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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 06/25/2020
Most recent certification approved 6/25/20 9:34 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 1,418
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 1,383
Percent signals followed since 06/25/2020 97.5%
This information was last updated 7/26/21 19:47 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 06/25/2020, 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.

Seek Alpha
(128022277)

Created by: SeekAlpha SeekAlpha
Started: 03/2020
Stocks
Last trade: 7 days ago
Trading style: Equity Hedged Equity Pairs Trading / Relative Value

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 $150.00 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.

Trading Category: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
Pairs Trading / Relative Value
Category: Equity

Pairs Trading / Relative Value

Seeks to exploit differences in the price or rate of the same or similar securities. The relative value fund trades on gaps, rather than the price of a specific security alone
71.0%
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.

(33.7%)
Max Drawdown
572
Num Trades
57.3%
Win Trades
1.6 : 1
Profit Factor
64.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              +20.5%+21.0%+3.0%+4.8%+13.9%(4.5%)+1.6%(8.5%)+12.0%+20.3%+114.6%
2021+4.2%(0.3%)(9.6%)+1.3%(0.3%)+22.4%(16.1%)                              (2.6%)

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 168 hours.

Trading Record

This strategy has placed 1,518 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
2/19/21 10:52 CONX CONX CORP. CLASS A COMMON STOCK LONG 200 10.86 7/15 10:16 10.07 0.33%
Trade id #134161036
Max drawdown($137)
Time2/25/21 0:00
Quant open200
Worst price10.17
Drawdown as % of equity-0.33%
($161)
Includes Typical Broker Commissions trade costs of $4.00
6/4/21 10:44 NVVE NUVVE HOLDING CORP. COMMON STOCK LONG 100 11.32 7/14 14:30 12.11 0.03%
Trade id #135912252
Max drawdown($12)
Time6/4/21 13:36
Quant open100
Worst price11.20
Drawdown as % of equity-0.03%
$77
Includes Typical Broker Commissions trade costs of $2.00
7/13/21 13:53 TLT ISHARES 20+ YEAR TREASURY BOND LONG 100 144.93 7/13 15:41 145.23 0.01%
Trade id #136474073
Max drawdown($5)
Time7/13/21 14:22
Quant open100
Worst price144.88
Drawdown as % of equity-0.01%
$28
Includes Typical Broker Commissions trade costs of $2.00
7/9/21 12:12 CLOV CLOVER HEALTH INVESTMENTS CORP. CLASS A COMMON ST LONG 300 9.42 7/9 13:36 9.25 0.14%
Trade id #136404195
Max drawdown($56)
Time7/9/21 13:36
Quant open300
Worst price9.23
Drawdown as % of equity-0.14%
($55)
Includes Typical Broker Commissions trade costs of $6.00
2/12/21 13:51 PHIC POPULATION HEALTH INVESTMENT CO. INC. CLASS A ORD LONG 200 10.70 7/9 12:11 9.88 0.56%
Trade id #134041527
Max drawdown($213)
Time3/23/21 0:00
Quant open200
Worst price9.63
Drawdown as % of equity-0.56%
($169)
Includes Typical Broker Commissions trade costs of $4.00
7/6/21 10:32 OUST OUSTER INC LONG 300 12.00 7/8 15:44 11.86 0.37%
Trade id #136342665
Max drawdown($150)
Time7/8/21 9:30
Quant open300
Worst price11.50
