Collective2 Collective2
Featured Strategy MT3 Algotrading +76.1% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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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 01/04/2024
Most recent certification approved 1/4/24 13:42 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 329
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 329
Percent signals followed since 01/04/2024 100%
This information was last updated 12/27/24 14:05 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 01/04/2024, 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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

StockAnalyzer
(146903410)

Powered by BrokerTransmit.
Read important disclosures.

Created by: Financial_Strategies Financial_Strategies
Started: 01/2024
Stocks
Last trade: 3 days ago
Trading style: Equity Trend-following Momentum

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 $39.00 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.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
29.5%
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.

(36.9%)
Max Drawdown
141
Num Trades
34.8%
Win Trades
1.4 : 1
Profit Factor
41.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024(8.1%)+32.4%(4.8%)(14.9%)(3.4%)(1.7%)(4.1%)+1.5%+4.4%+3.7%+33.9%(2%)+29.5%

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.

Trading Record

This strategy has placed 328 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/20/24 9:32 AVPT AVEPOINT INC LONG 865 9.03 12/23 15:54 17.45 0.1%
Trade id #148206286
Max drawdown($138)
Time6/3/24 0:00
Quant open865
Worst price8.87
Drawdown as % of equity-0.10%
 $7,272
Includes Typical Broker Commissions trade costs of $11.15
12/9/24 9:32 DNA GINKGO BIOWORKS HOLDINGS INC LONG 600 11.88 12/9 15:51 10.66 0.42%
Trade id #150278015
Max drawdown($762)
Time12/9/24 15:48
Quant open600
Worst price10.61
Drawdown as % of equity-0.42%
 ($739)
Includes Typical Broker Commissions trade costs of $8.50
10/15/24 15:19 CHWY CHEWY INC LONG 340 28.47 12/5 15:59 31.06 0.51%
Trade id #149666699
Max drawdown($744)
Time10/29/24 0:00
Quant open340
Worst price26.28
Drawdown as % of equity-0.51%
 $874
Includes Typical Broker Commissions trade costs of $6.80
5/1/24 15:45 RVMD REVOLUTION MEDICINES INC. COMMON STOCK LONG 206 39.02 12/3 15:57 47.93 0.38%
Trade id #148066807
Max drawdown($523)
Time6/17/24 0:00
Quant open206
Worst price36.48
Drawdown as % of equity-0.38%
 $1,831
Includes Typical Broker Commissions trade costs of $4.12
5/2/24 9:33 RNA AVIDITY BIOSCIENCES INC. COMMON STOCK LONG 310 26.34 11/15 15:59 42.14 0.3%
Trade id #148071988
Max drawdown($429)
Time5/7/24 0:00
Quant open310
Worst price24.95
Drawdown as % of equity-0.30%
 $4,893
Includes Typical Broker Commissions trade costs of $6.20
11/7/24 9:32 IAS INTEGRAL AD SCIENCE HC. LONG 651 12.71 11/14 9:33 10.79 0.79%
Trade id #150027164
Max drawdown($1,269)
Time11/13/24 0:00
Quant open651
Worst price10.76
Drawdown as % of equity-0.79%
 ($1,255)
Includes Typical Broker Commissions trade costs of $5.00
7/11/24 9:32 SPRY ARS PHARMACEUTICALS INC. LONG 810 10.90 11/13 15:57 13.91 1.32%
