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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 03/24/2020
Most recent certification approved 3/24/20 14:59 ET
Trades at broker Interactive Brokers (Server 5)
Scaling percentage used 100%
# trading signals issued by system since certification 1,016
# trading signals executed in manager's Interactive Brokers (Server 5) account 1,016
Percent signals followed since 03/24/2020 100%
This information was last updated 10/24/20 2:27 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 03/24/2020, 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.

Long only Stock and ETF
(128133665)

Created by: Tatsuya Tatsuya
Started: 03/2020
Stocks
Last trade: 5 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 $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.

50.7%
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.

(18.5%)
Max Drawdown
118
Num Trades
77.1%
Win Trades
4.7 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              +3.6%+17.3%+5.6%+2.4%+1.2%+8.1%+0.2%+4.7%            +50.7%

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 58 hours.

Trading Record

This strategy has placed 216 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
8/26/20 9:53 LITB LIGHTINTHEBOX HOLDING CO LTD LONG 750 2.48 10/19 6:10 2.74 0.81%
Trade id #130794985
Max drawdown($787)
Time9/24/20 0:00
Quant open750
Worst price1.43
Drawdown as % of equity-0.81%
$190
Includes Typical Broker Commissions trade costs of $5.00
10/5/20 14:02 CLSK CLEANSPARK INC. COMMON STOCK SHORT 300 12.08 10/7 6:08 9.76 0.41%
Trade id #131523099
Max drawdown($420)
Time10/6/20 0:00
Quant open300
Worst price13.48
Drawdown as % of equity-0.41%
$690
Includes Typical Broker Commissions trade costs of $6.00
9/22/20 10:10 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 100 25.58 9/25 9:35 26.20 0.05%
Trade id #131291695
Max drawdown($46)
Time9/22/20 15:45
Quant open100
Worst price25.11
Drawdown as % of equity-0.05%
$60
Includes Typical Broker Commissions trade costs of $2.00
7/31/20 10:07 GILT GILAT SATELLITE NETWORKS LONG 1,000 5.65 9/22 13:43 5.68 0.45%
Trade id #130388298
Max drawdown($459)
Time9/4/20 0:00
Quant open1,000
Worst price5.19
Drawdown as % of equity-0.45%
$26
Includes Typical Broker Commissions trade costs of $5.00
9/2/20 9:30 TGT TARGET LONG 80 150.33 9/22 9:34 152.00 0.54%
Trade id #130939857
Max drawdown($556)
Time9/8/20 0:00
Quant open80
Worst price143.38
Drawdown as % of equity-0.54%
$132
Includes Typical Broker Commissions trade costs of $1.60
8/14/20 9:35 RWT REDWOOD TRUST LONG 200 7.00 9/17 9:26 7.85 0.04%
Trade id #130621344
Max drawdown($43)
Time8/24/20 0:00
Quant open200
Worst price6.79
Drawdown as % of equity-0.04%
$166
Includes Typical Broker Commissions trade costs of $4.00
9/4/20 10:39 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 700 25.56 9/11 10:11 26.44 1.9%
Trade id #131003830
Max drawdown($1,925)
Time9/4/20 15:28
Quant open700
Worst price22.81
Drawdown as % of equity-1.90%
$611
Includes Typical Broker Commissions trade costs of $5.00
8/31/20 9:15 ATHM AUTOHOME INC LONG 240 85.16 9/4 13:36 85.43 1.23%
Trade id #130891847
Max drawdown($1,236)
Time8/31/20 15:55
Quant open240
Worst price80.01
Drawdown as % of equity-1.23%
$60
Includes Typical Broker Commissions trade costs of $4.80
6/10/20 12:16 BAM BROOKFIELD ASSET LONG 150 36.42 9/3 9:45 34.76 0.82%
Trade id #129472759
Max drawdown($766)
Time8/3/20 0:00
Quant open150
Worst price31.31
Drawdown as % of equity-0.82%
($252)
Includes Typical Broker Commissions trade costs of $3.00
9/2/20 9:30 DLTR DOLLAR TREE STORES LONG 200 94.00 9/3 9:45 94.98 0.05%
Trade id #130939878
Max drawdown($48)
Time9/2/20 9:50
Quant open200
Worst price93.76
Drawdown as % of equity-0.05%
$191
Includes Typical Broker Commissions trade costs of $4.00
9/3/20 6:37 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 400 20.10 9/3 7:22 20.30 n/a $72
Includes Typical Broker Commissions trade costs of $8.00
8/5/20 12:26 SITC SITE CENTERS CORP LONG 300 7.37 9/2 14:59 7.96 0.03%
Trade id #130472323
Max drawdown($30)
Time8/21/20 0:00
Quant open300
Worst price7.26
Drawdown as % of equity-0.03%
$172
Includes Typical Broker Commissions trade costs of $6.00
9/2/20 5:59 EBAY EBAY LONG 200 53.91 9/2 13:05 54.48 0.08%
Trade id #130936852
Max drawdown($80)
Time9/2/20 9:34
Quant open200
Worst price53.51
