07191
  • Upperbound of 95% confidence interval for beta
    2.15424
  • Lowerbound of 95% confidence interval for alpha
    -1.03227
  • Upperbound of 95% confidence interval for alpha
    3.08816
  • Treynor index (mean / b)
    1.37879
  • Jensen alpha (a)
    1.02794
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.92822
  • SD
    0.73966
  • Sharpe ratio (Glass type estimate)
    2.60690
  • Sharpe ratio (Hedges UMVUE)
    2.59183
  • df
    130.00000
  • t
    1.84336
  • p
    0.42020
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18782
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.39178
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19782
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.38148
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.51016
  • Upside Potential Ratio
    13.05480
  • Upside part of mean
    3.86666
  • Downside part of mean
    -1.93844
  • Upside SD
    0.68512
  • Downside SD
    0.29619
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.71409
  • Mean of criterion
    1.92822
  • SD of predictor
    0.22999
  • SD of criterion
    0.73966
  • Covariance
    0.07762
  • r
    0.45628
  • b (slope, estimate of beta)
    1.46743
  • a (intercept, estimate of alpha)
    0.88034
  • Mean Square Error
    0.43655
  • DF error
    129.00000
  • t(b)
    5.82400
  • p(b)
    0.21994
  • t(a)
    0.92515
  • p(a)
    0.44837
  • VAR (95 Confidence Intrvl)
    0.05500
  • Lowerbound of 95% confidence interval for beta
    0.96891
  • Upperbound of 95% confidence interval for beta
    1.96594
  • Lowerbound of 95% confidence interval for alpha
    -1.00235
  • Upperbound of 95% confidence interval for alpha
    2.76304
  • Treynor index (mean / b)
    1.31401
  • Jensen alpha (a)
    0.88034
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06556
  • Expected Shortfall on VaR
    0.08310
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01649
  • Expected Shortfall on VaR
    0.03471
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89435
  • Quartile 1
    0.99483
  • Median
    1.00000
  • Quartile 3
    1.00949
  • Maximum
    1.38618
  • Mean of quarter 1
    0.97318
  • Mean of quarter 2
    0.99831
  • Mean of quarter 3
    1.00310
  • Mean of quarter 4
    1.05962
  • Inter Quartile Range
    0.01466
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.95041
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.09568
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.42572
  • VaR(95%) (moments method)
    0.02151
  • Expected Shortfall (moments method)
    0.04589
  • Extreme Value Index (regression method)
    0.44313
  • VaR(95%) (regression method)
    0.02488
  • Expected Shortfall (regression method)
    0.05534
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00579
  • Quartile 1
    0.01753
  • Median
    0.04809
  • Quartile 3
    0.09055
  • Maximum
    0.26022
  • Mean of quarter 1
    0.01008
  • Mean of quarter 2
    0.02702
  • Mean of quarter 3
    0.06917
  • Mean of quarter 4
    0.17895
  • Inter Quartile Range
    0.07302
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.26022
  • 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
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -402000000
  • Max Equity Drawdown (num days)
    28
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.31860
  • Compounded annual return (geometric extrapolation)
    6.07188
  • Calmar ratio (compounded annual return / max draw down)
    23.33380
  • Compounded annual return / average of 25% largest draw downs
    33.93120
  • Compounded annual return / Expected Shortfall lognormal
    73.06800

Strategy Description

AI is not a god but a good trading method. Economic cycle theory is a good complement for AI. It decides what to trade and AI decides how to trade.

Summary Statistics

Strategy began
2019-11-25
Suggested Minimum Capital
$60,000
Rank at C2 %
Top 1.7%
Rank # 
#14
# Trades
85
# Profitable
36
% Profitable
42.4%
Net Dividends
Correlation S&P500
0.281
Sharpe Ratio
1.50
Sortino Ratio
2.98
Beta
0.41
Alpha
0.15
Leverage
0.29 Average
1.52 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.