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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 03/24/2020
Most recent certification approved 3/24/20 14:59 ET
Trades at broker Interactive Brokers (Server 5)
Scaling percentage used 100%
# trading signals issued by system since certification 1,171
# trading signals executed in manager's Interactive Brokers (Server 5) account 1,171
Percent signals followed since 03/24/2020 100%
This information was last updated 1/26/21 3:49 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 03/24/2020, 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.

Long only Stock and ETF
(128133665)

Created by: Tatsuya Tatsuya
Started: 03/2020
Stocks
Last trade: 12 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $90.00 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.

85.6%
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.

(18.5%)
Max Drawdown
183
Num Trades
82.5%
Win Trades
6.9 : 1
Profit Factor
90.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              +3.6%+17.3%+5.6%+2.4%+1.2%+8.1%+0.3%(0.8%)+16.7%+7.1%+79.1%
2021+3.7%                                                                  +3.7%

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 371 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
1/7/21 9:30 CRM SALESFORCE.COM LONG 50 217.44 1/13 10:27 217.10 0.13%
Trade id #133240840
Max drawdown($167)
Time1/12/21 0:00
Quant open50
Worst price214.09
Drawdown as % of equity-0.13%
($18)
Includes Typical Broker Commissions trade costs of $1.00
1/6/21 9:30 NIO NIO INC LONG 200 53.77 1/8 11:46 58.97 0.76%
Trade id #133206604
Max drawdown($938)
Time1/6/21 14:45
Quant open200
Worst price49.08
Drawdown as % of equity-0.76%
$1,035
Includes Typical Broker Commissions trade costs of $4.00
1/6/21 9:54 AGO ASSURED GUARANTY SHORT 100 33.10 1/6 10:05 33.47 0.03%
Trade id #133209093
Max drawdown($36)
Time1/6/21 10:05
Quant open100
Worst price33.47
Drawdown as % of equity-0.03%
($38)
Includes Typical Broker Commissions trade costs of $2.00
12/22/20 9:49 MLHR HERMAN MILLER LONG 295 33.82 1/4/21 9:58 33.63 0.26%
Trade id #132961559
Max drawdown($325)
Time12/29/20 0:00
Quant open295
Worst price32.72
Drawdown as % of equity-0.26%
($63)
Includes Typical Broker Commissions trade costs of $5.90
12/16/20 11:32 MRNA MODERNA INC. COMMON STOCK LONG 67 137.52 1/4/21 9:58 107.39 1.86%
Trade id #132852123
Max drawdown($2,335)
Time12/31/20 0:00
Quant open67
Worst price102.66
Drawdown as % of equity-1.86%
($2,020)
Includes Typical Broker Commissions trade costs of $1.34
12/16/20 10:56 PFE PFIZER LONG 260 37.97 1/4/21 9:58 36.68 0.35%
Trade id #132850986
Max drawdown($436)
Time12/31/20 0:00
Quant open260
Worst price36.29
Drawdown as % of equity-0.35%
($340)
Includes Typical Broker Commissions trade costs of $5.20