Trade id #148620835
Max drawdown($1,615)
Time8/5/24 0:00
Quant open810
Worst price8.91
Drawdown as % of equity-1.32%
 $2,433
Includes Typical Broker Commissions trade costs of $5.00
8/12/24 9:32 ALDX ALDEYRA THERAPEUTICS INC. COM LONG 1,566 5.19 11/12 15:48 4.74 1%
Trade id #148890420
Max drawdown($1,167)
Time8/12/24 13:39
Quant open1,566
Worst price4.44
Drawdown as % of equity-1.00%
 ($713)
Includes Typical Broker Commissions trade costs of $5.00
8/19/24 9:33 EVGO EVGO INC LONG 2,113 3.83 11/8 15:57 5.50 0.44%
Trade id #148951753
Max drawdown($570)
Time8/20/24 0:00
Quant open2,113
Worst price3.56
Drawdown as % of equity-0.44%
 $3,513
Includes Typical Broker Commissions trade costs of $8.64
11/7/24 9:30 LNTH LANTHEUS HOLDINGS INC. COMMON STOCK LONG 95 91.49 11/7 16:33 88.38 0.25%
Trade id #150026862
Max drawdown($384)
Time11/7/24 16:00
Quant open95
Worst price87.44
Drawdown as % of equity-0.25%
 ($298)
Includes Typical Broker Commissions trade costs of $1.90
10/22/24 9:33 AMPX AMPRIUS TECHNOLOGIES INC LONG 5,522 1.64 11/6 15:56 1.25 1.74%
Trade id #149782893
Max drawdown($2,540)
Time11/4/24 0:00
Quant open5,522
Worst price1.18
Drawdown as % of equity-1.74%
 ($2,186)
Includes Typical Broker Commissions trade costs of $5.00
5/10/24 9:33 TSEM TOWER SEMICONDUCTOR LONG 219 37.30 11/5 9:32 40.87 0.38%
Trade id #148139998
Max drawdown($468)
Time8/5/24 0:00
Quant open219
Worst price35.16
Drawdown as % of equity-0.38%
 $778
Includes Typical Broker Commissions trade costs of $4.38
9/16/24 9:33 U UNITY SOFTWARE INC LONG 401 19.55 10/25 16:17 19.67 0.1%
Trade id #149400631
Max drawdown($128)
Time9/16/24 9:51
Quant open401
Worst price19.23
Drawdown as % of equity-0.10%
 $40
Includes Typical Broker Commissions trade costs of $8.02
10/21/24 9:33 QBTS D-WAVE QUANTUM INC LONG 7,359 1.21 10/24 15:56 1.12 0.56%
Trade id #149723828
Max drawdown($809)
Time10/24/24 14:33
Quant open7,359
Worst price1.10
Drawdown as % of equity-0.56%
 ($646)
Includes Typical Broker Commissions trade costs of $5.00
7/16/24 16:18 CDNA CAREDX INC LONG 480 18.70 10/15 15:51 26.76 0.51%
Trade id #148664709
Max drawdown($700)
Time7/17/24 0:00
Quant open480
Worst price17.24
Drawdown as % of equity-0.51%
 $3,859
Includes Typical Broker Commissions trade costs of $9.60
7/11/24 16:02 NOVA SUNNOVA ENERGY INTERNATIONAL INC LONG 1,150 7.25 10/1 15:49 9.00 0.72%
Trade id #148627210
Max drawdown($851)
Time8/12/24 0:00
Quant open1,150
Worst price6.51
Drawdown as % of equity-0.72%
 $2,007
Includes Typical Broker Commissions trade costs of $5.00
8/14/24 9:32 HEPS D-MARKET ELECTRONIC SERVICES & TRADING ADS LONG 2,961 2.88 9/12 15:17 2.32 1.88%
Trade id #148913086
Max drawdown($2,279)
Time9/11/24 0:00
Quant open2,961
Worst price2.11
Drawdown as % of equity-1.88%
 ($1,663)
Includes Typical Broker Commissions trade costs of $5.02
8/20/24 9:32 PL PLANET LABS PBC LONG 2,982 2.79 9/6 15:53 1.77 2.6%
Trade id #148965664
Max drawdown($3,071)
Time9/6/24 12:42
Quant open2,982
Worst price1.76
Drawdown as % of equity-2.60%
 ($3,044)
Includes Typical Broker Commissions trade costs of $5.00
