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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 03/10/2020
Most recent certification approved 3/10/20 9:45 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 538
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 538
Percent signals followed since 03/10/2020 100%
This information was last updated 1/21/22 12:30 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 03/10/2020, 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.

AI SOXL SOXS swing
(127841340)

Created by: QuantTiger QuantTiger
Started: 03/2020
Stocks
Last trade: 2 days ago
Trading style: Equity Trend-following Sector: Technology

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $140.00 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.
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
79.5%
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.

(43.4%)
Max Drawdown
262
Num Trades
46.6%
Win Trades
1.3 : 1
Profit Factor
65.2%
Win Months
Hypothetical Monthly Returns (includes system fee and C2 Israel commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              +18.9%(15.8%)+32.1%+24.9%+11.7%+3.8%(17.2%)+3.0%+34.2%+11.1%+143.8%
2021+1.5%+19.5%(25%)+3.8%(7.1%)+7.7%(14.7%)+12.1%(11.8%)(7.3%)+48.6%+20.3%+32.0%
2022(5.8%)                                                                  (5.8%)

Model Account Details

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

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

System developer has asked us to delay this information by 36 hours.

Trading Record

This strategy has placed 538 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
1/18/22 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 650 55.61 1/19 15:54 51.43 3.07%
Trade id #138996229
Max drawdown($2,799)
Time1/19/22 15:54
Quant open650
Worst price51.30
Drawdown as % of equity-3.07%
($2,726)
Includes Typical Broker Commissions trade costs of $13.00
1/18/22 9:30 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 9,888 3.68 1/18 15:59 3.96 0.18%
Trade id #138987235
Max drawdown($164)
Time1/18/22 10:15
Quant open9,888
Worst price3.66
Drawdown as % of equity-0.18%
$2,555
Includes Typical Broker Commissions trade costs of $197.76
1/14/22 9:30 SOXL DIREXION DAILY SEMICONDCT BULL LONG 609 58.85 1/18 9:30 60.77 n/a $1,154
Includes Typical Broker Commissions trade costs of $12.18
1/13/22 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 9,261 3.76 1/14 9:30 3.83 2.31%
Trade id #138946819
Max drawdown($2,037)
Time1/14/22 0:00
Quant open9,261
Worst price3.54
Drawdown as % of equity-2.31%
$480
Includes Typical Broker Commissions trade costs of $185.22
1/12/22 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 564 64.40 1/13 15:52 60.47 2.63%
Trade id #138925616
Max drawdown($2,357)
Time1/13/22 15:51
Quant open564
Worst price60.22
Drawdown as % of equity-2.63%
($2,224)
Includes Typical Broker Commissions trade costs of $11.28
1/12/22 9:30 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 9,615 3.47 1/12 15:59 3.52 0.77%
Trade id #138916960
Max drawdown($691)
Time1/12/22 10:26
Quant open9,615
Worst price3.40
Drawdown as % of equity-0.77%
$222
Includes Typical Broker Commissions trade costs of $192.30
1/10/22 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 580 60.18 1/12 9:30 64.97 1.53%
Trade id #138894522
Max drawdown($1,336)
Time1/11/22 0:00
Quant open580
Worst price57.88
Drawdown as % of equity-1.53%
$2,765
Includes Typical Broker Commissions trade costs of $11.60
1/10/22 9:30 SOXL DIREXION DAILY SEMICONDCT BULL LONG 623 56.91 1/10 9:57 55.57 0.97%
Trade id #138884714
Max drawdown($839)
Time1/10/22 9:57
Quant open623
Worst price55.56
Drawdown as % of equity-0.97%
($843)
Includes Typical Broker Commissions trade costs of $12.46
1/7/22 15:59 SOXL DIREXION DAILY SEMICONDCT BULL SHORT 688 59.81 1/10 9:30 56.92 n/a $1,970
Includes Typical Broker Commissions trade costs of $13.76
1/5/22 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,389 64.24 1/7 10:38 61.21 4.72%
Trade id #138834322
Max drawdown($4,283)
Time1/7/22 10:38
Quant open1,389
Worst price61.16
Drawdown as % of equity-4.72%
($4,246)
Includes Typical Broker Commissions trade costs of $27.78
1/4/22 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 13,853 3.25 1/5 9:40 3.31 0.23%
Trade id #138817969
Max drawdown($207)
Time1/5/22 0:00
Quant open13,853
Worst price3.24
Drawdown as % of equity-0.23%
$512
Includes Typical Broker Commissions trade costs of $277.06
12/28/21 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,321 70.45 1/4/22 11:00 67.09 5.14%
Trade id #138734353
Max drawdown($4,954)
Time1/4/22 11:00
Quant open1,321
Worst price66.70
Drawdown as % of equity-5.14%