12/7/20 11:02 QCOM QUALCOMM LONG 40 157.81 1/4/21 9:56 153.63 0.52%
Trade id #132673835
Max drawdown($636)
Time12/11/20 0:00
Quant open40
Worst price141.89
Drawdown as % of equity-0.52%
($168)
Includes Typical Broker Commissions trade costs of $0.80
12/2/20 9:30 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A COMMON STO LONG 19 405.84 1/4/21 9:56 352.42 1.05%
Trade id #132592969
Max drawdown($1,325)
Time12/31/20 0:00
Quant open19
Worst price336.10
Drawdown as % of equity-1.05%
($1,015)
Includes Typical Broker Commissions trade costs of $0.38
6/10/20 12:16 AGO ASSURED GUARANTY LONG 100 29.12 1/4/21 9:56 31.39 1.05%
Trade id #129472755
Max drawdown($1,067)
Time9/21/20 0:00
Quant open100
Worst price18.45
Drawdown as % of equity-1.05%
$225
Includes Typical Broker Commissions trade costs of $2.00
12/24/20 9:33 THBR THUNDER BRIDGE ACQUISITION II LTD. CL A LONG 550 12.90 1/4/21 9:40 13.10 0.26%
Trade id #133004753
Max drawdown($323)
Time12/24/20 11:26
Quant open550
Worst price12.31
Drawdown as % of equity-0.26%
$106
Includes Typical Broker Commissions trade costs of $5.00
12/22/20 9:42 XL XL FLEET CORP LONG 200 18.74 1/4/21 9:40 21.87 0.24%
Trade id #132961227
Max drawdown($298)
Time12/22/20 11:43
Quant open200
Worst price17.25
Drawdown as % of equity-0.24%
$622
Includes Typical Broker Commissions trade costs of $4.00
12/22/20 10:20 TSLA TESLA INC. LONG 9 635.83 1/4/21 9:40 728.26 0.16%
Trade id #132962714
Max drawdown($194)
Time12/22/20 11:38
Quant open9
Worst price614.23
Drawdown as % of equity-0.16%
$832
Includes Typical Broker Commissions trade costs of $0.18
12/7/20 11:00 ALGN ALIGN TECHNOLOGY LONG 12 522.13 1/4/21 9:39 552.92 0.24%
Trade id #132673777
Max drawdown($286)
Time12/11/20 0:00
Quant open12
Worst price498.25
Drawdown as % of equity-0.24%
$370
Includes Typical Broker Commissions trade costs of $0.24
6/10/20 12:21 TSX.FFH FAIRFAX FINCL HOLDINGS LTD LONG 10 CAD 417.98 12/31 12:23 CAD 437.24 n/a $133
Includes Typical Broker Commissions trade costs of $8.55
6/10/20 12:18 TSX.MTY MTY FOOD GROUP INC LONG 100 CAD 32.50 12/31 10:48 CAD 58.02 n/a $1,869
Includes Typical Broker Commissions trade costs of $9.05
12/29/20 13:43 IPV INTERPRIVATE ACQUISITION CORP LONG 200 15.34 12/31 9:33 15.31 0.05%
Trade id #133075554
Max drawdown($59)
Time12/29/20 15:49
Quant open200
Worst price15.04
Drawdown as % of equity-0.05%
($10)
Includes Typical Broker Commissions trade costs of $4.00
12/21/20 9:30 LRCX LAM RESEARCH LONG 25 470.79 12/31 9:33 474.65 0.04%
Trade id #132936867
Max drawdown($44)
Time12/29/20 0:00
Quant open25
Worst price469.00
Drawdown as % of equity-0.04%
$96
Includes Typical Broker Commissions trade costs of $0.50
12/9/20 9:34 NVDA NVIDIA LONG 20 527.56 12/30 9:53 517.11 0.27%
Trade id #132717906
Max drawdown($340)
Time12/28/20 0:00
Quant open20
Worst price510.53
