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These are hypothetical performance results that have certain inherent limitations. Learn more

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 11/25/2020
Most recent certification approved 11/25/20 10:30 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 352
# trading signals executed in manager's Israel Interactive Trading account 351
Percent signals followed since 11/25/2020 99.7%
This information was last updated 11/27/21 23:53 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 11/25/2020, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Tedeschi stock rating
(132446310)

Created by: YoramTadeski YoramTadeski
Started: 11/2020
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 $40.00 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.

76.1%
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.

(18.7%)
Max Drawdown
157
Num Trades
49.0%
Win Trades
2.1 : 1
Profit Factor
76.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                      +1.7%+12.9%+14.8%
2021+11.3%+0.5%+2.0%(5.5%)+5.5%+19.0%+0.3%+8.1%(1.5%)+8.5%(1.5%)      +54.8%

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 351 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
11/24/21 11:28 AAPL APPLE LONG 22 161.86 11/26 9:45 158.94 0.37%
Trade id #138328814
Max drawdown($67)
Time11/26/21 9:45
Quant open22
Worst price158.77
Drawdown as % of equity-0.37%
($64)
Includes Typical Broker Commissions trade costs of $0.44
10/6/21 10:50 ATLC ATLANTICUS HOLDINGS LONG 21 55.00 11/26 9:33 61.32 0.17%
Trade id #137692586
Max drawdown($27)
Time10/11/21 0:00
Quant open21
Worst price53.70
Drawdown as % of equity-0.17%
$133
Includes Typical Broker Commissions trade costs of $0.42
11/24/21 10:13 JPM JPMORGAN CHASE LONG 16 168.42 11/26 9:30 161.06 0.67%
Trade id #138327346
Max drawdown($122)
Time11/26/21 9:30
Quant open16
Worst price160.78
Drawdown as % of equity-0.67%
($118)
Includes Typical Broker Commissions trade costs of $0.32
11/15/21 12:59 LIAN LIANBIO AMERICAN DEPOSITARY SHARES LONG 30 15.58 11/23 15:51 14.12 0.23%
Trade id #138200488
Max drawdown($41)
Time11/23/21 15:51
Quant open30
Worst price14.19
Drawdown as % of equity-0.23%
($45)
Includes Typical Broker Commissions trade costs of $0.60
11/25/20 10:34 AMZN AMAZON.COM LONG 2 3178.75 11/23/21 10:45 3385.71 2.39%
Trade id #132455373
Max drawdown($297)
Time3/5/21 0:00
Quant open1
Worst price2881.00
Drawdown as % of equity-2.39%
$414
Includes Typical Broker Commissions trade costs of $0.04
9/24/21 9:59 CYBR CYBERARK SOFTWARE LTD. ORDINAR LONG 6 168.94 11/23 10:19 177.11 0.58%
Trade id #137517226
Max drawdown($96)
Time10/4/21 0:00
Quant open6
Worst price152.93
Drawdown as % of equity-0.58%
$49
Includes Typical Broker Commissions trade costs of $0.12
7/9/21 9:30 INPX INPIXON COMMON STOCK LONG 400 1.06 11/19 14:23 0.73 0.84%
Trade id #136398655
Max drawdown($135)
Time10/7/21 0:00
Quant open400
Worst price0.72
Drawdown as % of equity-0.84%
($138)
Includes Typical Broker Commissions trade costs of $8.00
11/17/21 15:36 BRZE BRAZE INC. CLASS A COMMON STOCK LONG 40 92.09 11/18 9:36 85.87 2.43%
Trade id #138235278
Max drawdown($469)
Time11/18/21 0:00
Quant open40
Worst price80.35
Drawdown as % of equity-2.43%
($250)
Includes Typical Broker Commissions trade costs of $0.80
10/18/21 9:31 GTLB GITLAB INC. CLASS A COMMON STOCK LONG 2 113.15 11/15 10:09 121.95 0.16%
Trade id #137852630
Max drawdown($27)
Time10/19/21 0:00
Quant open2
Worst price99.55
Drawdown as % of equity-0.16%
$18
Includes Typical Broker Commissions trade costs of $0.04
11/12/21 12:23 CINT CI&T INC LONG 70 20.03 11/15 9:32 19.38 0.28%
Trade id #138177602
Max drawdown($54)
Time11/15/21 9:32
Quant open70
Worst price19.25
Drawdown as % of equity-0.28%
($47)
Includes Typical Broker Commissions trade costs of $1.40