Drawdown as % of equity-0.08%
$110
Includes Typical Broker Commissions trade costs of $4.00
8/26/20 9:58 LRCX LAM RESEARCH LONG 100 351.80 9/2 13:04 357.13 1.51%
Trade id #130795145
Max drawdown($1,556)
Time8/31/20 0:00
Quant open100
Worst price336.24
Drawdown as % of equity-1.51%
$531
Includes Typical Broker Commissions trade costs of $2.00
9/2/20 11:32 DXCM DEXCOM LONG 22 427.43 9/2 13:01 434.85 0.09%
Trade id #130944215
Max drawdown($97)
Time9/2/20 11:39
Quant open22
Worst price423.01
Drawdown as % of equity-0.09%
$163
Includes Typical Broker Commissions trade costs of $0.44
9/1/20 10:01 GILD GILEAD SCIENCES LONG 200 65.24 9/1 14:13 65.37 0.06%
Trade id #130920978
Max drawdown($66)
Time9/1/20 10:08
Quant open200
Worst price64.91
Drawdown as % of equity-0.06%
$22
Includes Typical Broker Commissions trade costs of $4.00
8/28/20 9:31 Z ZILLOW GROUP INC. CLASS C CAPITAL STOCK LONG 100 85.24 9/1 10:02 88.00 0.08%
Trade id #130852459
Max drawdown($83)
Time8/31/20 0:00
Quant open100
Worst price84.41
Drawdown as % of equity-0.08%
$274
Includes Typical Broker Commissions trade costs of $2.00
8/31/20 9:18 DXCM DEXCOM LONG 35 418.85 9/1 9:41 428.03 0.22%
Trade id #130891912
Max drawdown($218)
Time8/31/20 10:30
Quant open35
Worst price412.60
Drawdown as % of equity-0.22%
$320
Includes Typical Broker Commissions trade costs of $0.70
8/31/20 9:15 SGEN SEATTLE GENETICS LONG 100 153.18 8/31 13:33 158.00 0.07%
Trade id #130891852
Max drawdown($70)
Time8/31/20 9:30
Quant open100
Worst price152.48
Drawdown as % of equity-0.07%
$480
Includes Typical Broker Commissions trade costs of $2.00
8/28/20 6:43 AMD ADVANCED MICRO DEVICES INC. C LONG 100 83.71 8/31 11:20 89.70 n/a $597
Includes Typical Broker Commissions trade costs of $2.00
8/31/20 9:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 158.47 8/31 10:19 160.00 0.19%
Trade id #130891617
Max drawdown($195)
Time8/31/20 9:36
Quant open300
Worst price157.82
Drawdown as % of equity-0.19%
$453
Includes Typical Broker Commissions trade costs of $6.00
8/28/20 6:46 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 155.61 8/31 4:00 160.02 0.04%
Trade id #130839578
Max drawdown($46)
Time8/28/20 13:33
Quant open100
Worst price155.15
Drawdown as % of equity-0.04%
$439
Includes Typical Broker Commissions trade costs of $2.00
8/21/20 13:13 UPWK UPWORK INC. COMMON STOCK LONG 100 14.91 8/28 11:43 15.10 0.1%
Trade id #130734149
Max drawdown($100)
Time8/24/20 0:00
Quant open100
Worst price13.90
Drawdown as % of equity-0.10%
$17
Includes Typical Broker Commissions trade costs of $2.00
8/25/20 10:33 WDC WESTERN DIGITAL LONG 280 34.50 8/27 16:44 35.21 0.17%
Trade id #130777655
Max drawdown($173)
Time8/27/20 10:15
Quant open280
Worst price33.88
Drawdown as % of equity-0.17%
$193
Includes Typical Broker Commissions trade costs of $5.60
8/26/20 9:55 CDW CDW CORPORATION COMMON STOCK LONG 300 111.45 8/27 11:37 113.49 0.41%
Trade id #130795043
Max drawdown($408)
Time8/26/20 11:05
Quant open300
Worst price110.09
Drawdown as % of equity-0.41%
$607
Includes Typical Broker Commissions trade costs of $6.00
8/25/20 9:32 VRSK VERISK ANALYTICS LONG 85 185.00 8/27 7:56 185.73 0.07%
Trade id #130775020
Max drawdown($66)
Time8/25/20 11:45
Quant open85
Worst price184.22
Drawdown as % of equity-0.07%
$60
Includes Typical Broker Commissions trade costs of $1.70
8/25/20 10:47 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 500 24.05 8/26 9:33 23.21 0.46%
Trade id #130778181
Max drawdown($462)
Time8/26/20 0:00
Quant open500
Worst price23.13
Drawdown as % of equity-0.46%
($430)
Includes Typical Broker Commissions trade costs of $10.00
8/19/20 9:36 XLNX XILINX LONG 96 102.87 8/26 9:33 103.97 0.23%
Trade id #130685550
Max drawdown($227)
Time8/21/20 0:00
Quant open96
Worst price100.50
Drawdown as % of equity-0.23%
$104
Includes Typical Broker Commissions trade costs of $1.92
8/24/20 9:39 AMD ADVANCED MICRO DEVICES INC. C LONG 100 84.95 8/25 13:41 85.47 0.26%
Trade id #130755982
Max drawdown($259)
Time8/25/20 9:32
Quant open100
Worst price82.35
Drawdown as % of equity-0.26%
$50
Includes Typical Broker Commissions trade costs of $2.00
8/25/20 9:30 PYPL PAYPAL HOLDINGS CORP LONG 40 198.70 8/25 13:36 200.38 0.07%
Trade id #130774589
Max drawdown($65)
Time8/25/20 9:53
Quant open40
Worst price197.06
Drawdown as % of equity-0.07%
$66
Includes Typical Broker Commissions trade costs of $0.80