Drawdown as % of equity-0.27%
($209)
Includes Typical Broker Commissions trade costs of $0.40
12/18/20 9:41 WOR WORTHINGTON INDUSTRIES LONG 200 50.18 12/29 9:42 50.17 0.27%
Trade id #132906917
Max drawdown($330)
Time12/21/20 0:00
Quant open200
Worst price48.53
Drawdown as % of equity-0.27%
($7)
Includes Typical Broker Commissions trade costs of $4.00
12/17/20 9:54 TSN TYSON FOODS LONG 145 64.95 12/28 9:17 65.01 0.29%
Trade id #132884711
Max drawdown($360)
Time12/22/20 0:00
Quant open145
Worst price62.47
Drawdown as % of equity-0.29%
$5
Includes Typical Broker Commissions trade costs of $2.90
12/8/20 13:35 GIX GIGCAPITAL2 INC LONG 500 10.74 12/24 9:32 11.04 0.26%
Trade id #132700949
Max drawdown($323)
Time12/18/20 0:00
Quant open500
Worst price10.09
Drawdown as % of equity-0.26%
$141
Includes Typical Broker Commissions trade costs of $10.00
12/22/20 9:43 ERIC ERICSSON TELEPHONE LONG 852 11.72 12/23 11:09 11.75 0.04%
Trade id #132961273
Max drawdown($49)
Time12/22/20 11:45
Quant open852
Worst price11.66
Drawdown as % of equity-0.04%
$23
Includes Typical Broker Commissions trade costs of $5.00
6/10/20 12:21 LBTYK LIBERTY GLOBAL PLC CLASS C ORD LONG 250 22.14 12/23 10:48 23.55 0.93%
Trade id #129472862
Max drawdown($945)
Time10/29/20 0:00
Quant open250
Worst price18.36
Drawdown as % of equity-0.93%
$348
Includes Typical Broker Commissions trade costs of $5.00
12/15/20 10:13 GM GENERAL MOTORS LONG 236 41.80 12/23 10:07 41.85 0.33%
Trade id #132821802
Max drawdown($410)
Time12/21/20 0:00
Quant open236
Worst price40.06
Drawdown as % of equity-0.33%
$7
Includes Typical Broker Commissions trade costs of $4.72
6/11/20 3:01 LSE.RNK RANK GROUP PLC LONG 250 £1.652 12/23 8:06 £1.394 n/a ($83)
Includes Typical Broker Commissions trade costs of $0.76
6/11/20 3:00 LSE.RDW REDROW PLC LONG 280 £4.956 12/23 8:06 £5.445 n/a $171
Includes Typical Broker Commissions trade costs of $2.91
6/11/20 3:00 LSE.JDW WETHERSPOON ( J.D.) PLC LONG 150 £11.250 12/23 8:04 £10.668 n/a ($114)
Includes Typical Broker Commissions trade costs of $3.29
12/4/20 9:35 MSFT MICROSOFT LONG 63 214.19 12/22 12:16 221.04 0.16%
Trade id #132641214
Max drawdown($193)
Time12/11/20 0:00
Quant open38
Worst price209.11
Drawdown as % of equity-0.16%
$431
Includes Typical Broker Commissions trade costs of $1.26
12/9/20 13:59 JD JD.COM INC LONG 135 81.97 12/18 9:34 82.02 0.32%
Trade id #132726798
Max drawdown($390)
Time12/14/20 0:00
Quant open135
Worst price79.07
Drawdown as % of equity-0.32%
$5
Includes Typical Broker Commissions trade costs of $2.70
12/16/20 10:58 CHTR CHARTER COMMUNICATIONS LONG 15 645.03 12/18 9:33 656.29 0.13%
Trade id #132851020
Max drawdown($158)
Time12/16/20 14:17
Quant open15
Worst price634.47
Drawdown as % of equity-0.13%
$169
Includes Typical Broker Commissions trade costs of $0.30