11/11/21 15:59 VAXX VAXXINITY INC. CLASS A COMMON STOCK LONG 24 16.47 11/12 9:34 15.17 0.37%
Trade id #138166618
Max drawdown($71)
Time11/12/21 0:00
Quant open24
Worst price13.50
Drawdown as % of equity-0.37%
($31)
Includes Typical Broker Commissions trade costs of $0.48
6/3/21 10:00 DXCM DEXCOM LONG 4 371.14 11/10 15:06 620.09 0.01%
Trade id #135889285
Max drawdown($0)
Time6/3/21 10:03
Quant open4
Worst price370.94
Drawdown as % of equity-0.01%
$996
Includes Typical Broker Commissions trade costs of $0.08
10/22/21 9:59 FND FLOOR & DECOR HOLDINGS INC LONG 8 137.40 11/10 13:49 129.98 0.41%
Trade id #137918278
Max drawdown($77)
Time11/5/21 0:00
Quant open8
Worst price127.69
Drawdown as % of equity-0.41%
($59)
Includes Typical Broker Commissions trade costs of $0.16
11/4/21 15:30 EVO EVOTEC SE AMERICAN DEPOSITARY SHARES LONG 140 22.20 11/9 9:30 22.85 0.27%
Trade id #138082411
Max drawdown($51)
Time11/5/21 0:00
Quant open140
Worst price21.83
Drawdown as % of equity-0.27%
$88
Includes Typical Broker Commissions trade costs of $2.80
11/1/21 15:56 LIAN LIANBIO AMERICAN DEPOSITARY SHARES LONG 22 13.89 11/8 11:57 14.04 0.11%
Trade id #138034431
Max drawdown($19)
Time11/3/21 0:00
Quant open22
Worst price12.99
Drawdown as % of equity-0.11%
$3
Includes Typical Broker Commissions trade costs of $0.44
10/28/21 9:33 INFA INFORMATICA INC LONG 100 28.88 11/3 9:57 29.96 0.45%
Trade id #137988758
Max drawdown($77)
Time10/28/21 9:46
Quant open100
Worst price28.11
Drawdown as % of equity-0.45%
$106
Includes Typical Broker Commissions trade costs of $2.00
10/28/21 15:34 FLNC FLUENCE ENERGY INC. CLASS A COMMON STOC LONG 100 35.25 11/1 10:26 36.03 0.56%
Trade id #137996118
Max drawdown($98)
Time10/29/21 0:00
Quant open100
Worst price34.26
Drawdown as % of equity-0.56%
$76
Includes Typical Broker Commissions trade costs of $2.00
10/22/21 15:59 XLO XILIO THERAPEUTICS INC. LONG 218 16.13 10/27 9:50 16.14 1.39%
Trade id #137925144
Max drawdown($240)
Time10/25/21 0:00
Quant open218
Worst price15.03
Drawdown as % of equity-1.39%
($2)
Includes Typical Broker Commissions trade costs of $4.36
10/13/21 12:39 AVDX AVIDXCHANGE HOLDINGS INC. COMMON STOCK LONG 140 24.62 10/15 10:01 23.80 0.77%
Trade id #137791782
Max drawdown($128)
Time10/15/21 10:01
Quant open140
Worst price23.70
Drawdown as % of equity-0.77%
($118)
Includes Typical Broker Commissions trade costs of $2.80
8/11/21 11:10 ALGN ALIGN TECHNOLOGY LONG 2 680.35 10/13 9:30 608.28 0.99%
Trade id #136920874
Max drawdown($160)
Time10/13/21 9:30
Quant open2
Worst price600.01
Drawdown as % of equity-0.99%
($144)
Includes Typical Broker Commissions trade costs of $0.04
10/7/21 15:37 THRX THESEUS PHARMACEUTICALS INC. COMMON STO LONG 16 18.07 10/8 11:16 17.35 0.09%
Trade id #137717974
Max drawdown($15)
Time10/8/21 11:16
Quant open16
Worst price17.10
Drawdown as % of equity-0.09%
($12)
Includes Typical Broker Commissions trade costs of $0.32
10/1/21 15:49 FWRG FIRST WATCH RESTAURANT GROUP INC. LONG 150 22.26 10/5 13:45 22.07 0.68%
Trade id #137626184
Max drawdown($114)
Time10/4/21 0:00
Quant open150
Worst price21.50
Drawdown as % of equity-0.68%
($32)
Includes Typical Broker Commissions trade costs of $3.00
10/1/21 15:59 EXAI EXSCIENTIA PLC ADS LONG 120 27.55 10/5 9:50 25.46 3.18%
Trade id #137626481
Max drawdown($533)
Time10/4/21 0:00
Quant open120
Worst price23.10
Drawdown as % of equity-3.18%
($253)
Includes Typical Broker Commissions trade costs of $2.40
10/4/21 10:13 AMPL AMPLITUDE INC. CLASS A COMMON STOCK LONG 26 54.99 10/4 10:38 53.02 0.4%
Trade id #137645284
Max drawdown($66)
Time10/4/21 10:38
Quant open26
Worst price52.44
Drawdown as % of equity-0.40%
($52)
Includes Typical Broker Commissions trade costs of $0.52
9/22/21 13:03 PCRX PACIRA BIOSCIENCES INC LONG 30 57.30 10/4 9:32 50.12 1.3%
Trade id #137482195
Max drawdown($218)
Time10/4/21 9:32
Quant open30
Worst price50.01
