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UnicornSP500
(129575948)

Created by: MarkEriksson MarkEriksson
Started: 06/2020
Stocks
Last trade: 9 days ago
Trading style: Equity Event-driven Sector: Technology

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 $129.00 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
Event-driven
Category: Equity

Event-driven

Seeks to exploit pricing inefficiencies that may occur before or after a corporate event, such as an earnings call, bankruptcy, merger, acquisition, or spinoff.
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
134.8%
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.

(55.8%)
Max Drawdown
1643
Num Trades
71.0%
Win Trades
2.6 : 1
Profit Factor
77.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                   +0.3%+5.4%+7.9%+0.6%(5.7%)+27.5%(6.9%)+28.5%
2021+37.3%+10.8%+1.8%+10.9%+2.7%+43.8%+5.0%(0.4%)+0.4%+6.6%(4.6%)      +170.6%

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 3,397 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
11/15/21 9:30 WDC WESTERN DIGITAL LONG 223 56.01 11/19 13:51 55.82 0.03%
Trade id #138193958
Max drawdown($56)
Time11/18/21 0:00
Quant open10
Worst price54.81
Drawdown as % of equity-0.03%
($45)
Includes Typical Broker Commissions trade costs of $4.46
11/19/21 9:47 TXN TEXAS INSTRUMENTS LONG 35 193.75 11/19 9:54 194.09 n/a $11
Includes Typical Broker Commissions trade costs of $0.70
11/18/21 12:12 MRNA MODERNA INC. COMMON STOCK LONG 73 260.42 11/19 9:48 259.83 0.01%
Trade id #138248532
Max drawdown($15)
Time11/18/21 12:57
Quant open30
Worst price249.69
Drawdown as % of equity-0.01%
($44)
Includes Typical Broker Commissions trade costs of $1.46
11/18/21 12:28 TXN TEXAS INSTRUMENTS LONG 30 193.84 11/18 13:01 193.48 0.01%
Trade id #138248684
Max drawdown($12)
Time11/18/21 13:01
Quant open30
Worst price193.43
Drawdown as % of equity-0.01%
($12)
Includes Typical Broker Commissions trade costs of $0.60
11/17/21 9:48 TXN TEXAS INSTRUMENTS LONG 327 191.73 11/18 12:22 191.94 0.02%
Trade id #138225785
Max drawdown($31)
Time11/17/21 10:53
Quant open30
Worst price187.51
Drawdown as % of equity-0.02%
$62
Includes Typical Broker Commissions trade costs of $6.54
11/18/21 9:46 BABA ALIBABA GROUP HOLDING LIMITED LONG 47 145.89 11/18 12:15 146.58 0.01%
Trade id #138243470
Max drawdown($19)
Time11/18/21 9:58
Quant open10
Worst price144.90
Drawdown as % of equity-0.01%
$31
Includes Typical Broker Commissions trade costs of $0.94
11/4/21 10:54 ADBE ADOBE INC LONG 6 672.32 11/18 12:12 674.68 0.05%
Trade id #138076333
Max drawdown($98)
Time11/11/21 0:00
Quant open3
Worst price642.10
Drawdown as % of equity-0.05%
$14
Includes Typical Broker Commissions trade costs of $0.12
11/4/21 9:30 MRNA MODERNA INC. COMMON STOCK LONG 897 242.53 11/18 11:19 244.78 0.65%
Trade id #138072433
Max drawdown($1,261)
Time11/16/21 0:00
Quant open132
Worst price230.29
Drawdown as % of equity-0.65%
$1,994
Includes Typical Broker Commissions trade costs of $17.94
11/18/21 10:08 AKAM AKAMAI TECHNOLOGIES LONG 50 109.97 11/18 10:50 110.01 0.01%
Trade id #138244371
Max drawdown($22)
Time11/18/21 10:20
Quant open50
Worst price109.52
Drawdown as % of equity-0.01%
$1
Includes Typical Broker Commissions trade costs of $1.00
11/18/21 10:37 COIN COINBASE GLOBAL INC. CLASS A COMMON STOCK LONG 30 336.79 11/18 10:45 333.73 0.06%
Trade id #138246014
Max drawdown($114)
Time11/18/21 10:45
Quant open30
Worst price332.98
Drawdown as % of equity-0.06%
($93)
Includes Typical Broker Commissions trade costs of $0.60
11/15/21 9:30 NVDA NVIDIA LONG 3 305.50 11/18 9:30 323.50 0.03%
Trade id #138194100
Max drawdown($52)
Time11/17/21 0:00
Quant open3
Worst price288.00
Drawdown as % of equity-0.03%
$54
Includes Typical Broker Commissions trade costs of $0.06
