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Infinity 2020
(131202173)

Created by: LeonardoFranci_Nexit LeonardoFranci_Nexit
Started: 09/2020
Stocks
Last trade: 8 days ago
Trading style: Equity Trend-following

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 $595.00 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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
128.3%
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.

(19.2%)
Max Drawdown
1969
Num Trades
46.2%
Win Trades
2.3 : 1
Profit Factor
69.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                        +6.4%+2.4%+53.9%+14.4%+91.8%
2021+20.6%+8.7%(0.9%)(8.3%)+1.4%(0.5%)(7.4%)+5.9%+2.3%                  +20.6%

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 3,241 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
9/10/21 15:30 FTC FIRST TRUST LARGE CAP GR OPP A LONG 427 117.45 9/10 15:30 117.39 0%
Trade id #137329869
Max drawdown($26)
Time9/10/21 15:30
Quant open427
Worst price117.39
Drawdown as % of equity-0.00%
($35)
Includes Typical Broker Commissions trade costs of $8.54
9/9/21 9:30 FTC FIRST TRUST LARGE CAP GR OPP A LONG 477 118.21 9/10 15:27 117.49 0.06%
Trade id #137302041
Max drawdown($343)
Time9/10/21 15:27
Quant open477
Worst price117.49
Drawdown as % of equity-0.06%
($352)
Includes Typical Broker Commissions trade costs of $9.54
9/9/21 9:30 XSD SPDR S&P SEMICONDUCTOR LONG 278 202.60 9/10 15:26 204.66 n/a $568
Includes Typical Broker Commissions trade costs of $5.56
9/1/21 9:30 GS GOLDMAN SACHS GROUP LONG 12 413.16 9/8 15:50 404.93 0.02%
Trade id #137207161
Max drawdown($101)
Time9/8/21 15:48
Quant open12
Worst price404.70
Drawdown as % of equity-0.02%
($99)
Includes Typical Broker Commissions trade costs of $0.24
8/19/21 14:34 NKE NIKE LONG 12 164.64 9/8 15:50 160.43 0.01%
Trade id #137043567
Max drawdown($58)
Time9/8/21 10:56
Quant open12
Worst price159.75
Drawdown as % of equity-0.01%
($50)
Includes Typical Broker Commissions trade costs of $0.24
8/18/21 9:31 SCHW CHARLES SCHWAB LONG 76 72.25 9/8 15:49 71.53 0.03%
Trade id #137015154
Max drawdown($160)
Time8/19/21 0:00
Quant open76
Worst price70.14
Drawdown as % of equity-0.03%
($57)
Includes Typical Broker Commissions trade costs of $1.52
8/9/21 9:30 BEAM BEAM THERAPEUTICS INC. LONG 12 109.22 9/8 15:49 105.29 0.03%
Trade id #136880781
Max drawdown($179)
Time8/16/21 0:00
Quant open12
Worst price94.28
Drawdown as % of equity-0.03%
($47)
Includes Typical Broker Commissions trade costs of $0.24
8/30/21 9:30 JBHT J.B. HUNT TRANSPORT LONG 28 179.41 9/8 15:49 177.81 0.02%
Trade id #137171822
Max drawdown($127)
Time9/1/21 0:00
Quant open28
Worst price174.84
Drawdown as % of equity-0.02%
($46)
Includes Typical Broker Commissions trade costs of $0.56
8/11/21 9:30 CDR CEDAR REALTY TRUST LONG 74 17.58 9/8 15:49 16.97 0.02%
Trade id #136916673
Max drawdown($85)
Time8/19/21 0:00
Quant open74
Worst price16.43
Drawdown as % of equity-0.02%
($46)
Includes Typical Broker Commissions trade costs of $1.48
8/11/21 9:30 CVLY CODORUS VALLEY BANCORP LONG 59 22.65 9/8 15:48 22.02 0.01%
Trade id #136916655
Max drawdown($46)
Time8/24/21 0:00
Quant open59
Worst price21.86
Drawdown as % of equity-0.01%
($38)
Includes Typical Broker Commissions trade costs of $1.18
8/3/21 9:30 AMRK A-MARK PRECIOUS METALS INC. C LONG 25 50.66 9/8 15:48 49.28 0.03%
Trade id #136799913
Max drawdown($141)
Time8/19/21 0:00
Quant open25
Worst price45.00
Drawdown as % of equity-0.03%
($35)
Includes Typical Broker Commissions trade costs of $0.50
8/30/21 9:30 MSFT MICROSOFT LONG 17 301.07 9/8 15:48 299.11 0.01%
Trade id #137171520
Max drawdown($61)
Time9/8/21 10:54
Quant open17