Drawdown as % of equity-1.30%
($216)
Includes Typical Broker Commissions trade costs of $0.60
9/22/21 11:04 QS QUANTUMSCAPE CORP LONG 40 23.71 9/30 10:10 24.52 0.14%
Trade id #137478727
Max drawdown($23)
Time9/22/21 14:50
Quant open40
Worst price23.13
Drawdown as % of equity-0.14%
$31
Includes Typical Broker Commissions trade costs of $0.80
9/24/21 15:28 CWAN CLEARWATER ANALYTICS HOLDINGS INC LONG 134 25.96 9/29 12:12 26.80 1.11%
Trade id #137523898
Max drawdown($193)
Time9/27/21 0:00
Quant open134
Worst price24.52
Drawdown as % of equity-1.11%
$109
Includes Typical Broker Commissions trade costs of $2.68
8/18/21 10:20 ARRY ARRAY TECHNOLOGIES INC. COMMON STOCK LONG 29 18.15 9/27 9:36 16.96 0.2%
Trade id #137018043
Max drawdown($34)
Time9/27/21 9:36
Quant open29
Worst price16.96
Drawdown as % of equity-0.20%
($36)
Includes Typical Broker Commissions trade costs of $0.58
9/23/21 9:30 MEDP MEDPACE HOLDINGS INC. COMMON STOCK LONG 24 190.77 9/23 11:21 191.92 0.16%
Trade id #137494497
Max drawdown($26)
Time9/23/21 9:34
Quant open24
Worst price189.66
Drawdown as % of equity-0.16%
$28
Includes Typical Broker Commissions trade costs of $0.48
8/25/21 15:36 TIXT TELUS INTERNATIONAL (CDA) INC LONG 18 33.96 9/22 9:38 34.41 0.11%
Trade id #137124417
Max drawdown($18)
Time8/27/21 0:00
Quant open18
Worst price32.94
Drawdown as % of equity-0.11%
$8
Includes Typical Broker Commissions trade costs of $0.36

Statistics

  • Strategy began
    11/25/2020
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    367.76
  • Age
    12 months ago
  • What it trades
    Stocks
  • # Trades
    157
  • # Profitable
    77
  • % Profitable
    49.00%
  • Avg trade duration
    36.7 days
  • Max peak-to-valley drawdown
    18.69%
  • drawdown period
    Feb 16, 2021 - March 24, 2021
  • Annual Return (Compounded)
    76.1%
  • Avg win
    $219.90
  • Avg loss
    $100.38
  • Model Account Values (Raw)
  • Cash
    $8,751
  • Margin Used
    $0
  • Buying Power
    $11,083
  • Ratios
  • W:L ratio
    2.11:1
  • Sharpe Ratio
    1.74
  • Sortino Ratio
    2.8
  • Calmar Ratio
    9.499
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    51.05%
  • Correlation to SP500
    0.35840
  • Return Percent SP500 (cumu) during strategy life
    26.59%
  • Return Statistics
  • Ann Return (w trading costs)
    76.1%
  • Slump
  • Current Slump as Pcnt Equity
    11.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.05%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.761%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    88.0%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    945
  • Popularity (Last 6 weeks)
    989
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    958
  • Popularity (7 days, Percentile 1000 scale)
    977
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $100
  • Avg Win
    $220
  • Sum Trade PL (losers)
    $8,030.000
  • AUM
  • AUM (AutoTrader num accounts)
    37
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $16,932.000
  • # Winners
    77
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    20
  • AUM
  • AUM (AutoTrader live capital)
    856543
  • Win / Loss
  • # Losers
    80
  • % Winners
    49.0%
  • Frequency
  • Avg Position Time (mins)
    52810.70
  • Avg Position Time (hrs)
    880.18
  • Avg Trade Length
    36.7 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.27
  • Daily leverage (max)
    2.03
  • Regression
  • Alpha
    0.12
  • Beta
    0.85
  • Treynor Index
    0.20
  • 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)
    0.30
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.340
  • 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
    0.300
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.436
  • Hold-and-Hope Ratio
    0.318
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.13059
  • SD
    0.39358
