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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 251
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 218
Percent signals followed since 06/25/2020 86.9%
This information was last updated 8/15/20 15:15 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 $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
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
167.9%
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.

(14.7%)
Max Drawdown
219
Num Trades
65.3%
Win Trades
2.5 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              +20.9%+21.2%+3.2%+5.0%+14.0%+48.0%                        +167.9%

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 354 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/5/20 10:17 SILV SILVERCREST METALS INC LONG 100 10.59 8/7 13:07 9.47 0.34%
Trade id #130469065
Max drawdown($113)
Time8/7/20 13:07
Quant open100
Worst price9.46
Drawdown as % of equity-0.34%
($114)
Includes Typical Broker Commissions trade costs of $2.00
6/29/20 13:06 SKT TANGER FACTORY OUTLET LONG 200 7.29 8/7 11:05 6.09 0.78%
Trade id #129806351
Max drawdown($259)
Time8/7/20 9:37
Quant open200
Worst price5.99
Drawdown as % of equity-0.78%
($243)
Includes Typical Broker Commissions trade costs of $4.00
8/7/20 9:33 @MNQU0 MICRO E-MINI NASDAQ 100 SHORT 10 11230.51 8/7 9:42 11226.85 0.22%
Trade id #130510048
Max drawdown($74)
Time8/7/20 9:42
Quant open5
Worst price11238.00
Drawdown as % of equity-0.22%
$64
Includes Typical Broker Commissions trade costs of $9.40
8/6/20 11:49 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 10 11126.19 8/6 11:52 11125.10 0.15%
Trade id #130492799
Max drawdown($51)
Time8/6/20 11:52
Quant open5
Worst price11121.00
Drawdown as % of equity-0.15%
($31)
Includes Typical Broker Commissions trade costs of $9.40
8/5/20 15:13 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 10 11102.67 8/5 15:30 11101.20 0.19%
Trade id #130475385
Max drawdown($63)
Time8/5/20 15:30
Quant open10
Worst price11099.50
Drawdown as % of equity-0.19%
($38)
Includes Typical Broker Commissions trade costs of $9.40
7/10/20 13:02 DS DRIVE SHACK INC LONG 1,000 1.73 8/5 9:40 1.70 0.42%
Trade id #130019802
Max drawdown($125)
Time7/14/20 0:00
Quant open1,000
Worst price1.60
Drawdown as % of equity-0.42%
($33)
Includes Typical Broker Commissions trade costs of $5.00
8/3/20 14:53 INTC INTEL LONG 100 48.36 8/5 9:34 49.34 0.08%
Trade id #130428978
Max drawdown($25)
Time8/3/20 15:16
Quant open100
Worst price48.10
Drawdown as % of equity-0.08%
$96
Includes Typical Broker Commissions trade costs of $2.00
7/7/20 10:53 SHLL TORTOISE ACQUISITION CORP LONG 400 20.88 8/3 11:09 18.82 3.62%
Trade id #129946245
Max drawdown($1,155)
Time7/24/20 0:00
Quant open300
Worst price17.84
Drawdown as % of equity-3.62%
($833)
Includes Typical Broker Commissions trade costs of $8.00
7/31/20 11:44 @MYMU0 MICRO E-MINI DOW SHORT 5 26077 7/31 12:55 26012 0.24%
Trade id #130390557
Max drawdown($75)
Time7/31/20 11:49
Quant open5
Worst price26108
Drawdown as % of equity-0.24%
$157
Includes Typical Broker Commissions trade costs of $4.70
7/31/20 10:14 KNDI KANDI TECHNOLGIES GROUP INC C LONG 200 7.46 7/31 11:13 7.05 0.38%
Trade id #130388519
Max drawdown($122)
Time7/31/20 10:28
Quant open200
Worst price6.85
Drawdown as % of equity-0.38%
($87)
Includes Typical Broker Commissions trade costs of $4.00
7/31/20 9:34 KNDI KANDI TECHNOLGIES GROUP INC C LONG 100 7.99 7/31 9:41 8.16 0.01%
Trade id #130386901
Max drawdown($4)
Time7/31/20 9:41
Quant open50
Worst price7.90
Drawdown as % of equity-0.01%
$15
Includes Typical Broker Commissions trade costs of $2.00
7/16/20 11:13 USO UNITED STATES OIL LONG 500 29.36 7/30 9:58 29.01 0.73%
Trade id #130116896
Max drawdown($232)
Time7/20/20 0:00
Quant open300
Worst price28.59
Drawdown as % of equity-0.73%
($190)
Includes Typical Broker Commissions trade costs of $10.00
7/28/20 15:05 @M6EU0 E-MICRO EUR/USD LONG 10 1.1734 7/29 8:14 1.1742 0.39%
Trade id #130323263
Max drawdown($128)
Time7/28/20 15:58
