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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 06/25/2020
Most recent certification approved 6/25/20 9:34 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 729
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 696
Percent signals followed since 06/25/2020 95.5%
This information was last updated 11/27/20 8:39 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 06/25/2020, 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.

Seek Alpha
(128022277)

Created by: SeekAlpha SeekAlpha
Started: 03/2020
Stocks
Last trade: 8 days ago
Trading style: Equity Hedged Equity Pairs Trading / Relative Value

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 $112.00 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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
Pairs Trading / Relative Value
Category: Equity

Pairs Trading / Relative Value

Seeks to exploit differences in the price or rate of the same or similar securities. The relative value fund trades on gaps, rather than the price of a specific security alone
85.8%
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.

(15.9%)
Max Drawdown
363
Num Trades
61.2%
Win Trades
1.9 : 1
Profit Factor
77.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              +20.7%+21.1%+3.1%+4.9%+14.0%(4.4%)+1.7%(8.3%)+15.5%      +85.8%

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 828 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
11/19/20 12:01 @MYMZ0 MICRO E-MINI DOW SHORT 5 29258 11/19 13:25 29330 0.59%
Trade id #132349191
Max drawdown($200)
Time11/19/20 13:25
Quant open5
Worst price29339
Drawdown as % of equity-0.59%
($184)
Includes Typical Broker Commissions trade costs of $4.70
11/16/20 10:46 RAD RITE AID LONG 100 13.04 11/17 9:18 11.52 0.65%
Trade id #132278301
Max drawdown($225)
Time11/17/20 0:00
Quant open100
Worst price10.79
Drawdown as % of equity-0.65%
($154)
Includes Typical Broker Commissions trade costs of $2.00
11/16/20 11:06 @MESZ0 MICRO E-MINI S&P 500 SHORT 5 3620.25 11/16 15:59 3610.33 0.24%
Trade id #132278835
Max drawdown($81)
Time11/16/20 11:21
Quant open5
Worst price3623.50
Drawdown as % of equity-0.24%
$243
Includes Typical Broker Commissions trade costs of $4.70
10/1/20 10:43 OAC OAKTREE ACQUISITION CORP. CL A LONG 250 10.70 11/13 14:31 10.13 0.52%
Trade id #131460748
Max drawdown($162)
Time10/28/20 0:00
Quant open150
Worst price9.96
Drawdown as % of equity-0.52%
($147)
Includes Typical Broker Commissions trade costs of $5.00
11/10/20 9:58 @MESZ0 MICRO E-MINI S&P 500 SHORT 5 3535.06 11/10 10:04 3541.17 0.87%
Trade id #132175569
Max drawdown($279)
Time11/10/20 10:04
Quant open5
Worst price3546.25
Drawdown as % of equity-0.87%
($158)
Includes Typical Broker Commissions trade costs of $4.70
11/10/20 9:35 SDGR SCHRODINGER INC. COMMON STOCK LONG 50 52.75 11/10 9:44 51.17 0.25%
Trade id #132174115
Max drawdown($81)
Time11/10/20 9:44
Quant open50
Worst price51.11
Drawdown as % of equity-0.25%
($80)
Includes Typical Broker Commissions trade costs of $1.00
