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Avi Butz and Goldshtein
(128081688)

Created by: AviButz AviButz
Started: 03/2020
Futures
Last trade: 2 days ago

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 $595.00 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.

122.1%
Annual Return (Compounded)

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 Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(26.0%)
Max Drawdown
936
Num Trades
95.4%
Win Trades
2.6 : 1
Profit Factor
85.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              +24.4%+5.2%+0.7%+10.0%+6.5%+66.4%+7.9%+3.0%+1.3%+0.1%+189.6%
2021+3.2%+0.3%+2.8%(11.4%)+17.2%+3.5%(0.5%)(7.6%)+9.3%+6.9%+9.9%      +35.0%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 12 hours.

Trading Record

This strategy has placed 2,731 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/26/21 9:36 @NQZ1 E-MINI NASDAQ 100 STK IDX SHORT 1 16297.80 11/26 9:37 16271.80 n/a $512
Includes Typical Broker Commissions trade costs of $8.00
11/24/21 10:06 @NQZ1 E-MINI NASDAQ 100 STK IDX LONG 1 16228.20 11/24 10:29 16254.50 0.73%
Trade id #138327169
Max drawdown($1,424)
Time11/24/21 10:13
Quant open1
Worst price16157.00
Drawdown as % of equity-0.73%
$518
Includes Typical Broker Commissions trade costs of $8.00
11/24/21 9:38 @NQZ1 E-MINI NASDAQ 100 STK IDX LONG 1 16168.20 11/24 9:58 16178.50 0.68%
Trade id #138326316
Max drawdown($1,324)
Time11/24/21 9:46
Quant open1
Worst price16102.00
Drawdown as % of equity-0.68%
$198
Includes Typical Broker Commissions trade costs of $8.00
11/24/21 9:30 @NQZ1 E-MINI NASDAQ 100 STK IDX LONG 1 16177.80 11/24 9:37 16186.50 0.42%
Trade id #138325801
Max drawdown($816)
Time11/24/21 9:34
Quant open1
Worst price16137.00
Drawdown as % of equity-0.42%
$166
Includes Typical Broker Commissions trade costs of $8.00
11/24/21 9:20 @NQZ1 E-MINI NASDAQ 100 STK IDX LONG 1 16178.80 11/24 9:25 16201.20 n/a $440
Includes Typical Broker Commissions trade costs of $8.00
11/24/21 4:01 @NQZ1 E-MINI NASDAQ 100 STK IDX LONG 2 16287.70 11/24 4:21 16304.00 0.31%
Trade id #138323366
Max drawdown($588)
Time11/24/21 4:05
Quant open2
Worst price16273.00
Drawdown as % of equity-0.31%
$636
Includes Typical Broker Commissions trade costs of $16.00
11/23/21 13:48 @NQZ1 E-MINI NASDAQ 100 STK IDX LONG 1 16156.20 11/23 13:50 16176.20 n/a $392
Includes Typical Broker Commissions trade costs of $8.00
11/23/21 10:13 @NQZ1 E-MINI NASDAQ 100 STK IDX LONG 1 16275.20 11/23 10:15 16294.20 n/a $372
Includes Typical Broker Commissions trade costs of $8.00
11/23/21 9:30 @NQZ1 E-MINI NASDAQ 100 STK IDX LONG 2 16328.70 11/23 9:39 16348.90 0.99%
Trade id #138307097
Max drawdown($1,878)
Time11/23/21 9:35
Quant open2
Worst price16281.80
Drawdown as % of equity-0.99%
$792
Includes Typical Broker Commissions trade costs of $16.00
11/23/21 3:41 @NQZ1 E-MINI NASDAQ 100 STK IDX LONG 1 16290.00 11/23 3:56 16307.80 0.1%
Trade id #138304423
Max drawdown($190)
Time11/23/21 3:49
Quant open1
Worst price16280.50
Drawdown as % of equity-0.10%
$348
Includes Typical Broker Commissions trade costs of $8.00
11/23/21 3:34 @NQZ1 E-MINI NASDAQ 100 STK IDX LONG 1 16285.50 11/23 3:35 16298.80 n/a $258
Includes Typical Broker Commissions trade costs of $8.00
11/23/21 3:05 @NQZ1 E-MINI NASDAQ 100 STK IDX LONG 1 16319.50 11/23 3:11 16330.20 0.08%
Trade id #138304095
Max drawdown($150)
Time11/23/21 3:08
Quant open1
Worst price16312.00
Drawdown as % of equity-0.08%
$206
Includes Typical Broker Commissions trade costs of $8.00
11/23/21 2:57 @NQZ1 E-MINI NASDAQ 100 STK IDX SHORT 1 16349.80 11/23 3:00 16338.20 n/a $224
Includes Typical Broker Commissions trade costs of $8.00
11/23/21 2:00 @NQZ1 E-MINI NASDAQ 100 STK IDX LONG 1 16331.80 11/23 2:55 16341.50 0.47%
Trade id #138303746
Max drawdown($891)
Time11/23/21 2:16
Quant open1
Worst price16287.20
Drawdown as % of equity-0.47%
$186
Includes Typical Broker Commissions trade costs of $8.00
11/23/21 1:30 @NQZ1 E-MINI NASDAQ 100 STK IDX LONG 1 16322.80 11/23 1:32 16341.80 n/a $372
Includes Typical Broker Commissions trade costs of $8.00
11/18/21 10:33 TQQQ PROSHARES ULTRAPRO QQQ SHORT 450 172.73 11/22 15:56 172.14 0.84%
Trade id #138245885
Max drawdown($1,595)
