Collective2 Collective2
Featured Strategy Quant AI pro Followed by live capital $112,000 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 08/15/2024
Most recent certification approved 8/15/24 15:55 ET
Trades at broker Interactive Brokers (server 2 / Stocks, Option, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 151
# trading signals executed in manager's Interactive Brokers (server 2 / Stocks, Option, Futures) account 151
Percent signals followed since 08/15/2024 100%
This information was last updated 12/28/24 19:59 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 08/15/2024, 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.

Accumulate Alpha B
(148928914)

Powered by BrokerTransmit.
Read important disclosures.

Created by: James-Yang James-Yang
Started: 08/2024
Stocks
Last trade: Yesterday

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 $50.00 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.

8.3%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(18.3%)
Max Drawdown
73
Num Trades
52.1%
Win Trades
1.3 : 1
Profit Factor
40.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                                                 (1.7%)(8.3%)(3%)+22.6%+1.1%+8.3%

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 151 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
12/26/24 15:55 SPY SPDR S&P 500 LONG 61 601.73 12/27 15:55 594.49 0.63%
Trade id #150415915
Max drawdown($668)
Time12/27/24 12:38
Quant open61
Worst price590.76
Drawdown as % of equity-0.63%
 ($443)
Includes Typical Broker Commissions trade costs of $1.22
12/17/24 15:55 BTAL AGF US MARKET NEUT ANTI-BETA LONG 1,992 18.57 12/26 15:55 18.89 0.11%
Trade id #150347437
Max drawdown($126)
Time12/18/24 0:00
Quant open1,992
Worst price18.51
Drawdown as % of equity-0.11%
 $624
Includes Typical Broker Commissions trade costs of $6.28
12/12/24 15:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 415 87.74 12/16 15:55 93.22 0.13%
Trade id #150313686
Max drawdown($141)
Time12/12/24 16:00
Quant open415
Worst price87.40
Drawdown as % of equity-0.13%
 $2,266
Includes Typical Broker Commissions trade costs of $8.30
12/13/24 15:55 TECL DIREXION DAILY TECHNOLOGY BULL LONG 369 99.25 12/16 15:55 102.11 0.1%
Trade id #150323300
Max drawdown($112)
Time12/16/24 9:38
Quant open369
Worst price98.94
Drawdown as % of equity-0.10%
 $1,048
Includes Typical Broker Commissions trade costs of $7.38
12/12/24 15:55 SPY SPDR S&P 500 LONG 59 604.69 12/16 15:55 606.45 0.1%
Trade id #150313684
Max drawdown($110)
Time12/13/24 0:00
Quant open59
Worst price602.81
Drawdown as % of equity-0.10%
 $103
Includes Typical Broker Commissions trade costs of $1.18
12/12/24 15:55 SPXL DIREXION DAILY S&P500 BULL 3X LONG 196 185.93 12/13 15:55 185.31 0.34%
Trade id #150313689
Max drawdown($369)
Time12/13/24 13:00
Quant open196
Worst price184.04
Drawdown as % of equity-0.34%
 ($126)
Includes Typical Broker Commissions trade costs of $3.92
12/10/24 15:55 UDOW PROSHARES ULTRAPRO DOW30 LONG 333 107.30 12/11 15:55 106.89 0.13%
Trade id #150293718
Max drawdown($143)
Time12/11/24 10:01
Quant open333
