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The Lab
(133502610)

Created by: Launcher Launcher
Started: 01/2021
Stocks
Last trade: 2 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. You can subscribe to this system for free.

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).
215.2%
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.

(40.7%)
Max Drawdown
559
Num Trades
47.2%
Win Trades
1.3 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021+63.0%+68.8%+5.3%+1.5%+0.7%+3.9%+0.4%+0.5%+1.5%                  +215.2%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/24/21 11:54 CRM SALESFORCE.COM LONG 120 283.93 9/24 15:59 286.22 0.08%
Trade id #137520603
Max drawdown($124)
Time9/24/21 13:56
Quant open120
Worst price282.89
Drawdown as % of equity-0.08%
$273
Includes Typical Broker Commissions trade costs of $2.40
9/24/21 11:52 AEHR AEHR TEST LONG 600 16.01 9/24 13:39 16.69 0.16%
Trade id #137520559
Max drawdown($251)
Time9/24/21 12:24
Quant open600
Worst price15.59
Drawdown as % of equity-0.16%
$404
Includes Typical Broker Commissions trade costs of $5.00
9/24/21 12:23 MRIN MARIN SOFTWARE INC LONG 500 10.64 9/24 13:21 10.00 0.23%
Trade id #137521178
Max drawdown($364)
Time9/24/21 13:21
Quant open500
Worst price9.91
Drawdown as % of equity-0.23%
($330)
Includes Typical Broker Commissions trade costs of $10.00
9/24/21 12:05 SAVA CASSAVA SCIENCES INC LONG 300 64.61 9/24 12:28 65.99 n/a $407
Includes Typical Broker Commissions trade costs of $6.00
9/23/21 13:13 AFRM AFFIRM HOLDINGS INC. CLASS A COMMON STOCK LONG 160 121.97 9/23 15:41 124.49 0.12%
Trade id #137502523
Max drawdown($184)
Time9/23/21 14:34
Quant open160
Worst price120.82
Drawdown as % of equity-0.12%
$401
Includes Typical Broker Commissions trade costs of $3.20
9/23/21 15:03 SAVA CASSAVA SCIENCES INC LONG 300 61.15 9/23 15:15 60.01 0.27%
Trade id #137504504
Max drawdown($419)
Time9/23/21 15:15
Quant open300
Worst price59.75
Drawdown as % of equity-0.27%
($346)
Includes Typical Broker Commissions trade costs of $6.00
9/23/21 12:57 BNTX BIONTECH SE LONG 100 358.75 9/23 14:06 355.64 0.29%
Trade id #137502292
Max drawdown($449)
Time9/23/21 14:06
Quant open100
Worst price354.26
Drawdown as % of equity-0.29%
($313)
Includes Typical Broker Commissions trade costs of $2.00
9/23/21 11:29 CRM SALESFORCE.COM LONG 200 272.81 9/23 11:55 273.91 0.02%
Trade id #137499730
Max drawdown($28)
Time9/23/21 11:32
Quant open200
Worst price272.67
Drawdown as % of equity-0.02%
$216
Includes Typical Broker Commissions trade costs of $4.00
9/22/21 10:56 DVAX DYNAVAX TECHNOLOGIES CORPORATI LONG 800 18.20 9/22 11:42 18.69 0.11%
Trade id #137478404
Max drawdown($174)
Time9/22/21 11:01
Quant open800
Worst price17.98
Drawdown as % of equity-0.11%
$389
Includes Typical Broker Commissions trade costs of $5.00
9/21/21 10:36 HLBZ HELBIZ INC. CLASS A COMMON STOCK LONG 80 36.87 9/21 10:45 41.45 n/a $364
Includes Typical Broker Commissions trade costs of $1.60
9/20/21 13:54 EDSA EDESA BIOTECH INC LONG 300 10.19 9/20 14:13 10.99 0.01%
Trade id #137447854
Max drawdown($9)
Time9/20/21 14:00
Quant open300
Worst price10.16
Drawdown as % of equity-0.01%
$234
Includes Typical Broker Commissions trade costs of $6.00
9/20/21 12:47 ATER ATERIAN INC LONG 300 13.14 9/20 13:30 12.60 0.11%
Trade id #137446203
Max drawdown($174)
Time9/20/21 13:30
Quant open300
Worst price12.56
Drawdown as % of equity-0.11%
($168)
Includes Typical Broker Commissions trade costs of $6.00
9/17/21 10:39 HLBZ HELBIZ INC. CLASS A COMMON STOCK LONG 100 19.33 9/17 10:58 21.45 0.1%
Trade id #137416468
Max drawdown($151)
Time9/17/21 10:44
Quant open100
Worst price17.82
Drawdown as % of equity-0.10%
$210
Includes Typical Broker Commissions trade costs of $2.00
9/15/21 11:53 INDP INDAPTUS THERAPEUTICS INC. COMMON STOCK LONG 1,000 26.17 9/15 11:55 28.83 n/a $2,655
Includes Typical Broker Commissions trade costs of $5.00
9/15/21 10:56 INDP INDAPTUS THERAPEUTICS INC. COMMON STOCK LONG 200 19.06 9/15 11:05 20.29 n/a $242
Includes Typical Broker Commissions trade costs of $4.00
9/14/21 15:43 IRNT IRONNET INC LONG 1,000 23.05 9/14 15:59 22.92 0.35%
Trade id #137372114