11/9/20 10:54 @MYMZ0 MICRO E-MINI DOW LONG 5 29350 11/9 10:55 29311 0.31%
Trade id #132153128
Max drawdown($97)
Time11/9/20 10:55
Quant open5
Worst price29311
Drawdown as % of equity-0.31%
($102)
Includes Typical Broker Commissions trade costs of $4.70
6/29/20 13:14 SBRA SABRA HEALTH CARE REIT LONG 7 14.48 11/9 10:06 16.52 0.04%
Trade id #129806544
Max drawdown($11)
Time10/29/20 0:00
Quant open7
Worst price12.86
Drawdown as % of equity-0.04%
$14
Includes Typical Broker Commissions trade costs of $0.14
11/9/20 9:41 CWH CAMPING WORLD HOLDINGS INC LONG 100 22.74 11/9 9:50 24.35 n/a $159
Includes Typical Broker Commissions trade costs of $2.00
10/30/20 12:06 SDGR SCHRODINGER INC. COMMON STOCK LONG 100 48.76 11/6 9:32 53.55 0.4%
Trade id #131992296
Max drawdown($116)
Time10/30/20 14:05
Quant open100
Worst price47.59
Drawdown as % of equity-0.40%
$477
Includes Typical Broker Commissions trade costs of $2.00
11/4/20 14:34 @MYMZ0 MICRO E-MINI DOW SHORT 5 27969 11/4 15:40 27882 0.22%
Trade id #132079089
Max drawdown($66)
Time11/4/20 14:39
Quant open5
Worst price27996
Drawdown as % of equity-0.22%
$213
Includes Typical Broker Commissions trade costs of $4.70
11/4/20 1:44 @MESZ0 MICRO E-MINI S&P 500 SHORT 4 3377.17 11/4 2:13 3373.50 0.1%
Trade id #132063933
Max drawdown($28)
Time11/4/20 2:01
Quant open2
Worst price3380.00
Drawdown as % of equity-0.10%
$69
Includes Typical Broker Commissions trade costs of $3.76
11/3/20 19:51 @MESZ0 MICRO E-MINI S&P 500 LONG 5 3360.94 11/3 19:54 3363.95 0.07%
Trade id #132061031
Max drawdown($21)
Time11/3/20 19:54
Quant open3
Worst price3359.50
Drawdown as % of equity-0.07%
$70
Includes Typical Broker Commissions trade costs of $4.70
11/3/20 19:31 @MESZ0 MICRO E-MINI S&P 500 SHORT 1 3384.89 11/3 19:44 3371.64 0.06%
Trade id #132060799
Max drawdown($16)
Time11/3/20 19:35
Quant open1
Worst price3388.25
Drawdown as % of equity-0.06%
$65
Includes Typical Broker Commissions trade costs of $0.94
10/30/20 14:20 ETSY ETSY INC. COMMON STOCK LONG 60 121.87 10/30 15:34 120.31 0.37%
Trade id #131995390
Max drawdown($104)
Time10/30/20 15:33
Quant open60
Worst price120.12
Drawdown as % of equity-0.37%
($94)
Includes Typical Broker Commissions trade costs of $1.20
10/28/20 15:47 SDGR SCHRODINGER INC. COMMON STOCK LONG 150 52.67 10/30 11:34 47.95 2.51%
Trade id #131954618
Max drawdown($727)
Time10/30/20 11:34
Quant open150
Worst price47.82
Drawdown as % of equity-2.51%
($712)
Includes Typical Broker Commissions trade costs of $3.00
10/30/20 9:47 CVNA CARVANA CO SHORT 30 208.65 10/30 9:51 203.88 n/a $142
Includes Typical Broker Commissions trade costs of $0.60
10/28/20 13:18 SDGR SCHRODINGER INC. COMMON STOCK LONG 300 54.37 10/28 15:42 54.57 0.11%
Trade id #131950434
Max drawdown($33)
Time10/28/20 13:23
Quant open300
Worst price54.26
Drawdown as % of equity-0.11%
$53
Includes Typical Broker Commissions trade costs of $6.00
10/28/20 10:02 SDGR SCHRODINGER INC. COMMON STOCK LONG 300 55.77 10/28 10:53 55.00 1.15%
Trade id #131944475
Max drawdown($343)
