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Infinity 2020
(131202173)

Created by: LeonardoFranci_Nexit LeonardoFranci_Nexit
Started: 09/2020
Stocks
Last trade: 9 days ago
Trading style: Equity Trend-following

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 $595.00 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.
117.4%
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.

(18.4%)
Max Drawdown
1656
Num Trades
48.9%
Win Trades
2.5 : 1
Profit Factor
63.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                        +6.4%+2.4%+53.9%+14.4%+91.8%
2021+20.6%+8.7%(0.9%)(8.3%)+1.4%(0.5%)(5.7%)                              +13.4%

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.

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

Trading Record

This strategy has placed 2,403 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
6/1/21 9:31 INVO INVO BIOSCIENCE INC. COMMON STOCK LONG 375 4.38 7/16 15:59 3.94 0.03%
Trade id #135852557
Max drawdown($174)
Time7/16/21 15:59
Quant open375
Worst price3.91
Drawdown as % of equity-0.03%
($173)
Includes Typical Broker Commissions trade costs of $7.50
6/30/21 9:30 PRG PROG HOLDINGS INC LONG 34 48.07 7/16 15:36 43.20 0.03%
Trade id #136265097
Max drawdown($166)
Time7/16/21 15:36
Quant open34
Worst price43.16
Drawdown as % of equity-0.03%
($167)
Includes Typical Broker Commissions trade costs of $0.68
5/28/21 9:31 LUMN LUMEN TECHNOLOGIES INC LONG 115 13.98 7/16 15:12 12.79 0.03%
Trade id #135818771
Max drawdown($138)
Time7/16/21 15:12
Quant open115
Worst price12.78
Drawdown as % of equity-0.03%
($139)
Includes Typical Broker Commissions trade costs of $2.30
6/7/21 9:30 QRTEA LIBERTY INTERACTIVE QVC GROUP SER A LONG 125 13.22 7/16 13:42 11.79 0.03%
Trade id #135936961
Max drawdown($178)
Time7/16/21 13:42
Quant open125
Worst price11.79
Drawdown as % of equity-0.03%
($181)
Includes Typical Broker Commissions trade costs of $2.50
6/16/21 9:30 EOLS EVOLUS INC. COMMON STOCK LONG 138 11.79 7/16 13:20 11.09 0.02%
Trade id #136075804
Max drawdown($96)
Time7/16/21 13:20
Quant open138
Worst price11.09
Drawdown as % of equity-0.02%
($100)
Includes Typical Broker Commissions trade costs of $2.76
6/7/21 9:30 CAL CALERES INC LONG 62 26.26 7/16 12:47 23.50 0.03%
Trade id #135936939
Max drawdown($172)
Time7/16/21 12:47
Quant open62
Worst price23.48
Drawdown as % of equity-0.03%
($172)
Includes Typical Broker Commissions trade costs of $1.24
7/9/21 9:30 TUSK MAMMOTH ENERGY SERVICES INC. COMMON STOCK LONG 275 4.60 7/16 12:42 3.80 0.04%
Trade id #136398674
Max drawdown($222)
Time7/16/21 12:42
Quant open275
Worst price3.79
Drawdown as % of equity-0.04%
($227)
Includes Typical Broker Commissions trade costs of $5.50
6/4/21 9:30 FLWS 1-800 FLOWERS.COM LONG 51 31.70 7/16 12:19 28.41 0.03%
Trade id #135908218
Max drawdown($167)
Time7/16/21 12:19
Quant open51
Worst price28.42
Drawdown as % of equity-0.03%
($169)
Includes Typical Broker Commissions trade costs of $1.02
6/16/21 9:30 APM APTORUM GROUP LTD LONG 546 3.04 7/16 11:25 2.73 0.03%
Trade id #136075847
Max drawdown($180)
Time7/16/21 11:25
Quant open546
Worst price2.71
Drawdown as % of equity-0.03%
($174)
Includes Typical Broker Commissions trade costs of $5.00
6/8/21 9:30 KBAL KIMBALL INTERNATIONAL INC. CL LONG 117 13.98 7/16 10:38 12.54 0.03%
Trade id #135959347
Max drawdown($168)
Time7/16/21 10:38
Quant open117
Worst price12.54
Drawdown as % of equity-0.03%
($170)
Includes Typical Broker Commissions trade costs of $2.34
7/12/21 9:30 AFI ARMSTRONG FLOORING INC LONG 158 6.25 7/16 10:28 5.48 0.02%
Trade id #136428106
Max drawdown($121)
Time7/16/21 10:28
Quant open158
Worst price5.48
Drawdown as % of equity-0.02%