Worst price106.87
Drawdown as % of equity-0.13%
 ($143)
Includes Typical Broker Commissions trade costs of $6.66
12/10/24 15:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 423 84.60 12/11 15:55 89.32 0.01%
Trade id #150293716
Max drawdown($15)
Time12/10/24 15:58
Quant open423
Worst price84.56
Drawdown as % of equity-0.01%
 $1,992
Includes Typical Broker Commissions trade costs of $8.46
12/10/24 15:55 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 664 53.10 12/11 15:55 53.49 n/a $255
Includes Typical Broker Commissions trade costs of $5.00
11/27/24 15:55 UDOW PROSHARES ULTRAPRO DOW30 LONG 317 111.26 11/29 12:55 113.06 0.06%
Trade id #150198167
Max drawdown($62)
Time11/27/24 15:59
Quant open317
Worst price111.06
Drawdown as % of equity-0.06%
 $565
Includes Typical Broker Commissions trade costs of $6.34
11/27/24 15:55 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 662 52.55 11/29 12:55 53.06 0.03%
Trade id #150198165
Max drawdown($29)
Time11/27/24 15:58
Quant open662
Worst price52.51
Drawdown as % of equity-0.03%
 $333
Includes Typical Broker Commissions trade costs of $5.00
11/27/24 15:55 SPXL DIREXION DAILY S&P500 BULL 3X LONG 194 181.41 11/29 12:55 184.89 0.04%
Trade id #150198169
Max drawdown($42)
Time11/27/24 15:58
Quant open194
Worst price181.19
Drawdown as % of equity-0.04%
 $672
Includes Typical Broker Commissions trade costs of $3.88
11/20/24 15:55 UDOW PROSHARES ULTRAPRO DOW30 LONG 326 101.78 11/26 15:55 112.25 0.16%
Trade id #150136608
Max drawdown($159)
Time11/21/24 0:00
Quant open326
Worst price101.29
Drawdown as % of equity-0.16%
 $3,407
Includes Typical Broker Commissions trade costs of $6.52
11/15/24 15:55 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 640 50.64 11/26 15:55 52.53 1.01%
Trade id #150100584
Max drawdown($1,004)
Time11/20/24 0:00
Quant open640
Worst price49.07
Drawdown as % of equity-1.01%
 $1,207
Includes Typical Broker Commissions trade costs of $5.00
11/22/24 15:55 SPXL DIREXION DAILY S&P500 BULL 3X LONG 191 179.14 11/26 15:55 183.67 0.1%
Trade id #150156986
Max drawdown($97)
Time11/22/24 16:00
Quant open191
Worst price178.63
Drawdown as % of equity-0.10%
 $861
Includes Typical Broker Commissions trade costs of $3.82
11/15/24 15:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 443 74.31 11/22 15:55 78.42 0.09%
Trade id #150100586
Max drawdown($86)
Time11/20/24 0:00
Quant open443
Worst price74.11
Drawdown as % of equity-0.09%
 $1,814
Includes Typical Broker Commissions trade costs of $8.86
11/18/24 15:55 SPXL DIREXION DAILY S&P500 BULL 3X LONG 193 172.35 11/20 15:55 174.31 0.67%
Trade id #150116399
Max drawdown($664)
Time11/19/24 0:00
Quant open193
Worst price168.91
Drawdown as % of equity-0.67%
 $373
Includes Typical Broker Commissions trade costs of $3.86
11/15/24 15:55 UDOW PROSHARES ULTRAPRO DOW30 LONG 322 102.17 11/18 15:55 101.61 0.35%
Trade id #150100588
Max drawdown($350)
Time11/18/24 10:24
Quant open322
Worst price101.08
Drawdown as % of equity-0.35%
 ($186)
Includes Typical Broker Commissions trade costs of $6.44
11/6/24 15:55 UDOW PROSHARES ULTRAPRO DOW30 LONG 310 104.25 11/7 15:55 104.17 0.21%