Statistics

  • Strategy began
    3/24/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    307.6
  • Age
    10 months ago
  • What it trades
    Stocks
  • # Trades
    183
  • # Profitable
    151
  • % Profitable
    82.50%
  • Avg trade duration
    37.4 days
  • Max peak-to-valley drawdown
    18.45%
  • drawdown period
    Aug 10, 2020 - Aug 12, 2020
  • Cumul. Return
    85.6%
  • Avg win
    $471.63
  • Avg loss
    $328.62
  • Model Account Values (Raw)
  • Cash
    $103,285
  • Margin Used
    $0
  • Buying Power
    $109,289
  • Ratios
  • W:L ratio
    6.88:1
  • Sharpe Ratio
    3.16
  • Sortino Ratio
    5.83
  • Calmar Ratio
    18.852
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    28.09%
  • Correlation to SP500
    0.43720
  • Return Percent SP500 (cumu) during strategy life
    57.53%
  • Return Statistics
  • Ann Return (w trading costs)
    106.8%
  • Slump
  • Current Slump as Pcnt Equity
    0.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.856%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    111.5%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    933
  • Popularity (Last 6 weeks)
    988
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    952
  • Popularity (7 days, Percentile 1000 scale)
    949
  • 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
    $329
  • Avg Win
    $476
  • Sum Trade PL (losers)
    $10,516.000
  • AUM
  • AUM (AutoTrader num accounts)
    6
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $71,835.000
  • # Winners
    151
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    551
  • AUM
  • AUM (AutoTrader live capital)
    370211
  • Win / Loss
  • # Losers
    32
  • % Winners
    82.5%
  • Frequency
  • Avg Position Time (mins)
    52974.20
  • Avg Position Time (hrs)
    882.90
  • Avg Trade Length
    36.8 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    1.01
  • Daily leverage (max)
    3.09
  • Regression
  • Alpha
    0.15
  • Beta
    0.36
  • Treynor Index
    0.56
  • 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)
    2.83
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    1.379
  • 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
    0.883
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.642
  • Hold-and-Hope Ratio
    0.736
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.82478
  • SD
    0.17656
  • Sharpe ratio (Glass type estimate)
    4.67138
  • Sharpe ratio (Hedges UMVUE)
    4.21687
  • df
    8.00000
  • t
    4.04554
  • p
    0.00185
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.41154
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.79163
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.15236
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.28139
  • Statistics related to Sortino ratio
  • Sortino ratio
    42.02300
  • Upside Potential Ratio
    43.61700
  • Upside part of mean
    0.85606
  • Downside part of mean
    -0.03128
  • Upside SD
    0.28985
  • Downside SD
    0.01963
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.55137
  • Mean of criterion
    0.82478
  • SD of predictor
    0.18178
  • SD of criterion
    0.17656
  • Covariance
    0.02043
  • r
    0.63644
  • b (slope, estimate of beta)
    0.61817
  • a (intercept, estimate of alpha)
    0.48394
  • Mean Square Error
    0.02120
  • DF error
    7.00000
  • t(b)
    2.18307
  • p(b)
    0.03267
  • t(a)
    2.10933
  • p(a)
    0.03643
  • Lowerbound of 95% confidence interval for beta
    -0.05141
  • Upperbound of 95% confidence interval for beta
    1.28775
  • Lowerbound of 95% confidence interval for alpha
    -0.05857
  • Upperbound of 95% confidence interval for alpha
    1.02645
  • Treynor index (mean / b)
    1.33423
  • Jensen alpha (a)
    0.48394
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.78355
  • SD
    0.16740
  • Sharpe ratio (Glass type estimate)
    4.68064
  • Sharpe ratio (Hedges UMVUE)
    4.22523
  • df
    8.00000
  • t
    4.05355
  • p
    0.00183
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.41773
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.80401
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.15795
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.29250
  • Statistics related to Sortino ratio
  • Sortino ratio
    39.75840
  • Upside Potential Ratio
    41.35190
  • Upside part of mean
    0.81496