Drawdown as % of equity-0.37%
($48)
Includes Typical Broker Commissions trade costs of $6.00
7/8/21 13:24 @MNQU1 MICRO E-MINI NASDAQ 100 SHORT 5 14716.78 7/8 13:25 14728.33 0.29%
Trade id #136385519
Max drawdown($115)
Time7/8/21 13:25
Quant open5
Worst price14728.30
Drawdown as % of equity-0.29%
($120)
Includes Typical Broker Commissions trade costs of $4.70
6/4/21 17:09 RTPY REINVENT TECHNOLOGY PARTNERS Y CLASS A ORDINARY SH LONG 500 9.95 7/8 10:49 9.79 0.19%
Trade id #135921116
Max drawdown($80)
Time7/7/21 0:00
Quant open500
Worst price9.79
Drawdown as % of equity-0.19%
($88)
Includes Typical Broker Commissions trade costs of $10.00
7/1/21 12:29 VRAR THE GLIMPSE GROUP INC. COMMON STOCK LONG 100 12.88 7/2 10:27 15.32 0.3%
Trade id #136290055
Max drawdown($130)
Time7/1/21 13:29
Quant open100
Worst price11.58
Drawdown as % of equity-0.30%
$242
Includes Typical Broker Commissions trade costs of $2.00
6/30/21 13:12 DIDI DIDI GLOBAL INC LONG 200 15.36 7/2 9:30 15.53 0.55%
Trade id #136271891
Max drawdown($245)
Time6/30/21 16:00
Quant open200
Worst price14.13
Drawdown as % of equity-0.55%
$31
Includes Typical Broker Commissions trade costs of $4.00
7/1/21 9:49 @MYMU1 MICRO E-MINI DOW SHORT 5 34452 7/1 9:53 34450 0.06%
Trade id #136285250
Max drawdown($26)
Time7/1/21 9:53
Quant open3
Worst price34470
Drawdown as % of equity-0.06%
($1)
Includes Typical Broker Commissions trade costs of $4.70
6/17/21 13:33 VERV VERVE THERAPEUTICS INC. COMMON STOCK LONG 16 29.78 6/29 14:46 43.81 n/a $224
Includes Typical Broker Commissions trade costs of $0.32
6/28/21 12:46 DTIL PRECISION BIOSCIENCES INC. COMMON STOCK LONG 500 12.04 6/28 15:14 12.15 0.14%
Trade id #136235122
Max drawdown($58)
Time6/28/21 13:44
Quant open500
Worst price11.92
Drawdown as % of equity-0.14%
$46
Includes Typical Broker Commissions trade costs of $10.00
6/25/21 9:41 @MNQU1 MICRO E-MINI NASDAQ 100 LONG 5 14378.59 6/25 9:51 14362.47 0.47%
Trade id #136209021
Max drawdown($193)
Time6/25/21 9:51
Quant open5
Worst price14359.20
Drawdown as % of equity-0.47%
($166)
Includes Typical Broker Commissions trade costs of $4.70
6/24/21 14:38 @MYMU1 MICRO E-MINI DOW SHORT 5 34108 6/24 15:27 34087 0.03%
Trade id #136199653
Max drawdown($11)
Time6/24/21 14:45
Quant open5
Worst price34113
Drawdown as % of equity-0.03%
$49
Includes Typical Broker Commissions trade costs of $4.70
2/12/21 13:15 COVAU COVA ACQUISITION CORP. UNIT LONG 200 10.89 6/22 12:34 10.20 0.28%
Trade id #134040535
Max drawdown($116)
Time2/25/21 0:00
Quant open200
Worst price10.31
Drawdown as % of equity-0.28%
($141)
Includes Typical Broker Commissions trade costs of $4.00
2/12/21 13:13 PAQCU PROVIDENT ACQUISITION CORP. UNITS LONG 100 12.00 6/22 12:34 10.03 0.72%
Trade id #134040471
Max drawdown($249)
Time5/20/21 0:00
Quant open100
Worst price9.50
Drawdown as % of equity-0.72%
($198)
Includes Typical Broker Commissions trade costs of $2.00
2/3/21 10:31 ETAC E.MERGE TECHNOLOGY ACQUISITION LONG 200 10.79 6/22 12:33 9.98 0.34%
Trade id #133820315
Max drawdown($142)
Time2/25/21 0:00
Quant open200
Worst price10.08
Drawdown as % of equity-0.34%
($167)
Includes Typical Broker Commissions trade costs of $4.00
