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

Orange Fund
(129777429)

Created by: OakSpringCapital OakSpringCapital
Started: 06/2020
Stocks
Last trade: 8 days ago
Trading style: Equity Trend-following Short-term Reversal

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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
9.1%
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.

(3.3%)
Max Drawdown
256
Num Trades
50.4%
Win Trades
1.5 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                   +0.9%+7.2%+0.8%                        +9.1%

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 271 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/6/20 15:36 SCHW CHARLES SCHWAB LONG 90 33.16 8/7 15:41 33.90 0.05%
Trade id #130497046
Max drawdown($28)
Time8/7/20 9:41
Quant open90
Worst price32.84
Drawdown as % of equity-0.05%
$65
Includes Typical Broker Commissions trade costs of $1.80
8/6/20 15:36 TFX TELEFLEX LONG 40 368.87 8/7 15:41 373.62 n/a $189
Includes Typical Broker Commissions trade costs of $0.80
8/6/20 15:36 MNST MONSTER BEVERAGE LONG 27 83.64 8/7 15:41 83.03 0.06%
Trade id #130497020
Max drawdown($32)
Time8/7/20 0:00
Quant open27
Worst price82.42
Drawdown as % of equity-0.06%
($17)
Includes Typical Broker Commissions trade costs of $0.54
8/6/20 15:35 DGX QUEST DIAGNOSTICS LONG 6 123.76 8/7 15:40 125.42 0%
Trade id #130497002
Max drawdown($0)
Time8/7/20 14:55
Quant open6
Worst price123.71
Drawdown as % of equity-0.00%
$10
Includes Typical Broker Commissions trade costs of $0.12
8/6/20 15:34 SWKS SKYWORKS SOLUTIONS SHORT 35 148.43 8/7 15:40 143.88 0.02%
Trade id #130496982
Max drawdown($10)
Time8/7/20 0:00
Quant open35
Worst price148.73
Drawdown as % of equity-0.02%
$158
Includes Typical Broker Commissions trade costs of $0.70
8/6/20 15:34 CHD CHURCH & DWIGHT COMPANY SHORT 117 95.06 8/7 15:40 94.59 0.16%
Trade id #130496975
Max drawdown($86)
Time8/7/20 9:57
Quant open117
Worst price95.80
Drawdown as % of equity-0.16%
$53
Includes Typical Broker Commissions trade costs of $2.34
8/6/20 15:34 VOD VODAFONE GROUP PLC AMERICAN DE SHORT 800 15.41 8/7 15:40 15.40 0.1%
Trade id #130496953
Max drawdown($56)
Time8/7/20 12:42
Quant open800
Worst price15.48
Drawdown as % of equity-0.10%
$3
Includes Typical Broker Commissions trade costs of $5.00
8/6/20 15:35 PNC PNC FINANCIAL SERVICES SHORT 7 106.87 8/7 13:30 109.56 0.03%
Trade id #130496993
Max drawdown($18)
Time8/7/20 13:30
Quant open7
Worst price109.56
Drawdown as % of equity-0.03%
($19)
Includes Typical Broker Commissions trade costs of $0.14
8/6/20 15:35 VEEV VEEVA SYSTEMS INC LONG 8 270.49 8/7 12:57 264.13 0.1%
Trade id #130497011
Max drawdown($54)
Time8/7/20 12:57
Quant open8
Worst price263.71
Drawdown as % of equity-0.10%
($51)
Includes Typical Broker Commissions trade costs of $0.16
8/5/20 15:38 BIIB BIOGEN INC. COMMON STOCK SHORT 5 276.19 8/6 15:28 276.97 0.03%
Trade id #130475890
Max drawdown($14)
Time8/6/20 9:45
Quant open5
Worst price279.00
Drawdown as % of equity-0.03%
($4)
Includes Typical Broker Commissions trade costs of $0.10
8/5/20 15:39 NFLX NETFLIX LONG 5 503.00 8/6 15:28 509.52 0.04%
Trade id #130475897
Max drawdown($21)
Time8/6/20 10:51
Quant open5
Worst price498.70
Drawdown as % of equity-0.04%
$33
Includes Typical Broker Commissions trade costs of $0.10
8/5/20 15:38 GRMN GARMIN SHORT 12 102.21 8/6 15:28 102.32 0.01%
Trade id #130475878
Max drawdown($4)
Time8/6/20 14:46
Quant open12
Worst price102.62
Drawdown as % of equity-0.01%
($1)
Includes Typical Broker Commissions trade costs of $0.24
8/5/20 15:40 AEE AMEREN LONG 124 80.60 8/6 15:28 80.91 0.16%
Trade id #130475932
Max drawdown($89)
Time8/6/20 0:00
Quant open124
Worst price79.88
Drawdown as % of equity-0.16%
$36
Includes Typical Broker Commissions trade costs of $2.48
8/5/20 15:38 MCHP MICROCHIP TECHNOLOGY SHORT 126 99.18 8/6 15:28 99.04 n/a $15
Includes Typical Broker Commissions trade costs of $2.52