Max drawdown($550)
Time9/14/21 15:56
Quant open1,000
Worst price22.50
Drawdown as % of equity-0.35%
($135)
Includes Typical Broker Commissions trade costs of $5.00
9/14/21 15:41 IRNT IRONNET INC LONG 1,000 23.59 9/14 15:42 22.90 0.44%
Trade id #137372093
Max drawdown($690)
Time9/14/21 15:42
Quant open1,000
Worst price22.90
Drawdown as % of equity-0.44%
($695)
Includes Typical Broker Commissions trade costs of $5.00
9/14/21 12:36 CROX CROCS LONG 100 154.95 9/14 15:30 150.56 0.28%
Trade id #137369411
Max drawdown($441)
Time9/14/21 15:30
Quant open100
Worst price150.54
Drawdown as % of equity-0.28%
($441)
Includes Typical Broker Commissions trade costs of $2.00
9/14/21 14:13 OG ONION GLOBAL LTD LONG 1,000 7.05 9/14 14:28 6.68 0.24%
Trade id #137370835
Max drawdown($370)
Time9/14/21 14:28
Quant open1,000
Worst price6.68
Drawdown as % of equity-0.24%
($375)
Includes Typical Broker Commissions trade costs of $5.00
9/14/21 11:57 AFRM AFFIRM HOLDINGS INC. CLASS A COMMON STOCK LONG 200 110.98 9/14 13:31 109.49 0.21%
Trade id #137368697
Max drawdown($332)
Time9/14/21 13:31
Quant open200
Worst price109.32
Drawdown as % of equity-0.21%
($302)
Includes Typical Broker Commissions trade costs of $4.00
9/14/21 10:28 MRNA MODERNA INC. COMMON STOCK LONG 100 438.08 9/14 10:43 435.21 0.26%
Trade id #137365643
Max drawdown($404)
Time9/14/21 10:43
Quant open100
Worst price434.04
Drawdown as % of equity-0.26%
($289)
Includes Typical Broker Commissions trade costs of $2.00
8/6/21 15:43 KXIN KAIXIN AUTO HOLDINGS CO LONG 2,000 3.07 8/6 15:59 3.23 0.01%
Trade id #136865088
Max drawdown($20)
Time8/6/21 15:46
Quant open2,000
Worst price3.06
Drawdown as % of equity-0.01%
$316
Includes Typical Broker Commissions trade costs of $5.00
8/6/21 13:24 RIOT RIOT BLOCKCHAIN INC. COMMON STOCK LONG 500 35.50 8/6 15:59 34.92 0.25%
Trade id #136863474
Max drawdown($382)
Time8/6/21 14:24
Quant open500
Worst price34.73
Drawdown as % of equity-0.25%
($298)
Includes Typical Broker Commissions trade costs of $10.00
8/6/21 14:48 BYSI BEYONDSPRING INC. ORDINARY SHARES LONG 200 29.53 8/6 15:12 27.76 0.23%
Trade id #136864237
Max drawdown($356)
Time8/6/21 15:12
Quant open200
Worst price27.75
Drawdown as % of equity-0.23%
($358)
Includes Typical Broker Commissions trade costs of $4.00
8/6/21 10:22 SYNA SYNAPTICS LONG 70 170.90 8/6 14:50 168.93 0.09%
Trade id #136858968
Max drawdown($138)
Time8/6/21 14:50
Quant open70
Worst price168.91
Drawdown as % of equity-0.09%
($139)
Includes Typical Broker Commissions trade costs of $1.40
8/6/21 10:51 MVIS MICROVISION LONG 700 14.82 8/6 12:55 15.46 0.16%
Trade id #136860050
Max drawdown($252)
Time8/6/21 11:15
Quant open700
Worst price14.46
Drawdown as % of equity-0.16%
$442
Includes Typical Broker Commissions trade costs of $5.00
8/6/21 10:18 BCRX BIOCRYST PHARMACEUTICALS LONG 800 18.45 8/6 10:30 18.02 0.4%
Trade id #136858764
Max drawdown($618)
Time8/6/21 10:30
Quant open800
Worst price17.68
Drawdown as % of equity-0.40%
($350)
Includes Typical Broker Commissions trade costs of $5.00
8/5/21 11:03 EXPI EXP WORLD HOLDINGS INC. COMMON STOCK LONG 200 48.70 8/5 15:00 49.52 0.05%
Trade id #136843293
Max drawdown($73)
Time8/5/21 11:13
Quant open200
Worst price48.34
Drawdown as % of equity-0.05%
$160
Includes Typical Broker Commissions trade costs of $4.00
8/4/21 14:01 VIR VIR BIOTECHNOLOGY INC. LONG 400 37.73 8/4 15:59 37.24 0.17%
Trade id #136829489
Max drawdown($256)
Time8/4/21 15:59
Quant open400
Worst price37.09
Drawdown as % of equity-0.17%
($205)
Includes Typical Broker Commissions trade costs of $8.00
8/4/21 12:32 ZI ZOOMINFO TECHNOLOGIES INC. CLASS A COMMON STOCK LONG 300 60.10 8/4 15:59 60.49 0.12%
Trade id #136826971
Max drawdown($188)
Time8/4/21 15:18
Quant open300
Worst price59.47
Drawdown as % of equity-0.12%
$111
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    1/21/2021
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    247.97
  • Age
    8 months ago
  • What it trades
    Stocks
  • # Trades
    559
  • # Profitable
    264
  • % Profitable
    47.20%
  • Avg trade duration
    12.5 hours
  • Max peak-to-valley drawdown
    40.74%
  • drawdown period
