Collective2 Collective2
Featured Strategy Quant AI pro +16.8% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 08/03/2023
Most recent certification approved 8/3/23 9:32 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 245
# trading signals executed in manager's Israel Interactive Trading account 245
Percent signals followed since 08/03/2023 100%
This information was last updated 12/21/24 7:17 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 08/03/2023, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

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

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

OBOM1
(145401467)

Powered by BrokerTransmit.
Read important disclosures.

Created by: Obi1 Obi1
Started: 08/2023
Stocks
Last trade: 3 days ago
Trading style: Equity Trend-following Short-term Reversal

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 $28.00 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.
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
18.5%
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.

(13.2%)
Max Drawdown
118
Num Trades
69.5%
Win Trades
1.3 : 1
Profit Factor
47.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                 +1.7%(2.7%)(1.5%)+9.8%(0.7%)+6.4%
2024+10.9%+7.7%+4.2%+2.9%(4.4%)+3.8%+2.4%(0.7%)(1.5%)(0.4%)(5%)(1%)+19.3%

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 245 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/22/24 14:53 VRNS VARONIS SYSTEMS INC. COMMON S LONG 180 49.89 12/18 15:44 45.13 1.71%
Trade id #150156371
Max drawdown($876)
Time12/18/24 15:44
Quant open180
Worst price45.02
Drawdown as % of equity-1.71%
 ($861)
Includes Typical Broker Commissions trade costs of $3.60
12/6/24 14:04 NTNX NUTANIX INC. CLASS A COMMON STOCK LONG 140 67.97 12/18 15:40 63.29 1.32%
Trade id #150267860
Max drawdown($675)
Time12/18/24 15:40
Quant open140
Worst price63.15
Drawdown as % of equity-1.32%
 ($659)
Includes Typical Broker Commissions trade costs of $2.80
12/6/24 14:22 MU MICRON TECHNOLOGY LONG 90 101.05 12/18 15:39 104.02 0.66%
Trade id #150268050
Max drawdown($339)
Time12/10/24 0:00
Quant open90
Worst price97.27
Drawdown as % of equity-0.66%
 $266
Includes Typical Broker Commissions trade costs of $1.80
12/2/24 9:30 CVNA CARVANA CO SHORT 35 260.94 12/6 15:13 248.71 0.11%
Trade id #150220865
Max drawdown($58)
Time12/5/24 0:00
Quant open35
Worst price262.60
Drawdown as % of equity-0.11%
 $427
Includes Typical Broker Commissions trade costs of $0.70
12/2/24 10:01 URI UNITED RENTALS SHORT 90 860.53 12/2 10:03 859.30 n/a $108
Includes Typical Broker Commissions trade costs of $1.80
11/22/24 15:58 URI UNITED RENTALS LONG 10 849.87 12/2 10:01 860.87 n/a $110
Includes Typical Broker Commissions trade costs of $0.20
11/22/24 15:56 VEEV VEEVA SYSTEMS INC LONG 40 216.76 12/2 9:47 225.42 0.03%
Trade id #150156998
Max drawdown($15)
Time11/22/24 15:59
Quant open40
Worst price216.37
Drawdown as % of equity-0.03%
 $345
Includes Typical Broker Commissions trade costs of $0.80
8/16/24 11:06 ARWR ARROWHEAD PHARMACEUTICALS INC. LONG 300 22.58 11/15 15:55 18.59 3.19%
Trade id #148937489
Max drawdown($1,657)
Time10/10/24 0:00
Quant open300
Worst price17.05
Drawdown as % of equity-3.19%
 ($1,202)
Includes Typical Broker Commissions trade costs of $6.00
10/31/24 15:47 ALLY ALLY FINANCIAL INC LONG 260 35.20 11/15 12:31 36.05 0.48%
Trade id #149923844
Max drawdown($258)
Time11/4/24 0:00
Quant open260
Worst price34.21
Drawdown as % of equity-0.48%
 $214
Includes Typical Broker Commissions trade costs of $5.20
11/1/24 14:58 CRL CHARLES RIVER LONG 50 180.56 11/14 15:05 197.01 0.06%
Trade id #149935006
Max drawdown($31)
Time11/4/24 0:00
Quant open50
Worst price179.93
Drawdown as % of equity-0.06%
 $821