5/6/24 9:33 CLFD CLEARFIELD LONG 221 36.54 8/22 15:56 36.68 0.29%
Trade id #148098539
Max drawdown($412)
Time5/8/24 0:00
Quant open221
Worst price34.67
Drawdown as % of equity-0.29%
 $27
Includes Typical Broker Commissions trade costs of $4.42
7/17/24 12:17 VNDA VANDA PHARMACEUTICALS LONG 1,500 6.16 8/7 15:59 5.20 1.28%
Trade id #148672545
Max drawdown($1,566)
Time8/5/24 0:00
Quant open1,500
Worst price5.12
Drawdown as % of equity-1.28%
 ($1,455)
Includes Typical Broker Commissions trade costs of $8.20
8/2/24 9:33 AUR AURORA INNOVATION INC. CLASS A LONG 2,176 3.88 8/7 15:57 3.26 1.2%
Trade id #148806232
Max drawdown($1,370)
Time8/7/24 15:54
Quant open2,176
Worst price3.25
Drawdown as % of equity-1.20%
 ($1,354)
Includes Typical Broker Commissions trade costs of $5.00
7/10/24 15:56 ARLO ARLO TECHNOLOGIES INC LONG 515 16.52 8/7 15:52 12.80 1.68%
Trade id #148615533
Max drawdown($2,065)
Time8/5/24 0:00
Quant open515
Worst price12.51
Drawdown as % of equity-1.68%
 ($1,925)
Includes Typical Broker Commissions trade costs of $7.65
7/10/24 9:32 JMIA JUMIA TECHNOLOGIES AG LONG 774 11.08 8/6 14:18 5.19 4.04%
Trade id #148609342
Max drawdown($4,733)
Time8/6/24 13:49
Quant open774
Worst price4.96
Drawdown as % of equity-4.04%
 ($4,565)
Includes Typical Broker Commissions trade costs of $6.00
7/12/24 9:32 EXFY EXPENSIFY INC. CLASS A COMMON STOCK LONG 4,055 2.25 8/1 15:55 1.71 1.75%
Trade id #148632994
Max drawdown($2,230)
Time8/1/24 15:55
Quant open4,055
Worst price1.70
Drawdown as % of equity-1.75%
 ($2,198)
Includes Typical Broker Commissions trade costs of $7.50
6/19/24 9:32 CHWY CHEWY INC LONG 325 26.12 8/1 15:52 23.22 0.74%
Trade id #148446145
Max drawdown($942)
Time8/1/24 15:52
Quant open325
Worst price23.22
Drawdown as % of equity-0.74%
 ($950)
Includes Typical Broker Commissions trade costs of $6.50
7/9/24 9:33 BW BABCOCK & WILCOX ENTERPRISES INC LONG 4,797 2.22 7/30 15:56 1.47 2.83%
Trade id #148598920
Max drawdown($3,621)
Time7/30/24 15:54
Quant open4,797
Worst price1.47
Drawdown as % of equity-2.83%
 ($3,610)
Includes Typical Broker Commissions trade costs of $10.39
7/12/24 9:32 ASPN ASPEN AEROGELS INC LONG 342 26.48 7/24 15:53 22.87 0.95%
Trade id #148632996
Max drawdown($1,255)
Time7/24/24 15:53
Quant open342
Worst price22.81
Drawdown as % of equity-0.95%
 ($1,242)
Includes Typical Broker Commissions trade costs of $6.84
5/1/24 15:50 MU MICRON TECHNOLOGY LONG 75 110.95 7/16 15:58 127.49 0.08%
Trade id #148066852
Max drawdown($114)
Time5/2/24 0:00
Quant open75
Worst price109.43
Drawdown as % of equity-0.08%
 $1,240
Includes Typical Broker Commissions trade costs of $1.50
5/10/24 9:36 BRCC BRC INC LONG 1,433 5.81 7/10 15:59 5.42 1.07%
Trade id #148140143
Max drawdown($1,404)
Time5/13/24 0:00
Quant open1,433
Worst price4.83
Drawdown as % of equity-1.07%
 ($571)
Includes Typical Broker Commissions trade costs of $5.00
6/21/24 9:32 NRIX NURIX THERAPEUTICS INC. LONG 334 21.28 7/10 15:54 20.06 0.68%
Trade id #148467071
Max drawdown($878)
Time7/5/24 0:00
Quant open334
Worst price18.65
Drawdown as % of equity-0.68%
 ($414)
Includes Typical Broker Commissions trade costs of $6.68
Next