Trade id #150015973
Max drawdown($203)
Time11/7/24 14:42
Quant open310
Worst price103.59
Drawdown as % of equity-0.21%
 ($30)
Includes Typical Broker Commissions trade costs of $6.20
10/25/24 15:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 418 74.77 11/7 15:55 82.53 2.42%
Trade id #149844392
Max drawdown($2,231)
Time10/31/24 0:00
Quant open418
Worst price69.43
Drawdown as % of equity-2.42%
 $3,238
Includes Typical Broker Commissions trade costs of $8.36
11/5/24 15:55 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 615 48.53 11/7 15:55 51.72 0.03%
Trade id #149996585
Max drawdown($29)
Time11/5/24 15:58
Quant open615
Worst price48.48
Drawdown as % of equity-0.03%
 $1,960
Includes Typical Broker Commissions trade costs of $5.00
11/5/24 15:55 SPXL DIREXION DAILY S&P500 BULL 3X LONG 185 163.27 11/6 15:55 176.09 n/a $2,367
Includes Typical Broker Commissions trade costs of $3.70
11/4/24 15:55 TECL DIREXION DAILY TECHNOLOGY BULL LONG 355 83.36 11/5 15:55 86.50 0.06%
Trade id #149966161
Max drawdown($53)
Time11/4/24 15:58
Quant open355
Worst price83.21
Drawdown as % of equity-0.06%
 $1,107
Includes Typical Broker Commissions trade costs of $7.10
10/30/24 15:55 BTAL AGF US MARKET NEUT ANTI-BETA LONG 1,571 19.58 11/5 15:55 19.52 0.13%
Trade id #149909660
Max drawdown($120)
Time11/5/24 15:55
Quant open1,473
Worst price19.50
Drawdown as % of equity-0.13%
 ($100)
Includes Typical Broker Commissions trade costs of $5.98
11/1/24 15:55 SPXL DIREXION DAILY S&P500 BULL 3X LONG 188 159.54 11/4 15:55 157.85 0.64%
Trade id #149935638
Max drawdown($566)
Time11/4/24 12:09
Quant open188
Worst price156.52
Drawdown as % of equity-0.64%
 ($321)
Includes Typical Broker Commissions trade costs of $3.76
10/21/24 15:55 TECL DIREXION DAILY TECHNOLOGY BULL LONG 360 93.01 11/1 15:55 83.74 4.67%
Trade id #149757462
Max drawdown($4,084)
Time11/1/24 9:30
Quant open360
Worst price81.67
Drawdown as % of equity-4.67%
 ($3,344)
Includes Typical Broker Commissions trade costs of $7.20
10/29/24 15:55 SPY SPDR S&P 500 LONG 54 581.73 10/30 15:55 580.00 0.14%
Trade id #149884629
Max drawdown($131)
Time10/30/24 9:43
Quant open54
Worst price579.29
Drawdown as % of equity-0.14%
 ($94)
Includes Typical Broker Commissions trade costs of $1.08
10/23/24 15:55 BTAL AGF US MARKET NEUT ANTI-BETA LONG 1,538 19.92 10/29 15:55 19.54 0.69%
Trade id #149811154
Max drawdown($642)
Time10/28/24 0:00
Quant open1,538
Worst price19.50
Drawdown as % of equity-0.69%
 ($581)
Includes Typical Broker Commissions trade costs of $5.00
10/23/24 15:55 SPXL DIREXION DAILY S&P500 BULL 3X LONG 187 165.71 10/25 15:55 166.44 0.22%
Trade id #149811157
Max drawdown($203)
Time10/24/24 0:00
Quant open187
Worst price164.62
Drawdown as % of equity-0.22%
 $132
Includes Typical Broker Commissions trade costs of $3.74
10/21/24 15:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 428 74.94 10/23 15:55 71.60 2.13%
Trade id #149757464
Max drawdown($1,993)
Time10/23/24 14:19
Quant open428
Worst price70.28
Drawdown as % of equity-2.13%
 ($1,437)
Includes Typical Broker Commissions trade costs of $8.56
Next