11/16/21 11:10 ADP AUTOMATIC DATA PROCESSING LONG 30 236.29 11/17 13:45 235.95 0.04%
Trade id #138212876
Max drawdown($80)
Time11/17/21 9:37
Quant open30
Worst price233.60
Drawdown as % of equity-0.04%
($11)
Includes Typical Broker Commissions trade costs of $0.60
11/17/21 9:30 COIN COINBASE GLOBAL INC. CLASS A COMMON STOCK LONG 20 341.50 11/17 12:22 342.38 0.03%
Trade id #138224884
Max drawdown($66)
Time11/17/21 10:33
Quant open20
Worst price338.18
Drawdown as % of equity-0.03%
$18
Includes Typical Broker Commissions trade costs of $0.40
11/17/21 9:53 VRTX VERTEX LONG 10 196.40 11/17 10:07 196.95 0%
Trade id #138226002
Max drawdown($5)
Time11/17/21 9:56
Quant open10
Worst price195.81
Drawdown as % of equity-0.00%
$6
Includes Typical Broker Commissions trade costs of $0.20
11/16/21 11:17 LEN LENNAR LONG 40 108.78 11/16 13:45 108.68 0.01%
Trade id #138213032
Max drawdown($10)
Time11/16/21 11:45
Quant open35
Worst price108.42
Drawdown as % of equity-0.01%
($5)
Includes Typical Broker Commissions trade costs of $0.80
11/16/21 9:56 TMO THERMO FISHER SCIENTIFIC LONG 36 645.39 11/16 10:16 645.03 0.03%
Trade id #138210959
Max drawdown($60)
Time11/16/21 10:00
Quant open36
Worst price643.71
Drawdown as % of equity-0.03%
($14)
Includes Typical Broker Commissions trade costs of $0.72
10/25/21 9:30 PYPL PAYPAL HOLDINGS CORP LONG 275 214.18 11/16 10:07 215.41 1.45%
Trade id #137938966
Max drawdown($2,738)
Time11/12/21 0:00
Quant open208
Worst price201.48
Drawdown as % of equity-1.45%
$333
Includes Typical Broker Commissions trade costs of $5.50
11/15/21 13:16 REGN REGENERON PHARMACEUTICALS LONG 5 648.52 11/16 9:44 657.38 0.01%
Trade id #138200660
Max drawdown($18)
Time11/15/21 14:49
Quant open5
Worst price644.92
Drawdown as % of equity-0.01%
$44
Includes Typical Broker Commissions trade costs of $0.10
11/15/21 11:36 TSLA TESLA INC. LONG 10 998.50 11/15 15:39 998.64 0.04%
Trade id #138198369
Max drawdown($73)
Time11/15/21 13:40
Quant open5
Worst price983.44
Drawdown as % of equity-0.04%
$1
Includes Typical Broker Commissions trade costs of $0.20
11/15/21 11:01 COST COSTCO WHOLESALE LONG 10 522.39 11/15 11:31 522.33 0%
Trade id #138197675
Max drawdown($8)
Time11/15/21 11:05
Quant open10
Worst price521.50
Drawdown as % of equity-0.00%
($1)
Includes Typical Broker Commissions trade costs of $0.20
11/4/21 9:30 REGN REGENERON PHARMACEUTICALS LONG 45 635.82 11/15 11:30 637.13 0.33%
Trade id #138072437
Max drawdown($626)
Time11/5/21 0:00
Quant open10
Worst price594.55
Drawdown as % of equity-0.33%
$58
Includes Typical Broker Commissions trade costs of $0.90
11/15/21 9:30 COIN COINBASE GLOBAL INC. CLASS A COMMON STOCK LONG 12 349.80 11/15 9:49 352.74 n/a $35
Includes Typical Broker Commissions trade costs of $0.24
11/11/21 9:30 TXN TEXAS INSTRUMENTS LONG 30 189.06 11/12 12:50 191.13 0.03%
Trade id #138158719
Max drawdown($54)
Time11/11/21 10:32
Quant open30
Worst price187.24
Drawdown as % of equity-0.03%
$61
Includes Typical Broker Commissions trade costs of $0.60
11/5/21 12:28 WDC WESTERN DIGITAL LONG 485 58.69 11/12 10:07 59.69 0.06%
Trade id #138094039
Max drawdown($110)
Time11/8/21 0:00
Quant open100
Worst price55.57
Drawdown as % of equity-0.06%
$474
Includes Typical Broker Commissions trade costs of $9.70
11/11/21 10:03 FDX FEDEX LONG 13 250.78 11/12 10:05 252.95 0%
Trade id #138160291
Max drawdown($1)
Time11/11/21 10:43
Quant open10
Worst price250.12
Drawdown as % of equity-0.00%
$28
Includes Typical Broker Commissions trade costs of $0.26
11/11/21 10:40 QCOM QUALCOMM LONG 65 164.51 11/12 9:35 165.09 0.01%
Trade id #138161311
Max drawdown($23)
Time11/11/21 15:53
Quant open65
Worst price164.15
Drawdown as % of equity-0.01%
$37
Includes Typical Broker Commissions trade costs of $1.30
11/1/21 9:39 TMO THERMO FISHER SCIENTIFIC LONG 29 630.30 11/11 14:43 634.06 0.09%
