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The Lab
(133502610)

Created by: Launcher Launcher
Started: 01/2021
Stocks
Last trade: Yesterday
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).
230.7%
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
718
Num Trades
45.1%
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%+2.6%+2.3%      +230.7%

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 402 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 12:23 MRNA MODERNA INC. COMMON STOCK LONG 30 332.14 11/26 12:59 330.46 0.06%
Trade id #138356567
Max drawdown($93)
Time11/26/21 12:26
Quant open30
Worst price329.04
Drawdown as % of equity-0.06%
($51)
Includes Typical Broker Commissions trade costs of $0.60
11/26/21 10:51 ISPC ISPECIMEN INC. COMMON STOCK LONG 100 22.34 11/26 12:41 18.80 0.23%
Trade id #138354004
Max drawdown($378)
Time11/26/21 12:41
Quant open100
Worst price18.56
Drawdown as % of equity-0.23%
($356)
Includes Typical Broker Commissions trade costs of $2.00
11/26/21 11:14 NRXP NRX PHARMACEUTICALS INC LONG 100 8.89 11/26 11:29 6.93 0.12%
Trade id #138354551
Max drawdown($205)
Time11/26/21 11:29
Quant open100
Worst price6.83
Drawdown as % of equity-0.12%
($198)
Includes Typical Broker Commissions trade costs of $2.00
11/24/21 10:25 IONQ IONQ INC LONG 100 25.73 11/24 11:57 26.27 0.03%
Trade id #138327595
Max drawdown($45)
Time11/24/21 10:45
Quant open100
Worst price25.27
Drawdown as % of equity-0.03%
$52
Includes Typical Broker Commissions trade costs of $2.00
11/24/21 9:48 BTTX BETTER THERAPEUTICS INC. COMMON STOCK LONG 100 8.51 11/24 10:18 9.14 0.03%
Trade id #138326600
Max drawdown($42)
Time11/24/21 9:54
Quant open100
Worst price8.08
Drawdown as % of equity-0.03%
$61
Includes Typical Broker Commissions trade costs of $2.00
11/24/21 9:32 BFRI BIOFRONTERA INC. COMMON STOCK LONG 100 6.20 11/24 9:53 5.59 0.05%
Trade id #138326007
Max drawdown($80)
Time11/24/21 9:53
Quant open100
Worst price5.40
Drawdown as % of equity-0.05%
($63)
Includes Typical Broker Commissions trade costs of $2.00
11/23/21 11:16 DLTR DOLLAR TREE STORES LONG 300 140.77 11/23 15:59 144.52 0.19%
Trade id #138312705
Max drawdown($303)
Time11/23/21 12:12
Quant open300
Worst price139.76
Drawdown as % of equity-0.19%
$1,118
Includes Typical Broker Commissions trade costs of $6.00
11/23/21 10:09 KTTA PASITHEA THERAPEUTICS CORP. LONG 200 7.92 11/23 15:38 5.80 0.29%
Trade id #138308899
Max drawdown($474)
Time11/23/21 15:38
Quant open200
Worst price5.54
Drawdown as % of equity-0.29%
($427)
Includes Typical Broker Commissions trade costs of $4.00
11/23/21 13:12 APVO APTEVO THERAPEUTICS INC LONG 5,000 18.19 11/23 13:34 18.99 6.7%
Trade id #138315921
Max drawdown($10,879)
Time11/23/21 13:32
Quant open5,000
Worst price16.01
Drawdown as % of equity-6.70%
$4,016
Includes Typical Broker Commissions trade costs of $5.00
11/23/21 13:04 ISPC ISPECIMEN INC. COMMON STOCK LONG 300 14.13 11/23 13:18 13.23 0.24%
Trade id #138315777
Max drawdown($390)
Time11/23/21 13:18
Quant open300
Worst price12.83
Drawdown as % of equity-0.24%
($276)
Includes Typical Broker Commissions trade costs of $6.00
11/23/21 11:49 LGVN LONGEVERON INC. CLASS A COMMON STOCK LONG 200 19.25 11/23 12:57 17.41 0.32%
Trade id #138314210
Max drawdown($524)
Time11/23/21 12:57
Quant open200
Worst price16.63
Drawdown as % of equity-0.32%
($372)
Includes Typical Broker Commissions trade costs of $4.00
11/23/21 11:36 APVO APTEVO THERAPEUTICS INC LONG 300 12.82 11/23 12:04 11.46 0.25%
Trade id #138313283
Max drawdown($408)
Time11/23/21 12:04
Quant open300
Worst price11.46
Drawdown as % of equity-0.25%
($414)
Includes Typical Broker Commissions trade costs of $6.00
11/23/21 9:38 KTTA PASITHEA THERAPEUTICS CORP. LONG 100 7.35 11/23 9:53 6.24 0.07%
Trade id #138307648
Max drawdown($115)
Time11/23/21 9:53
Quant open100
Worst price6.20
Drawdown as % of equity-0.07%
($113)
Includes Typical Broker Commissions trade costs of $2.00
11/22/21 12:50 NVTS NAVITAS SEMICONDUCTOR CORPORATION COMMON STOCK LONG 800 18.48 11/22 15:59 18.05 0.23%
Trade id #138297594
Max drawdown($380)
Time11/22/21 15:48
Quant open800
Worst price18.00
Drawdown as % of equity-0.23%
($345)
Includes Typical Broker Commissions trade costs of $5.00