Time10/28/20 10:52
Quant open300
Worst price54.62
Drawdown as % of equity-1.15%
($236)
Includes Typical Broker Commissions trade costs of $6.00
10/28/20 10:03 RIDE LORDSTOWN MOTORS CORP LONG 150 14.11 10/28 10:34 14.27 0.01%
Trade id #131944518
Max drawdown($4)
Time10/28/20 10:34
Quant open50
Worst price14.03
Drawdown as % of equity-0.01%
$20
Includes Typical Broker Commissions trade costs of $3.00
10/23/20 15:17 PLAY DAVE & BUSTERS ENTERTAINMENT SHORT 100 20.45 10/28 10:07 17.79 0.01%
Trade id #131873523
Max drawdown($4)
Time10/23/20 15:33
Quant open100
Worst price20.49
Drawdown as % of equity-0.01%
$264
Includes Typical Broker Commissions trade costs of $2.00
10/28/20 9:56 @MYMZ0 MICRO E-MINI DOW LONG 2 26792 10/28 10:04 26726 0.25%
Trade id #131944021
Max drawdown($76)
Time10/28/20 10:04
Quant open2
Worst price26716
Drawdown as % of equity-0.25%
($68)
Includes Typical Broker Commissions trade costs of $1.88
10/26/20 14:31 @MYMZ0 MICRO E-MINI DOW SHORT 2 27498 10/26 15:20 27466 0.04%
Trade id #131903149
Max drawdown($13)
Time10/26/20 15:01
Quant open2
Worst price27512
Drawdown as % of equity-0.04%
$30
Includes Typical Broker Commissions trade costs of $1.88
10/14/20 11:01 LAZY LAZYDAYS HOLDINGS INC. COMMON STOCK LONG 100 14.47 10/26 9:30 15.99 0.11%
Trade id #131692662
Max drawdown($37)
Time10/15/20 0:00
Quant open100
Worst price14.09
Drawdown as % of equity-0.11%
$150
Includes Typical Broker Commissions trade costs of $2.00
10/21/20 9:54 PLAY DAVE & BUSTERS ENTERTAINMENT SHORT 400 19.32 10/22 14:14 20.57 1.62%
Trade id #131816876
Max drawdown($503)
Time10/22/20 13:14
Quant open400
Worst price20.58
Drawdown as % of equity-1.62%
($507)
Includes Typical Broker Commissions trade costs of $8.00
10/22/20 10:09 VLDR VELODYNE LIDAR INC LONG 300 12.71 10/22 11:56 13.48 0.2%
Trade id #131840996
Max drawdown($62)
Time10/22/20 10:15
Quant open300
Worst price12.50
Drawdown as % of equity-0.20%
$225
Includes Typical Broker Commissions trade costs of $6.00
9/22/20 9:54 SFT SHIFT TECHNOLOGIES INC LONG 1,000 11.73 10/22 10:47 10.79 3.14%
Trade id #131291066
Max drawdown($978)
Time10/22/20 10:47
Quant open500
Worst price9.78
Drawdown as % of equity-3.14%
($967)
Includes Typical Broker Commissions trade costs of $20.00
9/18/20 11:36 PIC PIVOTAL INVESTMENT CORP II LONG 600 11.41 10/21 9:33 10.21 2.25%
Trade id #131244228
Max drawdown($720)
Time10/20/20 0:00
Quant open600
Worst price10.21
Drawdown as % of equity-2.25%
($726)
Includes Typical Broker Commissions trade costs of $8.50
10/20/20 11:02 HYLN HYLIION LONG 400 23.21 10/20 15:10 23.48 0.06%
Trade id #131794808
Max drawdown($18)
Time10/20/20 11:15
Quant open200
Worst price23.11
Drawdown as % of equity-0.06%
$102
Includes Typical Broker Commissions trade costs of $8.00
10/19/20 9:53 @MNQZ0 MICRO E-MINI NASDAQ 100 LONG 2 11916.99 10/19 9:54 11895.21 0.26%
Trade id #131766602
Max drawdown($87)
Time10/19/20 9:54
Quant open2
Worst price11895.20
Drawdown as % of equity-0.26%
($89)
Includes Typical Broker Commissions trade costs of $1.88