  • Downside part of mean
    -0.03140
  • Upside SD
    0.27511
  • Downside SD
    0.01971
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.52431
  • Mean of criterion
    0.78355
  • SD of predictor
    0.17522
  • SD of criterion
    0.16740
  • Covariance
    0.01860
  • r
    0.63411
  • b (slope, estimate of beta)
    0.60583
  • a (intercept, estimate of alpha)
    0.46591
  • Mean Square Error
    0.01915
  • DF error
    7.00000
  • t(b)
    2.16967
  • p(b)
    0.03332
  • t(a)
    2.14987
  • p(a)
    0.03431
  • Lowerbound of 95% confidence interval for beta
    -0.05444
  • Upperbound of 95% confidence interval for beta
    1.26610
  • Lowerbound of 95% confidence interval for alpha
    -0.04654
  • Upperbound of 95% confidence interval for alpha
    0.97836
  • Treynor index (mean / b)
    1.29335
  • Jensen alpha (a)
    0.46591
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01409
  • Expected Shortfall on VaR
    0.03365
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00328
  • Expected Shortfall on VaR
    0.00778
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.98798
  • Quartile 1
    1.06250
  • Median
    1.07777
  • Quartile 3
    1.10121
  • Maximum
    1.14181
  • Mean of quarter 1
    1.01456
  • Mean of quarter 2
    1.07630
  • Mean of quarter 3
    1.09741
  • Mean of quarter 4
    1.12422
  • Inter Quartile Range
    0.03871
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.22222
  • Mean of outliers low
    0.99060
  • 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)
    -4.72875
  • VaR(95%) (regression method)
    0.13682
  • Expected Shortfall (regression method)
    0.13686
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00679
  • Quartile 1
    0.00810
  • Median
    0.00940
  • Quartile 3
    0.01071
  • Maximum
    0.01202
  • Mean of quarter 1
    0.00679
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.01202
  • Inter Quartile Range
    0.00261
  • 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)
    1.11713
  • Compounded annual return (geometric extrapolation)
    1.25119
  • Calmar ratio (compounded annual return / max draw down)
    104.12400
  • Compounded annual return / average of 25% largest draw downs
    104.12400
  • Compounded annual return / Expected Shortfall lognormal
    37.18710
  • 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
    0.75126
  • SD
    0.18196
  • Sharpe ratio (Glass type estimate)
    4.12864
  • Sharpe ratio (Hedges UMVUE)
    4.11436
  • df
    217.00000
  • t
    3.76604
  • p
    0.00011
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.94057
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.30750
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93110
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.29762
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.84381
  • Upside Potential Ratio
    15.35020
  • Upside part of mean
    1.47019
  • Downside part of mean
    -0.71894
  • Upside SD
    0.16106
  • Downside SD
    0.09578
  • N nonnegative terms
    134.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    218.00000
  • Mean of predictor
    0.54651
  • Mean of criterion
    0.75126
  • SD of predictor
    0.23597
  • SD of criterion
    0.18196
  • Covariance
    0.01873
  • r
    0.43617
  • b (slope, estimate of beta)
    0.33633
  • a (intercept, estimate of alpha)
    0.56700
  • Mean Square Error
    0.02694
  • DF error
    216.00000
  • t(b)
    7.12360
  • p(b)
    0.00000
  • t(a)
    3.12191
  • p(a)
    0.00102
  • Lowerbound of 95% confidence interval for beta
    0.24327
  • Upperbound of 95% confidence interval for beta
    0.42939
  • Lowerbound of 95% confidence interval for alpha
    0.20919
  • Upperbound of 95% confidence interval for alpha
    0.92570
  • Treynor index (mean / b)
    2.23366
  • Jensen alpha (a)
    0.56745
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.73380
  • SD
    0.18077
  • Sharpe ratio (Glass type estimate)
    4.05926
  • Sharpe ratio (Hedges UMVUE)
    4.04522
  • df
    217.00000
  • t
    3.70275
  • p
    0.00014
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.87242
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.23705
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.86310
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.22733
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.59481