Statistics

  • Strategy began
    3/24/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    213.47
  • Age
    7 months ago
  • What it trades
    Stocks
  • # Trades
    118
  • # Profitable
    91
  • % Profitable
    77.10%
  • Avg trade duration
    41.3 days
  • Max peak-to-valley drawdown
    18.48%
  • drawdown period
    Aug 10, 2020 - Aug 12, 2020
  • Cumul. Return
    50.7%
  • Avg win
    $514.54
  • Avg loss
    $371.52
  • Model Account Values (Raw)
  • Cash
    $58,273
  • Margin Used
    $0
  • Buying Power
    $53,658
  • Ratios
  • W:L ratio
    4.74:1
  • Sharpe Ratio
    2.74
  • Sortino Ratio
    4.94
  • Calmar Ratio
    17.538
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    9.11%
  • Correlation to SP500
    0.42580
  • Return Percent SP500 (cumu) during strategy life
    41.60%
  • Return Statistics
  • Ann Return (w trading costs)
    99.6%
  • Slump
  • Current Slump as Pcnt Equity
    1.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.05%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.507%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    106.4%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    769
  • Popularity (Last 6 weeks)
    952
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    941
  • Popularity (7 days, Percentile 1000 scale)
    948
  • 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
    $372
  • Avg Win
    $515
  • Sum Trade PL (losers)
    $10,031.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $46,823.000
  • # Winners
    91
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    358
  • Win / Loss
  • # Losers
    27
  • % Winners
    77.1%
  • Frequency
  • Avg Position Time (mins)
    58125.30
  • Avg Position Time (hrs)
    968.75
  • Avg Trade Length
    40.4 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    1.02
  • Daily leverage (max)
    3.09
  • Regression
  • Alpha
    0.14
  • Beta
    0.35
  • Treynor Index
    0.56
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.05
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.635
  • 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
    0.757
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.888
  • Hold-and-Hope Ratio
    0.606
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.73444
  • SD
    0.19477
  • Sharpe ratio (Glass type estimate)
    3.77076
  • Sharpe ratio (Hedges UMVUE)
    3.27538
  • df
    6.00000
  • t
    2.87996
  • p
    0.01403
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.37650
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.98747
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.44076
  • Statistics related to Sortino ratio
  • Sortino ratio
    33.00140
  • Upside Potential Ratio
    34.80880
  • Upside part of mean
    0.77466
  • Downside part of mean
    -0.04022
  • Upside SD
    0.27744
  • Downside SD
    0.02225
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.60088
  • Mean of criterion
    0.73444
  • SD of predictor
    0.20508
  • SD of criterion
    0.19477
  • Covariance
    0.02942
  • r
    0.73662
  • b (slope, estimate of beta)
    0.69959
  • a (intercept, estimate of alpha)
    0.31407
  • Mean Square Error
    0.02082
  • DF error
    5.00000
  • t(b)
    2.43546
  • p(b)
    0.02949
  • t(a)
    1.22729
  • p(a)
    0.13717
  • Lowerbound of 95% confidence interval for beta
    -0.03885
  • Upperbound of 95% confidence interval for beta
    1.43803
  • Lowerbound of 95% confidence interval for alpha
    -0.34378
  • Upperbound of 95% confidence interval for alpha
    0.97192
  • Treynor index (mean / b)
    1.04981
  • Jensen alpha (a)
    0.31407
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.69672
  • SD
    0.18444
  • Sharpe ratio (Glass type estimate)
    3.77748
  • Sharpe ratio (Hedges UMVUE)
    3.28122
  • df
    6.00000
  • t
    2.88510
  • p
    0.01394
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38091
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.99638
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11390
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.44854
  • Statistics related to Sortino ratio