  • Sharpe ratio (Glass type estimate)
    2.87255
  • Sharpe ratio (Hedges UMVUE)
    2.55141
  • df
    7.00000
  • t
    2.34543
  • p
    0.02572
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01692
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.61841
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19602
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.29883
  • Statistics related to Sortino ratio
  • Sortino ratio
    20.85700
  • Upside Potential Ratio
    22.59460
  • Upside part of mean
    1.22478
  • Downside part of mean
    -0.09419
  • Upside SD
    0.48900
  • Downside SD
    0.05421
  • N nonnegative terms
    5.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.36748
  • Mean of criterion
    1.13059
  • SD of predictor
    0.07069
  • SD of criterion
    0.39358
  • Covariance
    0.01152
  • r
    0.41418
  • b (slope, estimate of beta)
    2.30609
  • a (intercept, estimate of alpha)
    0.28314
  • Mean Square Error
    0.14972
  • DF error
    6.00000
  • t(b)
    1.11463
  • p(b)
    0.15383
  • t(a)
    0.31604
  • p(a)
    0.38134
  • Lowerbound of 95% confidence interval for beta
    -2.75644
  • Upperbound of 95% confidence interval for beta
    7.36861
  • Lowerbound of 95% confidence interval for alpha
    -1.90907
  • Upperbound of 95% confidence interval for alpha
    2.47535
  • Treynor index (mean / b)
    0.49026
  • Jensen alpha (a)
    0.28314
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.02188
  • SD
    0.35798
  • Sharpe ratio (Glass type estimate)
    2.85458
  • Sharpe ratio (Hedges UMVUE)
    2.53545
  • df
    7.00000
  • t
    2.33075
  • p
    0.02628
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02981
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.59573
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20793
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.27882
  • Statistics related to Sortino ratio
  • Sortino ratio
    18.59750
  • Upside Potential Ratio
    20.33480
  • Upside part of mean
    1.11735
  • Downside part of mean
    -0.09546
  • Upside SD
    0.44287
  • Downside SD
    0.05495
  • N nonnegative terms
    5.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.35908
  • Mean of criterion
    1.02188
  • SD of predictor
    0.06871
  • SD of criterion
    0.35798
  • Covariance
    0.00970
  • r
    0.39455
  • b (slope, estimate of beta)
    2.05565
  • a (intercept, estimate of alpha)
    0.28374
  • Mean Square Error
    0.12623
  • DF error
    6.00000
  • t(b)
    1.05178
  • p(b)
    0.16670
  • t(a)
    0.34361
  • p(a)
    0.37143
  • Lowerbound of 95% confidence interval for beta
    -2.72676
  • Upperbound of 95% confidence interval for beta
    6.83806
  • Lowerbound of 95% confidence interval for alpha
    -1.73685
  • Upperbound of 95% confidence interval for alpha
    2.30433
  • Treynor index (mean / b)
    0.49711
  • Jensen alpha (a)
    0.28374
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08132
  • Expected Shortfall on VaR
    0.11951
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01504
  • Expected Shortfall on VaR
    0.03036
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.96926
  • Quartile 1
    0.99474
  • Median
    1.08475
  • Quartile 3
    1.19472
  • Maximum
    1.25068
  • Mean of quarter 1
    0.97109
  • Mean of quarter 2
    1.02708
  • Mean of quarter 3
    1.15140
  • Mean of quarter 4
    1.23661
  • Inter Quartile Range
    0.19998
  • 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
    0.05700
  • Quartile 1
    0.05700
  • Median
    0.05700
  • Quartile 3
    0.05700
  • Maximum
    0.05700
  • 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)
    1.52021
  • Compounded annual return (geometric extrapolation)
    1.85705
  • Calmar ratio (compounded annual return / max draw down)
    32.58260