Includes Typical Broker Commissions trade costs of $1.00
10/25/24 14:58 SF STIFEL FINANCIAL SHORT 90 103.95 11/8 15:49 115.32 2.27%
Trade id #149843741
Max drawdown($1,242)
Time11/6/24 0:00
Quant open90
Worst price117.76
Drawdown as % of equity-2.27%
 ($1,025)
Includes Typical Broker Commissions trade costs of $1.80
9/27/24 15:28 BILL BILL HOLDINGS INC SHORT 180 53.44 11/8 12:12 76.35 8.39%
Trade id #149527641
Max drawdown($4,583)
Time11/8/24 9:30
Quant open180
Worst price78.90
Drawdown as % of equity-8.39%
 ($4,128)
Includes Typical Broker Commissions trade costs of $3.60
11/1/24 14:26 CHWY CHEWY INC LONG 330 27.06 11/6 15:52 29.49 0.09%
Trade id #149934752
Max drawdown($49)
Time11/1/24 15:16
Quant open330
Worst price26.91
Drawdown as % of equity-0.09%
 $795
Includes Typical Broker Commissions trade costs of $6.60
8/30/24 14:36 GNRC GENERAC HOLDINGS SHORT 60 154.99 11/1 11:11 171.07 2.44%
Trade id #149146417
Max drawdown($1,269)
Time10/17/24 0:00
Quant open60
Worst price176.14
Drawdown as % of equity-2.44%
 ($966)
Includes Typical Broker Commissions trade costs of $1.20
10/11/24 15:57 TDOC TELADOC HEALTH INC SHORT 1,000 9.22 11/1 10:46 9.24 1.34%
Trade id #149642377
Max drawdown($729)
Time10/31/24 0:00
Quant open1,000
Worst price9.95
Drawdown as % of equity-1.34%
 ($29)
Includes Typical Broker Commissions trade costs of $5.00
10/18/24 15:55 TSLA TESLA INC. LONG 40 220.59 10/24 9:30 244.85 0.63%
Trade id #149699031
Max drawdown($339)
Time10/23/24 0:00
Quant open40
Worst price212.11
Drawdown as % of equity-0.63%
 $969
Includes Typical Broker Commissions trade costs of $0.80
9/20/24 15:56 RGEN REPLIGEN LONG 65 142.76 10/17 9:30 151.11 1.18%
Trade id #149472821
Max drawdown($612)
Time10/10/24 0:00
Quant open65
Worst price133.34
Drawdown as % of equity-1.18%
 $542
Includes Typical Broker Commissions trade costs of $1.30
8/2/24 15:55 GL GLOBE LIFE INC SHORT 90 90.98 10/11 10:19 109.53 3.12%
Trade id #148812282
Max drawdown($1,686)
Time9/26/24 0:00
Quant open90
Worst price109.72
Drawdown as % of equity-3.12%
 ($1,672)
Includes Typical Broker Commissions trade costs of $1.80
9/20/24 15:59 ISRG INTUITIVE SURGICAL SHORT 20 486.01 10/4 10:01 480.02 0.39%
Trade id #149472954
Max drawdown($209)
Time10/1/24 0:00
Quant open20
Worst price496.48
Drawdown as % of equity-0.39%
 $120
Includes Typical Broker Commissions trade costs of $0.40
9/27/24 15:51 BLDR BUILDERS FIRSTSOURCE SHORT 50 194.63 10/4 9:51 191.80 0.41%
Trade id #149528034
Max drawdown($218)
Time10/4/24 9:30
Quant open50
Worst price199.00
Drawdown as % of equity-0.41%
 $140
Includes Typical Broker Commissions trade costs of $1.00
9/12/24 15:53 AMD ADVANCED MICRO DEVICES INC. C SHORT 60 150.85 9/19 12:58 158.69 0.86%
Trade id #149377746
Max drawdown($474)
Time9/19/24 12:56
Quant open60
Worst price158.77
Drawdown as % of equity-0.86%
 ($472)
Includes Typical Broker Commissions trade costs of $1.20
8/30/24 9:30 BERY BERRY GLOBAL GROUP INC SHORT 120 67.90 9/11 10:49 64.10 0.27%
Trade id #149130320
Max drawdown($146)
Time8/30/24 15:58
Quant open120
Worst price69.12
Drawdown as % of equity-0.27%
 $454
Includes Typical Broker Commissions trade costs of $2.40
8/29/24 15:53 FFIV F5 INC SHORT 40 201.48 9/4 9:56 197.94 0.15%
Trade id #149115311
Max drawdown($84)
Time8/30/24 0:00
Quant open40
Worst price203.59
Drawdown as % of equity-0.15%
 $141
Includes Typical Broker Commissions trade costs of $0.80
9/3/24 11:40 AMD ADVANCED MICRO DEVICES INC. C LONG 60 140.53 9/4 9:30 140.77 0.48%
Trade id #149215499
Max drawdown($265)
Time9/3/24 15:49
Quant open60
Worst price136.10
Drawdown as % of equity-0.48%
 $13
Includes Typical Broker Commissions trade costs of $1.20
8/14/24 15:59 HES HESS LONG 70 134.13 8/26 15:44 138.62 n/a $313
Includes Typical Broker Commissions trade costs of $1.40
