Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

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

Trades-Own-Strategy Certification

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

Trades-Own-Strategy (TOS) Certification Details
Certification process started 01/15/2019
Most recent certification approved 1/15/19 9:31 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 156
# trading signals executed in manager's Israel Interactive Trading account 156
Percent signals followed since 01/15/2019 100%
This information was last updated 9/20/21 21:20 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 01/15/2019, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

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

Aharonson
(121886558)

Created by: AHARONSON AHARONSON
Started: 01/2019
Stocks
Last trade: 31 days ago
Trading style: Equity 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 $20.00 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
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).
43.8%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(56.2%)
Max Drawdown
77
Num Trades
67.5%
Win Trades
4.8 : 1
Profit Factor
57.6%
Win Months
Hypothetical Monthly Returns (includes system fee and C2 Israel commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019+4.9%+5.4%+3.2%+1.1%(5.2%)+16.1%(3%)(0.4%)  -  +3.5%+4.1%+2.1%+35.0%
2020+10.2%(7.4%)(28.6%)+29.2%+24.2%+13.8%+18.7%+3.9%(5.9%)(0.7%)+22.5%+2.5%+92.3%
2021(0.7%)+13.6%(4%)+4.7%(2.9%)+4.2%(3.2%)(2.7%)(4.7%)                  +3.0%