($4,465)
Includes Typical Broker Commissions trade costs of $26.42
12/28/21 9:30 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 14,888 3.17 12/28 15:59 3.31 n/a $1,719
Includes Typical Broker Commissions trade costs of $297.76
12/22/21 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,240 65.44 12/28 9:30 73.91 n/a $10,481
Includes Typical Broker Commissions trade costs of $24.80
12/22/21 9:30 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 18,228 3.78 12/22 15:59 3.62 3.69%
Trade id #138663892
Max drawdown($2,898)
Time12/22/21 12:04
Quant open18,228
Worst price3.62
Drawdown as % of equity-3.69%
($3,264)
Includes Typical Broker Commissions trade costs of $364.56
12/16/21 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,236 59.28 12/22 9:30 62.54 5.87%
Trade id #138610776
Max drawdown($4,714)
Time12/20/21 0:00
Quant open1,236
Worst price55.47
Drawdown as % of equity-5.87%
$4,000
Includes Typical Broker Commissions trade costs of $24.72
12/15/21 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 8,666 3.58 12/16 15:59 4.03 0.94%
Trade id #138595007
Max drawdown($648)
Time12/16/21 0:00
Quant open8,666
Worst price3.50
Drawdown as % of equity-0.94%
$3,685
Includes Typical Broker Commissions trade costs of $173.32
12/9/21 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,113 65.95 12/15 15:59 67.90 11.02%
Trade id #138529861
Max drawdown($7,798)
Time12/14/21 0:00
Quant open1,113
Worst price58.94
Drawdown as % of equity-11.02%
$2,150
Includes Typical Broker Commissions trade costs of $22.26
12/9/21 9:37 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,121 71.07 12/9 15:10 66.13 7.25%
Trade id #138522560
Max drawdown($5,576)
Time12/9/21 15:10
Quant open1,121
Worst price66.10
Drawdown as % of equity-7.25%
($5,564)
Includes Typical Broker Commissions trade costs of $22.42
12/8/21 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,121 5.98 12/9 9:37 5.98 0.02%
Trade id #138516309
Max drawdown($17)
Time12/9/21 9:37
Quant open1,121
Worst price5.96
Drawdown as % of equity-0.02%
($17)
Includes Typical Broker Commissions trade costs of $22.42
12/8/21 9:30 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 18,765 3.57 12/8 15:59 3.52 1.57%
Trade id #138504255
Max drawdown($1,305)
Time12/8/21 9:49
Quant open18,765
Worst price3.50
Drawdown as % of equity-1.57%
($1,299)
Includes Typical Broker Commissions trade costs of $375.30
12/6/21 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,130 62.53 12/8 9:30 70.39 n/a $8,861
Includes Typical Broker Commissions trade costs of $22.60
12/6/21 9:30 SOXL DIREXION DAILY SEMICONDCT BULL LONG 475 62.34 12/6 9:35 58.80 2.3%
Trade id #138470213
Max drawdown($1,700)
Time12/6/21 9:35
Quant open475
Worst price58.76
Drawdown as % of equity-2.30%
($1,690)
Includes Typical Broker Commissions trade costs of $9.50
12/3/21 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 7,114 4.07 12/6 9:30 4.09 n/a $40
Includes Typical Broker Commissions trade costs of $142.28
11/30/21 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,088 64.67 12/3 15:59 62.67 7.29%
Trade id #138402214
Max drawdown($5,426)
Time12/2/21 0:00
Quant open1,088
Worst price59.68
Drawdown as % of equity-7.29%
($2,197)
Includes Typical Broker Commissions trade costs of $21.76
11/29/21 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 13,651 3.75 11/30 15:59 3.94 0.85%
Trade id #138382835
Max drawdown($618)
Time11/30/21 0:00
Quant open13,651
Worst price3.70
Drawdown as % of equity-0.85%
$2,416
Includes Typical Broker Commissions trade costs of $273.02
11/26/21 12:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,030 61.28 11/29 15:59 68.54 0.56%
Trade id #138357237
Max drawdown($364)
Time11/26/21 13:28
Quant open1,030
Worst price60.93
Drawdown as % of equity-0.56%
$7,450
Includes Typical Broker Commissions trade costs of $20.60
11/26/21 9:31 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 7,839 4.12 11/26 12:59 4.25 1.02%
Trade id #138351046
Max drawdown($698)
Time11/26/21 9:36
Quant open7,839
Worst price4.03
Drawdown as % of equity-1.02%
$867
Includes Typical Broker Commissions trade costs of $156.78
11/24/21 9:30 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,006 62.94 11/26 9:31 63.51 2.7%
Trade id #138325617
Max drawdown($1,737)
Time11/24/21 9:46
Quant open1,006
Worst price61.21
Drawdown as % of equity-2.70%
$559
Includes Typical Broker Commissions trade costs of $20.12
11/16/21 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 992 66.09 11/23 10:59 61.69 6.32%
Trade id #138218736
Max drawdown($4,464)
Time11/23/21 10:59
Quant open992
Worst price61.59
Drawdown as % of equity-6.32%
($4,384)
Includes Typical Broker Commissions trade costs of $19.84