  • Upside Potential Ratio
    15.08300
  • Upside part of mean
    1.45730
  • Downside part of mean
    -0.72350
  • Upside SD
    0.15890
  • Downside SD
    0.09662
  • N nonnegative terms
    134.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    218.00000
  • Mean of predictor
    0.51829
  • Mean of criterion
    0.73380
  • SD of predictor
    0.23549
  • SD of criterion
    0.18077
  • Covariance
    0.01868
  • r
    0.43878
  • b (slope, estimate of beta)
    0.33683
  • a (intercept, estimate of alpha)
    0.55923
  • Mean Square Error
    0.02651
  • DF error
    216.00000
  • t(b)
    7.17638
  • p(b)
    0.00000
  • t(a)
    3.10436
  • p(a)
    0.00108
  • Lowerbound of 95% confidence interval for beta
    0.24432
  • Upperbound of 95% confidence interval for beta
    0.42934
  • Lowerbound of 95% confidence interval for alpha
    0.20416
  • Upperbound of 95% confidence interval for alpha
    0.91429
  • Treynor index (mean / b)
    2.17857
  • Jensen alpha (a)
    0.55923
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01545
  • Expected Shortfall on VaR
    0.02002
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00529
  • Expected Shortfall on VaR
    0.01105
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    218.00000
  • Minimum
    0.96770
  • Quartile 1
    0.99669
  • Median
    1.00248
  • Quartile 3
    1.00898
  • Maximum
    1.05571
  • Mean of quarter 1
    0.99011
  • Mean of quarter 2
    0.99970
  • Mean of quarter 3
    1.00518
  • Mean of quarter 4
    1.01689
  • Inter Quartile Range
    0.01229
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.01376
  • Mean of outliers low
    0.97370
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.01835
  • Mean of outliers high
    1.04365
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01721
  • VaR(95%) (moments method)
    0.00843
  • Expected Shortfall (moments method)
    0.01170
  • Extreme Value Index (regression method)
    0.15198
  • VaR(95%) (regression method)
    0.00926
  • Expected Shortfall (regression method)
    0.01414
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00677
  • Median
    0.01224
  • Quartile 3
    0.04215
  • Maximum
    0.06057
  • Mean of quarter 1
    0.00249
  • Mean of quarter 2
    0.00878
  • Mean of quarter 3
    0.02389
  • Mean of quarter 4
    0.05842
  • Inter Quartile Range
    0.03538
  • 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)
    -5.74299
  • VaR(95%) (moments method)
    0.05987
  • Expected Shortfall (moments method)
    0.05987
  • Extreme Value Index (regression method)
    -1.81742
  • VaR(95%) (regression method)
    0.06174
  • Expected Shortfall (regression method)
    0.06199
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.06330
  • Compounded annual return (geometric extrapolation)
    1.14193
  • Calmar ratio (compounded annual return / max draw down)
    18.85180
  • Compounded annual return / average of 25% largest draw downs
    19.54830
  • Compounded annual return / Expected Shortfall lognormal
    57.02780
  • 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
    0.64778
  • SD
    0.15120
  • Sharpe ratio (Glass type estimate)
    4.28436
  • Sharpe ratio (Hedges UMVUE)
    4.25960
  • df
    130.00000
  • t
    3.02950
  • p
    0.37160
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.45620
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.09669
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.43985
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.07935
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.78419
  • Upside Potential Ratio
    14.85350
  • Upside part of mean
    1.23607
  • Downside part of mean
    -0.58829
  • Upside SD
    0.13177
  • Downside SD
    0.08322
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33639
  • Mean of criterion
    0.64778
  • SD of predictor
    0.16518
  • SD of criterion
    0.15120
  • Covariance
    0.00838
  • r
    0.33556
  • b (slope, estimate of beta)
    0.30715
  • a (intercept, estimate of alpha)
    0.54446
  • Mean Square Error
    0.02044
  • DF error
    129.00000
  • t(b)
    4.04579
  • p(b)
    0.29046
  • t(a)
    2.67138
  • p(a)
    0.35553
  • Lowerbound of 95% confidence interval for beta
    0.15694
  • Upperbound of 95% confidence interval for beta
    0.45736
  • Lowerbound of 95% confidence interval for alpha
    0.14121