Time11/22/21 10:16
Quant open150
Worst price183.36
Drawdown as % of equity-0.84%
$254
Includes Typical Broker Commissions trade costs of $9.00
11/22/21 4:22 @NQZ1 E-MINI NASDAQ 100 STK IDX SHORT 2 16643.15 11/22 7:23 16628.30 0.11%
Trade id #138287848
Max drawdown($204)
Time11/22/21 4:27
Quant open2
Worst price16648.20
Drawdown as % of equity-0.11%
$578
Includes Typical Broker Commissions trade costs of $16.00
11/19/21 2:30 @MBTX1 MICRO BITCOIN LONG 1 55990 11/19 8:55 57665 0.01%
Trade id #138261832
Max drawdown($11)
Time11/19/21 2:37
Quant open1
Worst price55880
Drawdown as % of equity-0.01%
$160
Includes Typical Broker Commissions trade costs of $8.00
11/18/21 12:16 @MBTX1 MICRO BITCOIN LONG 6 57430 11/18 13:02 57648 n/a $83
Includes Typical Broker Commissions trade costs of $48.00
11/18/21 10:15 @NQZ1 E-MINI NASDAQ 100 STK IDX SHORT 1 16326.50 11/18 10:20 16308.85 0.27%
Trade id #138244659
Max drawdown($515)
Time11/18/21 10:18
Quant open1
Worst price16352.20
Drawdown as % of equity-0.27%
$345
Includes Typical Broker Commissions trade costs of $8.00
11/18/21 3:10 @NQZ1 E-MINI NASDAQ 100 STK IDX SHORT 1 16381.10 11/18 9:31 16373.85 0.31%
Trade id #138240077
Max drawdown($583)
Time11/18/21 4:03
Quant open1
Worst price16410.20
Drawdown as % of equity-0.31%
$137
Includes Typical Broker Commissions trade costs of $8.00
11/17/21 15:05 RIVN RIVIAN AUTOMOTIVE INC. CLASS A COMMON S SHORT 150 146.29 11/17 17:30 144.48 0.14%
Trade id #138234674
Max drawdown($261)
Time11/17/21 15:15
Quant open150
Worst price148.04
Drawdown as % of equity-0.14%
$269
Includes Typical Broker Commissions trade costs of $3.00
11/15/21 10:22 RIVN RIVIAN AUTOMOTIVE INC. CLASS A COMMON S SHORT 510 156.87 11/17 9:53 151.67 3.88%
Trade id #138196683
Max drawdown($7,245)
Time11/16/21 0:00
Quant open225
Worst price179.47
Drawdown as % of equity-3.88%
$2,638
Includes Typical Broker Commissions trade costs of $10.20
11/17/21 3:27 @NQZ1 E-MINI NASDAQ 100 STK IDX SHORT 1 16324.85 11/17 4:37 16319.65 0.08%
Trade id #138222635
Max drawdown($153)
Time11/17/21 3:46
Quant open1
Worst price16332.50
Drawdown as % of equity-0.08%
$96
Includes Typical Broker Commissions trade costs of $8.00
11/16/21 14:24 @NQZ1 E-MINI NASDAQ 100 STK IDX LONG 1 16301.65 11/16 14:25 16308.10 n/a $121
Includes Typical Broker Commissions trade costs of $8.00
11/16/21 13:59 @NQZ1 E-MINI NASDAQ 100 STK IDX SHORT 1 16312.10 11/16 14:21 16306.00 0.13%
Trade id #138216426
Max drawdown($233)
Time11/16/21 14:10
Quant open1
Worst price16323.80
Drawdown as % of equity-0.13%
$114
Includes Typical Broker Commissions trade costs of $8.00
11/16/21 9:52 @NQZ1 E-MINI NASDAQ 100 STK IDX LONG 1 16208.65 11/16 9:52 16216.75 n/a $154
Includes Typical Broker Commissions trade costs of $8.00
11/16/21 9:31 @NQZ1 E-MINI NASDAQ 100 STK IDX LONG 1 16160.00 11/16 9:31 16176.35 n/a $319
Includes Typical Broker Commissions trade costs of $8.00
11/16/21 1:46 @NQZ1 E-MINI NASDAQ 100 STK IDX LONG 1 16187.90 11/16 2:03 16194.25 0.04%
Trade id #138206518
Max drawdown($68)
Time11/16/21 1:49
Quant open1
Worst price16184.50
Drawdown as % of equity-0.04%
$119
Includes Typical Broker Commissions trade costs of $8.00
11/15/21 10:06 @NQZ1 E-MINI NASDAQ 100 STK IDX LONG 1 16196.50 11/15 20:12 16203.25 1.23%
Trade id #138196198
Max drawdown($2,285)
Time11/15/21 12:22
Quant open1
Worst price16082.20
Drawdown as % of equity-1.23%
$127
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    3/17/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    620.75
  • Age
    21 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    936
  • # Profitable
    893
  • % Profitable
    95.40%
  • Avg trade duration
    17.1 hours
  • Max peak-to-valley drawdown
    25.98%
  • drawdown period
    April 01, 2021 - April 26, 2021
  • Annual Return (Compounded)
    122.1%
  • Avg win
    $311.25
  • Avg loss
    $2,488
  • Model Account Values (Raw)
  • Cash
    $214,111
  • Margin Used
    $0
  • Buying Power
    $211,960
  • Ratios
  • W:L ratio
    2.60:1
  • Sharpe Ratio
    1.86
  • Sortino Ratio
    3.73
  • Calmar Ratio
    7.355
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    209.36%
  • Correlation to SP500
    -0.03740