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    15.53850
  • 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
    0.96037
  • SD
    0.35628
  • Sharpe ratio (Glass type estimate)
    2.69552
  • Sharpe ratio (Hedges UMVUE)
    2.68421
  • df
    179.00000
  • t
    2.23423
  • p
    0.39562
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31084
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.07286
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30329
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.06512
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.55276
  • Upside Potential Ratio
    11.44900
  • Upside part of mean
    2.41508
  • Downside part of mean
    -1.45471
  • Upside SD
    0.29199
  • Downside SD
    0.21094
  • N nonnegative terms
    112.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    180.00000
  • Mean of predictor
    0.32563
  • Mean of criterion
    0.96037
  • SD of predictor
    0.14313
  • SD of criterion
    0.35628
  • Covariance
    0.01904
  • r
    0.37346
  • b (slope, estimate of beta)
    0.92967
  • a (intercept, estimate of alpha)
    0.65800
  • Mean Square Error
    0.10985
  • DF error
    178.00000
  • t(b)
    5.37128
  • p(b)
    0.31327
  • t(a)
    1.62857
  • p(a)
    0.43942
  • Lowerbound of 95% confidence interval for beta
    0.58811
  • Upperbound of 95% confidence interval for beta
    1.27122
  • Lowerbound of 95% confidence interval for alpha
    -0.13924
  • Upperbound of 95% confidence interval for alpha
    1.45452
  • Treynor index (mean / b)
    1.03302
  • Jensen alpha (a)
    0.65764
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.89637
  • SD
    0.35287
  • Sharpe ratio (Glass type estimate)
    2.54025
  • Sharpe ratio (Hedges UMVUE)
    2.52959
  • df
    179.00000
  • t
    2.10553
  • p
    0.40143
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15758
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.91602
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15049
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.90869
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.16086
  • Upside Potential Ratio
    11.01890
  • Upside part of mean
    2.37381
  • Downside part of mean
    -1.47743
  • Upside SD
    0.28369
  • Downside SD
    0.21543
  • N nonnegative terms
    112.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    180.00000
  • Mean of predictor
    0.31524
  • Mean of criterion
    0.89637
  • SD of predictor
    0.14292
  • SD of criterion
    0.35287
  • Covariance
    0.01909
  • r
    0.37853
  • b (slope, estimate of beta)
    0.93458
  • a (intercept, estimate of alpha)
    0.60176
  • Mean Square Error
    0.10727
  • DF error
    178.00000
  • t(b)
    5.45616
  • p(b)
    0.31074
  • t(a)
    1.50883
  • p(a)
    0.44381
  • Lowerbound of 95% confidence interval for beta
    0.59656
  • Upperbound of 95% confidence interval for beta
    1.27259
  • Lowerbound of 95% confidence interval for alpha
    -0.18527
  • Upperbound of 95% confidence interval for alpha
    1.38879
  • Treynor index (mean / b)
    0.95912
  • Jensen alpha (a)
    0.60176
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03192
  • Expected Shortfall on VaR
    0.04066
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01043
  • Expected Shortfall on VaR
    0.02263
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    180.00000
  • Minimum
    0.93744
  • Quartile 1
    0.99594
  • Median
    1.00342
  • Quartile 3
    1.01130
  • Maximum
    1.10796
  • Mean of quarter 1
    0.97900
  • Mean of quarter 2
    0.99980
  • Mean of quarter 3
    1.00687
  • Mean of quarter 4
    1.02941
  • Inter Quartile Range
    0.01536
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.06111
  • Mean of outliers low
    0.95656