2/1/21 12:39 FMAC FIRSTMARK HORIZON ACQUISITION CORP LONG 800 11.56 6/22 12:33 11.62 0.74%
Trade id #133760114
Max drawdown($270)
Time3/25/21 0:00
Quant open150
Worst price9.76
Drawdown as % of equity-0.74%
$25
Includes Typical Broker Commissions trade costs of $16.00
12/22/20 11:26 CCAC CITIC CAPITAL ACQUISITION CORP LONG 400 10.96 6/22/21 12:33 11.04 0.33%
Trade id #132964508
Max drawdown($114)
Time5/20/21 0:00
Quant open100
Worst price9.81
Drawdown as % of equity-0.33%
$23
Includes Typical Broker Commissions trade costs of $8.00
6/21/21 10:42 CLOV CLOVER HEALTH INVESTMENTS CORP. CLASS A COMMON ST LONG 300 11.53 6/22 12:32 11.73 0.28%
Trade id #136142868
Max drawdown($110)
Time6/21/21 11:08
Quant open300
Worst price11.16
Drawdown as % of equity-0.28%
$55
Includes Typical Broker Commissions trade costs of $6.00
6/15/21 11:58 FAZ DIREXION DAILY FINANCIAL BEAR LONG 200 26.93 6/17 12:06 28.45 0.51%
Trade id #136064877
Max drawdown($199)
Time6/16/21 0:00
Quant open200
Worst price25.93
Drawdown as % of equity-0.51%
$300
Includes Typical Broker Commissions trade costs of $4.00
6/8/21 13:29 UBER UBER TECHNOLOGIES INC LONG 40 49.54 6/16 9:40 49.44 0.11%
Trade id #135968769
Max drawdown($44)
Time6/10/21 0:00
Quant open40
Worst price48.42
Drawdown as % of equity-0.11%
($5)
Includes Typical Broker Commissions trade costs of $0.80
5/28/21 9:37 OTLY OATLY GROUP AB AMERICAN DEPOSITARY SHARES LONG 50 23.39 6/16 9:35 26.63 0.11%
Trade id #135819317
Max drawdown($39)
Time5/28/21 10:37
Quant open50
Worst price22.60
Drawdown as % of equity-0.11%
$161
Includes Typical Broker Commissions trade costs of $1.00
4/21/21 13:57 GPRO GOPRO INC. CLASS A COMMON STO LONG 200 11.08 6/16 9:34 12.27 1.38%
Trade id #135255211
Max drawdown($443)
Time5/13/21 0:00
Quant open200
Worst price8.86
Drawdown as % of equity-1.38%
$236
Includes Typical Broker Commissions trade costs of $4.00
6/2/21 15:25 DOCU DOCUSIGN INC. COMMON STOCK LONG 5 199.89 6/16 9:31 238.47 0.08%
Trade id #135879544
Max drawdown($31)
Time6/3/21 0:00
Quant open5
Worst price193.66
Drawdown as % of equity-0.08%
$193
Includes Typical Broker Commissions trade costs of $0.10
6/9/21 9:57 BARK ORIGINAL BARK CO LONG 200 11.42 6/15 15:31 11.74 0.2%
Trade id #135980413
Max drawdown($80)
Time6/9/21 10:47
Quant open200
Worst price11.02
Drawdown as % of equity-0.20%
$59
Includes Typical Broker Commissions trade costs of $4.00
5/25/21 10:21 CBRL CRACKER BARREL OLD LONG 30 158.00 6/15 9:30 149.12 0.78%
Trade id #135765037
Max drawdown($314)
Time6/15/21 9:30
Quant open30
Worst price147.53
Drawdown as % of equity-0.78%
($268)
Includes Typical Broker Commissions trade costs of $0.60
6/14/21 14:25 @MNQU1 MICRO E-MINI NASDAQ 100 SHORT 5 14050.75 6/14 14:52 14055.87 0.35%
Trade id #136051608
Max drawdown($142)
Time6/14/21 14:44
Quant open5
Worst price14065.00
Drawdown as % of equity-0.35%
($56)
Includes Typical Broker Commissions trade costs of $4.70
5/28/21 14:37 ETHE GRAYSCALE ETHEREUM TR ETH COMMON UNITS OF FRACTION SHORT 50 25.47 6/10 11:05 24.63 0.39%
Trade id #135826869
Max drawdown($148)
Time6/3/21 0:00
Quant open50
Worst price28.43
Drawdown as % of equity-0.39%
$41
Includes Typical Broker Commissions trade costs of $1.00