($125)
Includes Typical Broker Commissions trade costs of $3.16
6/8/21 9:30 FET FORUM ENERGY TECHNOLOGIES LONG 68 23.66 7/16 10:21 21.68 0.02%
Trade id #135959384
Max drawdown($135)
Time7/16/21 10:21
Quant open68
Worst price21.67
Drawdown as % of equity-0.02%
($136)
Includes Typical Broker Commissions trade costs of $1.36
6/14/21 9:30 DYNT DYNATRONICS CORPORATION COMMON LONG 1,349 1.24 7/16 10:20 1.09 0.04%
Trade id #136044754
Max drawdown($202)
Time7/16/21 10:20
Quant open1,349
Worst price1.09
Drawdown as % of equity-0.04%
($207)
Includes Typical Broker Commissions trade costs of $5.00
6/1/21 9:31 SLB SCHLUMBERGER LONG 52 31.96 7/16 10:07 28.20 0.04%
Trade id #135852520
Max drawdown($196)
Time7/16/21 10:07
Quant open52
Worst price28.19
Drawdown as % of equity-0.04%
($197)
Includes Typical Broker Commissions trade costs of $1.04
6/15/21 9:30 TGA TRANSGLOBE ENERGY LONG 895 1.86 7/16 9:58 1.65 0.04%
Trade id #136061094
Max drawdown($196)
Time7/16/21 9:58
Quant open895
Worst price1.64
Drawdown as % of equity-0.04%
($195)
Includes Typical Broker Commissions trade costs of $5.00
6/7/21 9:30 RVI RETAIL VALUE INC LONG 87 18.81 7/16 9:30 24.69 0%
Trade id #135936868
Max drawdown($6)
Time6/7/21 9:38
Quant open87
Worst price18.73
Drawdown as % of equity-0.00%
$510
Includes Typical Broker Commissions trade costs of $1.74
5/24/21 9:31 NEX NEXTIER OILFIELD SOLUTIONS INC. LONG 364 4.58 7/15 15:54 4.05 0.03%
Trade id #135744495
Max drawdown($192)
Time7/15/21 15:54
Quant open364
Worst price4.05
Drawdown as % of equity-0.03%
($200)
Includes Typical Broker Commissions trade costs of $7.28
7/13/21 9:30 ANY SPHERE 3D CORP. COMMON SHARES LONG 275 3.71 7/15 13:57 2.49 0.06%
Trade id #136465659
Max drawdown($354)
Time7/15/21 13:57
Quant open275
Worst price2.42
Drawdown as % of equity-0.06%
($342)
Includes Typical Broker Commissions trade costs of $5.50
7/13/21 9:30 EVOL EVOLVING SYSTEMS LONG 403 2.52 7/15 13:56 2.22 0.02%
Trade id #136465710
Max drawdown($124)
Time7/15/21 13:56
Quant open403
Worst price2.21
Drawdown as % of equity-0.02%
($129)
Includes Typical Broker Commissions trade costs of $8.06
6/7/21 9:31 EURN EURONAV NV LONG 172 9.54 7/15 13:44 8.59 0.03%
Trade id #135936982
Max drawdown($163)
Time7/15/21 13:44
Quant open172
Worst price8.59
Drawdown as % of equity-0.03%
($166)
Includes Typical Broker Commissions trade costs of $3.44
7/9/21 9:30 RIG TRANSOCEAN LONG 331 4.66 7/15 13:43 3.79 0.05%
Trade id #136398664
Max drawdown($291)
Time7/15/21 13:43
Quant open331
Worst price3.78
Drawdown as % of equity-0.05%
($295)
Includes Typical Broker Commissions trade costs of $6.62
6/1/21 9:31 NR NEWPARK RESOURCES LONG 491 3.46 7/15 13:32 3.00 0.04%
Trade id #135852473
Max drawdown($229)
Time7/15/21 13:32
Quant open491
Worst price2.99
Drawdown as % of equity-0.04%
($236)
Includes Typical Broker Commissions trade costs of $9.82
7/2/21 9:30 NTNX NUTANIX INC. CLASS A COMMON STOCK LONG 43 38.59 7/15 13:28 34.45 0.03%
Trade id #136303980
Max drawdown($178)
Time7/15/21 13:28
Quant open43
Worst price34.45
Drawdown as % of equity-0.03%
($179)
Includes Typical Broker Commissions trade costs of $0.86
7/12/21 9:30 CKPT CHECKPOINT THERAPEUTICS INC. COMMON STOCK LONG 490 3.11 7/15 13:19 2.75 0.03%
Trade id #136428069
Max drawdown($176)
Time7/15/21 13:19
Quant open490
Worst price2.75
Drawdown as % of equity-0.03%
($186)
Includes Typical Broker Commissions trade costs of $9.80
5/14/21 9:30 NAT NORDIC AMERICAN TANKERS LONG 502 3.29 7/15 12:15 2.85 0.04%
Trade id #135618622
Max drawdown($220)
Time7/15/21 12:15
Quant open502
Worst price2.85
Drawdown as % of equity-0.04%
($226)
Includes Typical Broker Commissions trade costs of $5.00