  • Return Percent SP500 (cumu) during strategy life
    81.66%
  • Return Statistics
  • Ann Return (w trading costs)
    122.1%
  • Slump
  • Current Slump as Pcnt Equity
    1.70%
  • Instruments
  • Percent Trades Futures
    0.76%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.221%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.24%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    138.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    26.50%
  • Chance of 20% account loss
    7.00%
  • Chance of 30% account loss
    0.50%
  • 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)
    888
  • Popularity (Last 6 weeks)
    972
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    794
  • Popularity (7 days, Percentile 1000 scale)
    969
  • 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
    $2,511
  • Avg Win
    $311
  • Sum Trade PL (losers)
    $107,989.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    21
  • Win / Loss
  • Sum Trade PL (winners)
    $277,944.000
  • # Winners
    893
  • Num Months Winners
    18
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    208796
  • Win / Loss
  • # Losers
    43
  • % Winners
    95.4%
  • Frequency
  • Avg Position Time (mins)
    1024.20
  • Avg Position Time (hrs)
    17.07
  • Avg Trade Length
    0.7 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    3.63
  • Daily leverage (max)
    47.87
  • Regression
  • Alpha
    0.24
  • Beta
    -0.07
  • Treynor Index
    -3.41
  • 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)
    2.46
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    5.785
  • 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
    2.261
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.736
  • Hold-and-Hope Ratio
    0.172
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.93496
  • SD
    0.55435
  • Sharpe ratio (Glass type estimate)
    1.68658
  • Sharpe ratio (Hedges UMVUE)
    1.61515
  • df
    18.00000
  • t
    2.12223
  • p
    0.27632
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.01499
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.31672
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02941
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.25970
  • Statistics related to Sortino ratio
  • Sortino ratio
    18.41900
  • Upside Potential Ratio
    20.02850
  • Upside part of mean
    1.01666
  • Downside part of mean
    -0.08170
  • Upside SD
    0.60116
  • Downside SD
    0.05076
  • N nonnegative terms
    14.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.38046
  • Mean of criterion
    0.93496
  • SD of predictor
    0.14934
  • SD of criterion
    0.55435
  • Covariance
    0.02447
  • r
    0.29562
  • b (slope, estimate of beta)
    1.09729
  • a (intercept, estimate of alpha)
    0.51748
  • Mean Square Error
    0.29695
  • DF error
    17.00000
  • t(b)
    1.27587
  • p(b)
    0.31458
  • t(a)
    0.95339
  • p(a)
    0.35780
  • Lowerbound of 95% confidence interval for beta
    -0.71722
  • Upperbound of 95% confidence interval for beta
    2.91180
  • Lowerbound of 95% confidence interval for alpha
    -0.62768
  • Upperbound of 95% confidence interval for alpha
    1.66265
  • Treynor index (mean / b)
    0.85206
  • Jensen alpha (a)
    0.51748
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.79734
  • SD
    0.43870
  • Sharpe ratio (Glass type estimate)
    1.81751
  • Sharpe ratio (Hedges UMVUE)
    1.74054
  • df
    18.00000
  • t
    2.28699
  • p
    0.26275
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13014
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.46096
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08239
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.39868
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.47570
  • Upside Potential Ratio
    17.08320
  • Upside part of mean
    0.88016
  • Downside part of mean
    -0.08282
  • Upside SD
    0.48234
  • Downside SD
    0.05152
  • N nonnegative terms
    14.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.36369
  • Mean of criterion
    0.79734
  • SD of predictor
    0.14583
  • SD of criterion
    0.43870
  • Covariance