Statistics

  • Strategy began
    3/13/2020
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    500.72
  • Age
    17 months ago
  • What it trades
    Stocks
  • # Trades
    572
  • # Profitable
    328
  • % Profitable
    57.30%
  • Avg trade duration
    18.1 days
  • Max peak-to-valley drawdown
    33.66%
  • drawdown period
    Feb 10, 2021 - May 13, 2021
  • Annual Return (Compounded)
    71.0%
  • Avg win
    $200.16
  • Avg loss
    $170.23
  • Model Account Values (Raw)
  • Cash
    $7,739
  • Margin Used
    $11,227
  • Buying Power
    ($2,231)
  • Ratios
  • W:L ratio
    1.60:1
  • Sharpe Ratio
    1.51
  • Sortino Ratio
    2.47
  • Calmar Ratio
    3.463
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    46.49%
  • Correlation to SP500
    0.31420
  • Return Percent SP500 (cumu) during strategy life
    63.12%
  • Return Statistics
  • Ann Return (w trading costs)
    71.0%
  • Slump
  • Current Slump as Pcnt Equity
    22.80%
  • Instruments
  • Percent Trades Futures
    0.16%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.33%
  • Instruments
  • Short Options - Percent Covered
    25.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.710%
  • Instruments
  • Percent Trades Options
    0.02%
  • Percent Trades Stocks
    0.82%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    88.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    24.00%
  • Chance of 20% account loss
    3.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    542
  • Popularity (Last 6 weeks)
    931
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    828
  • Popularity (7 days, Percentile 1000 scale)
    712
  • 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
    $173
  • Avg Win
    $197
  • Sum Trade PL (losers)
    $42,164.000
  • AUM
  • AUM (AutoTrader num accounts)
    3
  • Age
  • Num Months filled monthly returns table
    17
  • Win / Loss
  • Sum Trade PL (winners)
    $64,529.000
  • # Winners
    327
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    397
  • AUM
  • AUM (AutoTrader live capital)
    245108
  • Win / Loss
  • # Losers
    244
  • % Winners
    57.3%
  • Frequency
  • Avg Position Time (mins)
    26149.30
  • Avg Position Time (hrs)
    435.82
  • Avg Trade Length
    18.2 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    1.93
  • Daily leverage (max)
    8.46
  • Regression
  • Alpha
    0.12
  • Beta
    0.39
  • Treynor Index
    0.40
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.40
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    5.631
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.433
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.246
  • Hold-and-Hope Ratio
    0.212
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67645
  • SD
    0.38747
  • Sharpe ratio (Glass type estimate)
    1.74583
  • Sharpe ratio (Hedges UMVUE)
    1.65681
  • df
    15.00000
  • t
    2.01591
  • p
    0.21687
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08646
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.52721
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14113
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.45474
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.61367
  • Upside Potential Ratio
    6.13988
  • Upside part of mean
    0.90022
  • Downside part of mean
    -0.22377
  • Upside SD
    0.39671
  • Downside SD
    0.14662
  • N nonnegative terms
    12.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.33001
  • Mean of criterion
    0.67645
  • SD of predictor
    0.07881
  • SD of criterion
    0.38747
  • Covariance
    0.01228
  • r
    0.40232
  • b (slope, estimate of beta)
    1.97810
  • a (intercept, estimate of alpha)
    0.02366
  • Mean Square Error
    0.13482
  • DF error
    14.00000
  • t(b)
    1.64428
  • p(b)
    0.29884
  • t(a)
    0.04652
  • p(a)
    0.49378
  • Lowerbound of 95% confidence interval for beta
    -0.60211
  • Upperbound of 95% confidence interval for beta
    4.55831
  • Lowerbound of 95% confidence interval for alpha
    -1.06729
  • Upperbound of 95% confidence interval for alpha
    1.11461
  • Treynor index (mean / b)
    0.34197
  • Jensen alpha (a)
    0.02366
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.59539
  • SD
    0.35948
  • Sharpe ratio (Glass type estimate)
    1.65628
  • Sharpe ratio (Hedges UMVUE)
    1.57182
  • df
    15.00000
  • t
    1.91250
  • p
    0.22763
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16433
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.42801