11/22/21 12:21 BNTX BIONTECH SE LONG 70 310.89 11/22 15:59 320.69 0.04%
Trade id #138297128
Max drawdown($69)
Time11/22/21 12:24
Quant open70
Worst price309.89
Drawdown as % of equity-0.04%
$685
Includes Typical Broker Commissions trade costs of $1.40
11/22/21 12:15 CAR AVIS BUDGET GROUP LONG 80 305.18 11/22 15:59 302.05 0.19%
Trade id #138297018
Max drawdown($301)
Time11/22/21 15:59
Quant open80
Worst price301.41
Drawdown as % of equity-0.19%
($252)
Includes Typical Broker Commissions trade costs of $1.60
11/22/21 11:47 AUR AURORA INNOVATION INC. CLASS A COMMON STOCK LONG 700 15.45 11/22 12:12 14.90 0.32%
Trade id #138296060
Max drawdown($518)
Time11/22/21 12:12
Quant open700
Worst price14.71
Drawdown as % of equity-0.32%
($390)
Includes Typical Broker Commissions trade costs of $5.00
11/22/21 10:18 GFS GLOBALFOUNDRIES INC. ORDINARY SHARES LONG 300 67.20 11/22 11:31 66.03 0.27%
Trade id #138293336
Max drawdown($433)
Time11/22/21 11:31
Quant open300
Worst price65.75
Drawdown as % of equity-0.27%
($355)
Includes Typical Broker Commissions trade costs of $6.00
11/22/21 10:27 ISPC ISPECIMEN INC. COMMON STOCK LONG 200 11.81 11/22 11:12 10.15 0.22%
Trade id #138293651
Max drawdown($351)
Time11/22/21 11:12
Quant open200
Worst price10.05
Drawdown as % of equity-0.22%
($335)
Includes Typical Broker Commissions trade costs of $4.00
11/22/21 10:24 NVDA NVIDIA LONG 150 342.78 11/22 11:05 341.85 0.19%
Trade id #138293527
Max drawdown($315)
Time11/22/21 11:05
Quant open100
Worst price339.62
Drawdown as % of equity-0.19%
($142)
Includes Typical Broker Commissions trade costs of $3.00
11/18/21 10:59 BJ BJ'S WHOLESALE CLUB HOLDINGS INC LONG 150 69.00 11/18 15:59 71.95 0.02%
Trade id #138246622
Max drawdown($39)
Time11/18/21 11:22
Quant open150
Worst price68.74
Drawdown as % of equity-0.02%
$440
Includes Typical Broker Commissions trade costs of $3.00
11/18/21 10:57 M MACY'S LONG 250 36.31 11/18 15:59 37.34 0.02%
Trade id #138246590
Max drawdown($38)
Time11/18/21 11:04
Quant open250
Worst price36.16
Drawdown as % of equity-0.02%
$253
Includes Typical Broker Commissions trade costs of $5.00
11/18/21 12:51 NVDA NVIDIA LONG 160 318.60 11/18 12:52 317.37 0.12%
Trade id #138249055
Max drawdown($196)
Time11/18/21 12:52
Quant open160
Worst price317.37
Drawdown as % of equity-0.12%
($199)
Includes Typical Broker Commissions trade costs of $3.20
11/18/21 11:26 LGVN LONGEVERON INC. CLASS A COMMON STOCK LONG 250 7.17 11/18 12:47 7.85 0%
Trade id #138247094
Max drawdown($7)
Time11/18/21 12:47
Quant open50
Worst price7.02
Drawdown as % of equity-0.00%
$166
Includes Typical Broker Commissions trade costs of $5.00
11/18/21 10:40 M MACY'S LONG 550 36.10 11/18 10:42 35.50 0.2%
Trade id #138246129
Max drawdown($328)
Time11/18/21 10:42
Quant open550
Worst price35.50
Drawdown as % of equity-0.20%
($333)
Includes Typical Broker Commissions trade costs of $5.00
11/17/21 12:40 MTTR MATTERPORT INC LONG 600 29.45 11/17 15:59 28.99 0.22%
Trade id #138232010
Max drawdown($357)
Time11/17/21 13:03
Quant open600
Worst price28.86
Drawdown as % of equity-0.22%
($283)
Includes Typical Broker Commissions trade costs of $5.00
11/17/21 11:33 TJX TJX COMPANIES LONG 330 74.20 11/17 15:59 73.56 0.15%
Trade id #138229800
Max drawdown($239)
Time11/17/21 15:59
Quant open330
Worst price73.47
Drawdown as % of equity-0.15%
($216)
Includes Typical Broker Commissions trade costs of $6.60
11/17/21 13:47 BMTX BM TECHNOLOGIES INC LONG 800 13.29 11/17 14:59 13.95 n/a $521
Includes Typical Broker Commissions trade costs of $10.50
11/17/21 12:57 EYPT EYEPOINT PHARMACEUTICALS INC. COMMON STOCK LONG 1,000 17.40 11/17 14:58 18.50 0.12%
Trade id #138232346
Max drawdown($200)
Time11/17/21 13:33
Quant open1,000
Worst price17.20
Drawdown as % of equity-0.12%
$1,085
Includes Typical Broker Commissions trade costs of $12.50
11/17/21 13:46 BMTX BM TECHNOLOGIES INC LONG 800 13.27 11/17 13:46 13.22 0.02%
Trade id #138233301
Max drawdown($40)
Time11/17/21 13:46
Quant open800
Worst price13.22
Drawdown as % of equity-0.02%
($45)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    1/21/2021
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    310.88
  • Age
    10 months ago
  • What it trades
    Stocks
  • # Trades
    718
  • # Profitable
    324
  • % Profitable
    45.10%