Statistics

  • Strategy began
    3/13/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    259.27
  • Age
    9 months ago
  • What it trades
    Stocks
  • # Trades
    363
  • # Profitable
    222
  • % Profitable
    61.20%
  • Avg trade duration
    13.7 days
  • Max peak-to-valley drawdown
    15.9%
  • drawdown period
    Aug 17, 2020 - Oct 30, 2020
  • Cumul. Return
    85.8%
  • Avg win
    $168.31
  • Avg loss
    $145.21
  • Model Account Values (Raw)
  • Cash
    $16,147
  • Margin Used
    $395
  • Buying Power
    $19,382
  • Ratios
  • W:L ratio
    1.85:1
  • Sharpe Ratio
    2.37
  • Sortino Ratio
    4.43
  • Calmar Ratio
    13.867
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    51.93%
  • Correlation to SP500
    0.35830
  • Return Percent SP500 (cumu) during strategy life
    33.89%
  • Return Statistics
  • Ann Return (w trading costs)
    136.5%
  • Slump
  • Current Slump as Pcnt Equity
    4.70%
  • Instruments
  • Percent Trades Futures
    0.16%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.858%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.83%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    165.2%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    766
  • Popularity (Last 6 weeks)
    971
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    939
  • Popularity (7 days, Percentile 1000 scale)
    928
  • 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
    $151
  • Avg Win
    $166
  • Sum Trade PL (losers)
    $21,262.000
  • AUM
  • AUM (AutoTrader num accounts)
    4
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $36,727.000
  • # Winners
    221
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    264
  • AUM
  • AUM (AutoTrader live capital)
    241801
  • Win / Loss
  • # Losers
    141
  • % Winners
    61.0%
  • Frequency
  • Avg Position Time (mins)
    19768.70
  • Avg Position Time (hrs)
    329.48
  • Avg Trade Length
    13.7 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.58
  • Daily leverage (max)
    7.97
  • Regression
  • Alpha
    0.21
  • Beta
    0.35
  • Treynor Index
    0.72
  • 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)
    -0.21
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.530
  • 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
    0.341
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.161
  • Hold-and-Hope Ratio
    0.334
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.13557
  • SD
    0.39851
  • Sharpe ratio (Glass type estimate)
    2.84958
  • Sharpe ratio (Hedges UMVUE)
    2.53100
  • df
    7.00000
  • t
    2.32667
  • p
    0.02644
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03340
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.58951
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21124
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.27325
  • Statistics related to Sortino ratio
  • Sortino ratio
    75.74480
  • Upside Potential Ratio
    76.96950
  • Upside part of mean
    1.15393
  • Downside part of mean
    -0.01836
  • Upside SD
    0.49618
  • Downside SD
    0.01499
  • N nonnegative terms
    7.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.41972
  • Mean of criterion
    1.13557
  • SD of predictor
    0.08471
  • SD of criterion
    0.39851
  • Covariance
    0.01825
  • r
    0.54072
  • b (slope, estimate of beta)
    2.54384
  • a (intercept, estimate of alpha)
    0.06788
  • Mean Square Error
    0.13110
  • DF error
    6.00000
  • t(b)
    1.57453
  • p(b)
    0.08322
  • t(a)
    0.08378
  • p(a)
    0.46798
  • Lowerbound of 95% confidence interval for beta
    -1.40948
  • Upperbound of 95% confidence interval for beta
    6.49716
  • Lowerbound of 95% confidence interval for alpha
    -1.91470
  • Upperbound of 95% confidence interval for alpha
    2.05047
  • Treynor index (mean / b)
    0.44640
  • Jensen alpha (a)
    0.06788
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.02857
  • SD
    0.34571
  • Sharpe ratio (Glass type estimate)
    2.97523
  • Sharpe ratio (Hedges UMVUE)
    2.64261
  • df
    7.00000
  • t
    2.42927
  • p
    0.02273
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05688
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.74800