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21632
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.35996
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.85493
  • Upside Potential Ratio
    5.37486
  • Upside part of mean
    0.83015
  • Downside part of mean
    -0.23475
  • Upside SD
    0.35614
  • Downside SD
    0.15445
  • N nonnegative terms
    12.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.32207
  • Mean of criterion
    0.59539
  • SD of predictor
    0.07631
  • SD of criterion
    0.35948
  • Covariance
    0.01094
  • r
    0.39896
  • b (slope, estimate of beta)
    1.87938
  • a (intercept, estimate of alpha)
    -0.00990
  • Mean Square Error
    0.11642
  • DF error
    14.00000
  • t(b)
    1.62792
  • p(b)
    0.30052
  • t(a)
    -0.02085
  • p(a)
    0.50279
  • Lowerbound of 95% confidence interval for beta
    -0.59670
  • Upperbound of 95% confidence interval for beta
    4.35546
  • Lowerbound of 95% confidence interval for alpha
    -1.02854
  • Upperbound of 95% confidence interval for alpha
    1.00873
  • Treynor index (mean / b)
    0.31680
  • Jensen alpha (a)
    -0.00990
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11403
  • Expected Shortfall on VaR
    0.15101
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02567
  • Expected Shortfall on VaR
    0.06002
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.87854
  • Quartile 1
    1.01084
  • Median
    1.05139
  • Quartile 3
    1.12358
  • Maximum
    1.33639
  • Mean of quarter 1
    0.92774
  • Mean of quarter 2
    1.02380
  • Mean of quarter 3
    1.08835
  • Mean of quarter 4
    1.19490
  • Inter Quartile Range
    0.11274
  • 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
    0.06250
  • Mean of outliers high
    1.33639
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -55.37020
  • VaR(95%) (moments method)
    0.03229
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.08964
  • VaR(95%) (regression method)
    0.08652
  • Expected Shortfall (regression method)
    0.09559
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00991
  • Quartile 1
    0.05456
  • Median
    0.09920
  • Quartile 3
    0.14384
  • Maximum
    0.18848
  • Mean of quarter 1
    0.00991
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.18848
  • Inter Quartile Range
    0.08928
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.97183
  • Compounded annual return (geometric extrapolation)
    0.86508
  • Calmar ratio (compounded annual return / max draw down)
    4.58968
  • Compounded annual return / average of 25% largest draw downs
    4.58968
  • Compounded annual return / Expected Shortfall lognormal
    5.72864
  • 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
    0.65580
  • SD
    0.29254
  • Sharpe ratio (Glass type estimate)
    2.24179
  • Sharpe ratio (Hedges UMVUE)
    2.23701
  • df
    352.00000
  • t
    2.60214
  • p
    0.00483
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.54362
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.93690
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54040
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.93361
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.79815
  • Upside Potential Ratio
    11.88530
  • Upside part of mean
    2.05217
  • Downside part of mean
    -1.39636
  • Upside SD
    0.23909
  • Downside SD
    0.17267
  • N nonnegative terms
    205.00000
  • N negative terms
    148.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    353.00000
  • Mean of predictor
    0.36841
  • Mean of criterion
    0.65580
  • SD of predictor
    0.25577
  • SD of criterion
    0.29254
  • Covariance
    0.02158
  • r
    0.28840
  • b (slope, estimate of beta)
    0.32986
  • a (intercept, estimate of alpha)
    0.53400
  • Mean Square Error
    0.07868
  • DF error
    351.00000
  • t(b)
    5.64288
  • p(b)
    0.00000
  • t(a)
    2.20215
  • p(a)
    0.01415
  • Lowerbound of 95% confidence interval for beta
    0.21489
  • Upperbound of 95% confidence interval for beta
    0.44483
  • Lowerbound of 95% confidence interval for alpha
    0.05711
  • Upperbound of 95% confidence interval for alpha
    1.01145
  • Treynor index (mean / b)
    1.98813
  • Jensen alpha (a)
    0.53428
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.61272
  • SD
    0.29053
  • Sharpe ratio (Glass type estimate)
    2.10894
  • Sharpe ratio (Hedges UMVUE)
    2.10444
  • df
    352.00000
  • t
    2.44794
  • p
    0.00743