Worst price297.46
Drawdown as % of equity-0.01%
($33)
Includes Typical Broker Commissions trade costs of $0.34
9/1/21 9:30 IPG INTERPUBLIC GROUP OF COS LONG 134 37.22 9/8 15:47 37.09 0.01%
Trade id #137207106
Max drawdown($72)
Time9/8/21 10:42
Quant open134
Worst price36.68
Drawdown as % of equity-0.01%
($21)
Includes Typical Broker Commissions trade costs of $2.68
8/31/21 9:30 CSCO CISCO SYSTEMS LONG 50 59.10 9/8 15:47 58.68 0.01%
Trade id #137190242
Max drawdown($30)
Time9/8/21 11:51
Quant open50
Worst price58.49
Drawdown as % of equity-0.01%
($22)
Includes Typical Broker Commissions trade costs of $1.00
8/24/21 9:30 DVA DAVITA INC LONG 38 132.64 9/8 15:47 129.37 0.03%
Trade id #137094599
Max drawdown($173)
Time9/1/21 0:00
Quant open38
Worst price128.08
Drawdown as % of equity-0.03%
($125)
Includes Typical Broker Commissions trade costs of $0.76
8/31/21 9:30 MS MORGAN STANLEY LONG 30 104.32 9/8 15:47 103.71 0.01%
Trade id #137190297
Max drawdown($37)
Time9/8/21 10:55
Quant open30
Worst price103.07
Drawdown as % of equity-0.01%
($19)
Includes Typical Broker Commissions trade costs of $0.60
8/9/21 15:25 HASI HANNON ARMSTRONG SUSTAINANBLE LONG 22 58.43 9/8 15:47 57.96 0.02%
Trade id #136889908
Max drawdown($80)
Time8/19/21 0:00
Quant open22
Worst price54.77
Drawdown as % of equity-0.02%
($10)
Includes Typical Broker Commissions trade costs of $0.44
9/2/21 9:30 AIG AMERICAN INTERNATIONAL LONG 92 54.77 9/8 15:46 54.87 0.01%
Trade id #137223034
Max drawdown($43)
Time9/8/21 9:32
Quant open92
Worst price54.30
Drawdown as % of equity-0.01%
$7
Includes Typical Broker Commissions trade costs of $1.84
8/19/21 10:28 PRU PRUDENTIAL FINANCIAL LONG 96 104.29 9/8 15:46 104.53 0.02%
Trade id #137037210
Max drawdown($131)
Time8/19/21 14:32
Quant open96
Worst price102.92
Drawdown as % of equity-0.02%
$22
Includes Typical Broker Commissions trade costs of $1.92
8/16/21 9:31 EXPD EXPEDITORS INTERNATIONAL LONG 89 123.48 9/8 15:46 123.81 0.05%
Trade id #136977965
Max drawdown($268)
Time8/19/21 0:00
Quant open89
Worst price120.46
Drawdown as % of equity-0.05%
$27
Includes Typical Broker Commissions trade costs of $1.78
8/12/21 9:30 CRT CROSS TIMBERS ROYALTY LONG 108 12.06 9/8 15:46 12.30 0.02%
Trade id #136934864
Max drawdown($82)
Time8/19/21 0:00
Quant open108
Worst price11.30
Drawdown as % of equity-0.02%
$24
Includes Typical Broker Commissions trade costs of $2.16
8/18/21 9:30 AMP AMERIPRISE FINANCIAL LONG 21 267.44 9/8 14:38 269.05 0.03%
Trade id #137015141
Max drawdown($184)
Time8/19/21 0:00
Quant open21
Worst price258.67
Drawdown as % of equity-0.03%
$34
Includes Typical Broker Commissions trade costs of $0.42
7/20/21 9:30 AXON AXON ENTERPRISE INC LONG 8 176.70 9/8 14:38 183.20 0.01%
Trade id #136585751
Max drawdown($31)
Time7/20/21 10:06
Quant open8
Worst price172.75
Drawdown as % of equity-0.01%
$52
Includes Typical Broker Commissions trade costs of $0.16
8/24/21 9:30 LH LABORATORY CORPORATION LONG 17 303.30 9/8 14:38 306.15 0.02%
Trade id #137094496
Max drawdown($92)
Time9/7/21 0:00
Quant open17
Worst price297.84
Drawdown as % of equity-0.02%
$48
Includes Typical Broker Commissions trade costs of $0.34
9/3/21 9:30 GOOG ALPHABET INC CLASS C LONG 4 2882.92 9/8 14:38 2896.27 0.01%
Trade id #137238633
Max drawdown($51)
Time9/3/21 9:37
Quant open4
Worst price2870.10
Drawdown as % of equity-0.01%
$53
Includes Typical Broker Commissions trade costs of $0.08
8/24/21 9:30 ZTS ZOETIS INC LONG 24 206.09 9/8 14:38 208.77 0.01%
Trade id #137094621
Max drawdown($74)
Time8/25/21 0:00
Quant open24
Worst price202.98
Drawdown as % of equity-0.01%
$64
Includes Typical Broker Commissions trade costs of $0.48