8/5/20 15:39 MSCI MSCI LONG 34 363.12 8/6 15:28 373.32 0.05%
Trade id #130475924
Max drawdown($26)
Time8/5/20 15:50
Quant open34
Worst price362.35
Drawdown as % of equity-0.05%
$346
Includes Typical Broker Commissions trade costs of $0.68
8/5/20 15:40 FAST FASTENAL LONG 261 47.97 8/6 15:27 47.97 0.41%
Trade id #130475946
Max drawdown($224)
Time8/6/20 0:00
Quant open261
Worst price47.11
Drawdown as % of equity-0.41%
($5)
Includes Typical Broker Commissions trade costs of $5.22
8/5/20 15:39 FNV FRANCO-NEVADA LONG 8 161.07 8/6 12:36 155.53 0.08%
Trade id #130475919
Max drawdown($44)
Time8/6/20 12:36
Quant open8
Worst price155.48
Drawdown as % of equity-0.08%
($44)
Includes Typical Broker Commissions trade costs of $0.16
8/4/20 9:53 MSFT MICROSOFT LONG 11 213.27 8/4 9:53 213.16 0%
Trade id #130444165
Max drawdown($1)
Time8/4/20 9:53
Quant open11
Worst price213.16
Drawdown as % of equity-0.00%
($1)
Includes Typical Broker Commissions trade costs of $0.22
8/3/20 15:40 CPRT COPART LONG 16 93.35 8/4 9:53 95.69 0%
Trade id #130430147
Max drawdown($2)
Time8/4/20 9:30
Quant open16
Worst price93.20
Drawdown as % of equity-0.00%
$37
Includes Typical Broker Commissions trade costs of $0.32
8/3/20 15:40 GOLD BARRICK GOLD CORP SHORT 187 28.61 8/4 9:53 28.55 0.07%
Trade id #130430135
Max drawdown($35)
Time8/3/20 15:55
Quant open187
Worst price28.80
Drawdown as % of equity-0.07%
$7
Includes Typical Broker Commissions trade costs of $3.74
8/3/20 15:40 ILMN ILLUMINA SHORT 11 400.00 8/4 9:53 396.39 0.01%
Trade id #130430115
Max drawdown($3)
Time8/3/20 15:42
Quant open11
Worst price400.31
Drawdown as % of equity-0.01%
$40
Includes Typical Broker Commissions trade costs of $0.22
8/3/20 15:39 MSFT MICROSOFT SHORT 11 216.36 8/4 9:53 213.27 0.02%
Trade id #130430087
Max drawdown($9)
Time8/3/20 15:49
Quant open11
Worst price217.24
Drawdown as % of equity-0.02%
$34
Includes Typical Broker Commissions trade costs of $0.22
8/3/20 15:39 AMZN AMAZON.COM LONG 2 3112.86 8/4 9:53 3145.31 0.04%
Trade id #130430060
Max drawdown($23)
Time8/4/20 0:00
Quant open2
Worst price3101.21
Drawdown as % of equity-0.04%
$65
Includes Typical Broker Commissions trade costs of $0.04
8/3/20 15:38 GOOG ALPHABET INC CLASS C LONG 9 1477.38 8/4 9:53 1479.98 0.09%
Trade id #130430049
Max drawdown($48)
Time8/3/20 15:50
Quant open9
Worst price1472.00
Drawdown as % of equity-0.09%
$23
Includes Typical Broker Commissions trade costs of $0.18
8/3/20 15:38 EW EDWARDS LIFESCIENCES LONG 196 78.11 8/4 9:52 77.51 0.33%
Trade id #130430037
Max drawdown($178)
Time8/4/20 0:00
Quant open196
Worst price77.20
Drawdown as % of equity-0.33%
($121)
Includes Typical Broker Commissions trade costs of $3.92
8/3/20 15:41 MSCI MSCI LONG 4 372.94 8/4 9:38 366.93 0.04%
Trade id #130430158
Max drawdown($24)
Time8/4/20 9:38
Quant open4
Worst price366.88
Drawdown as % of equity-0.04%
($24)
Includes Typical Broker Commissions trade costs of $0.08
7/31/20 15:45 DOW DOW INC SHORT 77 40.72 8/3 15:37 40.42 0.07%
Trade id #130395559
Max drawdown($40)
Time8/3/20 9:30
Quant open77
Worst price41.24
Drawdown as % of equity-0.07%
$21
Includes Typical Broker Commissions trade costs of $1.54
7/31/20 15:44 BIDU BAIDU LONG 26 119.29 8/3 15:37 120.55 0.03%
Trade id #130395543
Max drawdown($14)
Time7/31/20 16:00
Quant open26
Worst price118.73
Drawdown as % of equity-0.03%
$32
Includes Typical Broker Commissions trade costs of $0.52
7/31/20 15:44 KMI KINDER MORGAN SHORT 181 14.02 8/3 15:37 14.12 0.07%
Trade id #130395519
Max drawdown($35)
Time8/3/20 13:58
Quant open181
Worst price14.21
Drawdown as % of equity-0.07%
($22)
Includes Typical Broker Commissions trade costs of $3.62
7/31/20 15:43 NTES NETEASE LONG 6 457.38 8/3 15:37 468.48 0%
Trade id #130395510
Max drawdown($0)
Time7/31/20 15:54
Quant open6
Worst price457.30
Drawdown as % of equity-0.00%
$67
Includes Typical Broker Commissions trade costs of $0.12