    0.01691
  • r
    0.26433
  • b (slope, estimate of beta)
    0.79514
  • a (intercept, estimate of alpha)
    0.50815
  • Mean Square Error
    0.18954
  • DF error
    17.00000
  • t(b)
    1.13003
  • p(b)
    0.33371
  • t(a)
    1.18081
  • p(a)
    0.32697
  • Lowerbound of 95% confidence interval for beta
    -0.68942
  • Upperbound of 95% confidence interval for beta
    2.27969
  • Lowerbound of 95% confidence interval for alpha
    -0.39979
  • Upperbound of 95% confidence interval for alpha
    1.41610
  • Treynor index (mean / b)
    1.00276
  • Jensen alpha (a)
    0.50815
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13226
  • Expected Shortfall on VaR
    0.17609
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00989
  • Expected Shortfall on VaR
    0.02232
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.96528
  • Quartile 1
    1.00374
  • Median
    1.02849
  • Quartile 3
    1.09359
  • Maximum
    1.66640
  • Mean of quarter 1
    0.97646
  • Mean of quarter 2
    1.02120
  • Mean of quarter 3
    1.05919
  • Mean of quarter 4
    1.25991
  • Inter Quartile Range
    0.08985
  • 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
    0.10526
  • Mean of outliers high
    1.46412
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -8.19988
  • VaR(95%) (moments method)
    0.01377
  • Expected Shortfall (moments method)
    0.01377
  • Extreme Value Index (regression method)
    -2.90552
  • VaR(95%) (regression method)
    0.04176
  • Expected Shortfall (regression method)
    0.04202
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00466
  • Quartile 1
    0.02443
  • Median
    0.04419
  • Quartile 3
    0.05573
  • Maximum
    0.06727
  • Mean of quarter 1
    0.00466
  • Mean of quarter 2
    0.04419
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06727
  • Inter Quartile Range
    0.03130
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.70129
  • Compounded annual return (geometric extrapolation)
    1.28243
  • Calmar ratio (compounded annual return / max draw down)
    19.06430
  • Compounded annual return / average of 25% largest draw downs
    19.06430
  • Compounded annual return / Expected Shortfall lognormal
    7.28275
  • 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
    0.91088
  • SD
    0.34519
  • Sharpe ratio (Glass type estimate)
    2.63874
  • Sharpe ratio (Hedges UMVUE)
    2.63412
  • df
    428.00000
  • t
    3.37656
  • p
    0.00040
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.09541
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.17911
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.09230
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.17593
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.98964
  • Upside Potential Ratio
    11.64720
  • Upside part of mean
    1.77125
  • Downside part of mean
    -0.86037
  • Upside SD
    0.31452
  • Downside SD
    0.15208
  • N nonnegative terms
    267.00000
  • N negative terms
    162.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    429.00000
  • Mean of predictor
    0.36007
  • Mean of criterion
    0.91088
  • SD of predictor
    0.21613
  • SD of criterion
    0.34519
  • Covariance
    -0.00271
  • r
    -0.03638
  • b (slope, estimate of beta)
    -0.05810
  • a (intercept, estimate of alpha)
    0.93200
  • Mean Square Error
    0.11928
  • DF error
    427.00000
  • t(b)
    -0.75221
  • p(b)
    0.77383
  • t(a)
    3.43418
  • p(a)
    0.00033
  • Lowerbound of 95% confidence interval for beta
    -0.20992
  • Upperbound of 95% confidence interval for beta
    0.09372
  • Lowerbound of 95% confidence interval for alpha
    0.39849
  • Upperbound of 95% confidence interval for alpha
    1.46511
  • Treynor index (mean / b)
    -15.67780
  • Jensen alpha (a)
    0.93180
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.85384
  • SD
    0.32825
  • Sharpe ratio (Glass type estimate)
    2.60120
  • Sharpe ratio (Hedges UMVUE)
    2.59663
  • df
    428.00000
  • t
    3.32852
  • p
    0.00047
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.05814
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.14128