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 128 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
3/13/20 13:02 RCL ROYAL CARIBBEAN GROUP LONG 33 31.20 8/20/21 9:47 77.01 1.96%
Trade id #128035183
Max drawdown($394)
Time3/18/20 0:00
Quant open33
Worst price19.25
Drawdown as % of equity-1.96%
$1,507
Includes Typical Broker Commissions trade costs of $5.00
3/9/20 11:48 CVX CHEVRON LONG 26 92.62 8/16/21 15:31 100.94 0.98%
Trade id #127924246
Max drawdown($186)
Time3/19/20 0:00
Quant open6
Worst price51.60
Drawdown as % of equity-0.98%
$209
Includes Typical Broker Commissions trade costs of $7.50
1/15/19 9:35 NFLX NETFLIX LONG 11 341.62 8/5/21 13:16 527.88 3.21%
Trade id #121977693
Max drawdown($982)
Time9/24/19 0:00
Quant open11
Worst price252.28
Drawdown as % of equity-3.21%
$2,037
Includes Typical Broker Commissions trade costs of $12.50
2/23/21 10:16 GAN GAN LTD LONG 75 25.58 7/19 9:43 14.91 1.19%
Trade id #134226068
Max drawdown($836)
Time5/11/21 0:00
Quant open75
Worst price14.43
Drawdown as % of equity-1.19%
($805)
Includes Typical Broker Commissions trade costs of $5.00
2/22/21 14:15 IPG INTERPUBLIC GROUP OF COS LONG 100 26.62 7/19 9:43 30.90 0.15%
Trade id #134201060
Max drawdown($106)
Time2/26/21 0:00
Quant open100
Worst price25.55
Drawdown as % of equity-0.15%
$423
Includes Typical Broker Commissions trade costs of $5.00
2/18/21 10:45 PYPL PAYPAL HOLDINGS CORP LONG 10 287.26 7/19 9:43 290.83 0.92%
Trade id #134134878
Max drawdown($641)
Time3/5/21 0:00
Quant open10
Worst price223.09
Drawdown as % of equity-0.92%
$31
Includes Typical Broker Commissions trade costs of $5.00
2/18/21 10:37 SI SILVERGATE CAPITAL CORP LONG 10 149.33 7/19 9:40 83.24 1%
Trade id #134134549
Max drawdown($685)
Time5/12/21 0:00
Quant open10
Worst price80.78
Drawdown as % of equity-1.00%
($666)
Includes Typical Broker Commissions trade costs of $5.00
2/2/21 10:58 BIDU BAIDU LONG 4 246.92 7/19 9:40 175.30 0.41%
Trade id #133795703
Max drawdown($296)
Time7/8/21 0:00
Quant open4
Worst price172.77
Drawdown as % of equity-0.41%
($291)
Includes Typical Broker Commissions trade costs of $5.00
3/6/20 9:52 TSX.AC AIR CANADA LONG 15 CAD 31.26 7/19/21 9:40 CAD 23.41 n/a ($89)
Includes Typical Broker Commissions trade costs of $0.82
1/26/21 15:28 MOMO HELLO GROUP INC ADS LONG 100 16.93 7/19 9:38 12.57 0.63%
Trade id #133609273
Max drawdown($441)
Time7/19/21 9:38
Quant open100
Worst price12.52
Drawdown as % of equity-0.63%
($441)
Includes Typical Broker Commissions trade costs of $5.00
10/6/20 10:10 BUD ANHEUSER-BUSCH INBEV LONG 10 57.45 7/19/21 9:38 66.51 0.11%
Trade id #131539900
Max drawdown($59)
Time10/30/20 0:00
Quant open10
Worst price51.45
Drawdown as % of equity-0.11%
$86
Includes Typical Broker Commissions trade costs of $5.00
3/17/20 10:57 WFC WELLS FARGO LONG 24 27.96 7/19/21 9:38 42.89 0.33%
Trade id #128087186
Max drawdown($172)
Time10/29/20 0:00
Quant open24
Worst price20.76
Drawdown as % of equity-0.33%
$353
Includes Typical Broker Commissions trade costs of $5.00
3/6/20 9:48 LUV SOUTHWEST AIRLINES LONG 11 44.49 7/19/21 9:36 48.57 0.74%
Trade id #127888640
Max drawdown($242)
Time5/14/20 0:00
Quant open11
Worst price22.46
Drawdown as % of equity-0.74%
$40
Includes Typical Broker Commissions trade costs of $5.00
2/28/20 9:50 MAR MARRIOT INTERNATIONAL CLASS A LONG 9 120.02 7/19/21 9:36 130.07 3.24%
Trade id #127764104
Max drawdown($661)
Time3/18/20 0:00
Quant open9
Worst price46.56
Drawdown as % of equity-3.24%
$85
Includes Typical Broker Commissions trade costs of $5.00
2/28/20 9:48 NCLH NORWEGIAN CRUISE LINE HOLDINGS LONG 28 35.26 7/19/21 9:36 22.23 3.87%
Trade id #127763952
Max drawdown($790)
Time3/18/20 0:00
Quant open28
Worst price7.03
Drawdown as % of equity-3.87%
($370)
Includes Typical Broker Commissions trade costs of $5.00
1/5/21 9:47 THBR THUNDER BRIDGE ACQUISITION II LTD. CL A LONG 200 12.90 3/4 11:23 10.27 0.81%
Trade id #133178995
Max drawdown($593)
Time3/4/21 10:05
Quant open200
Worst price9.93
Drawdown as % of equity-0.81%
($531)
Includes Typical Broker Commissions trade costs of $5.00
9/15/20 9:33 PDD PINDUODUO INC. AMERICAN DEPOSITARY SHARES LONG 10 85.13 2/22/21 14:15 192.96 0.29%
Trade id #131178828
Max drawdown($152)
Time10/5/20 0:00
Quant open10
Worst price69.89
Drawdown as % of equity-0.29%
$1,073
Includes Typical Broker Commissions trade costs of $5.00
11/30/20 10:54 KNDI KANDI TECHNOLGIES GROUP INC C LONG 200 10.99 2/18/21 10:36 7.96 1.3%
Trade id #132530195
Max drawdown($845)
Time12/31/20 0:00
Quant open200
Worst price6.76
Drawdown as % of equity-1.30%
($611)
Includes Typical Broker Commissions trade costs of $5.00
10/14/20 15:46 NIO NIO INC LONG 100 26.37 2/1/21 9:34 58.08 0.17%
Trade id #131701167
Max drawdown($91)
Time10/26/20 0:00
Quant open100
Worst price25.46
Drawdown as % of equity-0.17%
$3,166
Includes Typical Broker Commissions trade costs of $5.00
1/27/21 9:57 GME GAMESTOP SHORT 5 274.63 1/28 9:30 273.25 0.79%
Trade id #133627711
Max drawdown($526)
Time1/27/21 10:57
Quant open5
Worst price380.00