    March 18, 2021 - March 23, 2021
  • Cumul. Return
    215.2%
  • Avg win
    $1,690
  • Avg loss
    $1,133
  • Model Account Values (Raw)
  • Cash
    $161,697
  • Margin Used
    $0
  • Buying Power
    $161,697
  • Ratios
  • W:L ratio
    1.33:1
  • Sharpe Ratio
    2.09
  • Sortino Ratio
    4.28
  • Calmar Ratio
    18.212
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    199.56%
  • Correlation to SP500
    -0.16260
  • Return Percent SP500 (cumu) during strategy life
    15.63%
  • Return Statistics
  • Ann Return (w trading costs)
    432.1%
  • Slump
  • Current Slump as Pcnt Equity
    0.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    2.152%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    458.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    64.50%
  • Chance of 20% account loss
    44.50%
  • Chance of 30% account loss
    31.00%
  • Chance of 40% account loss
    16.00%
  • Chance of 60% account loss (Monte Carlo)
    2.00%
  • 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
    2.62%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    9.50%
  • Popularity
  • Popularity (Today)
    802
  • Popularity (Last 6 weeks)
    961
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    964
  • Popularity (7 days, Percentile 1000 scale)
    929
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,134
  • Avg Win
    $1,690
  • Sum Trade PL (losers)
    $334,504.000
  • AUM
  • AUM (AutoTrader num accounts)
    3
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $446,201.000
  • # Winners
    264
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    244777
  • Win / Loss
  • # Losers
    295
  • % Winners
    47.2%
  • Frequency
  • Avg Position Time (mins)
    750.15
  • Avg Position Time (hrs)
    12.50
  • Avg Trade Length
    0.5 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.49
  • Daily leverage (max)
    2.60
  • Regression
  • Alpha
    0.60
  • Beta
    -1.03
  • Treynor Index
    -0.53
  • 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)
    -0.51
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    8.731
  • 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
    0.303
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.229
  • Hold-and-Hope Ratio
    0.115
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.90406
  • SD
    1.81158
  • Sharpe ratio (Glass type estimate)
    1.60306
  • Sharpe ratio (Hedges UMVUE)
    1.39246
  • df
    6.00000
  • t
    1.22435
  • p
    0.13335
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.16971
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.26024
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.29195
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07686
  • Statistics related to Sortino ratio
  • Sortino ratio
    3148.92000
  • Upside Potential Ratio
    3150.22000
  • Upside part of mean
    2.90527
  • Downside part of mean
    -0.00121
  • Upside SD
    1.87504
  • Downside SD
    0.00092
  • N nonnegative terms
    6.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.23918
  • Mean of criterion
    2.90406
  • SD of predictor
    0.09164
  • SD of criterion
    1.81158
  • Covariance
    -0.03908
  • r
    -0.23538
  • b (slope, estimate of beta)
    -4.65317
  • a (intercept, estimate of alpha)
    4.01702
  • Mean Square Error
    3.71999
  • DF error
    5.00000
  • t(b)
    -0.54155
  • p(b)
    0.69431
  • t(a)
    1.23377
  • p(a)
    0.13606
  • Lowerbound of 95% confidence interval for beta
    -26.74150
  • Upperbound of 95% confidence interval for beta
    17.43520
  • Lowerbound of 95% confidence interval for alpha
    -4.35284
  • Upperbound of 95% confidence interval for alpha
    12.38690
  • Treynor index (mean / b)
    -0.62410
  • Jensen alpha (a)
    4.01702
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.95807
  • SD
    1.11105
  • Sharpe ratio (Glass type estimate)
    1.76236
  • Sharpe ratio (Hedges UMVUE)
    1.53084
  • df
    6.00000
  • t
    1.34603
  • p
    0.11346
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04480
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.44535