7/20/21 9:30 WING WINGSTOP INC. COMMON STOCK LONG 8 156.30 9/8 14:37 176.11 0.01%
Trade id #136585759
Max drawdown($30)
Time7/28/21 0:00
Quant open8
Worst price152.47
Drawdown as % of equity-0.01%
$158
Includes Typical Broker Commissions trade costs of $0.16
8/30/21 9:31 TW TRADEWEB MARKETS INC. CLASS A COMMON STOCK LONG 56 89.31 9/8 14:37 87.56 0.04%
Trade id #137171865
Max drawdown($218)
Time9/8/21 9:36
Quant open56
Worst price85.40
Drawdown as % of equity-0.04%
($99)
Includes Typical Broker Commissions trade costs of $1.12
8/13/21 9:30 X UNITED STATES STEEL LONG 46 28.10 9/8 12:03 25.39 0.02%
Trade id #136952426
Max drawdown($131)
Time9/8/21 10:55
Quant open46
Worst price25.25
Drawdown as % of equity-0.02%
($126)
Includes Typical Broker Commissions trade costs of $0.92
8/31/21 9:30 NDAQ NASDAQ INC COMMON STOCK LONG 15 194.65 9/8 12:02 198.12 0%
Trade id #137190259
Max drawdown($10)
Time8/31/21 9:37
Quant open15
Worst price193.97
Drawdown as % of equity-0.00%
$52
Includes Typical Broker Commissions trade costs of $0.30

Statistics

  • Strategy began
    9/16/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    367.16
  • Age
    12 months ago
  • What it trades
    Stocks
  • # Trades
    1969
  • # Profitable
    910
  • % Profitable
    46.20%
  • Avg trade duration
    25.2 days
  • Max peak-to-valley drawdown
    19.24%
  • drawdown period
    Feb 17, 2021 - Aug 18, 2021
  • Annual Return (Compounded)
    128.3%
  • Avg win
    $663.91
  • Avg loss
    $247.98
  • Model Account Values (Raw)
  • Cash
    $746,784
  • Margin Used
    $455,582
  • Buying Power
    $290,102
  • Ratios
  • W:L ratio
    2.32:1
  • Sharpe Ratio
    3.03
  • Sortino Ratio
    6.52
  • Calmar Ratio
    7.853
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    100.31%
  • Correlation to SP500
    0.31890
  • Return Percent SP500 (cumu) during strategy life
    30.94%
  • Return Statistics
  • Ann Return (w trading costs)
    128.3%
  • Slump
  • Current Slump as Pcnt Equity
    13.00%
  • Instruments
  • Percent Trades Futures
    0.01%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.58%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.283%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.99%
  • Percent Trades Forex
    0.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    135.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.00%
  • Chance of 20% account loss
    n/a
  • 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)
    851
  • Popularity (Last 6 weeks)
    941
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    931
  • Popularity (7 days, Percentile 1000 scale)
    851
  • 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
    $248
  • Avg Win
    $664
  • Sum Trade PL (losers)
    $262,607.000
  • AUM
  • AUM (AutoTrader num accounts)
    2
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $604,162.000
  • # Winners
    910
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    2732
  • AUM
  • AUM (AutoTrader live capital)
    674133
  • Win / Loss
  • # Losers
    1059
  • % Winners
    46.2%
  • Frequency
  • Avg Position Time (mins)
    49703.50
  • Avg Position Time (hrs)
    828.39
  • Avg Trade Length
    34.5 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.97
  • Daily leverage (max)
    4.62
  • Regression
  • Alpha
    0.19
  • Beta
    0.53
  • Treynor Index
    0.44
  • 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)
    -0.43
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    7.354
  • 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
    0.363
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.215
  • Hold-and-Hope Ratio
    0.132