Statistics

  • Strategy began
    1/4/2024
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    358.32
  • Age
    12 months ago
  • What it trades
    Stocks
  • # Trades
    141
  • # Profitable
    49
  • % Profitable
    34.80%
  • Avg trade duration
    36.2 days
  • Max peak-to-valley drawdown
    36.89%
  • drawdown period
    March 01, 2024 - Aug 07, 2024
  • Cumul. Return
    29.5%
  • Avg win
    $2,996
  • Avg loss
    $1,121
  • Model Account Values (Raw)
  • Cash
    $16,729
  • Margin Used
    $0
  • Buying Power
    $80,472
  • Ratios
  • W:L ratio
    1.43:1
  • Sharpe Ratio
    0.93
  • Sortino Ratio
    1.41
  • Calmar Ratio
    1.066
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    2.72%
  • Correlation to SP500
    0.43200
  • Return Percent SP500 (cumu) during strategy life
    26.81%
  • Return Statistics
  • Ann Return (w trading costs)
    29.8%
  • Slump
  • Current Slump as Pcnt Equity
    3.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.295%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    31.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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)
    537
  • Popularity (Last 6 weeks)
    800
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    953
  • Popularity (7 days, Percentile 1000 scale)
    629
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $1,122
  • Avg Win
    $2,996
  • Sum Trade PL (losers)
    $103,185.000
  • Age
  • Num Months filled monthly returns table
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $146,815.000
  • # Winners
    49
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    481
  • AUM
  • AUM (AutoTrader live capital)
    188044
  • Win / Loss
  • # Losers
    92
  • % Winners
    34.8%
  • Frequency
  • Avg Position Time (mins)
    52164.10
  • Avg Position Time (hrs)
    869.40
  • Avg Trade Length
    36.2 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    0.89
  • Daily leverage (max)
    1.15
  • Regression
  • Alpha
    0.03
  • Beta
    0.97
  • Treynor Index
    0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.64
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.805
  • 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
    -1.113
  • Hold-and-Hope Ratio
    -0.167
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30993
  • SD
    0.37661
  • Sharpe ratio (Glass type estimate)
    0.82293
  • Sharpe ratio (Hedges UMVUE)
    0.75936
  • df
    10.00000
  • t
    0.78790
  • p
    0.22451
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.27453
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.88112
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.31463
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.83335
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.36859
  • Upside Potential Ratio
    3.38655
  • Upside part of mean
    0.76690
  • Downside part of mean
    -0.45698
  • Upside SD
    0.29268
  • Downside SD
    0.22645
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.25767
  • Mean of criterion
    0.30993
  • SD of predictor
    0.09508
  • SD of criterion
    0.37661
  • Covariance
    0.02109
  • r
    0.58885
  • b (slope, estimate of beta)
    2.33234
  • a (intercept, estimate of alpha)
    -0.29104
  • Mean Square Error
    0.10295
  • DF error
    9.00000
  • t(b)
    2.18567
  • p(b)
    0.02832
  • t(a)
    -0.67140
  • p(a)
    0.74059
  • Lowerbound of 95% confidence interval for beta
    -0.08162
  • Upperbound of 95% confidence interval for beta
    4.74631
  • Lowerbound of 95% confidence interval for alpha
    -1.27166
  • Upperbound of 95% confidence interval for alpha
    0.68957
  • Treynor index (mean / b)
    0.13288
  • Jensen alpha (a)
    -0.29104
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24201
  • SD
    0.37652
  • Sharpe ratio (Glass type estimate)
    0.64274
  • Sharpe ratio (Hedges UMVUE)
    0.59309
  • df
    10.00000
  • t
    0.61538
  • p
    0.27603
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43864
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.69316
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47046
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.65664
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.00732
  • Upside Potential Ratio
    3.02030
  • Upside part of mean
    0.72562
  • Downside part of mean
    -0.48362
  • Upside SD