8/16/24 14:45 HELE HELEN OF TROY LONG 150 51.63 8/26 9:59 53.66 0.34%
Trade id #148941278
Max drawdown($188)
Time8/20/24 0:00
Quant open150
Worst price50.37
Drawdown as % of equity-0.34%
 $302
Includes Typical Broker Commissions trade costs of $3.00
6/14/24 15:57 ISRG INTUITIVE SURGICAL SHORT 20 425.13 8/9 11:06 465.20 1.61%
Trade id #148413367
Max drawdown($873)
Time7/22/24 0:00
Quant open20
Worst price468.78
Drawdown as % of equity-1.61%
 ($801)
Includes Typical Broker Commissions trade costs of $0.40
8/6/24 15:53 FIVE FIVE BELOW INC LONG 120 66.67 8/7 10:48 66.95 0.12%
Trade id #148849313
Max drawdown($67)
Time8/6/24 15:57
Quant open120
Worst price66.10
Drawdown as % of equity-0.12%
 $33
Includes Typical Broker Commissions trade costs of $2.40
8/2/24 15:52 CHTR CHARTER COMMUNICATIONS SHORT 20 373.15 8/5 12:25 372.58 0.02%
Trade id #148812195
Max drawdown($13)
Time8/2/24 15:55
Quant open20
Worst price373.81
Drawdown as % of equity-0.02%
 $11
Includes Typical Broker Commissions trade costs of $0.40
7/26/24 15:58 TTC TORO SHORT 80 96.86 8/5 11:39 91.54 0.15%
Trade id #148754030
Max drawdown($83)
Time7/29/24 0:00
Quant open80
Worst price97.91
Drawdown as % of equity-0.15%
 $424
Includes Typical Broker Commissions trade costs of $1.60
Next

Statistics

  • Strategy began
    8/2/2023
  • Suggested Minimum Cap
    $39,999
  • Strategy Age (days)
    507.12
  • Age
    17 months ago
  • What it trades
    Stocks
  • # Trades
    118
  • # Profitable
    82
  • % Profitable
    69.50%
  • Avg trade duration
    18.0 days
  • Max peak-to-valley drawdown
    13.23%
  • drawdown period
    Sept 01, 2023 - Oct 23, 2023
  • Annual Return (Compounded)
    18.5%
  • Avg win
    $585.79
  • Avg loss
    $1,002
  • Model Account Values (Raw)
  • Cash
    $48,462
  • Margin Used
    $1,519
  • Buying Power
    $45,304
  • Ratios
  • W:L ratio
    1.34:1
  • Sharpe Ratio
    0.77
  • Sortino Ratio
    1.33
  • Calmar Ratio
    2.199
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -4.56%
  • Correlation to SP500
    0.20610
  • Return Percent SP500 (cumu) during strategy life
    31.41%
  • Return Statistics
  • Ann Return (w trading costs)
    18.5%
  • Slump
  • Current Slump as Pcnt Equity
    13.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.46%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.185%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    21.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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)
    0
  • Popularity (Last 6 weeks)
    920
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    406
  • Popularity (7 days, Percentile 1000 scale)
    755
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $1,002
  • Avg Win
    $586
  • Sum Trade PL (losers)
    $36,079.000
  • Age
  • Num Months filled monthly returns table
    17
  • Win / Loss
  • Sum Trade PL (winners)
    $48,035.000
  • # Winners
    82
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    187
  • AUM
  • AUM (AutoTrader live capital)
    271239
  • Win / Loss
  • # Losers
    36
  • % Winners
    69.5%
  • Frequency
  • Avg Position Time (mins)
    25948.20
  • Avg Position Time (hrs)
    432.47
  • Avg Trade Length
    18.0 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    0.96
  • Daily leverage (max)
    2.14
  • Regression
  • Alpha
    0.03
  • Beta
    0.30
  • Treynor Index
    0.16
  • 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)
    0.36
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    5.439
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.454
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.345
  • Hold-and-Hope Ratio
    0.196
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26749
  • SD
    0.21132
