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These are hypothetical performance results that have certain inherent limitations. Learn more

ACT Range
(139174389)

Created by: Solvo Solvo
Started: 01/2022
Stocks
Last trade: Yesterday
Trading style: Equity Trend-following Momentum

Subscriptions not available

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

Subscription terms. 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
Trend-following
Category: Equity

Trend-following

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

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
19.0%
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.

(20.5%)
Max Drawdown
844
Num Trades
81.4%
Win Trades
1.2 : 1
Profit Factor
42.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022+2.2%+30.5%(6.1%)+7.6%(6%)(5.7%)(0.3%)                              +19.0%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 2,279 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
7/1/22 11:24 UPST UPSTART HOLDINGS INC. COMMON STOCK SHORT 200 32.38 7/1 15:56 32.88 n/a ($103)
Includes Typical Broker Commissions trade costs of $4.00
7/1/22 9:36 UPST UPSTART HOLDINGS INC. COMMON STOCK SHORT 200 32.16 7/1 11:08 32.04 n/a $20
Includes Typical Broker Commissions trade costs of $4.00
7/1/22 10:23 TSLA TESLA INC. SHORT 20 676.02 7/1 10:34 670.66 n/a $107
Includes Typical Broker Commissions trade costs of $0.40
6/29/22 15:09 TSLA TESLA INC. LONG 130 684.59 6/29 15:27 685.12 0.46%
Trade id #140906448
Max drawdown($193)
Time6/29/22 15:15
Quant open100
Worst price682.93
Drawdown as % of equity-0.46%
$66
Includes Typical Broker Commissions trade costs of $2.60
6/29/22 14:46 NVDA NVIDIA SHORT 400 153.61 6/29 15:06 154.47 0.81%
Trade id #140906204
Max drawdown($343)
Time6/29/22 15:06
Quant open400
Worst price154.47
Drawdown as % of equity-0.81%
($350)
Includes Typical Broker Commissions trade costs of $8.00
6/29/22 13:45 NVDA NVIDIA LONG 400 154.12 6/29 14:44 153.49 0.69%
Trade id #140905666
Max drawdown($291)
Time6/29/22 14:44
Quant open400
Worst price153.39
Drawdown as % of equity-0.69%
($258)
Includes Typical Broker Commissions trade costs of $8.00
6/29/22 13:32 TSLA TESLA INC. SHORT 100 674.89 6/29 13:40 677.84 0.91%
Trade id #140905500
Max drawdown($389)
Time6/29/22 13:40
Quant open100
Worst price678.79
Drawdown as % of equity-0.91%
($296)
Includes Typical Broker Commissions trade costs of $2.00
6/29/22 13:16 NVDA NVIDIA LONG 150 153.72 6/29 13:24 153.39 0.14%
Trade id #140905269
Max drawdown($59)
Time6/29/22 13:24
Quant open150
Worst price153.33
Drawdown as % of equity-0.14%
($54)
Includes Typical Broker Commissions trade costs of $3.00
6/29/22 12:33 NVDA NVIDIA SHORT 300 153.10 6/29 13:10 154.67 1.12%
Trade id #140904739
Max drawdown($483)
Time6/29/22 13:10
Quant open300
Worst price154.71
Drawdown as % of equity-1.12%
($477)
Includes Typical Broker Commissions trade costs of $6.00
6/29/22 12:18 NVDA NVIDIA SHORT 200 153.96 6/29 12:28 153.18 0.13%
Trade id #140904452
Max drawdown($55)
Time6/29/22 12:21
Quant open200
Worst price154.23
Drawdown as % of equity-0.13%
$152
Includes Typical Broker Commissions trade costs of $4.00
6/29/22 11:00 UPST UPSTART HOLDINGS INC. COMMON STOCK SHORT 100 32.46 6/29 12:10 32.32 0.06%
Trade id #140902818
Max drawdown($24)
Time6/29/22 11:53
Quant open100
Worst price32.70
Drawdown as % of equity-0.06%
$12
Includes Typical Broker Commissions trade costs of $2.00
6/29/22 9:56 UPST UPSTART HOLDINGS INC. COMMON STOCK SHORT 150 33.16 6/29 10:19 32.11 0.12%
Trade id #140901344
Max drawdown($49)
Time6/29/22 10:04
Quant open150
Worst price33.49
Drawdown as % of equity-0.12%
$154
Includes Typical Broker Commissions trade costs of $3.00
6/29/22 9:31 UPST UPSTART HOLDINGS INC. COMMON STOCK LONG 400 32.77 6/29 9:51 33.17 0.41%
Trade id #140900435
Max drawdown($174)
Time6/29/22 9:40
Quant open300
Worst price32.26