6/7/21 9:31 CCLP COMPRESSCO LP UTS LONG 879 1.95 7/15 11:31 1.62 0.06%
Trade id #135936962
Max drawdown($325)
Time7/15/21 11:31
Quant open879
Worst price1.58
Drawdown as % of equity-0.06%
($295)
Includes Typical Broker Commissions trade costs of $5.00
7/6/21 9:30 BAND BANDWIDTH INC. CLASS A COMMON STOCK LONG 10 138.50 7/15 10:43 123.68 0.03%
Trade id #136339871
Max drawdown($148)
Time7/15/21 10:43
Quant open10
Worst price123.68
Drawdown as % of equity-0.03%
($148)
Includes Typical Broker Commissions trade costs of $0.20
7/2/21 9:30 CMTL COMTECH TELECOMMUNICATIONS LONG 63 25.75 7/15 9:45 23.14 0.03%
Trade id #136304014
Max drawdown($160)
Time7/15/21 9:45
Quant open63
Worst price23.20
Drawdown as % of equity-0.03%
($165)
Includes Typical Broker Commissions trade costs of $1.26
6/7/21 9:30 ZYNE ZYNERBA PHARMACEUTICALS INC. COMMON STOCK LONG 318 5.20 7/15 9:43 4.64 0.03%
Trade id #135936927
Max drawdown($178)
Time7/15/21 9:43
Quant open318
Worst price4.64
Drawdown as % of equity-0.03%
($183)
Includes Typical Broker Commissions trade costs of $6.36
6/24/21 9:30 PRO PROS HOLDINGS LONG 33 49.49 7/15 9:41 44.14 0.03%
Trade id #136190808
Max drawdown($181)
Time7/15/21 9:41
Quant open33
Worst price43.99
Drawdown as % of equity-0.03%
($178)
Includes Typical Broker Commissions trade costs of $0.66

Statistics

  • Strategy began
    9/16/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    311.75
  • Age
    10 months ago
  • What it trades
    Stocks
  • # Trades
    1656
  • # Profitable
    810
  • % Profitable
    48.90%
  • Avg trade duration
    30.0 days
  • Max peak-to-valley drawdown
    18.39%
  • drawdown period
    Feb 17, 2021 - July 20, 2021
  • Cumul. Return
    117.4%
  • Avg win
    $636.51
  • Avg loss
    $248.93
  • Model Account Values (Raw)
  • Cash
    $441,747
  • Margin Used
    $450,215
  • Buying Power
    ($1,871)
  • Ratios
  • W:L ratio
    2.47:1
  • Sharpe Ratio
    3.13
  • Sortino Ratio
    6.79
  • Calmar Ratio
    9.36
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    87.08%
  • Correlation to SP500
    0.31730
  • Return Percent SP500 (cumu) during strategy life
    30.31%
  • Return Statistics
  • Ann Return (w trading costs)
    146.2%
  • Slump
  • Current Slump as Pcnt Equity
    20.20%
  • Instruments
  • Percent Trades Futures
    0.01%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.50%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.174%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.99%
  • Percent Trades Forex
    0.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    154.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    0.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • 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)
    796
  • Popularity (Last 6 weeks)
    955
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    915
  • Popularity (7 days, Percentile 1000 scale)
    897
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $249
  • Avg Win
    $637
  • Sum Trade PL (losers)
    $210,597.000
  • AUM
  • AUM (AutoTrader num accounts)
    2
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $515,574.000
  • # Winners
    810
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    1907
  • AUM
  • AUM (AutoTrader live capital)
    633035
  • Win / Loss
  • # Losers
    846
  • % Winners
    48.9%
  • Frequency
  • Avg Position Time (mins)
    54449.30
  • Avg Position Time (hrs)
    907.49
  • Avg Trade Length
    37.8 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.78
  • Daily leverage (max)
    4.62
  • Regression
  • Alpha
    0.21
  • Beta
    0.53
  • Treynor Index
    0.48
  • 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)