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.17758
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.23926
  • Statistics related to Sortino ratio
  • Sortino ratio
    2127.36000
  • Upside Potential Ratio
    2128.67000
  • Upside part of mean
    1.95928
  • Downside part of mean
    -0.00121
  • Upside SD
    1.17371
  • Downside SD
    0.00092
  • N nonnegative terms
    6.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.23291
  • Mean of criterion
    1.95807
  • SD of predictor
    0.08832
  • SD of criterion
    1.11105
  • Covariance
    -0.02151
  • r
    -0.21920
  • b (slope, estimate of beta)
    -2.75746
  • a (intercept, estimate of alpha)
    2.60031
  • Mean Square Error
    1.41014
  • DF error
    5.00000
  • t(b)
    -0.50236
  • p(b)
    0.68162
  • t(a)
    1.29182
  • p(a)
    0.12645
  • Lowerbound of 95% confidence interval for beta
    -16.86800
  • Upperbound of 95% confidence interval for beta
    11.35300
  • Lowerbound of 95% confidence interval for alpha
    -2.57424
  • Upperbound of 95% confidence interval for alpha
    7.77486
  • Treynor index (mean / b)
    -0.71010
  • Jensen alpha (a)
    2.60031
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.30538
  • Expected Shortfall on VaR
    0.38841
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00008
  • Expected Shortfall on VaR
    0.00023
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    1.00162
  • Quartile 1
    1.01098
  • Median
    1.04101
  • Quartile 3
    1.11004
  • Maximum
    2.42566
  • Mean of quarter 1
    1.00494
  • Mean of quarter 2
    1.02735
  • Mean of quarter 3
    1.10202
  • Mean of quarter 4
    1.77186
  • Inter Quartile Range
    0.09907
  • 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
    0.14286
  • Mean of outliers high
    2.42566
  • 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)
    3.74591
  • Compounded annual return (geometric extrapolation)
    6.28619
  • 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
    16.18430
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.99876
  • SD
    0.74738
  • Sharpe ratio (Glass type estimate)
    2.67434
  • Sharpe ratio (Hedges UMVUE)
    2.66273
  • df
    173.00000
  • t
    2.17942
  • p
    0.39640
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24909
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.09200
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24137
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.08409
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.21581
  • Upside Potential Ratio
    10.05740
  • Upside part of mean
    3.23405
  • Downside part of mean
    -1.23530
  • Upside SD
    0.68353
  • Downside SD
    0.32156
  • N nonnegative terms
    78.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    174.00000
  • Mean of predictor
    0.19897
  • Mean of criterion
    1.99876
  • SD of predictor
    0.12721
  • SD of criterion
    0.74738
  • Covariance
    -0.01659
  • r
    -0.17450
  • b (slope, estimate of beta)
    -1.02521
  • a (intercept, estimate of alpha)
    2.20300
  • Mean Square Error
    0.54472
  • DF error
    172.00000
  • t(b)
    -2.32423
  • p(b)
    0.58725
  • t(a)
    2.42087
  • p(a)
    0.40924
  • Lowerbound of 95% confidence interval for beta
    -1.89586
  • Upperbound of 95% confidence interval for beta
    -0.15455
  • Lowerbound of 95% confidence interval for alpha
    0.40674
  • Upperbound of 95% confidence interval for alpha
    3.99874
  • Treynor index (mean / b)
    -1.94961
  • Jensen alpha (a)
    2.20274
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.73738
  • SD
    0.70188
  • Sharpe ratio (Glass type estimate)
    2.47533
  • Sharpe ratio (Hedges UMVUE)
    2.46459
  • df
    173.00000
  • t
    2.01724
  • p
    0.40386
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05271
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.89101
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04556
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.88362
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.13481