  • Upperbound of 95% confidence interval for alpha
    0.94771
  • Treynor index (mean / b)
    2.10901
  • Jensen alpha (a)
    0.54446
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.63565
  • SD
    0.15063
  • Sharpe ratio (Glass type estimate)
    4.22004
  • Sharpe ratio (Hedges UMVUE)
    4.19564
  • df
    130.00000
  • t
    2.98402
  • p
    0.37341
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.39343
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.03106
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37731
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.01398
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.56847
  • Upside Potential Ratio
    14.61410
  • Upside part of mean
    1.22738
  • Downside part of mean
    -0.59173
  • Upside SD
    0.13040
  • Downside SD
    0.08399
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32256
  • Mean of criterion
    0.63565
  • SD of predictor
    0.16567
  • SD of criterion
    0.15063
  • Covariance
    0.00839
  • r
    0.33616
  • b (slope, estimate of beta)
    0.30563
  • a (intercept, estimate of alpha)
    0.53706
  • Mean Square Error
    0.02028
  • DF error
    129.00000
  • t(b)
    4.05402
  • p(b)
    0.29009
  • t(a)
    2.64747
  • p(a)
    0.35673
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    0.15647
  • Upperbound of 95% confidence interval for beta
    0.45480
  • Lowerbound of 95% confidence interval for alpha
    0.13570
  • Upperbound of 95% confidence interval for alpha
    0.93843
  • Treynor index (mean / b)
    2.07977
  • Jensen alpha (a)
    0.53706
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01280
  • Expected Shortfall on VaR
    0.01662
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00420
  • Expected Shortfall on VaR
    0.00905
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96770
  • Quartile 1
    0.99761
  • Median
    1.00215
  • Quartile 3
    1.00786
  • Maximum
    1.03947
  • Mean of quarter 1
    0.99189
  • Mean of quarter 2
    0.99992
  • Mean of quarter 3
    1.00442
  • Mean of quarter 4
    1.01415
  • Inter Quartile Range
    0.01025
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97398
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.03729
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.04450
  • VaR(95%) (moments method)
    0.00660
  • Expected Shortfall (moments method)
    0.00942
  • Extreme Value Index (regression method)
    0.36502
  • VaR(95%) (regression method)
    0.00723
  • Expected Shortfall (regression method)
    0.01338
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00640
  • Median
    0.01055
  • Quartile 3
    0.01641
  • Maximum
    0.06057
  • Mean of quarter 1
    0.00249
  • Mean of quarter 2
    0.00941
  • Mean of quarter 3
    0.01556
  • Mean of quarter 4
    0.04847
  • Inter Quartile Range
    0.01001
  • 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
    0.15385
  • Mean of outliers high
    0.05807
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.54711
  • VaR(95%) (moments method)
    0.03808
  • Expected Shortfall (moments method)
    0.03815
  • Extreme Value Index (regression method)
    -2.02239
  • VaR(95%) (regression method)
    0.06768
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.06872
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -312804000
  • Max Equity Drawdown (num days)
    2
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.78688
  • Compounded annual return (geometric extrapolation)
    0.94168
  • Calmar ratio (compounded annual return / max draw down)
    15.54600
  • Compounded annual return / average of 25% largest draw downs
    19.42980
  • Compounded annual return / Expected Shortfall lognormal
    56.64870

Strategy Description

We are Long

This strtagy has 3 wave

1)swing tardes
2)18 month trade mustly small stocks that might grow
3)buy and incress SPY UPRO SPLX QQQ QLD TQQQ we buy them and never sell just incress

Summary Statistics

Strategy began
2020-03-24
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 4.8%
Rank # 
#35
# Trades
183
# Profitable
151
% Profitable
82.5%
Net Dividends
Correlation S&P500
0.437
Sharpe Ratio
3.16
Sortino Ratio
5.83
Beta
0.36
Alpha
0.15
Leverage
1.01 Average
3.09 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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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.