Quant open10
Worst price1.1724
Drawdown as % of equity-0.39%
$88
Includes Typical Broker Commissions trade costs of $7.00
7/28/20 9:50 RMBL RUMBLEON INC. CLASS B COMMON STOCK LONG 100 21.66 7/28 11:18 21.75 0.1%
Trade id #130316696
Max drawdown($31)
Time7/28/20 11:18
Quant open50
Worst price21.04
Drawdown as % of equity-0.10%
$7
Includes Typical Broker Commissions trade costs of $2.00
7/27/20 14:41 BLCT BLUECITY HOLDINGS LTD SPON ADS LONG 100 14.22 7/28 10:14 13.65 0.19%
Trade id #130299291
Max drawdown($62)
Time7/28/20 9:57
Quant open100
Worst price13.60
Drawdown as % of equity-0.19%
($60)
Includes Typical Broker Commissions trade costs of $2.00
7/27/20 14:56 API AGORA INC. AMERICAN DEPOSITARY SHARES LONG 40 40.00 7/28 10:14 37.81 0.28%
Trade id #130299489
Max drawdown($89)
Time7/28/20 10:14
Quant open40
Worst price37.77
Drawdown as % of equity-0.28%
($89)
Includes Typical Broker Commissions trade costs of $0.80
7/21/20 10:46 INMB INMUNE BIO INC. COMMON STOCK LONG 350 12.45 7/24 12:51 11.48 1.22%
Trade id #130188778
Max drawdown($383)
Time7/24/20 12:51
Quant open350
Worst price11.35
Drawdown as % of equity-1.22%
($345)
Includes Typical Broker Commissions trade costs of $7.00
7/23/20 11:03 LLNW LIMELIGHT NETWORKS LONG 200 6.26 7/23 12:09 6.21 0.07%
Trade id #130239620
Max drawdown($23)
Time7/23/20 11:48
Quant open200
Worst price6.14
Drawdown as % of equity-0.07%
($14)
Includes Typical Broker Commissions trade costs of $4.00
7/22/20 9:37 NFLX NETFLIX LONG 6 489.80 7/23 12:08 482.75 0.14%
Trade id #130213847
Max drawdown($46)
Time7/23/20 12:08
Quant open6
Worst price482.00
Drawdown as % of equity-0.14%
($42)
Includes Typical Broker Commissions trade costs of $0.12
7/23/20 11:06 MSFT MICROSOFT SHORT 100 207.75 7/23 11:38 207.23 0.12%
Trade id #130239711
Max drawdown($37)
Time7/23/20 11:20
Quant open100
Worst price208.13
Drawdown as % of equity-0.12%
$50
Includes Typical Broker Commissions trade costs of $2.00
7/15/20 9:34 SHLL2021H30 SHLL Aug21'20 30 call SHORT 2 2.50 7/23 11:18 0.80 0.1%
Trade id #130091543
Max drawdown($29)
Time7/15/20 10:02
Quant open2
Worst price2.65
Drawdown as % of equity-0.10%
$339
Includes Typical Broker Commissions trade costs of $3.40
7/23/20 9:39 TWTR TWITTER INC LONG 30 38.07 7/23 9:53 39.10 0.02%
Trade id #130237053
Max drawdown($5)
Time7/23/20 9:42
Quant open30
Worst price37.90
Drawdown as % of equity-0.02%
$30
Includes Typical Broker Commissions trade costs of $0.60
7/22/20 11:07 CHKP CHECK POINT SOFTWARE LONG 10 123.93 7/23 9:53 124.49 0.08%
Trade id #130218295
Max drawdown($26)
Time7/23/20 0:00
Quant open10
Worst price121.31
Drawdown as % of equity-0.08%
$6
Includes Typical Broker Commissions trade costs of $0.20
7/22/20 23:20 @MNQU0 MICRO E-MINI NASDAQ 100 SHORT 3 10831.73 7/23 2:46 10902.23 1.56%
Trade id #130229167
Max drawdown($516)
Time7/23/20 2:46
Quant open3
Worst price10917.80
Drawdown as % of equity-1.56%
($426)
Includes Typical Broker Commissions trade costs of $2.82
7/22/20 12:15 LLNW LIMELIGHT NETWORKS LONG 200 6.79 7/22 13:14 6.70 0.08%
Trade id #130220654
Max drawdown($26)
Time7/22/20 13:01
Quant open200
Worst price6.66
Drawdown as % of equity-0.08%
($22)
Includes Typical Broker Commissions trade costs of $4.00
7/22/20 12:16 API AGORA INC. AMERICAN DEPOSITARY SHARES LONG 20 46.00 7/22 13:14 46.08 0%
Trade id #130220688
Max drawdown($0)
Time7/22/20 12:20
Quant open20
Worst price45.97
Drawdown as % of equity-0.00%
$2
Includes Typical Broker Commissions trade costs of $0.40
7/22/20 4:03 @MNQU0 MICRO E-MINI NASDAQ 100 SHORT 2 10804.94 7/22 9:32 10852.00 0.97%
Trade id #130205431
Max drawdown($315)
Time7/22/20 7:29
Quant open2
Worst price10883.80
Drawdown as % of equity-0.97%
($190)
Includes Typical Broker Commissions trade costs of $1.88
7/21/20 9:40 TLRD TAILORED BRANDS INC LONG 2,500 0.75 7/21 15:30 0.73 0.24%
Trade id #130186621
Max drawdown($74)
Time7/21/20 9:50
Quant open2,500
Worst price0.72
Drawdown as % of equity-0.24%
($48)
Includes Typical Broker Commissions trade costs of $10.00
7/20/20 11:20 @MNQU0 MICRO E-MINI NASDAQ 100 SHORT 5 10777.55 7/20 11:26 10784.16 0.28%