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.05510
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.13817
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.49139
  • Upside Potential Ratio
    11.10080
  • Upside part of mean
    1.72603
  • Downside part of mean
    -0.87219
  • Upside SD
    0.29343
  • Downside SD
    0.15549
  • N nonnegative terms
    267.00000
  • N negative terms
    162.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    429.00000
  • Mean of predictor
    0.33669
  • Mean of criterion
    0.85384
  • SD of predictor
    0.21487
  • SD of criterion
    0.32825
  • Covariance
    -0.00274
  • r
    -0.03878
  • b (slope, estimate of beta)
    -0.05924
  • a (intercept, estimate of alpha)
    0.87378
  • Mean Square Error
    0.10784
  • DF error
    427.00000
  • t(b)
    -0.80198
  • p(b)
    0.78849
  • t(a)
    3.38898
  • p(a)
    0.00038
  • Lowerbound of 95% confidence interval for beta
    -0.20444
  • Upperbound of 95% confidence interval for beta
    0.08595
  • Lowerbound of 95% confidence interval for alpha
    0.36701
  • Upperbound of 95% confidence interval for alpha
    1.38056
  • Treynor index (mean / b)
    -14.41240
  • Jensen alpha (a)
    0.87378
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02965
  • Expected Shortfall on VaR
    0.03781
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00603
  • Expected Shortfall on VaR
    0.01387
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    429.00000
  • Minimum
    0.91536
  • Quartile 1
    0.99854
  • Median
    1.00121
  • Quartile 3
    1.00607
  • Maximum
    1.27262
  • Mean of quarter 1
    0.98722
  • Mean of quarter 2
    1.00023
  • Mean of quarter 3
    1.00331
  • Mean of quarter 4
    1.02373
  • Inter Quartile Range
    0.00753
  • Number outliers low
    32.00000
  • Percentage of outliers low
    0.07459
  • Mean of outliers low
    0.97121
  • Number of outliers high
    42.00000
  • Percentage of outliers high
    0.09790
  • Mean of outliers high
    1.04438
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48765
  • VaR(95%) (moments method)
    0.00765
  • Expected Shortfall (moments method)
    0.01850
  • Extreme Value Index (regression method)
    0.20151
  • VaR(95%) (regression method)
    0.01093
  • Expected Shortfall (regression method)
    0.01955
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    36.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00160
  • Median
    0.00457
  • Quartile 3
    0.04253
  • Maximum
    0.19239
  • Mean of quarter 1
    0.00072
  • Mean of quarter 2
    0.00288
  • Mean of quarter 3
    0.01311
  • Mean of quarter 4
    0.09226
  • Inter Quartile Range
    0.04093
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    0.15615
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.39355
  • VaR(95%) (moments method)
    0.10593
  • Expected Shortfall (moments method)
    0.18661
  • Extreme Value Index (regression method)
    1.01483
  • VaR(95%) (regression method)
    0.09336
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.97669
  • Compounded annual return (geometric extrapolation)
    1.41511
  • Calmar ratio (compounded annual return / max draw down)
    7.35543
  • Compounded annual return / average of 25% largest draw downs
    15.33890
  • Compounded annual return / Expected Shortfall lognormal
    37.42710
  • 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
    0.45173
  • SD
    0.26620
  • Sharpe ratio (Glass type estimate)
    1.69692
  • Sharpe ratio (Hedges UMVUE)
    1.68711
  • df
    130.00000
  • t
    1.19990
  • p
    0.44767
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08570
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.47325
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.09227
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.46649
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.49654
  • Upside Potential Ratio
    8.90403
  • Upside part of mean
    1.61110
  • Downside part of mean
    -1.15937
  • Upside SD
    0.19586
  • Downside SD
    0.18094
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15696
  • Mean of criterion
    0.45173
  • SD of predictor
    0.10630