Trade id #138026457
Max drawdown($168)
Time11/9/21 0:00
Quant open11
Worst price615.01
Drawdown as % of equity-0.09%
$108
Includes Typical Broker Commissions trade costs of $0.58
11/3/21 15:11 CVS CVS HEALTH CORP LONG 102 96.31 11/11 10:25 96.28 0%
Trade id #138065371
Max drawdown($6)
Time11/3/21 15:16
Quant open102
Worst price96.25
Drawdown as % of equity-0.00%
($4)
Includes Typical Broker Commissions trade costs of $2.04
10/27/21 10:52 UPS UNITED PARCEL SERVICE LONG 565 212.04 11/11 9:58 212.93 0.32%
Trade id #137975925
Max drawdown($591)
Time11/3/21 0:00
Quant open131
Worst price207.39
Drawdown as % of equity-0.32%
$490
Includes Typical Broker Commissions trade costs of $11.30
11/10/21 10:05 TSLA TESLA INC. LONG 9 1072.54 11/11 9:36 1075.74 0.06%
Trade id #138143794
Max drawdown($106)
Time11/10/21 14:45
Quant open2
Worst price1012.50
Drawdown as % of equity-0.06%
$29
Includes Typical Broker Commissions trade costs of $0.18

Statistics

  • Strategy began
    6/16/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    529.69
  • Age
    18 months ago
  • What it trades
    Stocks
  • # Trades
    1643
  • # Profitable
    1167
  • % Profitable
    71.00%
  • Avg trade duration
    3.2 days
  • Max peak-to-valley drawdown
    55.8%
  • drawdown period
    Nov 16, 2021 - Nov 20, 2021
  • Annual Return (Compounded)
    134.8%
  • Avg win
    $200.19
  • Avg loss
    $189.73
  • Model Account Values (Raw)
  • Cash
    $28,476
  • Margin Used
    $0
  • Buying Power
    ($2,420)
  • Ratios
  • W:L ratio
    2.64:1
  • Sharpe Ratio
    1.92
  • Sortino Ratio
    4.03
  • Calmar Ratio
    10.448
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    200.50%
  • Correlation to SP500
    0.30470
  • Return Percent SP500 (cumu) during strategy life
    47.04%
  • Return Statistics
  • Ann Return (w trading costs)
    134.8%
  • Slump
  • Current Slump as Pcnt Equity
    12.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.348%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    143.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    65.00%
  • Chance of 20% account loss
    50.50%
  • Chance of 30% account loss
    38.50%
  • Chance of 40% account loss
    27.00%
  • Chance of 60% account loss (Monte Carlo)
    4.00%
  • Chance of 70% account loss (Monte Carlo)
    0.50%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    19.54%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    17.00%
  • Popularity
  • Popularity (Today)
    920
  • Popularity (Last 6 weeks)
    987
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    784
  • Popularity (7 days, Percentile 1000 scale)
    962
  • 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
    $219
  • Avg Win
    $200
  • Sum Trade PL (losers)
    $103,837.000
  • AUM
  • AUM (AutoTrader num accounts)
    14
  • Age
  • Num Months filled monthly returns table
    18
  • Win / Loss
  • Sum Trade PL (winners)
    $233,695.000
  • # Winners
    1168
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    2460
  • AUM
  • AUM (AutoTrader live capital)
    703268
  • Win / Loss
  • # Losers
    475
  • % Winners
    71.1%
  • Frequency
  • Avg Position Time (mins)
    4656.88
  • Avg Position Time (hrs)
    77.61
  • Avg Trade Length
    3.2 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.76
  • Daily leverage (max)
    3.02
  • Regression
  • Alpha
    0.20
  • Beta
    0.86
  • Treynor Index
    0.30
  • 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)
    0.22
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    11.771
  • 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
    1.518
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.731
  • Hold-and-Hope Ratio
    0.101
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.06657
  • SD
    0.51904