Drawdown as % of equity-0.41%
$152
Includes Typical Broker Commissions trade costs of $8.00
6/28/22 14:49 TSLA TESLA INC. SHORT 20 703.55 6/28 14:58 701.00 0.02%
Trade id #140892985
Max drawdown($7)
Time6/28/22 14:53
Quant open20
Worst price703.90
Drawdown as % of equity-0.02%
$51
Includes Typical Broker Commissions trade costs of $0.40
6/28/22 14:25 TSLA TESLA INC. SHORT 20 702.09 6/28 14:40 700.30 0.04%
Trade id #140892612
Max drawdown($16)
Time6/28/22 14:29
Quant open20
Worst price702.91
Drawdown as % of equity-0.04%
$36
Includes Typical Broker Commissions trade costs of $0.40
6/28/22 13:11 NVDA NVIDIA SHORT 200 160.71 6/28 14:14 160.30 0.43%
Trade id #140891400
Max drawdown($181)
Time6/28/22 14:02
Quant open200
Worst price161.62
Drawdown as % of equity-0.43%
$79
Includes Typical Broker Commissions trade costs of $4.00
6/28/22 12:17 TSLA TESLA INC. SHORT 40 707.69 6/28 13:07 705.50 0.36%
Trade id #140890261
Max drawdown($151)
Time6/28/22 12:45
Quant open40
Worst price711.47
Drawdown as % of equity-0.36%
$87
Includes Typical Broker Commissions trade costs of $0.80
6/28/22 12:14 NVDA NVIDIA SHORT 200 161.43 6/28 13:07 161.00 0.42%
Trade id #140890212
Max drawdown($179)
Time6/28/22 12:46
Quant open200
Worst price162.33
Drawdown as % of equity-0.42%
$82
Includes Typical Broker Commissions trade costs of $4.00
6/28/22 11:48 NVDA NVIDIA SHORT 100 161.73 6/28 12:12 161.20 0.05%
Trade id #140889716
Max drawdown($19)
Time6/28/22 11:52
Quant open100
Worst price161.92
Drawdown as % of equity-0.05%
$51
Includes Typical Broker Commissions trade costs of $2.00
6/28/22 11:50 NKE NIKE SHORT 100 104.18 6/28 12:12 104.77 0.14%
Trade id #140889774
Max drawdown($58)
Time6/28/22 12:12
Quant open100
Worst price104.77
Drawdown as % of equity-0.14%
($61)
Includes Typical Broker Commissions trade costs of $2.00
6/28/22 11:50 DIS WALT DISNEY SHORT 100 97.98 6/28 12:12 97.59 0.01%
Trade id #140889758
Max drawdown($3)
Time6/28/22 11:53
Quant open100
Worst price98.02
Drawdown as % of equity-0.01%
$38
Includes Typical Broker Commissions trade costs of $2.00
6/28/22 11:41 WYNN WYNN RESORTS SHORT 250 60.79 6/28 12:11 60.71 0.12%
Trade id #140888885
Max drawdown($49)
Time6/28/22 11:47
Quant open250
Worst price60.99
Drawdown as % of equity-0.12%
$17
Includes Typical Broker Commissions trade costs of $5.00
6/28/22 11:36 TSLA TESLA INC. SHORT 25 715.51 6/28 11:40 713.00 n/a $63
Includes Typical Broker Commissions trade costs of $0.50
6/28/22 10:13 WYNN WYNN RESORTS LONG 300 62.16 6/28 10:30 62.18 0.12%
Trade id #140886849
Max drawdown($51)
Time6/28/22 10:21
Quant open300
Worst price61.99
Drawdown as % of equity-0.12%
($1)
Includes Typical Broker Commissions trade costs of $6.00
6/28/22 10:05 TSLA TESLA INC. SHORT 50 738.23 6/28 10:21 734.00 0.33%
Trade id #140886542
Max drawdown($138)
Time6/28/22 10:12
Quant open50
Worst price740.99
Drawdown as % of equity-0.33%
$210
Includes Typical Broker Commissions trade costs of $1.00
6/28/22 10:07 WYNN WYNN RESORTS SHORT 200 61.07 6/28 10:12 62.17 0.52%
Trade id #140886629
Max drawdown($221)
Time6/28/22 10:12
Quant open200
Worst price62.18
Drawdown as % of equity-0.52%
($225)
Includes Typical Broker Commissions trade costs of $4.00
6/28/22 9:42 WYNN WYNN RESORTS LONG 150 62.34 6/28 10:03 61.35 0.37%
Trade id #140885761
Max drawdown($155)
Time6/28/22 10:03
Quant open150
Worst price61.30
Drawdown as % of equity-0.37%
($151)
Includes Typical Broker Commissions trade costs of $3.00
6/28/22 9:56 TSLA TESLA INC. LONG 30 744.33 6/28 10:03 740.95 0.31%
Trade id #140886217
Max drawdown($129)
Time6/28/22 10:03
Quant open30
Worst price740.01
Drawdown as % of equity-0.31%
($102)
Includes Typical Broker Commissions trade costs of $0.60
6/28/22 9:42 TSLA TESLA INC. LONG 30 744.67 6/28 9:50 748.80 0.32%
Trade id #140885743
Max drawdown($135)
Time6/28/22 9:45
Quant open30
Worst price740.17
Drawdown as % of equity-0.32%
$123