    0.27576
  • Downside SD
    0.24025
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.25040
  • Mean of criterion
    0.24201
  • SD of predictor
    0.09348
  • SD of criterion
    0.37652
  • Covariance
    0.02124
  • r
    0.60339
  • b (slope, estimate of beta)
    2.43045
  • a (intercept, estimate of alpha)
    -0.36658
  • Mean Square Error
    0.10017
  • DF error
    9.00000
  • t(b)
    2.26996
  • p(b)
    0.02468
  • t(a)
    -0.86126
  • p(a)
    0.79427
  • Lowerbound of 95% confidence interval for beta
    0.00835
  • Upperbound of 95% confidence interval for beta
    4.85256
  • Lowerbound of 95% confidence interval for alpha
    -1.32941
  • Upperbound of 95% confidence interval for alpha
    0.59626
  • Treynor index (mean / b)
    0.09957
  • Jensen alpha (a)
    -0.36658
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14668
  • Expected Shortfall on VaR
    0.18391
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07349
  • Expected Shortfall on VaR
    0.13519
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.87347
  • Quartile 1
    0.91565
  • Median
    1.06906
  • Quartile 3
    1.11411
  • Maximum
    1.15715
  • Mean of quarter 1
    0.88169
  • Mean of quarter 2
    1.02351
  • Mean of quarter 3
    1.09512
  • Mean of quarter 4
    1.13462
  • Inter Quartile Range
    0.19846
  • 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)
    0.00293
  • VaR(95%) (moments method)
    0.12190
  • Expected Shortfall (moments method)
    0.12800
  • Extreme Value Index (regression method)
    4.42572
  • VaR(95%) (regression method)
    0.14046
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.30152
  • Quartile 1
    0.30152
  • Median
    0.30152
  • Quartile 3
    0.30152
  • Maximum
    0.30152
  • 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)
    0.30624
  • Compounded annual return (geometric extrapolation)
    0.30985
  • Calmar ratio (compounded annual return / max draw down)
    1.02764
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    1.68477
  • 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
    0.33366
  • SD
    0.29842
  • Sharpe ratio (Glass type estimate)
    1.11809
  • Sharpe ratio (Hedges UMVUE)
    1.11471
  • df
    249.00000
  • t
    1.09218
  • p
    0.13790
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89184
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.12586
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89412
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.12355
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.74333
  • Upside Potential Ratio
    10.18490
  • Upside part of mean
    1.94928
  • Downside part of mean
    -1.61562
  • Upside SD
    0.22911
  • Downside SD
    0.19139
  • N nonnegative terms
    121.00000
  • N negative terms
    129.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    250.00000
  • Mean of predictor
    0.22948
  • Mean of criterion
    0.33366
  • SD of predictor
    0.12997
  • SD of criterion
    0.29842
  • Covariance
    0.01739
  • r
    0.44840
  • b (slope, estimate of beta)
    1.02954
  • a (intercept, estimate of alpha)
    0.09700
  • Mean Square Error
    0.07143
  • DF error
    248.00000
  • t(b)
    7.90010
  • p(b)
    0.00000
  • t(a)
    0.35386
  • p(a)
    0.36187
  • Lowerbound of 95% confidence interval for beta
    0.77286
  • Upperbound of 95% confidence interval for beta
    1.28621
  • Lowerbound of 95% confidence interval for alpha
    -0.44471
  • Upperbound of 95% confidence interval for alpha
    0.63951
  • Treynor index (mean / b)
    0.32409
  • Jensen alpha (a)
    0.09740
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28933
  • SD
    0.29729
  • Sharpe ratio (Glass type estimate)
    0.97320
  • Sharpe ratio (Hedges UMVUE)
    0.97027
  • df
    249.00000
  • t
    0.95065
  • p
    0.17135
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.03602
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.98052
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.03799
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.97853
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.48803
  • Upside Potential Ratio
    9.89258
  • Upside part of mean
    1.92348
  • Downside part of mean
    -1.63416
  • Upside SD
    0.22482
  • Downside SD
    0.19444
  • N nonnegative terms
    121.00000
  • N negative terms