  • Sharpe ratio (Glass type estimate)
    2.05491
  • Sharpe ratio (Hedges UMVUE)
    1.95679
  • df
    16.00000
  • t
    2.44583
  • p
    0.23917
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23622
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.81972
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17599
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.73760
  • Statistics related to Sortino ratio
  • Sortino ratio
    21.74480
  • Upside Potential Ratio
    23.13910
  • Upside part of mean
    1.13495
  • Downside part of mean
    -0.06839
  • Upside SD
    0.58817
  • Downside SD
    0.04905
  • N nonnegative terms
    13.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.26529
  • Mean of criterion
    1.06657
  • SD of predictor
    0.06410
  • SD of criterion
    0.51904
  • Covariance
    0.00191
  • r
    0.05731
  • b (slope, estimate of beta)
    0.46409
  • a (intercept, estimate of alpha)
    0.94345
  • Mean Square Error
    0.28641
  • DF error
    15.00000
  • t(b)
    0.22234
  • p(b)
    0.46353
  • t(a)
    1.32265
  • p(a)
    0.29790
  • Lowerbound of 95% confidence interval for beta
    -3.98495
  • Upperbound of 95% confidence interval for beta
    4.91314
  • Lowerbound of 95% confidence interval for alpha
    -0.57692
  • Upperbound of 95% confidence interval for alpha
    2.46382
  • Treynor index (mean / b)
    2.29818
  • Jensen alpha (a)
    0.94345
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.92706
  • SD
    0.42812
  • Sharpe ratio (Glass type estimate)
    2.16544
  • Sharpe ratio (Hedges UMVUE)
    2.06205
  • df
    16.00000
  • t
    2.57739
  • p
    0.22918
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33045
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.94455
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26704
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.85706
  • Statistics related to Sortino ratio
  • Sortino ratio
    18.53350
  • Upside Potential Ratio
    19.92210
  • Upside part of mean
    0.99652
  • Downside part of mean
    -0.06946
  • Upside SD
    0.49155
  • Downside SD
    0.05002
  • N nonnegative terms
    13.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.25994
  • Mean of criterion
    0.92706
  • SD of predictor
    0.06295
  • SD of criterion
    0.42812
  • Covariance
    0.00188
  • r
    0.06974
  • b (slope, estimate of beta)
    0.47431
  • a (intercept, estimate of alpha)
    0.80377
  • Mean Square Error
    0.19455
  • DF error
    15.00000
  • t(b)
    0.27076
  • p(b)
    0.45564
  • t(a)
    1.36908
  • p(a)
    0.29182
  • Lowerbound of 95% confidence interval for beta
    -3.25951
  • Upperbound of 95% confidence interval for beta
    4.20813
  • Lowerbound of 95% confidence interval for alpha
    -0.44758
  • Upperbound of 95% confidence interval for alpha
    2.05512
  • Treynor index (mean / b)
    1.95454
  • Jensen alpha (a)
    0.80377
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11841
  • Expected Shortfall on VaR
    0.16192
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00731
  • Expected Shortfall on VaR
    0.01796
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.95180
  • Quartile 1
    1.00270
  • Median
    1.04684
  • Quartile 3
    1.10204
  • Maximum
    1.49323
  • Mean of quarter 1
    0.98303
  • Mean of quarter 2
    1.04147
  • Mean of quarter 3
    1.07096
  • Mean of quarter 4
    1.29642
  • Inter Quartile Range
    0.09934
  • 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
    0.11765
  • Mean of outliers high
    1.46649
  • 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)
    -0.07241
  • VaR(95%) (regression method)
    0.03857
  • Expected Shortfall (regression method)
    0.05965
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00517