Trade id #130168296
Max drawdown($86)
Time7/20/20 11:26
Quant open5
Worst price10786.20
Drawdown as % of equity-0.28%
($71)
Includes Typical Broker Commissions trade costs of $4.70
7/17/20 10:56 RMBL RUMBLEON INC. CLASS B COMMON STOCK LONG 50 20.85 7/20 9:33 20.68 0.41%
Trade id #130136151
Max drawdown($125)
Time7/17/20 12:12
Quant open50
Worst price18.33
Drawdown as % of equity-0.41%
($9)
Includes Typical Broker Commissions trade costs of $1.00

Statistics

  • Strategy began
    3/13/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    155.53
  • Age
    156 days ago
  • What it trades
    Stocks
  • # Trades
    219
  • # Profitable
    143
  • % Profitable
    65.30%
  • Avg trade duration
    13.6 days
  • Max peak-to-valley drawdown
    14.74%
  • drawdown period
    March 16, 2020 - March 18, 2020
  • Cumul. Return
    167.9%
  • Avg win
    $165.66
  • Avg loss
    $126.92
  • Model Account Values (Raw)
  • Cash
    $35,500
  • Margin Used
    $0
  • Buying Power
    $55,070
  • Ratios
  • W:L ratio
    2.50:1
  • Sharpe Ratio
    2.85
  • Sortino Ratio
    12.37
  • Calmar Ratio
    107.077
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    143.53%
  • Correlation to SP500
    0.16130
  • Return Percent SP500 (cumu) during strategy life
    24.41%
  • Return Statistics
  • Ann Return (w trading costs)
    865.4%
  • Slump
  • Current Slump as Pcnt Equity
    0.20%
  • Instruments
  • Percent Trades Futures
    0.08%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.679%
  • Instruments
  • Percent Trades Options
    0.00%
  • Percent Trades Stocks
    0.92%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    972.8%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    997
  • Popularity (Last 6 weeks)
    998
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    998
  • Popularity (7 days, Percentile 1000 scale)
    995
  • 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
    $127
  • Avg Win
    $289
  • Sum Trade PL (losers)
    $9,646.000
  • AUM
  • AUM (AutoTrader num accounts)
    28
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $41,260.000
  • # Winners
    143
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    189
  • AUM
  • AUM (AutoTrader live capital)
    1608170
  • Win / Loss
  • # Losers
    76
  • % Winners
    65.3%
  • Frequency
  • Avg Position Time (mins)
    19639.10
  • Avg Position Time (hrs)
    327.32
  • Avg Trade Length
    13.6 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.25
  • Daily leverage (max)
    7.97
  • Regression
  • Alpha
    0.65
  • Beta
    0.30
  • Treynor Index
    2.30
  • 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)
    -0.32
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    0.611
  • 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
    0.158
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.039
  • Hold-and-Hope Ratio
    0.768
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.72468
  • SD
    0.42265
  • Sharpe ratio (Glass type estimate)
    4.08061
  • Sharpe ratio (Hedges UMVUE)
    3.25586
  • df
    4.00000
  • t
    2.63402
  • p
    0.02897
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12225
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.03685
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52696
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.03867
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.72468
  • Downside part of mean
    0.00000
  • Upside SD
    0.62513
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.51167
  • Mean of criterion
    1.72468
  • SD of predictor
    0.09260
  • SD of criterion
    0.42265
  • Covariance
    0.01521
  • r
    0.38851
  • b (slope, estimate of beta)
    1.77323
  • a (intercept, estimate of alpha)
    0.81737
  • Mean Square Error
    0.20223
  • DF error
    3.00000
  • t(b)
    0.73030
  • p(b)
    0.25904
  • t(a)
    0.57384
  • p(a)
    0.30314
  • Lowerbound of 95% confidence interval for beta
    -5.95408