Statistics

  • Strategy began
    8/15/2024
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    135.23
  • Age
    135 days ago
  • What it trades
    Stocks
  • # Trades
    73
  • # Profitable
    38
  • % Profitable
    52.10%
  • Avg trade duration
    4.4 days
  • Max peak-to-valley drawdown
    18.26%
  • drawdown period
    Aug 23, 2024 - Sept 11, 2024
  • Cumul. Return
    8.3%
  • Avg win
    $1,154
  • Avg loss
    $997.09
  • Model Account Values (Raw)
  • Cash
    $37,623
  • Margin Used
    ($37,171)
  • Buying Power
    $70,494
  • Ratios
  • W:L ratio
    1.26:1
  • Sharpe Ratio
    0.75
  • Sortino Ratio
    1
  • Calmar Ratio
    1.744
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    0.58%
  • Correlation to SP500
    0.72200
  • Return Percent SP500 (cumu) during strategy life
    7.71%
  • Return Statistics
  • Ann Return (w trading costs)
    23.3%
  • Slump
  • Current Slump as Pcnt Equity
    4.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.09%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.083%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    26.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    18.50%
  • Chance of 20% account loss
    0.50%
  • 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)
    0
  • Popularity (Last 6 weeks)
    526
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    932
  • Popularity (7 days, Percentile 1000 scale)
    593
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $997
  • Avg Win
    $1,154
  • Sum Trade PL (losers)
    $34,898.000
  • Age
  • Num Months filled monthly returns table
    5
  • Win / Loss
  • Sum Trade PL (winners)
    $43,870.000
  • # Winners
    38
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    232
  • AUM
  • AUM (AutoTrader live capital)
    108791
  • Win / Loss
  • # Losers
    35
  • % Winners
    52.0%
  • Frequency
  • Avg Position Time (mins)
    6369.27
  • Avg Position Time (hrs)
    106.15
  • Avg Trade Length
    4.4 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.41
  • Daily leverage (max)
    4.70
  • Regression
  • Alpha
    -0.01
  • Beta
    1.51
  • Treynor Index
    0.04
  • 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)
    -0.52
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    16.157
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.386
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.404
  • Hold-and-Hope Ratio
    0.093
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40235
  • SD
    0.35090
  • Sharpe ratio (Glass type estimate)
    1.14663
  • Sharpe ratio (Hedges UMVUE)
    0.82970
  • df
    3.00000
  • t
    0.66201
  • p
    0.27764
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.44264
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.56835
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.62936
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.28877
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.18968
  • Upside Potential Ratio
    3.92173
  • Upside part of mean
    0.72061
  • Downside part of mean
    -0.31826
  • Upside SD
    0.26847
  • Downside SD
    0.18375
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.23835
  • Mean of criterion
    0.40235
  • SD of predictor
    0.04192
  • SD of criterion
    0.35090
  • Covariance
    0.00625
  • r
    0.42461
  • b (slope, estimate of beta)
    3.55428
  • a (intercept, estimate of alpha)
    -0.44482
  • Mean Square Error
    0.15139
  • DF error
    2.00000
  • t(b)
    0.66325
  • p(b)
    0.28769
  • t(a)
    -0.30801
  • p(a)
    0.60640
  • Lowerbound of 95% confidence interval for beta
    -19.50300
  • Upperbound of 95% confidence interval for beta
    26.61160
  • Lowerbound of 95% confidence interval for alpha
    -6.65865
  • Upperbound of 95% confidence interval for alpha
    5.76900
  • Treynor index (mean / b)
    0.11320
  • Jensen alpha (a)
    -0.44482
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35000
  • SD
    0.34947
  • Sharpe ratio (Glass type estimate)
    1.00150
  • Sharpe ratio (Hedges UMVUE)
    0.72469
  • df
    3.00000
  • t
    0.57822
  • p
    0.30183
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.55249
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.40657
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.71924
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.16861
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.80628
  • Upside Potential Ratio
    3.53833
  • Upside part of mean
    0.68561
  • Downside part of mean
    -0.33561
  • Upside SD
    0.25350
  • Downside SD
    0.19377
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.23484
  • Mean of criterion
    0.35000
  • SD of predictor
    0.04098
  • SD of criterion
    0.34947
  • Covariance
    0.00601
  • r
    0.41969
  • b (slope, estimate of beta)
    3.57876
  • a (intercept, estimate of alpha)
    -0.49045
  • Mean Square Error
    0.15093
  • DF error
    2.00000
  • t(b)
    0.65391
  • p(b)
    0.29015
  • t(a)
    -0.33807
  • p(a)
    0.61625
  • Lowerbound of 95% confidence interval for beta
    -19.96900
  • Upperbound of 95% confidence interval for beta
    27.12650
  • Lowerbound of 95% confidence interval for alpha
    -6.73254
  • Upperbound of 95% confidence interval for alpha
    5.75163
  • Treynor index (mean / b)
    0.09780
  • Jensen alpha (a)
    -0.49045
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12783
  • Expected Shortfall on VaR
    0.16326
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03766
  • Expected Shortfall on VaR
    0.08301
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.89624
  • Quartile 1
    1.00737
  • Median
    1.05478
  • Quartile 3