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.05556
  • Mean of outliers high
    1.05737
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07745
  • VaR(95%) (moments method)
    0.01408
  • Expected Shortfall (moments method)
    0.02120
  • Extreme Value Index (regression method)
    -0.22727
  • VaR(95%) (regression method)
    0.02009
  • Expected Shortfall (regression method)
    0.02675
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00204
  • Quartile 1
    0.00951
  • Median
    0.02673
  • Quartile 3
    0.05398
  • Maximum
    0.16002
  • Mean of quarter 1
    0.00376
  • Mean of quarter 2
    0.02092
  • Mean of quarter 3
    0.03977
  • Mean of quarter 4
    0.09398
  • Inter Quartile Range
    0.04447
  • 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
    0.06667
  • Mean of outliers high
    0.16002
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.55497
  • VaR(95%) (moments method)
    0.10510
  • Expected Shortfall (moments method)
    0.12064
  • Extreme Value Index (regression method)
    0.35550
  • VaR(95%) (regression method)
    0.13641
  • Expected Shortfall (regression method)
    0.23990
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.29112
  • Compounded annual return (geometric extrapolation)
    1.52006
  • Calmar ratio (compounded annual return / max draw down)
    9.49895
  • Compounded annual return / average of 25% largest draw downs
    16.17500
  • Compounded annual return / Expected Shortfall lognormal
    37.38090
  • 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
    0.57164
  • SD
    0.37292
  • Sharpe ratio (Glass type estimate)
    1.53287
  • Sharpe ratio (Hedges UMVUE)
    1.52401
  • df
    130.00000
  • t
    1.08391
  • p
    0.45268
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24809
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.30803
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.25398
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.30200
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.42713
  • Upside Potential Ratio
    9.62749
  • Upside part of mean
    2.26746
  • Downside part of mean
    -1.69582
  • Upside SD
    0.28946
  • Downside SD
    0.23552
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30688
  • Mean of criterion
    0.57164
  • SD of predictor
    0.14350
  • SD of criterion
    0.37292
  • Covariance
    0.01883
  • r
    0.35181
  • b (slope, estimate of beta)
    0.91422
  • a (intercept, estimate of alpha)
    0.29108
  • Mean Square Error
    0.12280
  • DF error
    129.00000
  • t(b)
    4.26864
  • p(b)
    0.28074
  • t(a)
    0.58225
  • p(a)
    0.46742
  • Lowerbound of 95% confidence interval for beta
    0.49048
  • Upperbound of 95% confidence interval for beta
    1.33796
  • Lowerbound of 95% confidence interval for alpha
    -0.69802
  • Upperbound of 95% confidence interval for alpha
    1.28019
  • Treynor index (mean / b)
    0.62527
  • Jensen alpha (a)
    0.29108
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.50285
  • SD
    0.36977
  • Sharpe ratio (Glass type estimate)
    1.35992
  • Sharpe ratio (Hedges UMVUE)
    1.35206
  • df
    130.00000
  • t
    0.96161
  • p
    0.45798
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.41935
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.13412
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.42461
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.12874
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.08905
  • Upside Potential Ratio
    9.25203
  • Upside part of mean
    2.22704
  • Downside part of mean
    -1.72419
  • Upside SD
    0.28055
  • Downside SD
    0.24071
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.29647
  • Mean of criterion
    0.50285
  • SD of predictor
    0.14335
  • SD of criterion
    0.36977
  • Covariance
    0.01895
  • r