  • Quartile 1
    0.01059
  • Median
    0.01710
  • Quartile 3
    0.02840
  • Maximum
    0.04820
  • Mean of quarter 1
    0.00517
  • Mean of quarter 2
    0.01239
  • Mean of quarter 3
    0.02180
  • Mean of quarter 4
    0.04820
  • Inter Quartile Range
    0.01782
  • 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)
    2.02484
  • Compounded annual return (geometric extrapolation)
    1.59859
  • Calmar ratio (compounded annual return / max draw down)
    33.16720
  • Compounded annual return / average of 25% largest draw downs
    33.16720
  • Compounded annual return / Expected Shortfall lognormal
    9.87293
  • 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
    0.94491
  • SD
    0.38234
  • Sharpe ratio (Glass type estimate)
    2.47142
  • Sharpe ratio (Hedges UMVUE)
    2.46647
  • df
    375.00000
  • t
    2.96067
  • p
    0.00163
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.82420
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.11543
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.82090
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.11205
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.37231
  • Upside Potential Ratio
    13.06450
  • Upside part of mean
    2.29786
  • Downside part of mean
    -1.35295
  • Upside SD
    0.34390
  • Downside SD
    0.17589
  • N nonnegative terms
    210.00000
  • N negative terms
    166.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    376.00000
  • Mean of predictor
    0.25132
  • Mean of criterion
    0.94491
  • SD of predictor
    0.14447
  • SD of criterion
    0.38234
  • Covariance
    0.01691
  • r
    0.30617
  • b (slope, estimate of beta)
    0.81025
  • a (intercept, estimate of alpha)
    0.74100
  • Mean Square Error
    0.13283
  • DF error
    374.00000
  • t(b)
    6.21982
  • p(b)
    0.00000
  • t(a)
    2.42257
  • p(a)
    0.00794
  • Lowerbound of 95% confidence interval for beta
    0.55410
  • Upperbound of 95% confidence interval for beta
    1.06640
  • Lowerbound of 95% confidence interval for alpha
    0.13961
  • Upperbound of 95% confidence interval for alpha
    1.34296
  • Treynor index (mean / b)
    1.16620
  • Jensen alpha (a)
    0.74128
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.87420
  • SD
    0.36747
  • Sharpe ratio (Glass type estimate)
    2.37894
  • Sharpe ratio (Hedges UMVUE)
    2.37418
  • df
    375.00000
  • t
    2.84988
  • p
    0.00231
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.73250
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.02234
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.72930
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01906
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.88715
  • Upside Potential Ratio
    12.53840
  • Upside part of mean
    2.24282
  • Downside part of mean
    -1.36863
  • Upside SD
    0.32496
  • Downside SD
    0.17888
  • N nonnegative terms
    210.00000
  • N negative terms
    166.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    376.00000
  • Mean of predictor
    0.24074
  • Mean of criterion
    0.87420
  • SD of predictor
    0.14480
  • SD of criterion
    0.36747
  • Covariance
    0.01711
  • r
    0.32153
  • b (slope, estimate of beta)
    0.81601
  • a (intercept, estimate of alpha)
    0.67775
  • Mean Square Error
    0.12140
  • DF error
    374.00000
  • t(b)
    6.56682
  • p(b)
    0.00000
  • t(a)
    2.31804
  • p(a)
    0.01049
  • Lowerbound of 95% confidence interval for beta
    0.57167
  • Upperbound of 95% confidence interval for beta
    1.06035
  • Lowerbound of 95% confidence interval for alpha
    0.10283
  • Upperbound of 95% confidence interval for alpha
    1.25267
  • Treynor index (mean / b)
    1.07131
  • Jensen alpha (a)
    0.67775