Drawdown as % of equity-0.79%
$2
Includes Typical Broker Commissions trade costs of $5.00
10/6/20 10:12 EA ELECTRONIC ARTS LONG 10 129.25 1/26/21 15:27 146.62 0.33%
Trade id #131539991
Max drawdown($191)
Time11/9/20 0:00
Quant open10
Worst price110.15
Drawdown as % of equity-0.33%
$169
Includes Typical Broker Commissions trade costs of $5.00
1/15/19 9:31 INTC INTEL LONG 40 48.71 1/19/21 9:30 57.81 0.84%
Trade id #121977328
Max drawdown($234)
Time5/23/19 0:00
Quant open40
Worst price42.86
Drawdown as % of equity-0.84%
$359
Includes Typical Broker Commissions trade costs of $5.00
11/27/20 9:57 CTXS CITRIX SYSTEMS LONG 20 121.77 1/5/21 9:46 127.20 0.02%
Trade id #132498946
Max drawdown($12)
Time11/30/20 0:00
Quant open20
Worst price121.16
Drawdown as % of equity-0.02%
$104
Includes Typical Broker Commissions trade costs of $5.00
11/19/20 10:04 XPEV XPENG INC LONG 65 44.22 11/27 9:59 65.12 0.09%
Trade id #132345080
Max drawdown($51)
Time11/19/20 10:08
Quant open65
Worst price43.43
Drawdown as % of equity-0.09%
$1,353
Includes Typical Broker Commissions trade costs of $5.00
10/2/20 9:30 CAG CONAGRA BRANDS INC LONG 100 36.12 11/27 9:36 35.74 0.38%
Trade id #131483188
Max drawdown($218)
Time11/10/20 0:00
Quant open100
Worst price33.94
Drawdown as % of equity-0.38%
($43)
Includes Typical Broker Commissions trade costs of $5.00
10/6/20 10:07 MPW MEDICAL PROPERTIES TRUST LONG 50 18.66 11/19 10:03 18.98 0.15%
Trade id #131539756
Max drawdown($76)
Time10/29/20 0:00
Quant open50
Worst price17.13
Drawdown as % of equity-0.15%
$11
Includes Typical Broker Commissions trade costs of $5.00
3/13/19 11:45 SEDO SEEDO CORP. COMMON SHARES LONG 348 2.88 11/4/20 12:47 0.04 4.52%
Trade id #122894454
Max drawdown($996)
Time4/9/20 0:00
Quant open348
Worst price0.02
Drawdown as % of equity-4.52%
($994)
Includes Typical Broker Commissions trade costs of $6.96
10/27/20 10:13 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 80 24.07 11/4 10:22 22.27 0.28%
Trade id #131919242
Max drawdown($150)
Time11/4/20 10:22
Quant open80
Worst price22.20
Drawdown as % of equity-0.28%
($149)
Includes Typical Broker Commissions trade costs of $5.00
2/28/20 9:37 GILD GILEAD SCIENCES LONG 29 70.55 11/4 10:22 61.13 0.76%
Trade id #127763461
Max drawdown($391)
Time10/29/20 0:00
Quant open29
Worst price57.04
Drawdown as % of equity-0.76%
($281)
Includes Typical Broker Commissions trade costs of $7.50
3/6/20 9:54 UPS UNITED PARCEL SERVICE LONG 13 91.15 10/27 10:14 170.80 0.4%
Trade id #127888943
Max drawdown($118)
Time3/12/20 0:00
Quant open13
Worst price82.00
Drawdown as % of equity-0.40%
$1,030
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    1/9/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    984.96
  • Age
    33 months ago
  • What it trades
    Stocks
  • # Trades
    77
  • # Profitable
    52
  • % Profitable
    67.50%
  • Avg trade duration
    347.1 days
  • Max peak-to-valley drawdown
    56.23%
  • drawdown period
    Feb 19, 2020 - March 18, 2020
  • Annual Return (Compounded)
    43.2%
  • Avg win
    $832.81
  • Avg loss
    $387.88
  • Model Account Values (Raw)
  • Cash
    $18,039
  • Margin Used
    $0
  • Buying Power
    $36,154
  • Ratios
  • W:L ratio
    4.82:1
  • Sharpe Ratio
    0.88
  • Sortino Ratio
    1.45
  • Calmar Ratio
    1.225
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    95.50%
  • Correlation to SP500
    0.50320
  • Return Percent SP500 (cumu) during strategy life
    68.58%
  • Return Statistics
  • Ann Return (w trading costs)
    43.2%
  • Slump
  • Current Slump as Pcnt Equity
    14.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.21%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.432%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.96%
  • Percent Trades Forex
    0.04%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    44.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    22.50%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    0.50%
  • 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)
    834
  • Popularity (Last 6 weeks)
    894
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    776
  • Popularity (7 days, Percentile 1000 scale)
    788
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    1
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $429
  • Avg Win
    $997
  • Sum Trade PL (losers)
    $10,728.000
  • AUM
  • AUM (AutoTrader num accounts)
    5
  • Age
  • Num Months filled monthly returns table
    33
  • Win / Loss
  • Sum Trade PL (winners)
    $51,847.000
  • # Winners
    52
  • Num Months Winners
    19
  • Dividends
  • Dividends Received in Model Acct
    1719
  • AUM
  • AUM (AutoTrader live capital)
    52864
  • Win / Loss
  • # Losers
    25
  • % Winners
    67.5%
  • Frequency
  • Avg Position Time (mins)
    499793.00
  • Avg Position Time (hrs)
    8329.89
  • Avg Trade Length
    347.1 days
  • Last Trade Ago
    31
  • Leverage
  • Daily leverage (average)
    1.67
  • Daily leverage (max)
    3.98
  • Regression
  • Alpha
    0.07
  • Beta