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12837
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.41359
  • Statistics related to Sortino ratio
  • Sortino ratio
    68.34660
  • Upside Potential Ratio
    69.57130
  • Upside part of mean
    1.04700
  • Downside part of mean
    -0.01843
  • Upside SD
    0.43876
  • Downside SD
    0.01505
  • N nonnegative terms
    7.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.40868
  • Mean of criterion
    1.02857
  • SD of predictor
    0.08177
  • SD of criterion
    0.34571
  • Covariance
    0.01567
  • r
    0.55438
  • b (slope, estimate of beta)
    2.34381
  • a (intercept, estimate of alpha)
    0.07071
  • Mean Square Error
    0.09658
  • DF error
    6.00000
  • t(b)
    1.63164
  • p(b)
    0.07694
  • t(a)
    0.10106
  • p(a)
    0.46140
  • Lowerbound of 95% confidence interval for beta
    -1.17117
  • Upperbound of 95% confidence interval for beta
    5.85880
  • Lowerbound of 95% confidence interval for alpha
    -1.64129
  • Upperbound of 95% confidence interval for alpha
    1.78271
  • Treynor index (mean / b)
    0.43884
  • Jensen alpha (a)
    0.07071
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07544
  • Expected Shortfall on VaR
    0.11260
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00098
  • Expected Shortfall on VaR
    0.00325
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.99009
  • Quartile 1
    1.02301
  • Median
    1.05218
  • Quartile 3
    1.13711
  • Maximum
    1.33639
  • Mean of quarter 1
    1.00392
  • Mean of quarter 2
    1.02766
  • Mean of quarter 3
    1.09842
  • Mean of quarter 4
    1.25784
  • Inter Quartile Range
    0.11411
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    1.33639
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.00991
  • Quartile 1
    0.00991
  • Median
    0.00991
  • Quartile 3
    0.00991
  • Maximum
    0.00991
  • 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)
    1.53370
  • Compounded annual return (geometric extrapolation)
    1.87622
  • Calmar ratio (compounded annual return / max draw down)
    189.27500
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    16.66190
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.00930
  • SD
    0.31235
  • Sharpe ratio (Glass type estimate)
    3.23126
  • Sharpe ratio (Hedges UMVUE)
    3.21800
  • df
    183.00000
  • t
    2.70788
  • p
    0.37585
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.86491
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.58902
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.85610
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.57990
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.34056
  • Upside Potential Ratio
    14.69230
  • Upside part of mean
    2.33873
  • Downside part of mean
    -1.32944
  • Upside SD
    0.27493
  • Downside SD
    0.15918
  • N nonnegative terms
    102.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    184.00000
  • Mean of predictor
    0.44335
  • Mean of criterion
    1.00930
  • SD of predictor
    0.33229
  • SD of criterion
    0.31235
  • Covariance
    0.03235
  • r
    0.31168
  • b (slope, estimate of beta)
    0.29298
  • a (intercept, estimate of alpha)
    0.87900
  • Mean Square Error
    0.08857
  • DF error
    182.00000
  • t(b)
    4.42520
  • p(b)
    0.34416
  • t(a)
    2.46787
  • p(a)
    0.41003
  • Lowerbound of 95% confidence interval for beta
    0.16234
  • Upperbound of 95% confidence interval for beta
    0.42361
  • Lowerbound of 95% confidence interval for alpha
    0.17631
  • Upperbound of 95% confidence interval for alpha
    1.58249
  • Treynor index (mean / b)
    3.44498
  • Jensen alpha (a)
    0.87940
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.95965
  • SD
    0.30856
  • Sharpe ratio (Glass type estimate)
    3.11007
  • Sharpe ratio (Hedges UMVUE)
    3.09731
  • df
    183.00000
  • t
    2.60633
  • p
    0.38028
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.74561
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.46630
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73710
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.45752
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.94865
  • Upside Potential Ratio