Statistics

  • Strategy began
    6/26/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    50.1
  • Age
    50 days ago
  • What it trades
    Stocks
  • # Trades
    256
  • # Profitable
    129
  • % Profitable
    50.40%
  • Avg trade duration
    1.3 days
  • Max peak-to-valley drawdown
    3.34%
  • drawdown period
    July 15, 2020 - Aug 03, 2020
  • Cumul. Return
    9.1%
  • Avg win
    $114.31
  • Avg loss
    $75.55
  • Model Account Values (Raw)
  • Cash
    $96,724
  • Margin Used
    $68,042
  • Buying Power
    $28,616
  • Ratios
  • W:L ratio
    1.54:1
  • Sharpe Ratio
    4.14
  • Sortino Ratio
    8.09
  • Calmar Ratio
    46.713
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.19580
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -3.02%
  • Return Percent SP500 (cumu) during strategy life
    12.09%
  • Verified
  • C2Star
    1
  • Return Statistics
  • Ann Return (w trading costs)
    80.5%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.61%
  • Instruments
  • Percent Trades Stocks
    1.00%
  • Slump
  • Current Slump as Pcnt Equity
    2.10%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.091%
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    101.5%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    667
  • Popularity (Last 6 weeks)
    942
  • Popularity (7 days, Percentile 1000 scale)
    865
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    716
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $114
  • Avg Loss
    $76
  • Sum Trade PL (losers)
    $9,595.000
  • Sum Trade PL (winners)
    $14,746.000
  • # Winners
    129
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • Num Months Winners
    3
  • Age
  • Num Months filled monthly returns table
    3
  • Win / Loss
  • # Losers
    127
  • % Winners
    50.4%
  • Frequency
  • Avg Position Time (mins)
    1845.00
  • Avg Position Time (hrs)
    30.75
  • Avg Trade Length
    1.3 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.98
  • Daily leverage (max)
    1.37
  • Regression
  • Alpha
    0.13
  • Beta
    0.20
  • Treynor Index
    0.89
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    -0.37
  • MAE:Equity, average, all trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    22.768
  • 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
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.425
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.483
  • Hold-and-Hope Ratio
    0.043
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    0.60000
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.01000
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    19
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -274724000

Strategy Description

I

Summary Statistics

Strategy began
2020-06-26
Suggested Minimum Capital
$35,000
# Trades
256
# Profitable
129
% Profitable
50.4%
Correlation S&P500
0.196
Sharpe Ratio
4.14
Sortino Ratio
8.09
Beta
0.20
Alpha
0.13
Leverage
0.98 Average
1.37 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

#PERSONNAME#
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.