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.95499
  • SD
    0.47003
  • Sharpe ratio (Glass type estimate)
    2.03178
  • Sharpe ratio (Hedges UMVUE)
    1.87481
  • df
    10.00000
  • t
    1.94528
  • p
    0.04019
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23810
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.21730
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33104
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.08067
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.28739
  • Upside Potential Ratio
    8.80761
  • Upside part of mean
    1.15421
  • Downside part of mean
    -0.19922
  • Upside SD
    0.50958
  • Downside SD
    0.13105
  • N nonnegative terms
    8.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.26393
  • Mean of criterion
    0.95499
  • SD of predictor
    0.07409
  • SD of criterion
    0.47003
  • Covariance
    0.00372
  • r
    0.10679
  • b (slope, estimate of beta)
    0.67752
  • a (intercept, estimate of alpha)
    0.77617
  • Mean Square Error
    0.24267
  • DF error
    9.00000
  • t(b)
    0.32222
  • p(b)
    0.37732
  • t(a)
    1.02561
  • p(a)
    0.16592
  • Lowerbound of 95% confidence interval for beta
    -4.07907
  • Upperbound of 95% confidence interval for beta
    5.43411
  • Lowerbound of 95% confidence interval for alpha
    -0.93580
  • Upperbound of 95% confidence interval for alpha
    2.48814
  • Treynor index (mean / b)
    1.40953
  • Jensen alpha (a)
    0.77617
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.83187
  • SD
    0.43139
  • Sharpe ratio (Glass type estimate)
    1.92834
  • Sharpe ratio (Hedges UMVUE)
    1.77937
  • df
    10.00000
  • t
    1.84624
  • p
    0.04731
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32279
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.09813
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41125
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.96999
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.05080
  • Upside Potential Ratio
    7.56297
  • Upside part of mean
    1.03977
  • Downside part of mean
    -0.20790
  • Upside SD
    0.45601
  • Downside SD
    0.13748
  • N nonnegative terms
    8.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.25809
  • Mean of criterion
    0.83187
  • SD of predictor
    0.07238
  • SD of criterion
    0.43139
  • Covariance
    0.00276
  • r
    0.08837
  • b (slope, estimate of beta)
    0.52669
  • a (intercept, estimate of alpha)
    0.69594
  • Mean Square Error
    0.20516
  • DF error
    9.00000
  • t(b)
    0.26616
  • p(b)
    0.39805
  • t(a)
    0.99967
  • p(a)
    0.17179
  • Lowerbound of 95% confidence interval for beta
    -3.94968
  • Upperbound of 95% confidence interval for beta
    5.00306
  • Lowerbound of 95% confidence interval for alpha
    -0.87890
  • Upperbound of 95% confidence interval for alpha
    2.27077
  • Treynor index (mean / b)
    1.57944
  • Jensen alpha (a)
    0.69594
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12673
  • Expected Shortfall on VaR
    0.17015
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02451
  • Expected Shortfall on VaR
    0.05618
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.89390
  • Quartile 1
    0.99635
  • Median
    1.00334
  • Quartile 3
    1.19179
  • Maximum
    1.31755
  • Mean of quarter 1
    0.94146
  • Mean of quarter 2
    1.00308
  • Mean of quarter 3
    1.17346
  • Mean of quarter 4
    1.24017
  • Inter Quartile Range
    0.19544
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -23.42410
  • VaR(95%) (moments method)
    0.03148
  • Expected Shortfall (moments method)