    0.92
  • Treynor Index
    0.13
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    7.34
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    64.05
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.12
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    0.858
  • 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
    0.331
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.651
  • Hold-and-Hope Ratio
    1.816
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.61835
  • SD
    0.34294
  • Sharpe ratio (Glass type estimate)
    1.80311
  • Sharpe ratio (Hedges UMVUE)
    1.74081
  • df
    22.00000
  • t
    2.49629
  • p
    0.01027
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27365
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.29673
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23455
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.24707
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.82572
  • Upside Potential Ratio
    7.16147
  • Upside part of mean
    0.76013
  • Downside part of mean
    -0.14178
  • Upside SD
    0.36482
  • Downside SD
    0.10614
  • N nonnegative terms
    18.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.30769
  • Mean of criterion
    0.61835
  • SD of predictor
    0.15134
  • SD of criterion
    0.34294
  • Covariance
    0.03930
  • r
    0.75727
  • b (slope, estimate of beta)
    1.71600
  • a (intercept, estimate of alpha)
    0.09036
  • Mean Square Error
    0.05255
  • DF error
    21.00000
  • t(b)
    5.31343
  • p(b)
    0.06911
  • t(a)
    0.46789
  • p(a)
    0.43545
  • Lowerbound of 95% confidence interval for beta
    1.04438
  • Upperbound of 95% confidence interval for beta
    2.38762
  • Lowerbound of 95% confidence interval for alpha
    -0.31125
  • Upperbound of 95% confidence interval for alpha
    0.49196
  • Treynor index (mean / b)
    0.36035
  • Jensen alpha (a)
    0.09036
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.55650
  • SD
    0.30538
  • Sharpe ratio (Glass type estimate)
    1.82232
  • Sharpe ratio (Hedges UMVUE)
    1.75936
  • df
    22.00000
  • t
    2.52289
  • p
    0.00969
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29075
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.31781
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25122
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.26750
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.99157
  • Upside Potential Ratio
    6.31721
  • Upside part of mean
    0.70429
  • Downside part of mean
    -0.14779
  • Upside SD
    0.32028
  • Downside SD
    0.11149
  • N nonnegative terms
    18.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.29333
  • Mean of criterion
    0.55650
  • SD of predictor
    0.14841
  • SD of criterion
    0.30538
  • Covariance
    0.03392
  • r
    0.74849
  • b (slope, estimate of beta)
    1.54018
  • a (intercept, estimate of alpha)
    0.10472
  • Mean Square Error
    0.04296
  • DF error
    21.00000
  • t(b)
    5.17238
  • p(b)
    0.07278
  • t(a)
    0.60417
  • p(a)
    0.41702
  • Lowerbound of 95% confidence interval for beta
    0.92093
  • Upperbound of 95% confidence interval for beta
    2.15943
  • Lowerbound of 95% confidence interval for alpha
    -0.25575
  • Upperbound of 95% confidence interval for alpha
    0.46519
  • Treynor index (mean / b)
    0.36132
  • Jensen alpha (a)
    0.10472
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09392
  • Expected Shortfall on VaR
    0.12623
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01402
  • Expected Shortfall on VaR
    0.03569
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.88599
  • Quartile 1
    1.00766
  • Median
    1.05100
  • Quartile 3
    1.07925
  • Maximum
    1.41370
  • Mean of quarter 1
    0.95503
  • Mean of quarter 2
    1.03427
  • Mean of quarter 3
    1.06491
  • Mean of quarter 4
    1.15413
  • Inter Quartile Range
    0.07159
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04348
  • Mean of outliers low
    0.88599
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04348
  • Mean of outliers high
    1.41370
  • 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)
    -0.21510
  • VaR(95%) (regression method)
    0.08100
  • Expected Shortfall (regression method)
    0.11648
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.03278
  • Quartile 1
    0.04515
  • Median
    0.06232
  • Quartile 3
    0.08503
  • Maximum
    0.11402
  • Mean of quarter 1
    0.03278
  • Mean of quarter 2
    0.04928
  • Mean of quarter 3
    0.07537
  • Mean of quarter 4
    0.11402
  • Inter Quartile Range
    0.03988
  • 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)
    0.99421
  • Compounded annual return (geometric extrapolation)
    0.74456
  • Calmar ratio (compounded annual return / max draw down)
    6.53033
  • Compounded annual return / average of 25% largest draw downs
    6.53033
  • Compounded annual return / Expected Shortfall lognormal
    5.89847