  • Upperbound of 95% confidence interval for beta
    9.50054
  • Lowerbound of 95% confidence interval for alpha
    -3.71568
  • Upperbound of 95% confidence interval for alpha
    5.35041
  • Treynor index (mean / b)
    0.97262
  • Jensen alpha (a)
    0.81737
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.55540
  • SD
    0.35949
  • Sharpe ratio (Glass type estimate)
    4.32666
  • Sharpe ratio (Hedges UMVUE)
    3.45218
  • df
    4.00000
  • t
    2.79285
  • p
    0.02458
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.01400
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.39485
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41332
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.31768
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.55540
  • Downside part of mean
    0.00000
  • Upside SD
    0.55226
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.49674
  • Mean of criterion
    1.55540
  • SD of predictor
    0.08940
  • SD of criterion
    0.35949
  • Covariance
    0.01290
  • r
    0.40126
  • b (slope, estimate of beta)
    1.61355
  • a (intercept, estimate of alpha)
    0.75387
  • Mean Square Error
    0.14457
  • DF error
    3.00000
  • t(b)
    0.75877
  • p(b)
    0.25158
  • t(a)
    0.62330
  • p(a)
    0.28863
  • Lowerbound of 95% confidence interval for beta
    -5.15408
  • Upperbound of 95% confidence interval for beta
    8.38119
  • Lowerbound of 95% confidence interval for alpha
    -3.09524
  • Upperbound of 95% confidence interval for alpha
    4.60299
  • Treynor index (mean / b)
    0.96396
  • Jensen alpha (a)
    0.75387
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04025
  • Expected Shortfall on VaR
    0.08031
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    1.01776
  • Quartile 1
    1.07378
  • Median
    1.12305
  • Quartile 3
    1.17928
  • Maximum
    1.33639
  • Mean of quarter 1
    1.04577
  • Mean of quarter 2
    1.12305
  • Mean of quarter 3
    1.17928
  • Mean of quarter 4
    1.33639
  • Inter Quartile Range
    0.10550
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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)
    2.24216
  • Compounded annual return (geometric extrapolation)
    3.87104
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    48.20350
  • 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
    2.58791
  • SD
    0.71445
  • Sharpe ratio (Glass type estimate)
    3.62221
  • Sharpe ratio (Hedges UMVUE)
    3.59723
  • df
    109.00000
  • t
    2.34704
  • p
    0.36150
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.55139
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.67688
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53494
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.65953
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.97550
  • Upside Potential Ratio
    23.46430
  • Upside part of mean
    3.80103
  • Downside part of mean
    -1.21312
  • Upside SD
    0.71072
  • Downside SD
    0.16199
  • N nonnegative terms
    67.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    110.00000
  • Mean of predictor
    0.57203
  • Mean of criterion
    2.58791
  • SD of predictor
    0.39765
  • SD of criterion
    0.71445
  • Covariance
    0.03738
  • r
    0.13157
  • b (slope, estimate of beta)
    0.23638
  • a (intercept, estimate of alpha)
    2.45300
  • Mean Square Error
    0.50626
  • DF error
    108.00000
  • t(b)
    1.37926
  • p(b)
    0.43422
  • t(a)
    2.22474
  • p(a)
    0.39533
  • Lowerbound of 95% confidence interval for beta
    -0.10333
  • Upperbound of 95% confidence interval for beta
    0.57609
  • Lowerbound of 95% confidence interval for alpha
    0.26742
  • Upperbound of 95% confidence interval for alpha
    4.63796
  • Treynor index (mean / b)
    10.94800
  • Jensen alpha (a)
    2.45269
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.36605
  • SD
    0.62315
  • Sharpe ratio (Glass type estimate)
    3.79690
  • Sharpe ratio (Hedges UMVUE)
    3.77072
  • df