Includes Typical Broker Commissions trade costs of $0.60
6/28/22 9:34 TCOM TRIP.COM GROUP LTD ADS LONG 100 26.97 6/28 9:40 27.81 n/a $82
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    1/31/2022
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    151.5
  • Age
    152 days ago
  • What it trades
    Stocks
  • # Trades
    844
  • # Profitable
    687
  • % Profitable
    81.40%
  • Avg trade duration
    0.0 minutes
  • Max peak-to-valley drawdown
    20.48%
  • drawdown period
    Feb 23, 2022 - June 16, 2022
  • Cumul. Return
    19.0%
  • Avg win
    $107.10
  • Avg loss
    $405.80
  • Model Account Values (Raw)
  • Cash
    $44,853
  • Margin Used
    $0
  • Buying Power
    $44,853
  • Ratios
  • W:L ratio
    1.15:1
  • Sharpe Ratio
    1.17
  • Sortino Ratio
    1.77
  • Calmar Ratio
    5.444
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    34.32%
  • Correlation to SP500
    -0.05980
  • Return Percent SP500 (cumu) during strategy life
    -15.29%
  • Return Statistics
  • Ann Return (w trading costs)
    50.9%
  • Slump
  • Current Slump as Pcnt Equity
    17.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.85%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.190%
  • Instruments
  • Percent Trades Options
    0.02%
  • Percent Trades Stocks
    0.98%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    81.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    29.00%
  • Chance of 20% account loss
    4.50%
  • 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)
    880
  • Popularity (Last 6 weeks)
    977
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    239
  • Popularity (7 days, Percentile 1000 scale)
    960
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $406
  • Avg Win
    $107
  • Sum Trade PL (losers)
    $63,711.000
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $73,577.000
  • # Winners
    687
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    311391
  • Win / Loss
  • # Losers
    157
  • % Winners
    81.4%
  • Frequency
  • Avg Position Time (mins)
    -32531.00
  • Avg Position Time (hrs)
    -542.18
  • Avg Trade Length
    -22.6 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.91
  • Daily leverage (max)
    15.95
  • Regression
  • Alpha
    0.11
  • Beta
    -0.07
  • Treynor Index
    -1.68
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.02
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -12.605
  • 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
    1.367
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.122
  • Hold-and-Hope Ratio
    -0.079
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.90602
  • SD
    0.49175
  • Sharpe ratio (Glass type estimate)
    1.84244
  • Sharpe ratio (Hedges UMVUE)
    1.33319
  • df
    3.00000
  • t
    1.06373
  • p
    0.18274
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.95208
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.39550
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.22522
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.89161
  • Statistics related to Sortino ratio
  • Sortino ratio
    33.69030
  • Upside Potential Ratio
    35.42230
  • Upside part of mean
    0.95259
  • Downside part of mean
    -0.04658
  • Upside SD
    0.49904
  • Downside SD
    0.02689
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.30246
  • Mean of criterion
    0.90602
  • SD of predictor
    0.16729
  • SD of criterion
    0.49175
  • Covariance
    -0.01113
  • r
    -0.13535
  • b (slope, estimate of beta)
    -0.39787
  • a (intercept, estimate of alpha)
    0.78567
  • Mean Square Error
    0.35608
  • DF error
    2.00000
  • t(b)
    -0.19320
  • p(b)
    0.56768
  • t(a)
    0.65107
  • p(a)
    0.29091
  • Lowerbound of 95% confidence interval for beta
    -9.25872
  • Upperbound of 95% confidence interval for beta
    8.46298