  • 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
    0.59618
  • SD
    0.41362
  • Sharpe ratio (Glass type estimate)
    1.44138
  • Sharpe ratio (Hedges UMVUE)
    1.43927
  • df
    511.00000
  • t
    2.01495
  • p
    0.02222
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03587
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.84553
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03444
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.84409
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.33107
  • Upside Potential Ratio
    8.27544
  • Upside part of mean
    2.11649
  • Downside part of mean
    -1.52030
  • Upside SD
    0.32664
  • Downside SD
    0.25576
  • N nonnegative terms
    296.00000
  • N negative terms
    216.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    512.00000
  • Mean of predictor
    0.29617
  • Mean of criterion
    0.59618
  • SD of predictor
    0.23895
  • SD of criterion
    0.41362
  • Covariance
    0.04012
  • r
    0.40593
  • b (slope, estimate of beta)
    0.70267
  • a (intercept, estimate of alpha)
    0.38800
  • Mean Square Error
    0.14317
  • DF error
    510.00000
  • t(b)
    10.03090
  • p(b)
    0.00000
  • t(a)
    1.42954
  • p(a)
    0.07673
  • Lowerbound of 95% confidence interval for beta
    0.56505
  • Upperbound of 95% confidence interval for beta
    0.84030
  • Lowerbound of 95% confidence interval for alpha
    -0.14526
  • Upperbound of 95% confidence interval for alpha
    0.92140
  • Treynor index (mean / b)
    0.84845
  • Jensen alpha (a)
    0.38807
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51082
  • SD
    0.41212
  • Sharpe ratio (Glass type estimate)
    1.23951
  • Sharpe ratio (Hedges UMVUE)
    1.23769
  • df
    511.00000
  • t
    1.73275
  • p
    0.04187
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16515
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.64306
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16641
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.64179
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.88232
  • Upside Potential Ratio
    7.61477
  • Upside part of mean
    2.06649
  • Downside part of mean
    -1.55567
  • Upside SD
    0.31122
  • Downside SD
    0.27138
  • N nonnegative terms
    296.00000
  • N negative terms
    216.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    512.00000
  • Mean of predictor
    0.26724
  • Mean of criterion
    0.51082
  • SD of predictor
    0.24089
  • SD of criterion
    0.41212
  • Covariance
    0.03830
  • r
    0.38580
  • b (slope, estimate of beta)
    0.66002
  • a (intercept, estimate of alpha)
    0.33444
  • Mean Square Error
    0.14484
  • DF error
    510.00000
  • t(b)
    9.44379
  • p(b)
    0.00000
  • t(a)
    1.22554
  • p(a)
    0.11047
  • Lowerbound of 95% confidence interval for beta
    0.52272
  • Upperbound of 95% confidence interval for beta
    0.79733
  • Lowerbound of 95% confidence interval for alpha
    -0.20169
  • Upperbound of 95% confidence interval for alpha
    0.87056
  • Treynor index (mean / b)
    0.77394
  • Jensen alpha (a)
    0.33444
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03914
  • Expected Shortfall on VaR
    0.04927
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01160
  • Expected Shortfall on VaR
    0.02587
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    512.00000
  • Minimum
    0.78723
  • Quartile 1
    0.99418
  • Median
    1.00175
  • Quartile 3
    1.00852
  • Maximum
    1.18743
  • Mean of quarter 1
    0.97852
  • Mean of quarter 2
    0.99851
  • Mean of quarter 3
    1.00496
  • Mean of quarter 4
    1.02711
  • Inter Quartile Range
    0.01434
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.04688
  • Mean of outliers low
    0.94579
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.04688
  • Mean of outliers high
    1.07403
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30975
  • VaR(95%) (moments method)
    0.01840
  • Expected Shortfall (moments method)
    0.03282
  • Extreme Value Index (regression method)
    0.18880
  • VaR(95%) (regression method)
    0.02097
  • Expected Shortfall (regression method)
    0.03443
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    33.00000
  • Minimum
    0.00042
  • Quartile 1
    0.00431
  • Median
    0.01508
  • Quartile 3
    0.02737
  • Maximum
    0.54415
  • Mean of quarter 1
    0.00203
  • Mean of quarter 2
    0.01074
  • Mean of quarter 3
    0.02281
  • Mean of quarter 4
    0.14886
  • Inter Quartile Range
    0.02305
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.15152
  • Mean of outliers high
    0.21635
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.81332
  • VaR(95%) (moments method)
    0.13783
  • Expected Shortfall (moments method)
    0.80336
  • Extreme Value Index (regression method)
    0.28539
  • VaR(95%) (regression method)
    0.08428
  • Expected Shortfall (regression method)
    0.14433
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.87684