  • SD of criterion
    0.26620
  • Covariance
    -0.00473
  • r
    -0.16712
  • b (slope, estimate of beta)
    -0.41853
  • a (intercept, estimate of alpha)
    0.51742
  • Mean Square Error
    0.06942
  • DF error
    129.00000
  • t(b)
    -1.92521
  • p(b)
    0.60590
  • t(a)
    1.38284
  • p(a)
    0.42325
  • Lowerbound of 95% confidence interval for beta
    -0.84866
  • Upperbound of 95% confidence interval for beta
    0.01159
  • Lowerbound of 95% confidence interval for alpha
    -0.22288
  • Upperbound of 95% confidence interval for alpha
    1.25772
  • Treynor index (mean / b)
    -1.07931
  • Jensen alpha (a)
    0.51742
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41599
  • SD
    0.26730
  • Sharpe ratio (Glass type estimate)
    1.55626
  • Sharpe ratio (Hedges UMVUE)
    1.54726
  • df
    130.00000
  • t
    1.10044
  • p
    0.45197
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.22490
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.33161
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.23092
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.32544
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.23847
  • Upside Potential Ratio
    8.56779
  • Upside part of mean
    1.59220
  • Downside part of mean
    -1.17621
  • Upside SD
    0.19243
  • Downside SD
    0.18584
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15128
  • Mean of criterion
    0.41599
  • SD of predictor
    0.10647
  • SD of criterion
    0.26730
  • Covariance
    -0.00467
  • r
    -0.16401
  • b (slope, estimate of beta)
    -0.41178
  • a (intercept, estimate of alpha)
    0.47828
  • Mean Square Error
    0.07007
  • DF error
    129.00000
  • t(b)
    -1.88835
  • p(b)
    0.60394
  • t(a)
    1.27272
  • p(a)
    0.42925
  • VAR (95 Confidence Intrvl)
    0.03000
  • Lowerbound of 95% confidence interval for beta
    -0.84321
  • Upperbound of 95% confidence interval for beta
    0.01966
  • Lowerbound of 95% confidence interval for alpha
    -0.26524
  • Upperbound of 95% confidence interval for alpha
    1.22179
  • Treynor index (mean / b)
    -1.01023
  • Jensen alpha (a)
    0.47828
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02525
  • Expected Shortfall on VaR
    0.03194
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00830
  • Expected Shortfall on VaR
    0.01842
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91536
  • Quartile 1
    0.99560
  • Median
    1.00190
  • Quartile 3
    1.00755
  • Maximum
    1.06377
  • Mean of quarter 1
    0.98375
  • Mean of quarter 2
    0.99941
  • Mean of quarter 3
    1.00415
  • Mean of quarter 4
    1.02008
  • Inter Quartile Range
    0.01194
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.95879
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.03958
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11934
  • VaR(95%) (moments method)
    0.01276
  • Expected Shortfall (moments method)
    0.01933
  • Extreme Value Index (regression method)
    0.59047
  • VaR(95%) (regression method)
    0.01142
  • Expected Shortfall (regression method)
    0.02793
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00015
  • Quartile 1
    0.00327
  • Median
    0.00476
  • Quartile 3
    0.07782
  • Maximum
    0.14578
  • Mean of quarter 1
    0.00159
  • Mean of quarter 2
    0.00457
  • Mean of quarter 3
    0.04715
  • Mean of quarter 4
    0.13803
  • Inter Quartile Range
    0.07455
  • 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)
    -50.66470
  • VaR(95%) (moments method)
    0.12317
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.75968
  • VaR(95%) (regression method)
    0.19340
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.19400
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -308972000
  • Max Equity Drawdown (num days)
    25
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.49701
  • Compounded annual return (geometric extrapolation)
    0.55876
  • Calmar ratio (compounded annual return / max draw down)
    3.83304
  • Compounded annual return / average of 25% largest draw downs
    4.04815
  • Compounded annual return / Expected Shortfall lognormal
    17.49660