  • Sortino ratio
    31.17810
  • Upside Potential Ratio
    32.98500
  • Upside part of mean
    0.73710
  • Downside part of mean
    -0.04038
  • Upside SD
    0.26289
  • Downside SD
    0.02235
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.56837
  • Mean of criterion
    0.69672
  • SD of predictor
    0.19803
  • SD of criterion
    0.18444
  • Covariance
    0.02668
  • r
    0.73036
  • b (slope, estimate of beta)
    0.68024
  • a (intercept, estimate of alpha)
    0.31010
  • Mean Square Error
    0.01905
  • DF error
    5.00000
  • t(b)
    2.39093
  • p(b)
    0.03116
  • t(a)
    1.27883
  • p(a)
    0.12855
  • Lowerbound of 95% confidence interval for beta
    -0.05114
  • Upperbound of 95% confidence interval for beta
    1.41162
  • Lowerbound of 95% confidence interval for alpha
    -0.31326
  • Upperbound of 95% confidence interval for alpha
    0.93346
  • Treynor index (mean / b)
    1.02424
  • Jensen alpha (a)
    0.31010
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02909
  • Expected Shortfall on VaR
    0.05026
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00534
  • Expected Shortfall on VaR
    0.01112
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.98798
  • Quartile 1
    1.02786
  • Median
    1.07483
  • Quartile 3
    1.09220
  • Maximum
    1.14181
  • Mean of quarter 1
    0.99060
  • Mean of quarter 2
    1.06866
  • Mean of quarter 3
    1.07777
  • Mean of quarter 4
    1.12422
  • Inter Quartile Range
    0.06434
  • 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
    2.00000
  • Minimum
    0.00679
  • Quartile 1
    0.00810
  • Median
    0.00940
  • Quartile 3
    0.01071
  • Maximum
    0.01202
  • Mean of quarter 1
    0.00679
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.01202
  • Inter Quartile Range
    0.00261
  • 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)
    0.90185
  • Compounded annual return (geometric extrapolation)
    1.06397
  • Calmar ratio (compounded annual return / max draw down)
    88.54350
  • Compounded annual return / average of 25% largest draw downs
    88.54350
  • Compounded annual return / Expected Shortfall lognormal
    21.16720
  • 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
    0.71637
  • SD
    0.19859
  • Sharpe ratio (Glass type estimate)
    3.60723
  • Sharpe ratio (Hedges UMVUE)
    3.58940
  • df
    152.00000
  • t
    2.75657
  • p
    0.39090
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.00492
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.19813
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.99306
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.18574
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.70309
  • Upside Potential Ratio
    14.45570
  • Upside part of mean
    1.54490
  • Downside part of mean
    -0.82853
  • Upside SD
    0.17239
  • Downside SD
    0.10687
  • N nonnegative terms
    92.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    153.00000
  • Mean of predictor
    0.60278
  • Mean of criterion
    0.71637
  • SD of predictor
    0.26347
  • SD of criterion
    0.19859
  • Covariance
    0.02228
  • r
    0.42575
  • b (slope, estimate of beta)
    0.32091
  • a (intercept, estimate of alpha)
    0.52300
  • Mean Square Error
    0.03250
  • DF error
    151.00000
  • t(b)
    5.78188
  • p(b)
    0.23739
  • t(a)
    2.19455
  • p(a)
    0.38866
  • Lowerbound of 95% confidence interval for beta
    0.21125
  • Upperbound of 95% confidence interval for beta
    0.43057
  • Lowerbound of 95% confidence interval for alpha
    0.05213
  • Upperbound of 95% confidence interval for alpha
    0.99373
  • Treynor index (mean / b)
    2.23230
  • Jensen alpha (a)
    0.52293
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.69593
  • SD
    0.19726
  • Sharpe ratio (Glass type estimate)
    3.52801
  • Sharpe ratio (Hedges UMVUE)
    3.51057
  • df
    152.00000
  • t
    2.69603
  • p
    0.39319
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.92719
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.11764
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91559