    109.00000
  • t
    2.46023
  • p
    0.35527
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.72206
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.85493
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.70475
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.83669
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.38110
  • Upside Potential Ratio
    21.83530
  • Upside part of mean
    3.59244
  • Downside part of mean
    -1.22639
  • Upside SD
    0.61570
  • Downside SD
    0.16453
  • N nonnegative terms
    67.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    110.00000
  • Mean of predictor
    0.49236
  • Mean of criterion
    2.36605
  • SD of predictor
    0.40070
  • SD of criterion
    0.62315
  • Covariance
    0.03712
  • r
    0.14866
  • b (slope, estimate of beta)
    0.23120
  • a (intercept, estimate of alpha)
    2.25222
  • Mean Square Error
    0.38325
  • DF error
    108.00000
  • t(b)
    1.56233
  • p(b)
    0.42567
  • t(a)
    2.35047
  • p(a)
    0.38970
  • Lowerbound of 95% confidence interval for beta
    -0.06213
  • Upperbound of 95% confidence interval for beta
    0.52453
  • Lowerbound of 95% confidence interval for alpha
    0.35290
  • Upperbound of 95% confidence interval for alpha
    4.15154
  • Treynor index (mean / b)
    10.23390
  • Jensen alpha (a)
    2.25222
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05285
  • Expected Shortfall on VaR
    0.06787
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00901
  • Expected Shortfall on VaR
    0.01880
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    110.00000
  • Minimum
    0.95169
  • Quartile 1
    0.99450
  • Median
    1.00402
  • Quartile 3
    1.01733
  • Maximum
    1.41253
  • Mean of quarter 1
    0.98333
  • Mean of quarter 2
    0.99954
  • Mean of quarter 3
    1.00938
  • Mean of quarter 4
    1.04729
  • Inter Quartile Range
    0.02283
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01818
  • Mean of outliers low
    0.95237
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.04545
  • Mean of outliers high
    1.13870
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.32462
  • VaR(95%) (moments method)
    0.01451
  • Expected Shortfall (moments method)
    0.01776
  • Extreme Value Index (regression method)
    -0.32271
  • VaR(95%) (regression method)
    0.01698
  • Expected Shortfall (regression method)
    0.02105
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00001
  • Quartile 1
    0.01307
  • Median
    0.03211
  • Quartile 3
    0.05326
  • Maximum
    0.09299
  • Mean of quarter 1
    0.00458
  • Mean of quarter 2
    0.02356
  • Mean of quarter 3
    0.04612
  • Mean of quarter 4
    0.07167
  • Inter Quartile Range
    0.04019
  • 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)
    -0.02699
  • VaR(95%) (moments method)
    0.07871
  • Expected Shortfall (moments method)
    0.09293
  • Extreme Value Index (regression method)
    2.36359
  • VaR(95%) (regression method)
    0.10172
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    4.12572
  • Compounded annual return (geometric extrapolation)
    9.95678
  • Calmar ratio (compounded annual return / max draw down)
    107.07700
  • Compounded annual return / average of 25% largest draw downs
    138.93100
  • Compounded annual return / Expected Shortfall lognormal
    146.71200
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.05300
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -273682000
  • Max Equity Drawdown (num days)
    2

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

Summary Statistics

Strategy began
2020-03-13
Suggested Minimum Capital
$50,000
Rank at C2 %
Top 0.2%
Rank # 
#1
# Trades
219
# Profitable
143
% Profitable
65.3%
Net Dividends
Correlation S&P500
0.161
Sharpe Ratio
2.85
Sortino Ratio
12.37
Beta
0.30
Alpha
0.65
Leverage
1.25 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

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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.