    129.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    250.00000
  • Mean of predictor
    0.22094
  • Mean of criterion
    0.28933
  • SD of predictor
    0.13011
  • SD of criterion
    0.29729
  • Covariance
    0.01750
  • r
    0.45240
  • b (slope, estimate of beta)
    1.03373
  • a (intercept, estimate of alpha)
    0.06094
  • Mean Square Error
    0.07058
  • DF error
    248.00000
  • t(b)
    7.98866
  • p(b)
    0.00000
  • t(a)
    0.22284
  • p(a)
    0.41192
  • Lowerbound of 95% confidence interval for beta
    0.77887
  • Upperbound of 95% confidence interval for beta
    1.28860
  • Lowerbound of 95% confidence interval for alpha
    -0.47767
  • Upperbound of 95% confidence interval for alpha
    0.59955
  • Treynor index (mean / b)
    0.27989
  • Jensen alpha (a)
    0.06094
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02869
  • Expected Shortfall on VaR
    0.03609
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01457
  • Expected Shortfall on VaR
    0.02738
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    250.00000
  • Minimum
    0.93596
  • Quartile 1
    0.99067
  • Median
    1.00000
  • Quartile 3
    1.01278
  • Maximum
    1.08281
  • Mean of quarter 1
    0.97934
  • Mean of quarter 2
    0.99635
  • Mean of quarter 3
    1.00503
  • Mean of quarter 4
    1.02478
  • Inter Quartile Range
    0.02210
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00400
  • Mean of outliers low
    0.93596
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.01600
  • Mean of outliers high
    1.06018
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.19528
  • VaR(95%) (moments method)
    0.02020
  • Expected Shortfall (moments method)
    0.02503
  • Extreme Value Index (regression method)
    -0.22937
  • VaR(95%) (regression method)
    0.01970
  • Expected Shortfall (regression method)
    0.02401
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00160
  • Quartile 1
    0.00563
  • Median
    0.02269
  • Quartile 3
    0.08640
  • Maximum
    0.35031
  • Mean of quarter 1
    0.00327
  • Mean of quarter 2
    0.00708
  • Mean of quarter 3
    0.06096
  • Mean of quarter 4
    0.22069
  • Inter Quartile Range
    0.08078
  • 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
    0.35031
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.37049
  • Compounded annual return (geometric extrapolation)
    0.37333
  • Calmar ratio (compounded annual return / max draw down)
    1.06571
  • Compounded annual return / average of 25% largest draw downs
    1.69164
  • Compounded annual return / Expected Shortfall lognormal
    10.34400
  • 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
    0.67907
  • SD
    0.30164
  • Sharpe ratio (Glass type estimate)
    2.25122
  • Sharpe ratio (Hedges UMVUE)
    2.23820
  • df
    130.00000
  • t
    1.59185
  • p
    0.43086
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53831
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.03226
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54692
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.02333
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.49819
  • Upside Potential Ratio
    11.36110
  • Upside part of mean
    2.20539
  • Downside part of mean
    -1.52633
  • Upside SD
    0.23318
  • Downside SD
    0.19412
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14624
  • Mean of criterion
    0.67907
  • SD of predictor
    0.14412
  • SD of criterion
    0.30164
  • Covariance
    0.02215
  • r
    0.50950
  • b (slope, estimate of beta)
    1.06639
  • a (intercept, estimate of alpha)
    0.52312
  • Mean Square Error
    0.06789
  • DF error
    129.00000
  • t(b)
    6.72513
  • p(b)
    0.19028
  • t(a)
    1.41684
  • p(a)
    0.42140
  • Lowerbound of 95% confidence interval for beta
    0.75266
  • Upperbound of 95% confidence interval for beta
    1.38012
  • Lowerbound of 95% confidence interval for alpha
    -0.20738
  • Upperbound of 95% confidence interval for alpha
    1.25362
  • Treynor index (mean / b)
    0.63679
  • Jensen alpha (a)
    0.52312
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.63309
  • SD
    0.30147
  • Sharpe ratio (Glass type estimate)
    2.09997
  • Sharpe ratio (Hedges UMVUE)
    2.08784
  • df
    130.00000
  • t
    1.48491
  • p
    0.43543
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68744