  • Avg trade duration
    10.2 hours
  • Max peak-to-valley drawdown
    40.74%
  • drawdown period
    March 18, 2021 - March 23, 2021
  • Cumul. Return
    230.7%
  • Avg win
    $1,518
  • Avg loss
    $943.35
  • Model Account Values (Raw)
  • Cash
    $170,453
  • Margin Used
    $0
  • Buying Power
    $170,453
  • Ratios
  • W:L ratio
    1.32:1
  • Sharpe Ratio
    1.93
  • Sortino Ratio
    3.93
  • Calmar Ratio
    12.589
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    211.46%
  • Correlation to SP500
    -0.14820
  • Return Percent SP500 (cumu) during strategy life
    19.25%
  • Return Statistics
  • Ann Return (w trading costs)
    302.2%
  • Slump
  • Current Slump as Pcnt Equity
    0.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    2.307%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    320.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    60.00%
  • Chance of 20% account loss
    41.50%
  • Chance of 30% account loss
    28.00%
  • Chance of 40% account loss
    18.00%
  • Chance of 60% account loss (Monte Carlo)
    1.50%
  • 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
    3.61%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    7.50%
  • Popularity
  • Popularity (Today)
    704
  • Popularity (Last 6 weeks)
    973
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    919
  • Popularity (7 days, Percentile 1000 scale)
    912
  • 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
    $943
  • Avg Win
    $1,519
  • Sum Trade PL (losers)
    $371,679.000
  • AUM
  • AUM (AutoTrader num accounts)
    2
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $492,132.000
  • # Winners
    324
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    331438
  • Win / Loss
  • # Losers
    394
  • % Winners
    45.1%
  • Frequency
  • Avg Position Time (mins)
    609.85
  • Avg Position Time (hrs)
    10.16
  • Avg Trade Length
    0.4 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.45
  • Daily leverage (max)
    2.60
  • Regression
  • Alpha
    0.49
  • Beta
    -0.84
  • 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)
    -0.49
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    9.449
  • 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
    0.323
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.232
  • Hold-and-Hope Ratio
    0.106
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.11187
  • SD
    1.52444
  • Sharpe ratio (Glass type estimate)
    1.38534
  • Sharpe ratio (Hedges UMVUE)
    1.26603
  • df
    9.00000
  • t
    1.26464
  • p
    0.11888
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.88717
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.58831
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95924
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.49130
  • Statistics related to Sortino ratio
  • Sortino ratio
    2736.99000
  • Upside Potential Ratio
    2738.08000
  • Upside part of mean
    2.11271
  • Downside part of mean
    -0.00085
  • Upside SD
    1.56945
  • Downside SD
    0.00077
  • N nonnegative terms
    9.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.21632
  • Mean of criterion
    2.11187
  • SD of predictor
    0.08404
  • SD of criterion
    1.52444
  • Covariance
    -0.02158
  • r
    -0.16844
  • b (slope, estimate of beta)
    -3.05563
  • a (intercept, estimate of alpha)
    2.77287
  • Mean Square Error
    2.54022
  • DF error
    8.00000
  • t(b)
    -0.48334
  • p(b)
    0.67910
  • t(a)
    1.25029
  • p(a)
    0.12326
  • Lowerbound of 95% confidence interval for beta
    -17.63410
  • Upperbound of 95% confidence interval for beta
    11.52290
  • Lowerbound of 95% confidence interval for alpha
    -2.34135
  • Upperbound of 95% confidence interval for alpha
    7.88708
  • Treynor index (mean / b)
    -0.69114
  • Jensen alpha (a)
    2.77287
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.44845
  • SD
    0.93781
  • Sharpe ratio (Glass type estimate)
    1.54451
  • Sharpe ratio (Hedges UMVUE)
    1.41149
  • df
    9.00000
  • t
    1.40993
  • p
    0.09608
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75274
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.76564