  • Compounded annual return (geometric extrapolation)
    0.66666
  • Calmar ratio (compounded annual return / max draw down)
    1.22513
  • Compounded annual return / average of 25% largest draw downs
    4.47849
  • Compounded annual return / Expected Shortfall lognormal
    13.53120
  • 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
    0.01932
  • SD
    0.25991
  • Sharpe ratio (Glass type estimate)
    0.07432
  • Sharpe ratio (Hedges UMVUE)
    0.07389
  • df
    130.00000
  • t
    0.05255
  • p
    0.49769
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.69762
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.84602
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.69793
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.84571
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.10229
  • Upside Potential Ratio
    8.15770
  • Upside part of mean
    1.54049
  • Downside part of mean
    -1.52118
  • Upside SD
    0.17714
  • Downside SD
    0.18884
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26832
  • Mean of criterion
    0.01932
  • SD of predictor
    0.12760
  • SD of criterion
    0.25991
  • Covariance
    0.01266
  • r
    0.38174
  • b (slope, estimate of beta)
    0.77759
  • a (intercept, estimate of alpha)
    -0.18932
  • Mean Square Error
    0.05816
  • DF error
    129.00000
  • t(b)
    4.69097
  • p(b)
    0.26302
  • t(a)
    -0.55046
  • p(a)
    0.53081
  • Lowerbound of 95% confidence interval for beta
    0.44962
  • Upperbound of 95% confidence interval for beta
    1.10556
  • Lowerbound of 95% confidence interval for alpha
    -0.86981
  • Upperbound of 95% confidence interval for alpha
    0.49117
  • Treynor index (mean / b)
    0.02484
  • Jensen alpha (a)
    -0.18932
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01429
  • SD
    0.26047
  • Sharpe ratio (Glass type estimate)
    -0.05488
  • Sharpe ratio (Hedges UMVUE)
    -0.05456
  • df
    130.00000
  • t
    -0.03880
  • p
    0.50170
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.82669
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71694
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.82637
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.71725
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.07442
  • Upside Potential Ratio
    7.94097
  • Upside part of mean
    1.52512
  • Downside part of mean
    -1.53941
  • Upside SD
    0.17447
  • Downside SD
    0.19206
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26010
  • Mean of criterion
    -0.01429
  • SD of predictor
    0.12765
  • SD of criterion
    0.26047
  • Covariance
    0.01260
  • r
    0.37906
  • b (slope, estimate of beta)
    0.77348
  • a (intercept, estimate of alpha)
    -0.21548
  • Mean Square Error
    0.05855
  • DF error
    129.00000
  • t(b)
    4.65244
  • p(b)
    0.26460
  • t(a)
    -0.62474
  • p(a)
    0.53495
  • VAR (95 Confidence Intrvl)
    0.03900
  • Lowerbound of 95% confidence interval for beta
    0.44455
  • Upperbound of 95% confidence interval for beta
    1.10242
  • Lowerbound of 95% confidence interval for alpha
    -0.89789
  • Upperbound of 95% confidence interval for alpha
    0.46693
  • Treynor index (mean / b)
    -0.01848
  • Jensen alpha (a)
    -0.21548
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02617
  • Expected Shortfall on VaR
    0.03268
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01281
  • Expected Shortfall on VaR
    0.02508
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94174
  • Quartile 1
    0.99189
  • Median
    1.00106
  • Quartile 3
    1.00810
  • Maximum
    1.06312
  • Mean of quarter 1
    0.97995
  • Mean of quarter 2
    0.99709
  • Mean of quarter 3
    1.00465
  • Mean of quarter 4
    1.01874
  • Inter Quartile Range
    0.01621
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.95127
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.06312
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.23598
  • VaR(95%) (moments method)
    0.01896
  • Expected Shortfall (moments method)
    0.02346
  • Extreme Value Index (regression method)
    -0.03178
  • VaR(95%) (regression method)
    0.01920
  • Expected Shortfall (regression method)
    0.02563
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00771
  • Quartile 1
    0.04303
  • Median
    0.07835
  • Quartile 3
    0.11367
  • Maximum
    0.14898
  • Mean of quarter 1
    0.00771
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14898
  • Inter Quartile Range
    0.07064
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -324391000
  • Max Equity Drawdown (num days)
    28
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01424
  • Compounded annual return (geometric extrapolation)
    -0.01419
  • Calmar ratio (compounded annual return / max draw down)
    -0.09526
  • Compounded annual return / average of 25% largest draw downs
    -0.09526
  • Compounded annual return / Expected Shortfall lognormal
    -0.43423