Strategy Description

Dear client,

At Collective2, we are a signal provider, meaning we don't take any responsibility for client order execution nor any technical problem that may occur.
This strategy is managed in a real portfolio (TOS). All trades that seen on Collective2 are fully executed on our side. We are trading our own developed models. We will take short-term & swing positions depending on the market's environment.
*******************************************************************************************************************************
Please be advised; It is a high-risk business! We will try to minimize the risk as much as possible. We believe the bigger the account, the lower the risk because we prefer not to use leverage and try to avoid it. One must understand what is involved in trading.
We were there in 1987 / 1997 / 2000 / 2008 and saw how the market crashed many people.
Therefore, we must emphasize that those who cannot afford to lose should not participate in this game.
*******************************************************************************************************************************
PLEASE NOTE:
We don't replay here nor visiting the platform that often. If you have any urgent questions or inquiries, please send an email to: Daniel@goldshteinandco.com

In addition, Collective2 doesn’t support pre and after market trades execution. Nonetheless, sometimes WE WILL trade pre and after market on our account, especially when there is earning season, so please consider this factor when you choose to subscribe to the strategy; you can modify which product to execute from your side when subscribing to the strategy.
*******************************************************************************************************************************
************************************************************FAQ**************************************************************
*******************************************************************************************************************************

Q: How much should I allocate to this strategy?
A: As we mentioned before, we are managing a portfolio of 1MM; based on your risk tolerance and capital available, you should allocate as you see right (Scaling).

Q: Can I get a discount?
A: No, we don't provide any discounts.

Q: Why is the strategy so expensive?
A: Our strategy trades Futures; one of the limitations we have in Collective2 is the higher we go in AUM, the more effect it has on our buying quantity, know as " Position Limits" (Weird, right?).
So, after working in Collective2 for some time, we saw that the more clients we have, the less we have buying quantity ( There are situations that we can buy at all... and that's unfair towards the current clients)
that said, we decided to try to avoid this problem by having a higher fee so it will have a more negligible effect on the quantity we can buy (This position limits mainly for Futures contracts and not stocks).

Q: Why the Leverage is so high, and how come you have all this buying power?
A: Our portfolio size is 1 Million USD, and Collective2 doesn't adjust the strategy starting capital. Once a strategy opens with starting capital, it is unchangeable.

Q: One of the orders didn't fill what I need to do?
A: Please get in touch with Collective2; We can't do anything regarding that from our side.

Q: Is it an Algo Strategy?
A: No, the strategy is managed by a group of people and manually executed.

Q: I see a different fill price and P&L from the trade on my side.
A: Often, system vendors at C2 will submit a limit order at a price that is not "market clearing".

Q: Are you double down or doing martingale?
A: No, by our strategy, we have a price range which we will accumulate the asset

Q: Do you have a take profit & stop loss?
A: Each trade has a strategic plan prepared in advance.

Q: The returns of the strategy doesn't add up why there are different numbers
A: Collective2 has to calculate by the requirements of the regulations. If you do due diligence, you will see different numbers that, in the end, are much higher.

Q: What do you trade?
A: We will trade Futures, Stocks, and maybe option depends on market conditions.

Q: I don't want to trade one of those products.
A: You can choose which trades to follow; you don't have to trade them all.

Summary Statistics

Strategy began
2020-03-17
Suggested Minimum Capital
$50,000
Rank at C2 
#167
# Trades
936
# Profitable
893
% Profitable
95.4%
Correlation S&P500
-0.037
Sharpe Ratio
1.86
Sortino Ratio
3.73
Beta
-0.07
Alpha
0.24
Leverage
3.63 Average
47.87 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.