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83238
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.65535
  • Statistics related to Sortino ratio
  • Sortino ratio
    1880.91000
  • Upside Potential Ratio
    1882.00000
  • Upside part of mean
    1.44930
  • Downside part of mean
    -0.00084
  • Upside SD
    0.98304
  • Downside SD
    0.00077
  • N nonnegative terms
    9.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.21090
  • Mean of criterion
    1.44845
  • SD of predictor
    0.08141
  • SD of criterion
    0.93781
  • Covariance
    -0.01138
  • r
    -0.14903
  • b (slope, estimate of beta)
    -1.71669
  • a (intercept, estimate of alpha)
    1.81050
  • Mean Square Error
    0.96745
  • DF error
    8.00000
  • t(b)
    -0.42628
  • p(b)
    0.65943
  • t(a)
    1.31965
  • p(a)
    0.11173
  • Lowerbound of 95% confidence interval for beta
    -11.00320
  • Upperbound of 95% confidence interval for beta
    7.56984
  • Lowerbound of 95% confidence interval for alpha
    -1.35323
  • Upperbound of 95% confidence interval for alpha
    4.97423
  • Treynor index (mean / b)
    -0.84375
  • Jensen alpha (a)
    1.81050
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.27718
  • Expected Shortfall on VaR
    0.35137
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00003
  • Expected Shortfall on VaR
    0.00013
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    1.00162
  • Quartile 1
    1.01418
  • Median
    1.02860
  • Quartile 3
    1.08677
  • Maximum
    2.42566
  • Mean of quarter 1
    1.00786
  • Mean of quarter 2
    1.01686
  • Mean of quarter 3
    1.04006
  • Mean of quarter 4
    1.54858
  • Inter Quartile Range
    0.07259
  • 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
    0.10000
  • 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)
    2.90670
  • Compounded annual return (geometric extrapolation)
    3.37698
  • 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
    9.61083
  • 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
    1.65122
  • SD
    0.66973
  • Sharpe ratio (Glass type estimate)
    2.46550
  • Sharpe ratio (Hedges UMVUE)
    2.45701
  • df
    218.00000
  • t
    2.25412
  • p
    0.01259
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.30653
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.61896
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30088
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.61314
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.71109
  • Upside Potential Ratio
    9.41562
  • Upside part of mean
    2.72230
  • Downside part of mean
    -1.07107
  • Upside SD
    0.61099
  • Downside SD
    0.28913
  • N nonnegative terms
    103.00000
  • N negative terms
    116.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    219.00000
  • Mean of predictor
    0.19065
  • Mean of criterion
    1.65122
  • SD of predictor
    0.12583
  • SD of criterion
    0.66973
  • Covariance
    -0.01339
  • r
    -0.15888
  • b (slope, estimate of beta)
    -0.84564
  • a (intercept, estimate of alpha)
    1.81200
  • Mean Square Error
    0.43923
  • DF error
    217.00000
  • t(b)
    -2.37062
  • p(b)
    0.99068
  • t(a)
    2.48935
  • p(a)
    0.00677
  • Lowerbound of 95% confidence interval for beta
    -1.54872
  • Upperbound of 95% confidence interval for beta
    -0.14257
  • Lowerbound of 95% confidence interval for alpha
    0.37743
  • Upperbound of 95% confidence interval for alpha
    3.24745
  • Treynor index (mean / b)
    -1.95262
  • Jensen alpha (a)
    1.81244
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.44179
  • SD
    0.62905
  • Sharpe ratio (Glass type estimate)
    2.29201
  • Sharpe ratio (Hedges UMVUE)
    2.28411
  • df
    218.00000
  • t
    2.09550
  • p
    0.01864
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13494
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.44393
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12966
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.43857
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.74234
  • Upside Potential Ratio
    8.41193
  • Upside part of mean
    2.55743
  • Downside part of mean
    -1.11565
  • Upside SD
    0.55624
  • Downside SD