    14.26860
  • Upside part of mean
    2.30184
  • Downside part of mean
    -1.34219
  • Upside SD
    0.26867
  • Downside SD
    0.16132
  • N nonnegative terms
    102.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    184.00000
  • Mean of predictor
    0.38761
  • Mean of criterion
    0.95965
  • SD of predictor
    0.33460
  • SD of criterion
    0.30856
  • Covariance
    0.03172
  • r
    0.30722
  • b (slope, estimate of beta)
    0.28331
  • a (intercept, estimate of alpha)
    0.84983
  • Mean Square Error
    0.08670
  • DF error
    182.00000
  • t(b)
    4.35532
  • p(b)
    0.34639
  • t(a)
    2.41254
  • p(a)
    0.41198
  • Lowerbound of 95% confidence interval for beta
    0.15496
  • Upperbound of 95% confidence interval for beta
    0.41166
  • Lowerbound of 95% confidence interval for alpha
    0.15480
  • Upperbound of 95% confidence interval for alpha
    1.54487
  • Treynor index (mean / b)
    3.38723
  • Jensen alpha (a)
    0.84983
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02731
  • Expected Shortfall on VaR
    0.03501
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01093
  • Expected Shortfall on VaR
    0.02112
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    184.00000
  • Minimum
    0.95169
  • Quartile 1
    0.99170
  • Median
    1.00177
  • Quartile 3
    1.01130
  • Maximum
    1.08406
  • Mean of quarter 1
    0.98293
  • Mean of quarter 2
    0.99726
  • Mean of quarter 3
    1.00649
  • Mean of quarter 4
    1.02916
  • Inter Quartile Range
    0.01961
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01087
  • Mean of outliers low
    0.95237
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.04891
  • Mean of outliers high
    1.05678
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.03818
  • VaR(95%) (moments method)
    0.01697
  • Expected Shortfall (moments method)
    0.02275
  • Extreme Value Index (regression method)
    -0.21907
  • VaR(95%) (regression method)
    0.01762
  • Expected Shortfall (regression method)
    0.02155
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00001
  • Quartile 1
    0.01829
  • Median
    0.04098
  • Quartile 3
    0.06175
  • Maximum
    0.12148
  • Mean of quarter 1
    0.00776
  • Mean of quarter 2
    0.03004
  • Mean of quarter 3
    0.05059
  • Mean of quarter 4
    0.09057
  • Inter Quartile Range
    0.04346
  • 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)
    -3.67796
  • VaR(95%) (moments method)
    0.09871
  • Expected Shortfall (moments method)
    0.09885
  • Extreme Value Index (regression method)
    -0.61629
  • VaR(95%) (regression method)
    0.11520
  • Expected Shortfall (regression method)
    0.12632
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.42506
  • Compounded annual return (geometric extrapolation)
    1.68466
  • Calmar ratio (compounded annual return / max draw down)
    13.86740
  • Compounded annual return / average of 25% largest draw downs
    18.60000
  • Compounded annual return / Expected Shortfall lognormal
    48.12450
  • 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
    0.46856
  • SD
    0.24368
  • Sharpe ratio (Glass type estimate)
    1.92286
  • Sharpe ratio (Hedges UMVUE)
    1.91175
  • df
    130.00000
  • t
    1.35967
  • p
    0.44079
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86241
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.70088
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86978
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.69328
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.26278
  • Upside Potential Ratio
    12.23510
  • Upside part of mean
    1.75706
  • Downside part of mean
    -1.28850
  • Upside SD
    0.19784
  • Downside SD
    0.14361
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35000
  • Mean of criterion
    0.46856
  • SD of predictor
    0.20250
  • SD of criterion
    0.24368
  • Covariance
    0.02088
  • r
    0.42305
  • b (slope, estimate of beta)
    0.50907
  • a (intercept, estimate of alpha)
    0.29039
  • Mean Square Error
    0.04913
  • DF error
    129.00000
  • t(b)
    5.30282
  • p(b)
    0.23894
  • t(a)
    0.92110
  • p(a)
    0.44860
  • Lowerbound of 95% confidence interval for beta
    0.31913