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41179
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.80321
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40876
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.80012
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.49526
  • Upside Potential Ratio
    11.54680
  • Upside part of mean
    2.02414
  • Downside part of mean
    -1.41142
  • Upside SD
    0.23425
  • Downside SD
    0.17530
  • N nonnegative terms
    205.00000
  • N negative terms
    148.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    353.00000
  • Mean of predictor
    0.33528
  • Mean of criterion
    0.61272
  • SD of predictor
    0.25732
  • SD of criterion
    0.29053
  • Covariance
    0.02124
  • r
    0.28405
  • b (slope, estimate of beta)
    0.32072
  • a (intercept, estimate of alpha)
    0.50518
  • Mean Square Error
    0.07782
  • DF error
    351.00000
  • t(b)
    5.55034
  • p(b)
    0.00000
  • t(a)
    2.09524
  • p(a)
    0.01843
  • Lowerbound of 95% confidence interval for beta
    0.20708
  • Upperbound of 95% confidence interval for beta
    0.43437
  • Lowerbound of 95% confidence interval for alpha
    0.03098
  • Upperbound of 95% confidence interval for alpha
    0.97939
  • Treynor index (mean / b)
    1.91043
  • Jensen alpha (a)
    0.50518
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02682
  • Expected Shortfall on VaR
    0.03407
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01099
  • Expected Shortfall on VaR
    0.02183
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    353.00000
  • Minimum
    0.94058
  • Quartile 1
    0.99198
  • Median
    1.00199
  • Quartile 3
    1.01073
  • Maximum
    1.08406
  • Mean of quarter 1
    0.98172
  • Mean of quarter 2
    0.99774
  • Mean of quarter 3
    1.00604
  • Mean of quarter 4
    1.02518
  • Inter Quartile Range
    0.01875
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.01133
  • Mean of outliers low
    0.94893
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.03683
  • Mean of outliers high
    1.05304
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.01565
  • VaR(95%) (moments method)
    0.01728
  • Expected Shortfall (moments method)
    0.02289
  • Extreme Value Index (regression method)
    -0.14704
  • VaR(95%) (regression method)
    0.01834
  • Expected Shortfall (regression method)
    0.02327
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00001
  • Quartile 1
    0.01588
  • Median
    0.04143
  • Quartile 3
    0.06820
  • Maximum
    0.25920
  • Mean of quarter 1
    0.00680
  • Mean of quarter 2
    0.02492
  • Mean of quarter 3
    0.05414
  • Mean of quarter 4
    0.15250
  • Inter Quartile Range
    0.05232
  • 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
    0.10000
  • Mean of outliers high
    0.23134
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.00584
  • VaR(95%) (moments method)
    0.15701
  • Expected Shortfall (moments method)
    0.20820
  • Extreme Value Index (regression method)
    0.30780
  • VaR(95%) (regression method)
    0.19435
  • Expected Shortfall (regression method)
    0.32144
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.01725
  • Compounded annual return (geometric extrapolation)
    0.89766
  • Calmar ratio (compounded annual return / max draw down)
    3.46315
  • Compounded annual return / average of 25% largest draw downs
    5.88637
  • Compounded annual return / Expected Shortfall lognormal
    26.34810
  • 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
    -0.09968
  • SD
    0.28949
  • Sharpe ratio (Glass type estimate)
    -0.34434
  • Sharpe ratio (Hedges UMVUE)
    -0.34235
  • df
    130.00000
  • t
    -0.24348
  • p
    0.51067
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.11586
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42839
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.11447
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42977
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.48001
  • Upside Potential Ratio
    8.06545
  • Upside part of mean
    1.67495
  • Downside part of mean
    -1.77463
  • Upside SD
    0.20020
  • Downside SD
    0.20767
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26304
  • Mean of criterion
    -0.09968
  • SD of predictor
    0.13597
  • SD of criterion
    0.28949
  • Covariance
    0.01177
  • r
    0.29905
  • b (slope, estimate of beta)
    0.63668
  • a (intercept, estimate of alpha)
    -0.26715
  • Mean Square Error
    0.07690
  • DF error