    1.08326
  • Maximum
    1.13764
  • Mean of quarter 1
    0.89624
  • Mean of quarter 2
    1.04442
  • Mean of quarter 3
    1.06513
  • Mean of quarter 4
    1.13764
  • Inter Quartile Range
    0.07589
  • 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
    1.00000
  • Minimum
    0.10376
  • Quartile 1
    0.10376
  • Median
    0.10376
  • Quartile 3
    0.10376
  • Maximum
    0.10376
  • 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)
    0.40274
  • Compounded annual return (geometric extrapolation)
    0.45922
  • Calmar ratio (compounded annual return / max draw down)
    4.42586
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    2.81287
  • 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
    0.25715
  • SD
    0.26224
  • Sharpe ratio (Glass type estimate)
    0.98057
  • Sharpe ratio (Hedges UMVUE)
    0.97264
  • df
    93.00000
  • t
    0.58734
  • p
    0.27920
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.29715
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.25324
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.30250
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.24779
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.31785
  • Upside Potential Ratio
    7.68020
  • Upside part of mean
    1.49860
  • Downside part of mean
    -1.24145
  • Upside SD
    0.17383
  • Downside SD
    0.19512
  • N nonnegative terms
    51.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    94.00000
  • Mean of predictor
    0.18727
  • Mean of criterion
    0.25715
  • SD of predictor
    0.12677
  • SD of criterion
    0.26224
  • Covariance
    0.02393
  • r
    0.71987
  • b (slope, estimate of beta)
    1.48915
  • a (intercept, estimate of alpha)
    -0.02200
  • Mean Square Error
    0.03349
  • DF error
    92.00000
  • t(b)
    9.94771
  • p(b)
    0.00000
  • t(a)
    -0.07083
  • p(a)
    0.52816
  • Lowerbound of 95% confidence interval for beta
    1.19184
  • Upperbound of 95% confidence interval for beta
    1.78646
  • Lowerbound of 95% confidence interval for alpha
    -0.63110
  • Upperbound of 95% confidence interval for alpha
    0.58764
  • Treynor index (mean / b)
    0.17268
  • Jensen alpha (a)
    -0.02173
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22273
  • SD
    0.26382
  • Sharpe ratio (Glass type estimate)
    0.84423
  • Sharpe ratio (Hedges UMVUE)
    0.83741
  • df
    93.00000
  • t
    0.50568
  • p
    0.30714
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.43236
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.11646
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.43696
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.11178
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.11644
  • Upside Potential Ratio
    7.43688
  • Upside part of mean
    1.48366
  • Downside part of mean
    -1.26093
  • Upside SD
    0.17103
  • Downside SD
    0.19950
  • N nonnegative terms
    51.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    94.00000
  • Mean of predictor
    0.17922
  • Mean of criterion
    0.22273
  • SD of predictor
    0.12703
  • SD of criterion
    0.26382
  • Covariance
    0.02408
  • r
    0.71841
  • b (slope, estimate of beta)
    1.49201
  • a (intercept, estimate of alpha)
    -0.04467
  • Mean Square Error
    0.03405
  • DF error
    92.00000
  • t(b)
    9.90582
  • p(b)
    0.00000
  • t(a)
    -0.14444
  • p(a)
    0.55727
  • Lowerbound of 95% confidence interval for beta
    1.19287
  • Upperbound of 95% confidence interval for beta
    1.79115
  • Lowerbound of 95% confidence interval for alpha
    -0.65883
  • Upperbound of 95% confidence interval for alpha
    0.56949
  • Treynor index (mean / b)
    0.14928
  • Jensen alpha (a)
    -0.04467
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02563
  • Expected Shortfall on VaR
    0.03222
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01009
  • Expected Shortfall on VaR
    0.02179
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    94.00000
  • Minimum
    0.93650
  • Quartile 1
    0.99581
  • Median
    1.00101
  • Quartile 3
    1.00892
  • Maximum
    1.06075
  • Mean of quarter 1
    0.98258
  • Mean of quarter 2
    0.99913
  • Mean of quarter 3
    1.00501
  • Mean of quarter 4
    1.01771
  • Inter Quartile Range
    0.01311
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.06383
  • Mean of outliers low
    0.95757
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.02128
  • Mean of outliers high
    1.04535
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.70674
  • VaR(95%) (moments method)
    0.01781
  • Expected Shortfall (moments method)
    0.06624
  • Extreme Value Index (regression method)
    0.57024
  • VaR(95%) (regression method)
    0.01822
  • Expected Shortfall (regression method)
    0.04896
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.05705
  • Quartile 1
    0.08363
  • Median
    0.11021
  • Quartile 3
    0.13679
  • Maximum
    0.16337
  • Mean of quarter 1
    0.05705
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.16337
  • Inter Quartile Range
    0.05316
  • 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)
    0.26225
  • Compounded annual return (geometric extrapolation)
    0.28484
  • Calmar ratio (compounded annual return / max draw down)
    1.74352
  • Compounded annual return / average of 25% largest draw downs
    1.74352
  • Compounded annual return / Expected Shortfall lognormal
    8.84017
  • 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)
    0.02600
  • 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
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -113534000
  • Max Equity Drawdown (num days)
    19