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03343
  • Expected Shortfall on VaR
    0.04253
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01095
  • Expected Shortfall on VaR
    0.02212
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    376.00000
  • Minimum
    0.94107
  • Quartile 1
    0.99263
  • Median
    1.00158
  • Quartile 3
    1.01079
  • Maximum
    1.19708
  • Mean of quarter 1
    0.98200
  • Mean of quarter 2
    0.99770
  • Mean of quarter 3
    1.00596
  • Mean of quarter 4
    1.02919
  • Inter Quartile Range
    0.01816
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.02394
  • Mean of outliers low
    0.95339
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.03191
  • Mean of outliers high
    1.08281
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27908
  • VaR(95%) (moments method)
    0.01845
  • Expected Shortfall (moments method)
    0.03026
  • Extreme Value Index (regression method)
    0.05028
  • VaR(95%) (regression method)
    0.01908
  • Expected Shortfall (regression method)
    0.02700
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    40.00000
  • Minimum
    0.00015
  • Quartile 1
    0.00547
  • Median
    0.01818
  • Quartile 3
    0.04639
  • Maximum
    0.14019
  • Mean of quarter 1
    0.00222
  • Mean of quarter 2
    0.01242
  • Mean of quarter 3
    0.03465
  • Mean of quarter 4
    0.08551
  • Inter Quartile Range
    0.04092
  • 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
    0.05000
  • Mean of outliers high
    0.12564
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.65156
  • VaR(95%) (moments method)
    0.09176
  • Expected Shortfall (moments method)
    0.10223
  • Extreme Value Index (regression method)
    -0.55064
  • VaR(95%) (regression method)
    0.09439
  • Expected Shortfall (regression method)
    0.10631
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.84627
  • Compounded annual return (geometric extrapolation)
    1.46478
  • Calmar ratio (compounded annual return / max draw down)
    10.44830
  • Compounded annual return / average of 25% largest draw downs
    17.12990
  • Compounded annual return / Expected Shortfall lognormal
    34.44430
  • 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
    0.94421
  • SD
    0.40766
  • Sharpe ratio (Glass type estimate)
    2.31613
  • Sharpe ratio (Hedges UMVUE)
    2.30274
  • df
    130.00000
  • t
    1.63775
  • p
    0.42891
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47430
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.09783
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48316
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.08865
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.05488
  • Upside Potential Ratio
    15.01820
  • Upside part of mean
    2.01000
  • Downside part of mean
    -1.06579
  • Upside SD
    0.38783
  • Downside SD
    0.13384
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15696
  • Mean of criterion
    0.94421
  • SD of predictor
    0.10630
  • SD of criterion
    0.40766
  • Covariance
    0.01067
  • r
    0.24634
  • b (slope, estimate of beta)
    0.94477
  • a (intercept, estimate of alpha)
    0.79592
  • Mean Square Error
    0.15732
  • DF error
    129.00000
  • t(b)
    2.88688
  • p(b)
    0.34477
  • t(a)
    1.41304
  • p(a)
    0.42160
  • Lowerbound of 95% confidence interval for beta
    0.29727
  • Upperbound of 95% confidence interval for beta
    1.59227
  • Lowerbound of 95% confidence interval for alpha
    -0.31852
  • Upperbound of 95% confidence interval for alpha
    1.91036
  • Treynor index (mean / b)
    0.99940
  • Jensen alpha (a)
    0.79592
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.86681
  • SD
    0.38283
  • Sharpe ratio (Glass type estimate)