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.10555
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.45209
  • Upside Potential Ratio
    14.18630
  • Upside part of mean
    1.53016
  • Downside part of mean
    -0.83423
  • Upside SD
    0.16992
  • Downside SD
    0.10786
  • N nonnegative terms
    92.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    153.00000
  • Mean of predictor
    0.56772
  • Mean of criterion
    0.69593
  • SD of predictor
    0.26280
  • SD of criterion
    0.19726
  • Covariance
    0.02220
  • r
    0.42830
  • b (slope, estimate of beta)
    0.32149
  • a (intercept, estimate of alpha)
    0.51342
  • Mean Square Error
    0.03198
  • DF error
    151.00000
  • t(b)
    5.82423
  • p(b)
    0.23592
  • t(a)
    2.17442
  • p(a)
    0.38964
  • Lowerbound of 95% confidence interval for beta
    0.21243
  • Upperbound of 95% confidence interval for beta
    0.43055
  • Lowerbound of 95% confidence interval for alpha
    0.04690
  • Upperbound of 95% confidence interval for alpha
    0.97994
  • Treynor index (mean / b)
    2.16474
  • Jensen alpha (a)
    0.51342
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01724
  • Expected Shortfall on VaR
    0.02222
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00627
  • Expected Shortfall on VaR
    0.01283
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    153.00000
  • Minimum
    0.96770
  • Quartile 1
    0.99603
  • Median
    1.00239
  • Quartile 3
    1.00902
  • Maximum
    1.05571
  • Mean of quarter 1
    0.98884
  • Mean of quarter 2
    0.99935
  • Mean of quarter 3
    1.00517
  • Mean of quarter 4
    1.01836
  • Inter Quartile Range
    0.01299
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01307
  • Mean of outliers low
    0.97150
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.01961
  • Mean of outliers high
    1.04649
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.07238
  • VaR(95%) (moments method)
    0.00982
  • Expected Shortfall (moments method)
    0.01302
  • Extreme Value Index (regression method)
    0.15514
  • VaR(95%) (regression method)
    0.01071
  • Expected Shortfall (regression method)
    0.01627
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00690
  • Quartile 1
    0.01016
  • Median
    0.02761
  • Quartile 3
    0.05791
  • Maximum
    0.06057
  • Mean of quarter 1
    0.00819
  • Mean of quarter 2
    0.02272
  • Mean of quarter 3
    0.04780
  • Mean of quarter 4
    0.06009
  • Inter Quartile Range
    0.04776
  • 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)
    -10.19150
  • VaR(95%) (moments method)
    0.06026
  • Expected Shortfall (moments method)
    0.06026
  • Extreme Value Index (regression method)
    -1.82845
  • VaR(95%) (regression method)
    0.06167
  • Expected Shortfall (regression method)
    0.06177
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.90087
  • Compounded annual return (geometric extrapolation)
    1.06234
  • Calmar ratio (compounded annual return / max draw down)
    17.53800
  • Compounded annual return / average of 25% largest draw downs
    17.67790
  • Compounded annual return / Expected Shortfall lognormal
    47.80860
  • 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
    0.56634
  • SD
    0.16468
  • Sharpe ratio (Glass type estimate)
    3.43907
  • Sharpe ratio (Hedges UMVUE)
    3.41919
  • df
    130.00000
  • t
    2.43179
  • p
    0.39570
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.62958
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.23576
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61640
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.22199
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.75222
  • Upside Potential Ratio
    13.18800
  • Upside part of mean
    1.29842
  • Downside part of mean
    -0.73209
  • Upside SD
    0.13580
  • Downside SD
    0.09846
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.42176
  • Mean of criterion
    0.56634
  • SD of predictor
    0.20647
  • SD of criterion
    0.16468
  • Covariance
    0.01344
  • r
    0.39518