    0.35756
  • b (slope, estimate of beta)
    0.92232
  • a (intercept, estimate of alpha)
    0.22941
  • Mean Square Error
    0.12017
  • DF error
    129.00000
  • t(b)
    4.34859
  • p(b)
    0.27732
  • t(a)
    0.46414
  • p(a)
    0.47401
  • VAR (95 Confidence Intrvl)
    0.03200
  • Lowerbound of 95% confidence interval for beta
    0.50269
  • Upperbound of 95% confidence interval for beta
    1.34196
  • Lowerbound of 95% confidence interval for alpha
    -0.74850
  • Upperbound of 95% confidence interval for alpha
    1.20731
  • Treynor index (mean / b)
    0.54520
  • Jensen alpha (a)
    0.22941
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03503
  • Expected Shortfall on VaR
    0.04416
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01266
  • Expected Shortfall on VaR
    0.02679
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93744
  • Quartile 1
    0.99520
  • Median
    1.00290
  • Quartile 3
    1.00996
  • Maximum
    1.10796
  • Mean of quarter 1
    0.97579
  • Mean of quarter 2
    0.99945
  • Mean of quarter 3
    1.00621
  • Mean of quarter 4
    1.02783
  • Inter Quartile Range
    0.01476
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.95605
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.05565
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.29272
  • VaR(95%) (moments method)
    0.01687
  • Expected Shortfall (moments method)
    0.02132
  • Extreme Value Index (regression method)
    -0.46212
  • VaR(95%) (regression method)
    0.02793
  • Expected Shortfall (regression method)
    0.03442
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00204
  • Quartile 1
    0.00974
  • Median
    0.03260
  • Quartile 3
    0.06805
  • Maximum
    0.14189
  • Mean of quarter 1
    0.00417
  • Mean of quarter 2
    0.02318
  • Mean of quarter 3
    0.04657
  • Mean of quarter 4
    0.10104
  • Inter Quartile Range
    0.05831
  • 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)
    -0.79074
  • VaR(95%) (moments method)
    0.12023
  • Expected Shortfall (moments method)
    0.13081
  • Extreme Value Index (regression method)
    0.71497
  • VaR(95%) (regression method)
    0.15265
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.43877
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -299810000
  • Max Equity Drawdown (num days)
    36
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.60785
  • Compounded annual return (geometric extrapolation)
    0.70022
  • Calmar ratio (compounded annual return / max draw down)
    4.93488
  • Compounded annual return / average of 25% largest draw downs
    6.93042
  • Compounded annual return / Expected Shortfall lognormal
    15.85610

Strategy Description

Trading only Stocks: I have made a moral decision not to participate in a deal, which is not worthwhile for all participants in it. So I never trade options. "Collective2" does not allow options trading. And it's not difficult for me, because even before I joined Collective2 I had become familier in trading "stocks only".
Diversification: In order not to take too many risks, the investment must be spread over a number of shares. I avoid investing more than 25% of the portfolio in one stock. Even if it seems to me a very successful investment.
Strategies: I try to use more than one strategy, thus avoiding big shocks. Using a single strategy (e.g. with a 90% correlation to s & p) can lead to a large drop in the value of the portfolio when the market behaves unexpectedly.

Summary Statistics

Strategy began
2020-11-25
Suggested Minimum Capital
$5,000
Rank at C2 %
Top 4.2%
Rank # 
#34
# Trades
157
# Profitable
77
% Profitable
49.0%
Net Dividends
Correlation S&P500
0.358
Sharpe Ratio
1.74
Sortino Ratio
2.80
Beta
0.85
Alpha
0.12
Leverage
1.27 Average
2.03 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.