  • Lowerbound of 95% confidence interval for alpha
    -4.40652
  • Upperbound of 95% confidence interval for alpha
    5.97787
  • Treynor index (mean / b)
    -2.27717
  • Jensen alpha (a)
    0.78567
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.79899
  • SD
    0.43145
  • Sharpe ratio (Glass type estimate)
    1.85188
  • Sharpe ratio (Hedges UMVUE)
    1.34002
  • df
    3.00000
  • t
    1.06918
  • p
    0.18169
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.94573
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.40726
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.22004
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.90008
  • Statistics related to Sortino ratio
  • Sortino ratio
    29.54840
  • Upside Potential Ratio
    31.28050
  • Upside part of mean
    0.84582
  • Downside part of mean
    -0.04683
  • Upside SD
    0.43827
  • Downside SD
    0.02704
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.31663
  • Mean of criterion
    0.79899
  • SD of predictor
    0.17137
  • SD of criterion
    0.43145
  • Covariance
    -0.00957
  • r
    -0.12945
  • b (slope, estimate of beta)
    -0.32591
  • a (intercept, estimate of alpha)
    0.69580
  • Mean Square Error
    0.27454
  • DF error
    2.00000
  • t(b)
    -0.18463
  • p(b)
    0.56473
  • t(a)
    0.65282
  • p(a)
    0.29044
  • Lowerbound of 95% confidence interval for beta
    -7.92101
  • Upperbound of 95% confidence interval for beta
    7.26919
  • Lowerbound of 95% confidence interval for alpha
    -3.89012
  • Upperbound of 95% confidence interval for alpha
    5.28172
  • Treynor index (mean / b)
    -2.45156
  • Jensen alpha (a)
    0.69580
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12915
  • Expected Shortfall on VaR
    0.17244
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00551
  • Expected Shortfall on VaR
    0.01215
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.98680
  • Quartile 1
    1.00299
  • Median
    1.01758
  • Quartile 3
    1.09242
  • Maximum
    1.28935
  • Mean of quarter 1
    0.98680
  • Mean of quarter 2
    1.00839
  • Mean of quarter 3
    1.02678
  • Mean of quarter 4
    1.28935
  • Inter Quartile Range
    0.08943
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    1.28935
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.01320
  • Quartile 1
    0.01320
  • Median
    0.01320
  • Quartile 3
    0.01320
  • Maximum
    0.01320
  • 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)
    0.95209
  • Compounded annual return (geometric extrapolation)
    1.28621
  • Calmar ratio (compounded annual return / max draw down)
    97.45420
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    7.45876
  • 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
    0.58482
  • SD
    0.29726
  • Sharpe ratio (Glass type estimate)
    1.96735
  • Sharpe ratio (Hedges UMVUE)
    1.95365
  • df
    108.00000
  • t
    1.26895
  • p
    0.43940
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08708
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.01282
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.09618
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.00348
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.14502
  • Upside Potential Ratio
    10.43240
  • Upside part of mean
    1.93990
  • Downside part of mean
    -1.35508
  • Upside SD
    0.23298
  • Downside SD
    0.18595
  • N nonnegative terms
    71.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    109.00000
  • Mean of predictor
    -0.39226
  • Mean of criterion
    0.58482
  • SD of predictor
    0.26162
  • SD of criterion
    0.29726
  • Covariance
    -0.00533
  • r
    -0.06850
  • b (slope, estimate of beta)
    -0.07783
  • a (intercept, estimate of alpha)
    0.55400
  • Mean Square Error
    0.08877
  • DF error
    107.00000
  • t(b)
    -0.71019
  • p(b)
    0.54357