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.87951
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69556
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.87124
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.20320
  • Upside Potential Ratio
    11.02270
  • Upside part of mean
    2.17855
  • Downside part of mean
    -1.54546
  • Upside SD
    0.22948
  • Downside SD
    0.19764
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13584
  • Mean of criterion
    0.63309
  • SD of predictor
    0.14448
  • SD of criterion
    0.30147
  • Covariance
    0.02231
  • r
    0.51217
  • b (slope, estimate of beta)
    1.06871
  • a (intercept, estimate of alpha)
    0.48791
  • Mean Square Error
    0.06756
  • DF error
    129.00000
  • t(b)
    6.77296
  • p(b)
    0.18882
  • t(a)
    1.32503
  • p(a)
    0.42640
  • VAR (95 Confidence Intrvl)
    0.02900
  • Lowerbound of 95% confidence interval for beta
    0.75652
  • Upperbound of 95% confidence interval for beta
    1.38091
  • Lowerbound of 95% confidence interval for alpha
    -0.24063
  • Upperbound of 95% confidence interval for alpha
    1.21645
  • Treynor index (mean / b)
    0.59238
  • Jensen alpha (a)
    0.48791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02782
  • Expected Shortfall on VaR
    0.03534
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01184
  • Expected Shortfall on VaR
    0.02391
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93596
  • Quartile 1
    0.99075
  • Median
    1.00264
  • Quartile 3
    1.01575
  • Maximum
    1.05615
  • Mean of quarter 1
    0.97964
  • Mean of quarter 2
    0.99792
  • Mean of quarter 3
    1.00751
  • Mean of quarter 4
    1.02586
  • Inter Quartile Range
    0.02500
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.93596
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.05536
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09746
  • VaR(95%) (moments method)
    0.02015
  • Expected Shortfall (moments method)
    0.02835
  • Extreme Value Index (regression method)
    -0.00255
  • VaR(95%) (regression method)
    0.01745
  • Expected Shortfall (regression method)
    0.02251
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00452
  • Quartile 1
    0.02055
  • Median
    0.05874
  • Quartile 3
    0.07947
  • Maximum
    0.15463
  • Mean of quarter 1
    0.00693
  • Mean of quarter 2
    0.05414
  • Mean of quarter 3
    0.06334
  • Mean of quarter 4
    0.11974
  • Inter Quartile Range
    0.05893
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -351753000
  • Max Equity Drawdown (num days)
    159
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.78332
  • Compounded annual return (geometric extrapolation)
    0.93672
  • Calmar ratio (compounded annual return / max draw down)
    6.05783
  • Compounded annual return / average of 25% largest draw downs
    7.82303
  • Compounded annual return / Expected Shortfall lognormal
    26.50700

Strategy Description

Our Algo system analyze stocks using advanced mathematical and computer science tools
• Processing massive flows of stock data
• Analysis large and complex data sets
• Identifying hidden graphical behavior patterns
• In house development and constant optimization

* The selected stocks are from the major indexes in the U.S and are only selected if they fulfill a number of criteria.
* The portfolio is diverse and includes stocks from different sectors (may change).
* In order to beat the market, the portfolio may contain more volatile securities, be patience even in the red days.
* The relevant stocks are professionally analyzed and will be included in the portfolio only if there is significant upside.
* The portfolio may contain about 10-25 stocks at a given time, THIS may change from time to time and depending on the general state of the market.
* The duration of the position varies depending on behavior of the stock price and the market in general.
NOTE
Mark “join trades in progress” if you want to get our existing portfolio.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2024-01-04
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 4.7%
Rank # 
#34
# Trades
141
# Profitable
49
% Profitable
34.8%
Net Dividends
$480
Correlation S&P500
0.432
Sharpe Ratio
0.93
Sortino Ratio
1.41
Beta
0.97
Alpha
0.03
Leverage
0.89 Average
1.15 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.