    0.03148
  • Extreme Value Index (regression method)
    -1.09468
  • VaR(95%) (regression method)
    0.12707
  • Expected Shortfall (regression method)
    0.13976
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.16553
  • Quartile 1
    0.16553
  • Median
    0.16553
  • Quartile 3
    0.16553
  • Maximum
    0.16553
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.30831
  • Compounded annual return (geometric extrapolation)
    1.36264
  • Calmar ratio (compounded annual return / max draw down)
    8.23189
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    8.00867
  • 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
    0.86554
  • SD
    0.22963
  • Sharpe ratio (Glass type estimate)
    3.76924
  • Sharpe ratio (Hedges UMVUE)
    3.75840
  • df
    261.00000
  • t
    3.76924
  • p
    0.00010
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.77930
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.75215
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77210
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.74471
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.13454
  • Upside Potential Ratio
    15.84030
  • Upside part of mean
    1.68546
  • Downside part of mean
    -0.81992
  • Upside SD
    0.20992
  • Downside SD
    0.10640
  • N nonnegative terms
    149.00000
  • N negative terms
    113.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    262.00000
  • Mean of predictor
    0.25151
  • Mean of criterion
    0.86554
  • SD of predictor
    0.13951
  • SD of criterion
    0.22963
  • Covariance
    0.01022
  • r
    0.31916
  • b (slope, estimate of beta)
    0.52533
  • a (intercept, estimate of alpha)
    0.73300
  • Mean Square Error
    0.04754
  • DF error
    260.00000
  • t(b)
    5.43037
  • p(b)
    0.00000
  • t(a)
    3.34290
  • p(a)
    0.00048
  • Lowerbound of 95% confidence interval for beta
    0.33484
  • Upperbound of 95% confidence interval for beta
    0.71582
  • Lowerbound of 95% confidence interval for alpha
    0.30140
  • Upperbound of 95% confidence interval for alpha
    1.16543
  • Treynor index (mean / b)
    1.64762
  • Jensen alpha (a)
    0.73341
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.83837
  • SD
    0.22604
  • Sharpe ratio (Glass type estimate)
    3.70901
  • Sharpe ratio (Hedges UMVUE)
    3.69835
  • df
    261.00000
  • t
    3.70901
  • p
    0.00013
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.71997
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.69115
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.71287
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.68382
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.80525
  • Upside Potential Ratio
    15.49130
  • Upside part of mean
    1.66393
  • Downside part of mean
    -0.82557
  • Upside SD
    0.20504
  • Downside SD
    0.10741
  • N nonnegative terms
    149.00000
  • N negative terms
    113.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    262.00000
  • Mean of predictor
    0.24167
  • Mean of criterion
    0.83837
  • SD of predictor
    0.13964
  • SD of criterion
    0.22604
  • Covariance
    0.01029
  • r
    0.32594
  • b (slope, estimate of beta)
    0.52760
  • a (intercept, estimate of alpha)
    0.71086
  • Mean Square Error
    0.04584
  • DF error
    260.00000
  • t(b)
    5.55916
  • p(b)
    0.00000
  • t(a)
    3.30131
  • p(a)
    0.00055
  • Lowerbound of 95% confidence interval for beta
    0.34072
  • Upperbound of 95% confidence interval for beta
    0.71448
  • Lowerbound of 95% confidence interval for alpha
    0.28686
  • Upperbound of 95% confidence interval for alpha