  • t(a)
    1.19478
  • p(a)
    0.42711
  • Lowerbound of 95% confidence interval for beta
    -0.29507
  • Upperbound of 95% confidence interval for beta
    0.13942
  • Lowerbound of 95% confidence interval for alpha
    -0.36539
  • Upperbound of 95% confidence interval for alpha
    1.47397
  • Treynor index (mean / b)
    -7.51425
  • Jensen alpha (a)
    0.55429
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54085
  • SD
    0.29501
  • Sharpe ratio (Glass type estimate)
    1.83332
  • Sharpe ratio (Hedges UMVUE)
    1.82056
  • df
    108.00000
  • t
    1.18250
  • p
    0.44347
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.21933
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.87761
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.22780
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.86893
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.85501
  • Upside Potential Ratio
    10.10100
  • Upside part of mean
    1.91350
  • Downside part of mean
    -1.37266
  • Upside SD
    0.22685
  • Downside SD
    0.18944
  • N nonnegative terms
    71.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    109.00000
  • Mean of predictor
    -0.42663
  • Mean of criterion
    0.54085
  • SD of predictor
    0.26267
  • SD of criterion
    0.29501
  • Covariance
    -0.00555
  • r
    -0.07168
  • b (slope, estimate of beta)
    -0.08050
  • a (intercept, estimate of alpha)
    0.50650
  • Mean Square Error
    0.08739
  • DF error
    107.00000
  • t(b)
    -0.74333
  • p(b)
    0.54559
  • t(a)
    1.09954
  • p(a)
    0.43283
  • Lowerbound of 95% confidence interval for beta
    -0.29519
  • Upperbound of 95% confidence interval for beta
    0.13419
  • Lowerbound of 95% confidence interval for alpha
    -0.40668
  • Upperbound of 95% confidence interval for alpha
    1.41968
  • Treynor index (mean / b)
    -6.71853
  • Jensen alpha (a)
    0.50650
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02753
  • Expected Shortfall on VaR
    0.03488
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00925
  • Expected Shortfall on VaR
    0.01992
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    109.00000
  • Minimum
    0.94061
  • Quartile 1
    0.99167
  • Median
    1.00485
  • Quartile 3
    1.01013
  • Maximum
    1.08088
  • Mean of quarter 1
    0.98107
  • Mean of quarter 2
    1.00042
  • Mean of quarter 3
    1.00759
  • Mean of quarter 4
    1.02106
  • Inter Quartile Range
    0.01846
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02752
  • Mean of outliers low
    0.95098
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01835
  • Mean of outliers high
    1.08049
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19187
  • VaR(95%) (moments method)
    0.01926
  • Expected Shortfall (moments method)
    0.02908
  • Extreme Value Index (regression method)
    0.62897
  • VaR(95%) (regression method)
    0.01623
  • Expected Shortfall (regression method)
    0.03711
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00208
  • Quartile 1
    0.06108
  • Median
    0.09615
  • Quartile 3
    0.11884
  • Maximum
    0.14072
  • Mean of quarter 1
    0.00208
  • Mean of quarter 2
    0.08075
  • Mean of quarter 3
    0.11155
  • Mean of quarter 4
    0.14072
  • Inter Quartile Range
    0.05776
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.64168
  • Compounded annual return (geometric extrapolation)
    0.76606
  • Calmar ratio (compounded annual return / max draw down)
    5.44372
  • Compounded annual return / average of 25% largest draw downs
    5.44372
  • Compounded annual return / Expected Shortfall lognormal
    21.96020
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.02800
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.75%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -290117000
  • Max Equity Drawdown (num days)
    113