  • Upside Potential Ratio
    8.94884
  • Upside part of mean
    3.02787
  • Downside part of mean
    -1.29049
  • Upside SD
    0.62196
  • Downside SD
    0.33835
  • N nonnegative terms
    78.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    174.00000
  • Mean of predictor
    0.19082
  • Mean of criterion
    1.73738
  • SD of predictor
    0.12730
  • SD of criterion
    0.70188
  • Covariance
    -0.01458
  • r
    -0.16318
  • b (slope, estimate of beta)
    -0.89970
  • a (intercept, estimate of alpha)
    1.90907
  • Mean Square Error
    0.48230
  • DF error
    172.00000
  • t(b)
    -2.16912
  • p(b)
    0.58159
  • t(a)
    2.23059
  • p(a)
    0.41616
  • Lowerbound of 95% confidence interval for beta
    -1.71840
  • Upperbound of 95% confidence interval for beta
    -0.08099
  • Lowerbound of 95% confidence interval for alpha
    0.21973
  • Upperbound of 95% confidence interval for alpha
    3.59840
  • Treynor index (mean / b)
    -1.93107
  • Jensen alpha (a)
    1.90907
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06265
  • Expected Shortfall on VaR
    0.07936
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01112
  • Expected Shortfall on VaR
    0.02570
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    174.00000
  • Minimum
    0.88289
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00194
  • Maximum
    1.31255
  • Mean of quarter 1
    0.98159
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00065
  • Mean of quarter 4
    1.04837
  • Inter Quartile Range
    0.00194
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.08621
  • Mean of outliers low
    0.94670
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.17816
  • Mean of outliers high
    1.06749
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.89441
  • VaR(95%) (moments method)
    0.00373
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.15714
  • VaR(95%) (regression method)
    0.01370
  • Expected Shortfall (regression method)
    0.03289
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00156
  • Quartile 1
    0.00756
  • Median
    0.05613
  • Quartile 3
    0.14046
  • Maximum
    0.26593
  • Mean of quarter 1
    0.00204
  • Mean of quarter 2
    0.01389
  • Mean of quarter 3
    0.11415
  • Mean of quarter 4
    0.21202
  • Inter Quartile Range
    0.13291
  • 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)
    3.35726
  • Compounded annual return (geometric extrapolation)
    4.84326
  • Calmar ratio (compounded annual return / max draw down)
    18.21250
  • Compounded annual return / average of 25% largest draw downs
    22.84300
  • Compounded annual return / Expected Shortfall lognormal
    61.03080
  • 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
    0.71995
  • SD
    0.27990
  • Sharpe ratio (Glass type estimate)
    2.57218
  • Sharpe ratio (Hedges UMVUE)
    2.55731
  • df
    130.00000
  • t
    1.81881
  • p
    0.42124
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22194
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.35671
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.23187
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.34650
  • Statistics related to Sortino ratio
  • Sortino ratio
    57.55750
  • Upside Potential Ratio
    62.71920
  • Upside part of mean
    0.78451
  • Downside part of mean
    -0.06456
  • Upside SD
    0.28208
  • Downside SD
    0.01251
  • N nonnegative terms
    47.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23906
  • Mean of criterion
    0.71995
  • SD of predictor
    0.10915
  • SD of criterion
    0.27990
  • Covariance
    -0.00140
  • r
    -0.04589
  • b (slope, estimate of beta)
    -0.11767
  • a (intercept, estimate of alpha)
    0.74808
  • Mean Square Error
    0.07878
  • DF error
    129.00000
  • t(b)
    -0.52176
  • p(b)
    0.52920
  • t(a)
    1.86743
  • p(a)
    0.39717
  • Lowerbound of 95% confidence interval for beta
    -0.56390
  • Upperbound of 95% confidence interval for beta
    0.32855
  • Lowerbound of 95% confidence interval for alpha
    -0.04450
  • Upperbound of 95% confidence interval for alpha