Strategy Description

1. Seizing Opportunities, Managing Risk: The algorithm is designed to capture opportunities both in rising markets and during market downturns. By incorporating both long and short positions, it aims to optimize your investment returns while managing risk (DD) effectively.

2. Strategic Adjustments for Optimal Performance: Timing is crucial in trading, and our algorithm dynamically adjusts your investment portfolio based on real-time market signals. By adapting to changing market conditions, it seeks to position the strategy for optimal performance.

3. Informed Decision-Making for Better Results: Driven by AI technology and advanced technical indicators, the algorithm leverages data-driven insights to make informed investment decisions. By analyzing indicators such as the relative strength index (RSI), moving averages, and other advanced technical indicators, it aims to identify high-potential trades and execute them.

4. Safeguarding Your Investments: Protecting your capital is the priority. The algorithm integrates comprehensive risk management protocols, considering factors such as market volatility, asset correlations, and historical performance. By prioritizing risk management, it aims to help safeguard our capital.

5. Proven Performance, Backed by Data: The strategy has undergone rigorous backtesting and analysis, demonstrating a track record of success; of course certain years perform better than others. Through various market conditions, the algorithm has shown the potential to deliver solid returns while preserving capital. Check our historical trades in Collective2 for transparent performance metrics and historical picks/backtesting results to help you decide if you would like to invest in this algorithm.

A. Do you monitor trades full-time for the period that they are on?
Trades are closely monitored throughout their duration to promptly respond to market fluctuations.

B. Is this an Algorithm controlled/managed strategy with no manual inputs?
The trading strategy is a carefully balanced blend of advanced algorithms and human expertise. While algorithms play a crucial role in executing trades and capturing opportunities, manual inputs, oversight, and adjustments are made when needed. This combined approach allows us to benefit from the speed and precision of algorithmic trading while leveraging the human element to adapt to market dynamics and optimize performance.

C. Can you provide a summary of the methodologies used for your trading strategy so I can get a sense of what to expect?
The trading strategy incorporates a multi-faceted approach. It utilizes a combination of technical analysis, quantitative models, and machine learning algorithms. I know this is not saying much but it does exactly that. By leveraging historical market data, statistical indicators, and advanced pattern recognition techniques, potential trading opportunities are identified and executed when deemed fit. Additionally, human expertise and market insights contribute to the decision-making process, allowing the algorithm to adapt our strategies to prevailing market conditions effectively.

D. Do you have stop/loss built in?
No, our trading strategy does not rely on a built-in stop-loss mechanism. While we acknowledge the importance of risk management, extensive backtesting since 2003 has consistently shown that the drawdowns associated with our strategy are significantly smaller compared to the potential profits generated by the algorithm. This strong historical performance supports our decision not to rely on stop-loss orders. Instead, we actively manage and mitigate risks through careful monitoring, continuous evaluation, and disciplined risk management practices.

Finally, please note that past performance does not guarantee future results, and it is important to conduct your due diligence before making any investment decisions.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2024-08-15
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 6.8%
Rank # 
#121
# Trades
73
# Profitable
38
% Profitable
52.1%
Net Dividends
$231
Correlation S&P500
0.722
Sharpe Ratio
0.75
Sortino Ratio
1.00
Beta
1.51
Alpha
-0.01
Leverage
2.41 Average
4.70 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.