  • Sharpe ratio (Glass type estimate)
    1.26578
  • Sharpe ratio (Hedges UMVUE)
    1.17713
  • df
    11.00000
  • t
    1.26578
  • p
    0.11587
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78912
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.26776
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84361
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.19787
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.35326
  • Upside Potential Ratio
    4.86177
  • Upside part of mean
    0.38782
  • Downside part of mean
    -0.12033
  • Upside SD
    0.20133
  • Downside SD
    0.07977
  • N nonnegative terms
    9.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.28014
  • Mean of criterion
    0.26749
  • SD of predictor
    0.19350
  • SD of criterion
    0.21132
  • Covariance
    0.02582
  • r
    0.63149
  • b (slope, estimate of beta)
    0.68964
  • a (intercept, estimate of alpha)
    0.07430
  • Mean Square Error
    0.02953
  • DF error
    10.00000
  • t(b)
    2.57542
  • p(b)
    0.01382
  • t(a)
    0.39622
  • p(a)
    0.35013
  • Lowerbound of 95% confidence interval for beta
    0.09299
  • Upperbound of 95% confidence interval for beta
    1.28628
  • Lowerbound of 95% confidence interval for alpha
    -0.34351
  • Upperbound of 95% confidence interval for alpha
    0.49210
  • Treynor index (mean / b)
    0.38787
  • Jensen alpha (a)
    0.07430
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24503
  • SD
    0.20165
  • Sharpe ratio (Glass type estimate)
    1.21513
  • Sharpe ratio (Hedges UMVUE)
    1.13002
  • df
    11.00000
  • t
    1.21513
  • p
    0.12488
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83356
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.21271
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.88602
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14606
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.98115
  • Upside Potential Ratio
    4.48199
  • Upside part of mean
    0.36839
  • Downside part of mean
    -0.12336
  • Upside SD
    0.18847
  • Downside SD
    0.08219
  • N nonnegative terms
    9.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.26040
  • Mean of criterion
    0.24503
  • SD of predictor
    0.18499
  • SD of criterion
    0.20165
  • Covariance
    0.02222
  • r
    0.59565
  • b (slope, estimate of beta)
    0.64930
  • a (intercept, estimate of alpha)
    0.07595
  • Mean Square Error
    0.02886
  • DF error
    10.00000
  • t(b)
    2.34500
  • p(b)
    0.02049
  • t(a)
    0.41156
  • p(a)
    0.34467
  • Lowerbound of 95% confidence interval for beta
    0.03236
  • Upperbound of 95% confidence interval for beta
    1.26625
  • Lowerbound of 95% confidence interval for alpha
    -0.33525
  • Upperbound of 95% confidence interval for alpha
    0.48716
  • Treynor index (mean / b)
    0.37738
  • Jensen alpha (a)
    0.07595
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07256
  • Expected Shortfall on VaR
    0.09464
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01377
  • Expected Shortfall on VaR
    0.03234
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.93085
  • Quartile 1
    0.99771
  • Median
    1.01148
  • Quartile 3
    1.04479
  • Maximum
    1.16757
  • Mean of quarter 1
    0.96222
  • Mean of quarter 2
    1.00595
  • Mean of quarter 3
    1.02689
  • Mean of quarter 4
    1.10342
  • Inter Quartile Range
    0.04708
  • 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
    0.08333
  • Mean of outliers high
    1.16757
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.76443
  • VaR(95%) (moments method)
    0.03889
  • Expected Shortfall (moments method)
    0.04530
  • Extreme Value Index (regression method)
    0.90943