    1.13487
  • Treynor index (mean / b)
    1.58902
  • Jensen alpha (a)
    0.71086
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01958
  • Expected Shortfall on VaR
    0.02527
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00654
  • Expected Shortfall on VaR
    0.01324
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    262.00000
  • Minimum
    0.96712
  • Quartile 1
    0.99620
  • Median
    1.00210
  • Quartile 3
    1.00902
  • Maximum
    1.09182
  • Mean of quarter 1
    0.98881
  • Mean of quarter 2
    0.99921
  • Mean of quarter 3
    1.00525
  • Mean of quarter 4
    1.02033
  • Inter Quartile Range
    0.01283
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.01908
  • Mean of outliers low
    0.97130
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.04198
  • Mean of outliers high
    1.04727
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.21875
  • VaR(95%) (moments method)
    0.00977
  • Expected Shortfall (moments method)
    0.01231
  • Extreme Value Index (regression method)
    -0.44334
  • VaR(95%) (regression method)
    0.00962
  • Expected Shortfall (regression method)
    0.01133
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00016
  • Quartile 1
    0.00589
  • Median
    0.01100
  • Quartile 3
    0.01692
  • Maximum
    0.17547
  • Mean of quarter 1
    0.00313
  • Mean of quarter 2
    0.00838
  • Mean of quarter 3
    0.01365
  • Mean of quarter 4
    0.08114
  • Inter Quartile Range
    0.01103
  • 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
    0.14286
  • Mean of outliers high
    0.13817
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.19145
  • VaR(95%) (moments method)
    0.05836
  • Expected Shortfall (moments method)
    0.07877
  • Extreme Value Index (regression method)
    0.42162
  • VaR(95%) (regression method)
    0.14731
  • Expected Shortfall (regression method)
    0.33415
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.37803
  • Compounded annual return (geometric extrapolation)
    1.37803
  • Calmar ratio (compounded annual return / max draw down)
    7.85332
  • Compounded annual return / average of 25% largest draw downs
    16.98340
  • Compounded annual return / Expected Shortfall lognormal
    54.53940
  • 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
    -0.21822
  • SD
    0.13150
  • Sharpe ratio (Glass type estimate)
    -1.65949
  • Sharpe ratio (Hedges UMVUE)
    -1.64989
  • df
    130.00000
  • t
    -1.17343
  • p
    0.55119
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.43548
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.12280
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.42895
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.12916
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.16161
  • Upside Potential Ratio
    6.76351
  • Upside part of mean
    0.68279
  • Downside part of mean
    -0.90101
  • Upside SD
    0.08456
  • Downside SD
    0.10095
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22602
  • Mean of criterion
    -0.21822
  • SD of predictor
    0.10557
  • SD of criterion
    0.13150
  • Covariance
    0.00462
  • r
    0.33273
  • b (slope, estimate of beta)
    0.41446
  • a (intercept, estimate of alpha)
    -0.31189
  • Mean Square Error
    0.01550
  • DF error
    129.00000
  • t(b)
    4.00742
  • p(b)
    0.29215
  • t(a)
    -1.75623
  • p(a)
    0.59690
  • Lowerbound of 95% confidence interval for beta
    0.20983
  • Upperbound of 95% confidence interval for beta
    0.61908
  • Lowerbound of 95% confidence interval for alpha
    -0.66327
  • Upperbound of 95% confidence interval for alpha