    -0.29
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    18.068
  • 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
    0.256
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.122
  • Hold-and-Hope Ratio
    0.078
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.04928
  • SD
    0.48623
  • Sharpe ratio (Glass type estimate)
    2.15800
  • Sharpe ratio (Hedges UMVUE)
    1.97214
  • df
    9.00000
  • t
    1.96997
  • p
    0.04017
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25162
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.47046
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36019
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.30447
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.63427
  • Upside Potential Ratio
    9.22869
  • Upside part of mean
    1.26842
  • Downside part of mean
    -0.21914
  • Upside SD
    0.53445
  • Downside SD
    0.13744
  • N nonnegative terms
    7.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.25317
  • Mean of criterion
    1.04928
  • SD of predictor
    0.07733
  • SD of criterion
    0.48623
  • Covariance
    0.00517
  • r
    0.13738
  • b (slope, estimate of beta)
    0.86375
  • a (intercept, estimate of alpha)
    0.83060
  • Mean Square Error
    0.26095
  • DF error
    8.00000
  • t(b)
    0.39229
  • p(b)
    0.35254
  • t(a)
    1.05158
  • p(a)
    0.16186
  • Lowerbound of 95% confidence interval for beta
    -4.21369
  • Upperbound of 95% confidence interval for beta
    5.94119
  • Lowerbound of 95% confidence interval for alpha
    -0.99082
  • Upperbound of 95% confidence interval for alpha
    2.65202
  • Treynor index (mean / b)
    1.21479
  • Jensen alpha (a)
    0.83060
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.91385
  • SD
    0.44714
  • Sharpe ratio (Glass type estimate)
    2.04378
  • Sharpe ratio (Hedges UMVUE)
    1.86776
  • df
    9.00000
  • t
    1.86571
  • p
    0.04747
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34298
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.33677
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44616
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.18169
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.33776
  • Upside Potential Ratio
    7.92374
  • Upside part of mean
    1.14254
  • Downside part of mean
    -0.22868
  • Upside SD
    0.47827
  • Downside SD
    0.14419
  • N nonnegative terms
    7.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.24739
  • Mean of criterion
    0.91385
  • SD of predictor
    0.07553
  • SD of criterion
    0.44714
  • Covariance
    0.00396
  • r
    0.11725
  • b (slope, estimate of beta)
    0.69408
  • a (intercept, estimate of alpha)
    0.74214
  • Mean Square Error
    0.22183
  • DF error
    8.00000
  • t(b)
    0.33393
  • p(b)
    0.37351
  • t(a)
    1.01882
  • p(a)
    0.16905
  • Lowerbound of 95% confidence interval for beta
    -4.09907
  • Upperbound of 95% confidence interval for beta
    5.48724
  • Lowerbound of 95% confidence interval for alpha
    -0.93763
  • Upperbound of 95% confidence interval for alpha
    2.42192
  • Treynor index (mean / b)
    1.31664
  • Jensen alpha (a)
    0.74214
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12730
  • Expected Shortfall on VaR
    0.17219
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02932
  • Expected Shortfall on VaR
    0.06448
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.89390
  • Quartile 1
    0.99321
  • Median
    1.07958
  • Quartile 3
    1.19218
  • Maximum
    1.31755
  • Mean of quarter 1
    0.94146
  • Mean of quarter 2
    1.00295
  • Mean of quarter 3
    1.17346