  • VaR(95%) (regression method)
    0.06731
  • Expected Shortfall (regression method)
    0.74556
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01658
  • Quartile 1
    0.03081
  • Median
    0.04504
  • Quartile 3
    0.05928
  • Maximum
    0.07351
  • Mean of quarter 1
    0.01658
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.07351
  • Inter Quartile Range
    0.02847
  • 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)
    0.31382
  • Compounded annual return (geometric extrapolation)
    0.31382
  • Calmar ratio (compounded annual return / max draw down)
    4.26919
  • Compounded annual return / average of 25% largest draw downs
    4.26919
  • Compounded annual return / Expected Shortfall lognormal
    3.31592
  • 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
    0.24437
  • SD
    0.23186
  • Sharpe ratio (Glass type estimate)
    1.05392
  • Sharpe ratio (Hedges UMVUE)
    1.05109
  • df
    279.00000
  • t
    1.08952
  • p
    0.13843
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84492
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.95095
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84684
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.94901
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.03576
  • Upside Potential Ratio
    9.23701
  • Upside part of mean
    1.10879
  • Downside part of mean
    -0.86442
  • Upside SD
    0.19847
  • Downside SD
    0.12004
  • N nonnegative terms
    124.00000
  • N negative terms
    156.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    280.00000
  • Mean of predictor
    0.23956
  • Mean of criterion
    0.24437
  • SD of predictor
    0.15441
  • SD of criterion
    0.23186
  • Covariance
    0.01041
  • r
    0.29079
  • b (slope, estimate of beta)
    0.43664
  • a (intercept, estimate of alpha)
    0.14000
  • Mean Square Error
    0.04939
  • DF error
    278.00000
  • t(b)
    5.06738
  • p(b)
    0.00000
  • t(a)
    0.64715
  • p(a)
    0.25904
  • Lowerbound of 95% confidence interval for beta
    0.26702
  • Upperbound of 95% confidence interval for beta
    0.60626
  • Lowerbound of 95% confidence interval for alpha
    -0.28538
  • Upperbound of 95% confidence interval for alpha
    0.56491
  • Treynor index (mean / b)
    0.55966
  • Jensen alpha (a)
    0.13977
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21838
  • SD
    0.22592
  • Sharpe ratio (Glass type estimate)
    0.96664
  • Sharpe ratio (Hedges UMVUE)
    0.96404
  • df
    279.00000
  • t
    0.99929
  • p
    0.15926
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93183
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.86340
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93357
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.86164
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.79294
  • Upside Potential Ratio
    8.94935
  • Upside part of mean
    1.09006
  • Downside part of mean
    -0.87167
  • Upside SD
    0.19028
  • Downside SD
    0.12180
  • N nonnegative terms
    124.00000
  • N negative terms
    156.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    280.00000
  • Mean of predictor
    0.22765
  • Mean of criterion
    0.21838
  • SD of predictor
    0.15349
  • SD of criterion
    0.22592
  • Covariance
    0.00953
  • r
    0.27490
  • b (slope, estimate of beta)
    0.40464
  • a (intercept, estimate of alpha)
    0.12627
  • Mean Square Error
    0.04735
  • DF error
    278.00000
  • t(b)
    4.76712
  • p(b)
    0.00000
  • t(a)
    0.59734
  • p(a)
    0.27538
  • Lowerbound of 95% confidence interval for beta
    0.23755
  • Upperbound of 95% confidence interval for beta
    0.57173
  • Lowerbound of 95% confidence interval for alpha
    -0.28985