    0.03948
  • Treynor index (mean / b)
    -0.52652
  • Jensen alpha (a)
    -0.31189
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.22688
  • SD
    0.13162
  • Sharpe ratio (Glass type estimate)
    -1.72382
  • Sharpe ratio (Hedges UMVUE)
    -1.71385
  • df
    130.00000
  • t
    -1.21892
  • p
    0.55315
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.50027
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.05916
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.49348
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.06577
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.23013
  • Upside Potential Ratio
    6.67601
  • Upside part of mean
    0.67918
  • Downside part of mean
    -0.90606
  • Upside SD
    0.08389
  • Downside SD
    0.10174
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22038
  • Mean of criterion
    -0.22688
  • SD of predictor
    0.10552
  • SD of criterion
    0.13162
  • Covariance
    0.00464
  • r
    0.33434
  • b (slope, estimate of beta)
    0.41700
  • a (intercept, estimate of alpha)
    -0.31878
  • Mean Square Error
    0.01551
  • DF error
    129.00000
  • t(b)
    4.02919
  • p(b)
    0.29119
  • t(a)
    -1.79522
  • p(a)
    0.59898
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    0.21223
  • Upperbound of 95% confidence interval for beta
    0.62177
  • Lowerbound of 95% confidence interval for alpha
    -0.67010
  • Upperbound of 95% confidence interval for alpha
    0.03255
  • Treynor index (mean / b)
    -0.54408
  • Jensen alpha (a)
    -0.31878
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01414
  • Expected Shortfall on VaR
    0.01748
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00846
  • Expected Shortfall on VaR
    0.01521
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97022
  • Quartile 1
    0.99465
  • Median
    0.99926
  • Quartile 3
    1.00411
  • Maximum
    1.03085
  • Mean of quarter 1
    0.98919
  • Mean of quarter 2
    0.99743
  • Mean of quarter 3
    1.00160
  • Mean of quarter 4
    1.00895
  • Inter Quartile Range
    0.00946
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.97022
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.03085
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07329
  • VaR(95%) (moments method)
    0.01098
  • Expected Shortfall (moments method)
    0.01501
  • Extreme Value Index (regression method)
    -0.23062
  • VaR(95%) (regression method)
    0.00942
  • Expected Shortfall (regression method)
    0.01110
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00368
  • Quartile 1
    0.04652
  • Median
    0.08935
  • Quartile 3
    0.13219
  • Maximum
    0.17502
  • Mean of quarter 1
    0.00368
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.17502
  • Inter Quartile Range
    0.08567
  • 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?
    -306438000
  • Max Equity Drawdown (num days)
    182
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.18940
  • Compounded annual return (geometric extrapolation)
    -0.18043
  • Calmar ratio (compounded annual return / max draw down)
    -1.03089
  • Compounded annual return / average of 25% largest draw downs
    -1.03089
  • Compounded annual return / Expected Shortfall lognormal
    -10.32250

Strategy Description

Summary Statistics

Strategy began
2020-09-16
Suggested Minimum Capital
$100,000
Rank at C2 %
Top 6.9%
Rank # 
#52
# Trades
1969
# Profitable
910
% Profitable
46.2%
Net Dividends
Correlation S&P500
0.319
Sharpe Ratio
3.03
Sortino Ratio
6.52
Beta
0.53
Alpha
0.19
Leverage
0.97 Average
4.62 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.