    0.30402
  • N nonnegative terms
    103.00000
  • N negative terms
    116.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    219.00000
  • Mean of predictor
    0.18267
  • Mean of criterion
    1.44179
  • SD of predictor
    0.12598
  • SD of criterion
    0.62905
  • Covariance
    -0.01180
  • r
    -0.14888
  • b (slope, estimate of beta)
    -0.74340
  • a (intercept, estimate of alpha)
    1.57758
  • Mean Square Error
    0.38871
  • DF error
    217.00000
  • t(b)
    -2.21785
  • p(b)
    0.98620
  • t(a)
    2.30412
  • p(a)
    0.01108
  • Lowerbound of 95% confidence interval for beta
    -1.40404
  • Upperbound of 95% confidence interval for beta
    -0.08276
  • Lowerbound of 95% confidence interval for alpha
    0.22811
  • Upperbound of 95% confidence interval for alpha
    2.92706
  • Treynor index (mean / b)
    -1.93945
  • Jensen alpha (a)
    1.57758
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05675
  • Expected Shortfall on VaR
    0.07184
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00936
  • Expected Shortfall on VaR
    0.02182
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    219.00000
  • Minimum
    0.88289
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00213
  • Maximum
    1.31255
  • Mean of quarter 1
    0.98394
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00087
  • Mean of quarter 4
    1.04073
  • Inter Quartile Range
    0.00213
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.09589
  • Mean of outliers low
    0.95893
  • Number of outliers high
    37.00000
  • Percentage of outliers high
    0.16895
  • Mean of outliers high
    1.05893
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.68732
  • VaR(95%) (moments method)
    0.00425
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.53237
  • VaR(95%) (regression method)
    0.00960
  • Expected Shortfall (regression method)
    0.03413
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00014
  • Quartile 1
    0.00199
  • Median
    0.00878
  • Quartile 3
    0.08187
  • Maximum
    0.26593
  • Mean of quarter 1
    0.00130
  • Mean of quarter 2
    0.00520
  • Mean of quarter 3
    0.02470
  • Mean of quarter 4
    0.16309
  • Inter Quartile Range
    0.07988
  • 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
    0.07143
  • Mean of outliers high
    0.26593
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.30223
  • VaR(95%) (moments method)
    0.18419
  • Expected Shortfall (moments method)
    0.19324
  • Extreme Value Index (regression method)
    0.02440
  • VaR(95%) (regression method)
    0.23680
  • Expected Shortfall (regression method)
    0.32622
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.89043
  • Compounded annual return (geometric extrapolation)
    3.34790
  • Calmar ratio (compounded annual return / max draw down)
    12.58940
  • Compounded annual return / average of 25% largest draw downs
    20.52850
  • Compounded annual return / Expected Shortfall lognormal
    46.59910
  • 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
    0.21534
  • SD
    0.09569
  • Sharpe ratio (Glass type estimate)
    2.25048
  • Sharpe ratio (Hedges UMVUE)
    2.23747
  • df
    130.00000
  • t
    1.59133
  • p
    0.43089
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53904
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.03151
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54765
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.02258
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.25519
  • Upside Potential Ratio
    8.35303
  • Upside part of mean
    0.42272
  • Downside part of mean
    -0.20738
  • Upside SD
    0.08187
  • Downside SD
    0.05061
  • N nonnegative terms
    48.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16301
  • Mean of criterion
    0.21534
  • SD of predictor
    0.10605
  • SD of criterion
    0.09569
  • Covariance
    -0.00140
  • r
    -0.13816
  • b (slope, estimate of beta)
    -0.12466
  • a (intercept, estimate of alpha)
    0.23566
  • Mean Square Error
    0.00905
  • DF error
    129.00000
  • t(b)
    -1.58443
  • p(b)
    0.58768
  • t(a)
    1.74368
  • p(a)
    0.40377
  • Lowerbound of 95% confidence interval for beta