Strategy Description

This strategy is aimed at the ones who seek a solid and diversified stock portfolio for the long term. I choose our stocks based on fundamental data only which means Im trying to analyze the company's performance based on a few key factors. Im also taking into consideration the potential of their product and services and the outlook of the sector they belong to. Please be aware that my strategy requires patience and it aimed for the long term as I believe patience is the best investor there is. If you planning to have your account connected for a few months and you expecting some fast result then this strategy is NOT for you. Be aware that my strategy will spread over around 40 different stocks. Take it under consideration with your starting balance since in my opinion should be around 15,000$. Im selling my strategy for 10$ for now until April 1st and from that point, the price will be raised to 49$ per month. ***RISK*** As you can see my drawdown is pretty big so be aware some risks might be taken in this strategy - in 2008 the stock market crash around 50% and this is the same risk you can expect in my opinion when you invest in any stock portfolio so pay attention and don't be greedy and stay humble even when the market is booming. I wish you all a successful investing experience.

Summary Statistics

Includes fees & commissions C2 Israel
Strategy began
2019-01-09
Suggested Minimum Capital
$15,000
# Trades
77
# Profitable
52
% Profitable
67.5%
Net Dividends
Correlation S&P500
0.503
Sharpe Ratio
0.88
Sortino Ratio
1.45
Beta
0.92
Alpha
0.07
Leverage
1.67 Average
3.98 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.

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.

0