Strategy Description

Trading the Open provides the highest opportunity for profits, but also comes with risk. This strategy minimizes risk and moves towards consistency.
If there is not a gap up or down prior to the opening, the strategy will wait for market sentiment and scale into and out of the trade(s) while the market is most active.
EDIT on 05/17/2022- It has come to my attention that when people subscribe that they are getting a message "Excessive Leverage", etc.
This would be applicable to the initial way I was trading which was my "Trading the Open" method. I have since went away from it due to the "Fill Price Change" I was getting from the Auto-Traders (See Below).
Unlike other traders on this platform that do great, then blow out people's accounts and disappear, then show up again under a new ID and do the same thing, I am not going to start a new program. I worked through the issues to find what was best for my subscribers and I have found while remaining profitable. Please contact me with any questions.
EDIT on 04/01/2022 – As a result of the auto-trading Fill change along with the spreads, the "Trade the Open" trade is not as profitable. I have gone away from it. I had to play with the strategy in March to tweak for the optimal trades. It appears that after the first 25-40 minutes from the open has given my strategy the best results. I expect superior results going forward.
EDIT on 04/16/2022 – Disclosures
Hello Traders,
1) My trading experience began in 2005 in the Forex market. At one point before the CFTC made managing funds harder, I had around $3.1MM under management.
2) My goal is to max out at 250-275 subscribers and continue with Collective2 since it enables me to not have to handle subscriber funds. Although I must split the subscriber fees with Collective2 50/50, I consider this a “Cost of doing business”. Additionally, it allows you the subscribers to never have to give me a portion of your profits.
3) My methodology is based on establishing a Trading “Range” with the use of “Curls” for a particular stock, with the use of Trendlines and Pivot Points for areas of either a target or support/resistance.
4) Trading is carried out both on a trend and on a reversal.
5) Be sure to set the risk limit acceptable for you in your profile.
Recommendations:
1) Do not idealize trading results. Stable results every month for a lengthy period, are unlikely to receive a plus every month, this is not a bank deposit.
2) Constantly and continuously monitor the results, it is desirable to do this several times a week, so you will be calmer.
3) There is a possibility that you may lose some or all your investments and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.

Summary Statistics

Strategy began
2022-01-31
Suggested Minimum Capital
$40,000
# Trades
844
# Profitable
687
% Profitable
81.4%
Correlation S&P500
-0.060
Sharpe Ratio
1.17
Sortino Ratio
1.77
Beta
-0.07
Alpha
0.11
Leverage
1.91 Average
15.95 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.