  • Mean of quarter 4
    1.24017
  • Inter Quartile Range
    0.19897
  • 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)
    -23.42410
  • VaR(95%) (moments method)
    0.03148
  • Expected Shortfall (moments method)
    0.03148
  • Extreme Value Index (regression method)
    -1.09468
  • VaR(95%) (regression method)
    0.12928
  • Expected Shortfall (regression method)
    0.14082
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.16553
  • Quartile 1
    0.16553
  • Median
    0.16553
  • Quartile 3
    0.16553
  • Maximum
    0.16553
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.43036
  • Compounded annual return (geometric extrapolation)
    1.56449
  • Calmar ratio (compounded annual return / max draw down)
    9.45130
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    9.08583
  • 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
    0.94672
  • SD
    0.24285
  • Sharpe ratio (Glass type estimate)
    3.89839
  • Sharpe ratio (Hedges UMVUE)
    3.88515
  • df
    221.00000
  • t
    3.58849
  • p
    0.00020
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.73418
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.05415
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72533
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.04496
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.44946
  • Upside Potential Ratio
    16.20010
  • Upside part of mean
    1.81515
  • Downside part of mean
    -0.86843
  • Upside SD
    0.22266
  • Downside SD
    0.11205
  • N nonnegative terms
    128.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    222.00000
  • Mean of predictor
    0.29563
  • Mean of criterion
    0.94672
  • SD of predictor
    0.14759
  • SD of criterion
    0.24285
  • Covariance
    0.01124
  • r
    0.31355
  • b (slope, estimate of beta)
    0.51592
  • a (intercept, estimate of alpha)
    0.79400
  • Mean Square Error
    0.05342
  • DF error
    220.00000
  • t(b)
    4.89764
  • p(b)
    0.00000
  • t(a)
    3.13901
  • p(a)
    0.00096
  • Lowerbound of 95% confidence interval for beta
    0.30831
  • Upperbound of 95% confidence interval for beta
    0.72352
  • Lowerbound of 95% confidence interval for alpha
    0.29557
  • Upperbound of 95% confidence interval for alpha
    1.29284
  • Treynor index (mean / b)
    1.83503
  • Jensen alpha (a)
    0.79420
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.91627
  • SD
    0.23893
  • Sharpe ratio (Glass type estimate)
    3.83482
  • Sharpe ratio (Hedges UMVUE)
    3.82179
  • df
    221.00000
  • t
    3.52997
  • p
    0.00025
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.67160
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.98967
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66296
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.98062
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.09883
  • Upside Potential Ratio
    15.83020
  • Upside part of mean
    1.79096
  • Downside part of mean
    -0.87470
  • Upside SD
    0.21734
  • Downside SD
    0.11314
  • N nonnegative terms
    128.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    222.00000
  • Mean of predictor
    0.28458
  • Mean of criterion
    0.91627
  • SD of predictor
    0.14774
  • SD of criterion
    0.23893
  • Covariance
    0.01132
  • r
    0.32061
  • b (slope, estimate of beta)
    0.51851
  • a (intercept, estimate of alpha)
    0.76871
  • Mean Square Error
    0.05145
  • DF error
    220.00000
  • t(b)
    5.02042
  • p(b)
    0.00000
  • t(a)
    3.09749
  • p(a)
    0.00110
  • Lowerbound of 95% confidence interval for beta
    0.31497
  • Upperbound of 95% confidence interval for beta