    1.54066
  • Treynor index (mean / b)
    -6.11814
  • Jensen alpha (a)
    0.74808
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.68373
  • SD
    0.25999
  • Sharpe ratio (Glass type estimate)
    2.62984
  • Sharpe ratio (Hedges UMVUE)
    2.61464
  • df
    130.00000
  • t
    1.85958
  • p
    0.41952
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16520
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.41504
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17533
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.40460
  • Statistics related to Sortino ratio
  • Sortino ratio
    54.55680
  • Upside Potential Ratio
    59.71430
  • Upside part of mean
    0.74836
  • Downside part of mean
    -0.06464
  • Upside SD
    0.26212
  • Downside SD
    0.01253
  • N nonnegative terms
    47.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23302
  • Mean of criterion
    0.68373
  • SD of predictor
    0.10913
  • SD of criterion
    0.25999
  • Covariance
    -0.00124
  • r
    -0.04380
  • b (slope, estimate of beta)
    -0.10435
  • a (intercept, estimate of alpha)
    0.70804
  • Mean Square Error
    0.06799
  • DF error
    129.00000
  • t(b)
    -0.49799
  • p(b)
    0.52788
  • t(a)
    1.90352
  • p(a)
    0.39525
  • VAR (95 Confidence Intrvl)
    0.06300
  • Lowerbound of 95% confidence interval for beta
    -0.51894
  • Upperbound of 95% confidence interval for beta
    0.31024
  • Lowerbound of 95% confidence interval for alpha
    -0.02790
  • Upperbound of 95% confidence interval for alpha
    1.44399
  • Treynor index (mean / b)
    -6.55215
  • Jensen alpha (a)
    0.70804
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02353
  • Expected Shortfall on VaR
    0.03004
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00065
  • Expected Shortfall on VaR
    0.00141
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99460
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00070
  • Maximum
    1.18140
  • Mean of quarter 1
    0.99929
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00017
  • Mean of quarter 4
    1.01188
  • Inter Quartile Range
    0.00070
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.99738
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.14504
  • Mean of outliers high
    1.01980
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.34801
  • VaR(95%) (moments method)
    0.00087
  • Expected Shortfall (moments method)
    0.00133
  • Extreme Value Index (regression method)
    -0.11177
  • VaR(95%) (regression method)
    0.00098
  • Expected Shortfall (regression method)
    0.00244
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00014
  • Quartile 1
    0.00024
  • Median
    0.00050
  • Quartile 3
    0.00252
  • Maximum
    0.00923
  • Mean of quarter 1
    0.00017
  • Mean of quarter 2
    0.00042
  • Mean of quarter 3
    0.00204
  • Mean of quarter 4
    0.00897
  • Inter Quartile Range
    0.00229
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.22222
  • Mean of outliers high
    0.00897
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -958.61700
  • VaR(95%) (moments method)
    0.00573
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -4.57589
  • VaR(95%) (regression method)
    0.01982
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.01982
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -311805000
  • Max Equity Drawdown (num days)
    5
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.85469
  • Compounded annual return (geometric extrapolation)
    1.03732
  • Calmar ratio (compounded annual return / max draw down)
    112.35800
  • Compounded annual return / average of 25% largest draw downs
    115.60800
  • Compounded annual return / Expected Shortfall lognormal
    34.52710

Strategy Description

Summary Statistics

Strategy began
2021-01-21
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 3.6%
Rank # 
#28
# Trades
559
# Profitable
264
% Profitable
47.2%
Correlation S&P500
-0.163
Sharpe Ratio
2.09
Sortino Ratio
4.28
Beta
-1.03
Alpha
0.60
Leverage
0.49 Average
2.60 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.