  • Upperbound of 95% confidence interval for beta
    0.69901
  • Lowerbound of 95% confidence interval for alpha
    -0.33336
  • Upperbound of 95% confidence interval for alpha
    0.91414
  • Treynor index (mean / b)
    0.92042
  • Jensen alpha (a)
    0.29039
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43887
  • SD
    0.24243
  • Sharpe ratio (Glass type estimate)
    1.81026
  • Sharpe ratio (Hedges UMVUE)
    1.79980
  • df
    130.00000
  • t
    1.28005
  • p
    0.44422
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97366
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.58740
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.98063
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.58022
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.02601
  • Upside Potential Ratio
    11.98130
  • Upside part of mean
    1.73767
  • Downside part of mean
    -1.29881
  • Upside SD
    0.19500
  • Downside SD
    0.14503
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32920
  • Mean of criterion
    0.43887
  • SD of predictor
    0.20400
  • SD of criterion
    0.24243
  • Covariance
    0.02097
  • r
    0.42396
  • b (slope, estimate of beta)
    0.50383
  • a (intercept, estimate of alpha)
    0.27301
  • Mean Square Error
    0.04858
  • DF error
    129.00000
  • t(b)
    5.31679
  • p(b)
    0.23841
  • t(a)
    0.87147
  • p(a)
    0.45134
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    0.31634
  • Upperbound of 95% confidence interval for beta
    0.69132
  • Lowerbound of 95% confidence interval for alpha
    -0.34681
  • Upperbound of 95% confidence interval for alpha
    0.89282
  • Treynor index (mean / b)
    0.87106
  • Jensen alpha (a)
    0.27301
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02270
  • Expected Shortfall on VaR
    0.02878
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01119
  • Expected Shortfall on VaR
    0.02042
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97057
  • Quartile 1
    0.99203
  • Median
    1.00130
  • Quartile 3
    1.00937
  • Maximum
    1.04636
  • Mean of quarter 1
    0.98413
  • Mean of quarter 2
    0.99665
  • Mean of quarter 3
    1.00510
  • Mean of quarter 4
    1.02179
  • Inter Quartile Range
    0.01734
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.04308
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.21141
  • VaR(95%) (moments method)
    0.01624
  • Expected Shortfall (moments method)
    0.01981
  • Extreme Value Index (regression method)
    -0.48753
  • VaR(95%) (regression method)
    0.01655
  • Expected Shortfall (regression method)
    0.01888
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00488
  • Quartile 1
    0.02029
  • Median
    0.04185
  • Quartile 3
    0.06820
  • Maximum
    0.12148
  • Mean of quarter 1
    0.01109
  • Mean of quarter 2
    0.02900
  • Mean of quarter 3
    0.05474
  • Mean of quarter 4
    0.10341
  • Inter Quartile Range
    0.04791
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -304380000
  • Max Equity Drawdown (num days)
    74
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.52574
  • Compounded annual return (geometric extrapolation)
    0.59484
  • Calmar ratio (compounded annual return / max draw down)
    4.89650
  • Compounded annual return / average of 25% largest draw downs
    5.75234
  • Compounded annual return / Expected Shortfall lognormal
    20.66740

Strategy Description

- 10+ years trading experience
- Swing trade under/over-valued stocks both in short-term and long-term
- Risk no more than 2% for each position
- Stop loss is placed when a position is opened, subscribers should receive notification
- Min Capital: $25,000

About the subscription fee:
The subscription fee will be updated on a month basis based on last month's performance.
The formula is: next month fee = this month fee * risk-adjust return for this month.
Risk adjust return = return - SPY return.

Summary Statistics

Strategy began
2020-03-13
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 6.1%
Rank # 
#40
# Trades
363
# Profitable
222
% Profitable
61.2%
Net Dividends
Correlation S&P500
0.358
Sharpe Ratio
2.37
Sortino Ratio
4.43
Beta
0.35
Alpha
0.21
Leverage
1.58 Average
7.97 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.