    0.72206
  • Lowerbound of 95% confidence interval for alpha
    0.27961
  • Upperbound of 95% confidence interval for alpha
    1.25780
  • Treynor index (mean / b)
    1.76710
  • Jensen alpha (a)
    0.76871
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02057
  • Expected Shortfall on VaR
    0.02658
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00684
  • Expected Shortfall on VaR
    0.01386
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    222.00000
  • Minimum
    0.96712
  • Quartile 1
    0.99543
  • Median
    1.00224
  • Quartile 3
    1.00977
  • Maximum
    1.09182
  • Mean of quarter 1
    0.98811
  • Mean of quarter 2
    0.99931
  • Mean of quarter 3
    1.00582
  • Mean of quarter 4
    1.02160
  • Inter Quartile Range
    0.01434
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.01351
  • Mean of outliers low
    0.96915
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.04054
  • Mean of outliers high
    1.05095
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.00924
  • VaR(95%) (moments method)
    0.01074
  • Expected Shortfall (moments method)
    0.01449
  • Extreme Value Index (regression method)
    -0.36743
  • VaR(95%) (regression method)
    0.01082
  • Expected Shortfall (regression method)
    0.01288
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00016
  • Quartile 1
    0.00589
  • Median
    0.01100
  • Quartile 3
    0.01692
  • Maximum
    0.16781
  • Mean of quarter 1
    0.00313
  • Mean of quarter 2
    0.00838
  • Mean of quarter 3
    0.01365
  • Mean of quarter 4
    0.07922
  • Inter Quartile Range
    0.01103
  • 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
    0.13434
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.25965
  • VaR(95%) (moments method)
    0.05832
  • Expected Shortfall (moments method)
    0.07662
  • Extreme Value Index (regression method)
    0.31677
  • VaR(95%) (regression method)
    0.14097
  • Expected Shortfall (regression method)
    0.28000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.44643
  • Compounded annual return (geometric extrapolation)
    1.57069
  • Calmar ratio (compounded annual return / max draw down)
    9.35992
  • Compounded annual return / average of 25% largest draw downs
    19.82570
  • Compounded annual return / Expected Shortfall lognormal
    59.10020
  • 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
    -0.07387
  • SD
    0.14286
  • Sharpe ratio (Glass type estimate)
    -0.51707
  • Sharpe ratio (Hedges UMVUE)
    -0.51409
  • df
    130.00000
  • t
    -0.36563
  • p
    0.51603
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.28863
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.25641
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.28660
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25842
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.67721
  • Upside Potential Ratio
    7.99999
  • Upside part of mean
    0.87263
  • Downside part of mean
    -0.94650
  • Upside SD
    0.09152
  • Downside SD
    0.10908
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25225
  • Mean of criterion
    -0.07387
  • SD of predictor
    0.13609
  • SD of criterion
    0.14286
  • Covariance
    0.00636
  • r
    0.32702
  • b (slope, estimate of beta)
    0.34331
  • a (intercept, estimate of alpha)
    -0.16047
  • Mean Square Error
    0.01837
  • DF error
    129.00000
  • t(b)
    3.93039
  • p(b)
    0.29558
  • t(a)
    -0.83176
  • p(a)
    0.54646
  • Lowerbound of 95% confidence interval for beta
    0.17049
  • Upperbound of 95% confidence interval for beta
    0.51612
  • Lowerbound of 95% confidence interval for alpha