  • Upperbound of 95% confidence interval for alpha
    0.54238
  • Treynor index (mean / b)
    0.53971
  • Jensen alpha (a)
    0.12627
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02188
  • Expected Shortfall on VaR
    0.02756
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00808
  • Expected Shortfall on VaR
    0.01626
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    280.00000
  • Minimum
    0.95335
  • Quartile 1
    0.99614
  • Median
    0.99968
  • Quartile 3
    1.00448
  • Maximum
    1.14541
  • Mean of quarter 1
    0.98898
  • Mean of quarter 2
    0.99808
  • Mean of quarter 3
    1.00176
  • Mean of quarter 4
    1.01534
  • Inter Quartile Range
    0.00833
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.03571
  • Mean of outliers low
    0.96891
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.05714
  • Mean of outliers high
    1.03699
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50396
  • VaR(95%) (moments method)
    0.01158
  • Expected Shortfall (moments method)
    0.02575
  • Extreme Value Index (regression method)
    0.40523
  • VaR(95%) (regression method)
    0.00968
  • Expected Shortfall (regression method)
    0.01796
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00051
  • Quartile 1
    0.00198
  • Median
    0.01499
  • Quartile 3
    0.03471
  • Maximum
    0.12700
  • Mean of quarter 1
    0.00132
  • Mean of quarter 2
    0.00758
  • Mean of quarter 3
    0.02450
  • Mean of quarter 4
    0.08299
  • Inter Quartile Range
    0.03273
  • 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
    0.12500
  • Mean of outliers high
    0.11644
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.47244
  • VaR(95%) (moments method)
    0.08472
  • Expected Shortfall (moments method)
    0.08602
  • Extreme Value Index (regression method)
    -1.13778
  • VaR(95%) (regression method)
    0.12801
  • Expected Shortfall (regression method)
    0.13786
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28175
  • Compounded annual return (geometric extrapolation)
    0.27927
  • Calmar ratio (compounded annual return / max draw down)
    2.19898
  • Compounded annual return / average of 25% largest draw downs
    3.36513
  • Compounded annual return / Expected Shortfall lognormal
    10.13450
  • 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
    -0.12457
  • SD
    0.11537
  • Sharpe ratio (Glass type estimate)
    -1.07972
  • Sharpe ratio (Hedges UMVUE)
    -1.07348
  • df
    130.00000
  • t
    -0.76348
  • p
    0.53341
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.85258
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.69725
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.84836
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70140
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.45683
  • Upside Potential Ratio
    7.38238
  • Upside part of mean
    0.63126
  • Downside part of mean
    -0.75583
  • Upside SD
    0.07718
  • Downside SD
    0.08551
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14272
  • Mean of criterion
    -0.12457
  • SD of predictor
    0.14146
  • SD of criterion
    0.11537
  • Covariance
    -0.00207
  • r
    -0.12686
  • b (slope, estimate of beta)
    -0.10347
  • a (intercept, estimate of alpha)
    -0.10980
  • Mean Square Error
    0.01320
  • DF error
    129.00000
  • t(b)
    -1.45258
  • p(b)
    0.58054
  • t(a)
    -0.67452
  • p(a)
    0.53772
  • Lowerbound of 95% confidence interval for beta
    -0.24440
  • Upperbound of 95% confidence interval for beta
    0.03746
  • Lowerbound of 95% confidence interval for alpha
    -0.43189
  • Upperbound of 95% confidence interval for alpha
    0.21228
  • Treynor index (mean / b)