    2.26421
  • Sharpe ratio (Hedges UMVUE)
    2.25113
  • df
    130.00000
  • t
    1.60104
  • p
    0.43047
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.52547
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.04541
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53415
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.03641
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.39953
  • Upside Potential Ratio
    14.33450
  • Upside part of mean
    1.94159
  • Downside part of mean
    -1.07478
  • Upside SD
    0.36050
  • Downside SD
    0.13545
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15128
  • Mean of criterion
    0.86681
  • SD of predictor
    0.10647
  • SD of criterion
    0.38283
  • Covariance
    0.01078
  • r
    0.26447
  • b (slope, estimate of beta)
    0.95100
  • a (intercept, estimate of alpha)
    0.72294
  • Mean Square Error
    0.13736
  • DF error
    129.00000
  • t(b)
    3.11473
  • p(b)
    0.33362
  • t(a)
    1.37396
  • p(a)
    0.42373
  • VAR (95 Confidence Intrvl)
    0.03300
  • Lowerbound of 95% confidence interval for beta
    0.34691
  • Upperbound of 95% confidence interval for beta
    1.55509
  • Lowerbound of 95% confidence interval for alpha
    -0.31811
  • Upperbound of 95% confidence interval for alpha
    1.76400
  • Treynor index (mean / b)
    0.91147
  • Jensen alpha (a)
    0.72294
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03497
  • Expected Shortfall on VaR
    0.04442
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00858
  • Expected Shortfall on VaR
    0.01708
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96031
  • Quartile 1
    0.99428
  • Median
    1.00189
  • Quartile 3
    1.00815
  • Maximum
    1.19708
  • Mean of quarter 1
    0.98608
  • Mean of quarter 2
    0.99820
  • Mean of quarter 3
    1.00423
  • Mean of quarter 4
    1.02635
  • Inter Quartile Range
    0.01387
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.96557
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.07518
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25340
  • VaR(95%) (moments method)
    0.01461
  • Expected Shortfall (moments method)
    0.02313
  • Extreme Value Index (regression method)
    0.34075
  • VaR(95%) (regression method)
    0.01374
  • Expected Shortfall (regression method)
    0.02283
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00015
  • Quartile 1
    0.00497
  • Median
    0.01657
  • Quartile 3
    0.04963
  • Maximum
    0.10453
  • Mean of quarter 1
    0.00192
  • Mean of quarter 2
    0.01165
  • Mean of quarter 3
    0.03989
  • Mean of quarter 4
    0.06945
  • Inter Quartile Range
    0.04466
  • 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)
    0.17386
  • VaR(95%) (moments method)
    0.07851
  • Expected Shortfall (moments method)
    0.10330
  • Extreme Value Index (regression method)
    1.53019
  • VaR(95%) (regression method)
    0.08914
  • 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?
    -317577000
  • Max Equity Drawdown (num days)
    4
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.12835
  • Compounded annual return (geometric extrapolation)
    1.44664
  • Calmar ratio (compounded annual return / max draw down)
    13.83890
  • Compounded annual return / average of 25% largest draw downs
    20.83070
  • Compounded annual return / Expected Shortfall lognormal
    32.56580

Strategy Description

true intrinsic value vs market price

Summary Statistics

Strategy began
2020-06-16
Suggested Minimum Capital
$35,000
Rank at C2 
#175
# Trades
1643
# Profitable
1167
% Profitable
71.0%
Net Dividends
Correlation S&P500
0.305
Sharpe Ratio
1.92
Sortino Ratio
4.03
Beta
0.86
Alpha
0.20
Leverage
1.76 Average
3.02 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.