    129.00000
  • t(b)
    3.55938
  • p(b)
    0.31250
  • t(a)
    -0.67635
  • p(a)
    0.53782
  • Lowerbound of 95% confidence interval for beta
    0.28277
  • Upperbound of 95% confidence interval for beta
    0.99059
  • Lowerbound of 95% confidence interval for alpha
    -1.04866
  • Upperbound of 95% confidence interval for alpha
    0.51435
  • Treynor index (mean / b)
    -0.15657
  • Jensen alpha (a)
    -0.26715
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14134
  • SD
    0.28980
  • Sharpe ratio (Glass type estimate)
    -0.48771
  • Sharpe ratio (Hedges UMVUE)
    -0.48489
  • df
    130.00000
  • t
    -0.34486
  • p
    0.51512
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.25930
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.28558
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.25732
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.28755
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.66919
  • Upside Potential Ratio
    7.83664
  • Upside part of mean
    1.65516
  • Downside part of mean
    -1.79650
  • Upside SD
    0.19701
  • Downside SD
    0.21121
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25370
  • Mean of criterion
    -0.14134
  • SD of predictor
    0.13607
  • SD of criterion
    0.28980
  • Covariance
    0.01182
  • r
    0.29969
  • b (slope, estimate of beta)
    0.63829
  • a (intercept, estimate of alpha)
    -0.30327
  • Mean Square Error
    0.07703
  • DF error
    129.00000
  • t(b)
    3.56786
  • p(b)
    0.31211
  • t(a)
    -0.76753
  • p(a)
    0.54289
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    0.28433
  • Upperbound of 95% confidence interval for beta
    0.99225
  • Lowerbound of 95% confidence interval for alpha
    -1.08505
  • Upperbound of 95% confidence interval for alpha
    0.47850
  • Treynor index (mean / b)
    -0.22143
  • Jensen alpha (a)
    -0.30327
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02954
  • Expected Shortfall on VaR
    0.03676
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01504
  • Expected Shortfall on VaR
    0.02847
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94058
  • Quartile 1
    0.98892
  • Median
    1.00119
  • Quartile 3
    1.00868
  • Maximum
    1.05194
  • Mean of quarter 1
    0.97783
  • Mean of quarter 2
    0.99564
  • Mean of quarter 3
    1.00418
  • Mean of quarter 4
    1.02140
  • Inter Quartile Range
    0.01976
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.94549
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.04464
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14027
  • VaR(95%) (moments method)
    0.02307
  • Expected Shortfall (moments method)
    0.03282
  • Extreme Value Index (regression method)
    0.05852
  • VaR(95%) (regression method)
    0.02134
  • Expected Shortfall (regression method)
    0.02838
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03760
  • Quartile 1
    0.12054
  • Median
    0.20348
  • Quartile 3
    0.23134
  • Maximum
    0.25920
  • Mean of quarter 1
    0.03760
  • Mean of quarter 2
    0.20348
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.25920
  • Inter Quartile Range
    0.11080
  • 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
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -284142000
  • Max Equity Drawdown (num days)
    92
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.11027
  • Compounded annual return (geometric extrapolation)
    -0.10723
  • Calmar ratio (compounded annual return / max draw down)
    -0.41371
  • Compounded annual return / average of 25% largest draw downs
    -0.41371
  • Compounded annual return / Expected Shortfall lognormal
    -2.91748

Strategy Description

- 10+ years trading experience
- Swing trade under/over-valued stocks both in short-term and long-term
- Risk no more than 2% for each position
- Stop loss is placed when a position is opened, subscribers should receive notification
- Min Capital: $25,000

About the subscription fee:
The subscription fee will be updated on a month basis based on last month's performance.
The formula is: next month fee = this month fee * risk-adjust return for this month.
Risk adjust return = return - SPY return.

Summary Statistics

Strategy began
2020-03-13
Suggested Minimum Capital
$40,000
Rank at C2 
#128
# Trades
572
# Profitable
328
% Profitable
57.3%
Net Dividends
Correlation S&P500
0.314
Sharpe Ratio
1.51
Sortino Ratio
2.47
Beta
0.39
Alpha
0.12
Leverage
1.93 Average
8.46 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.