    1.20399
  • Jensen alpha (a)
    -0.10980
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.13120
  • SD
    0.11549
  • Sharpe ratio (Glass type estimate)
    -1.13606
  • Sharpe ratio (Hedges UMVUE)
    -1.12949
  • df
    130.00000
  • t
    -0.80331
  • p
    0.53514
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.90913
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.64136
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.90470
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64571
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.52341
  • Upside Potential Ratio
    7.29453
  • Upside part of mean
    0.62824
  • Downside part of mean
    -0.75944
  • Upside SD
    0.07671
  • Downside SD
    0.08612
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13271
  • Mean of criterion
    -0.13120
  • SD of predictor
    0.14181
  • SD of criterion
    0.11549
  • Covariance
    -0.00207
  • r
    -0.12653
  • b (slope, estimate of beta)
    -0.10304
  • a (intercept, estimate of alpha)
    -0.11753
  • Mean Square Error
    0.01323
  • DF error
    129.00000
  • t(b)
    -1.44873
  • p(b)
    0.58034
  • t(a)
    -0.72141
  • p(a)
    0.54033
  • VAR (95 Confidence Intrvl)
    0.02200
  • Lowerbound of 95% confidence interval for beta
    -0.24377
  • Upperbound of 95% confidence interval for beta
    0.03768
  • Lowerbound of 95% confidence interval for alpha
    -0.43986
  • Upperbound of 95% confidence interval for alpha
    0.20480
  • Treynor index (mean / b)
    1.27326
  • Jensen alpha (a)
    -0.11753
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01216
  • Expected Shortfall on VaR
    0.01510
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00737
  • Expected Shortfall on VaR
    0.01323
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97200
  • Quartile 1
    0.99633
  • Median
    0.99924
  • Quartile 3
    1.00353
  • Maximum
    1.02000
  • Mean of quarter 1
    0.99113
  • Mean of quarter 2
    0.99777
  • Mean of quarter 3
    1.00109
  • Mean of quarter 4
    1.00858
  • Inter Quartile Range
    0.00720
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97787
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.01824
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.10042
  • VaR(95%) (moments method)
    0.00835
  • Expected Shortfall (moments method)
    0.01079
  • Extreme Value Index (regression method)
    -0.27348
  • VaR(95%) (regression method)
    0.00876
  • Expected Shortfall (regression method)
    0.01071
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00298
  • Quartile 1
    0.01358
  • Median
    0.01914
  • Quartile 3
    0.01954
  • Maximum
    0.10147
  • Mean of quarter 1
    0.00828
  • Mean of quarter 2
    0.01914
  • Mean of quarter 3
    0.01954
  • Mean of quarter 4
    0.10147
  • Inter Quartile Range
    0.00596
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.00298
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.10147
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -370305000
  • Max Equity Drawdown (num days)
    52
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.10067
  • Compounded annual return (geometric extrapolation)
    -0.09814
  • Calmar ratio (compounded annual return / max draw down)
    -0.96720
  • Compounded annual return / average of 25% largest draw downs
    -0.96720
  • Compounded annual return / Expected Shortfall lognormal
    -6.49955

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-08-02
Suggested Minimum Capital
$5,000
# Trades
118
# Profitable
82
% Profitable
69.5%
Net Dividends
$186
Correlation S&P500
0.206
Sharpe Ratio
0.77
Sortino Ratio
1.33
Beta
0.30
Alpha
0.03
Leverage
0.96 Average
2.14 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.