    -0.28032
  • Upperbound of 95% confidence interval for beta
    0.03101
  • Lowerbound of 95% confidence interval for alpha
    -0.03174
  • Upperbound of 95% confidence interval for alpha
    0.50307
  • Treynor index (mean / b)
    -1.72745
  • Jensen alpha (a)
    0.23566
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21073
  • SD
    0.09511
  • Sharpe ratio (Glass type estimate)
    2.21569
  • Sharpe ratio (Hedges UMVUE)
    2.20288
  • df
    130.00000
  • t
    1.56673
  • p
    0.43193
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57329
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.99631
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58183
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.98759
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.12026
  • Upside Potential Ratio
    8.20001
  • Upside part of mean
    0.41938
  • Downside part of mean
    -0.20866
  • Upside SD
    0.08081
  • Downside SD
    0.05114
  • N nonnegative terms
    48.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15736
  • Mean of criterion
    0.21073
  • SD of predictor
    0.10622
  • SD of criterion
    0.09511
  • Covariance
    -0.00138
  • r
    -0.13704
  • b (slope, estimate of beta)
    -0.12270
  • a (intercept, estimate of alpha)
    0.23003
  • Mean Square Error
    0.00894
  • DF error
    129.00000
  • t(b)
    -1.57132
  • p(b)
    0.58697
  • t(a)
    1.71271
  • p(a)
    0.40543
  • VAR (95 Confidence Intrvl)
    0.05700
  • Lowerbound of 95% confidence interval for beta
    -0.27720
  • Upperbound of 95% confidence interval for beta
    0.03180
  • Lowerbound of 95% confidence interval for alpha
    -0.03570
  • Upperbound of 95% confidence interval for alpha
    0.49577
  • Treynor index (mean / b)
    -1.71739
  • Jensen alpha (a)
    0.23003
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00882
  • Expected Shortfall on VaR
    0.01125
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00205
  • Expected Shortfall on VaR
    0.00464
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97516
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00118
  • Maximum
    1.03717
  • Mean of quarter 1
    0.99713
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00031
  • Mean of quarter 4
    1.00626
  • Inter Quartile Range
    0.00118
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.99343
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.00984
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.37272
  • VaR(95%) (moments method)
    0.00153
  • Expected Shortfall (moments method)
    0.00216
  • Extreme Value Index (regression method)
    0.14208
  • VaR(95%) (regression method)
    0.00275
  • Expected Shortfall (regression method)
    0.00546
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00014
  • Quartile 1
    0.00173
  • Median
    0.00363
  • Quartile 3
    0.00862
  • Maximum
    0.04633
  • Mean of quarter 1
    0.00113
  • Mean of quarter 2
    0.00217
  • Mean of quarter 3
    0.00654
  • Mean of quarter 4
    0.02142
  • Inter Quartile Range
    0.00689
  • 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
    0.10000
  • Mean of outliers high
    0.04633
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.79004
  • VaR(95%) (moments method)
    0.02768
  • Expected Shortfall (moments method)
    0.13493
  • Extreme Value Index (regression method)
    5.15923
  • VaR(95%) (regression method)
    0.16581
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -305942000
  • Max Equity Drawdown (num days)
    5
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25345
  • Compounded annual return (geometric extrapolation)
    0.26951
  • Calmar ratio (compounded annual return / max draw down)
    5.81788
  • Compounded annual return / average of 25% largest draw downs
    12.58030
  • Compounded annual return / Expected Shortfall lognormal
    23.95790

Strategy Description

Summary Statistics

Strategy began
2021-01-21
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 8.1%
Rank # 
#66
# Trades
718
# Profitable
324
% Profitable
45.1%
Correlation S&P500
-0.148
Sharpe Ratio
1.93
Sortino Ratio
3.93
Beta
-0.84
Alpha
0.49
Leverage
0.45 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.