    -0.54218
  • Upperbound of 95% confidence interval for alpha
    0.22124
  • Treynor index (mean / b)
    -0.21517
  • Jensen alpha (a)
    -0.16047
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08403
  • SD
    0.14320
  • Sharpe ratio (Glass type estimate)
    -0.58681
  • Sharpe ratio (Hedges UMVUE)
    -0.58341
  • df
    130.00000
  • t
    -0.41493
  • p
    0.51818
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.35844
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18701
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.35613
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.18930
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.76398
  • Upside Potential Ratio
    7.89490
  • Upside part of mean
    0.86838
  • Downside part of mean
    -0.95241
  • Upside SD
    0.09099
  • Downside SD
    0.10999
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24291
  • Mean of criterion
    -0.08403
  • SD of predictor
    0.13618
  • SD of criterion
    0.14320
  • Covariance
    0.00639
  • r
    0.32745
  • b (slope, estimate of beta)
    0.34434
  • a (intercept, estimate of alpha)
    -0.16767
  • Mean Square Error
    0.01845
  • DF error
    129.00000
  • t(b)
    3.93608
  • p(b)
    0.29533
  • t(a)
    -0.86759
  • p(a)
    0.54844
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    0.17125
  • Upperbound of 95% confidence interval for beta
    0.51742
  • Lowerbound of 95% confidence interval for alpha
    -0.55006
  • Upperbound of 95% confidence interval for alpha
    0.21471
  • Treynor index (mean / b)
    -0.24404
  • Jensen alpha (a)
    -0.16767
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01476
  • Expected Shortfall on VaR
    0.01839
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00828
  • Expected Shortfall on VaR
    0.01541
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97022
  • Quartile 1
    0.99450
  • Median
    1.00060
  • Quartile 3
    1.00607
  • Maximum
    1.01779
  • Mean of quarter 1
    0.98824
  • Mean of quarter 2
    0.99766
  • Mean of quarter 3
    1.00311
  • Mean of quarter 4
    1.01039
  • Inter Quartile Range
    0.01157
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97218
  • 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)
    -0.08454
  • VaR(95%) (moments method)
    0.01155
  • Expected Shortfall (moments method)
    0.01483
  • Extreme Value Index (regression method)
    -0.32656
  • VaR(95%) (regression method)
    0.01117
  • Expected Shortfall (regression method)
    0.01318
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00936
  • Quartile 1
    0.04897
  • Median
    0.08859
  • Quartile 3
    0.12820
  • Maximum
    0.16781
  • Mean of quarter 1
    0.00936
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.16781
  • Inter Quartile Range
    0.07922
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -308223000
  • Max Equity Drawdown (num days)
    153
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.05534
  • Compounded annual return (geometric extrapolation)
    -0.05458
  • Calmar ratio (compounded annual return / max draw down)
    -0.32524
  • Compounded annual return / average of 25% largest draw downs
    -0.32524
  • Compounded annual return / Expected Shortfall lognormal
    -2.96737

Strategy Description

Summary Statistics

Strategy began
2020-09-16
Suggested Minimum Capital
$100,000
Rank at C2 %
Top 8.5%
Rank # 
#64
# Trades
1656
# Profitable
810
% Profitable
48.9%
Net Dividends
Correlation S&P500
0.317
Sharpe Ratio
3.13
Sortino Ratio
6.79
Beta
0.53
Alpha
0.21
Leverage
0.78 Average
4.62 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.