  • b (slope, estimate of beta)
    0.31520
  • a (intercept, estimate of alpha)
    0.43340
  • Mean Square Error
    0.02306
  • DF error
    129.00000
  • t(b)
    4.88615
  • p(b)
    0.25513
  • t(a)
    2.00207
  • p(a)
    0.39004
  • Lowerbound of 95% confidence interval for beta
    0.18757
  • Upperbound of 95% confidence interval for beta
    0.44283
  • Lowerbound of 95% confidence interval for alpha
    0.00510
  • Upperbound of 95% confidence interval for alpha
    0.86170
  • Treynor index (mean / b)
    1.79677
  • Jensen alpha (a)
    0.43340
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.55227
  • SD
    0.16433
  • Sharpe ratio (Glass type estimate)
    3.36064
  • Sharpe ratio (Hedges UMVUE)
    3.34121
  • df
    130.00000
  • t
    2.37633
  • p
    0.39798
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.55267
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.15604
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53981
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.14262
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.55708
  • Upside Potential Ratio
    12.97220
  • Upside part of mean
    1.28918
  • Downside part of mean
    -0.73691
  • Upside SD
    0.13449
  • Downside SD
    0.09938
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.40008
  • Mean of criterion
    0.55227
  • SD of predictor
    0.20772
  • SD of criterion
    0.16433
  • Covariance
    0.01353
  • r
    0.39636
  • b (slope, estimate of beta)
    0.31358
  • a (intercept, estimate of alpha)
    0.42681
  • Mean Square Error
    0.02294
  • DF error
    129.00000
  • t(b)
    4.90344
  • p(b)
    0.25444
  • t(a)
    1.97858
  • p(a)
    0.39128
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    0.18705
  • Upperbound of 95% confidence interval for beta
    0.44011
  • Lowerbound of 95% confidence interval for alpha
    0.00001
  • Upperbound of 95% confidence interval for alpha
    0.85361
  • Treynor index (mean / b)
    1.76118
  • Jensen alpha (a)
    0.42681
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01449
  • Expected Shortfall on VaR
    0.01865
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00542
  • Expected Shortfall on VaR
    0.01134
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96770
  • Quartile 1
    0.99672
  • Median
    1.00215
  • Quartile 3
    1.00784
  • Maximum
    1.03947
  • Mean of quarter 1
    0.99001
  • Mean of quarter 2
    0.99953
  • Mean of quarter 3
    1.00464
  • Mean of quarter 4
    1.01497
  • Inter Quartile Range
    0.01113
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.97515
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.03947
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11399
  • VaR(95%) (moments method)
    0.00883
  • Expected Shortfall (moments method)
    0.01308
  • Extreme Value Index (regression method)
    0.07394
  • VaR(95%) (regression method)
    0.00955
  • Expected Shortfall (regression method)
    0.01396
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00690
  • Quartile 1
    0.00884
  • Median
    0.01782
  • Quartile 3
    0.04865
  • Maximum
    0.06057
  • Mean of quarter 1
    0.00721
  • Mean of quarter 2
    0.01399
  • Mean of quarter 3
    0.03768
  • Mean of quarter 4
    0.06009
  • Inter Quartile Range
    0.03981
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -266586000
  • Max Equity Drawdown (num days)
    2
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.67309
  • Compounded annual return (geometric extrapolation)
    0.78635
  • Calmar ratio (compounded annual return / max draw down)
    12.98170
  • Compounded annual return / average of 25% largest draw downs
    13.08520
  • Compounded annual return / Expected Shortfall lognormal
    42.16180

Strategy Description

We are Long

Summary Statistics

Strategy began
2020-03-24
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 5.9%
Rank # 
#40
# Trades
118
# Profitable
91
% Profitable
77.1%
Net Dividends
Correlation S&P500
0.426
Sharpe Ratio
2.74
Sortino Ratio
4.94
Beta
0.35
Alpha
0.14
Leverage
1.02 Average
3.09 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.