Statistics

  • Strategy began
    3/4/2020
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    688.35
  • Age
    23 months ago
  • What it trades
    Stocks
  • # Trades
    262
  • # Profitable
    122
  • % Profitable
    46.60%
  • Avg trade duration
    2.8 days
  • Max peak-to-valley drawdown
    43.43%
  • drawdown period
    Jan 21, 2021 - July 19, 2021
  • Annual Return (Compounded)
    93.5%
  • Avg win
    $2,741
  • Avg loss
    $1,908
  • Model Account Values (Raw)
  • Cash
    $64,445
  • Margin Used
    $0
  • Buying Power
    $65,209
  • Ratios
  • W:L ratio
    1.25:1
  • Sharpe Ratio
    1.08
  • Sortino Ratio
    1.68
  • Calmar Ratio
    2.662
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    206.87%
  • Correlation to SP500
    0.32910
  • Return Percent SP500 (cumu) during strategy life
    43.21%
  • Return Statistics
  • Ann Return (w trading costs)
    93.5%
  • Slump
  • Current Slump as Pcnt Equity
    10.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.03%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.935%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    100.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    71.50%
  • Chance of 20% account loss
    40.50%
  • Chance of 30% account loss
    30.50%
  • Chance of 40% account loss
    12.00%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • Chance of 70% account loss (Monte Carlo)
    0.50%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    3.50%
  • Popularity
  • Popularity (Today)
    941
  • Popularity (Last 6 weeks)
    984
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    974
  • Popularity (7 days, Percentile 1000 scale)
    972
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $1,908
  • Avg Win
    $2,742
  • Sum Trade PL (losers)
    $267,150.000
  • AUM
  • AUM (AutoTrader num accounts)
    5
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $334,585.000
  • # Winners
    122
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    90
  • AUM
  • AUM (AutoTrader live capital)
    886250
  • Win / Loss
  • # Losers
    140
  • % Winners
    46.6%
  • Frequency
  • Avg Position Time (mins)
    4041.93
  • Avg Position Time (hrs)
    67.37
  • Avg Trade Length
    2.8 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.53
  • Daily leverage (max)
    4.08
  • Regression
  • Alpha
    0.19
  • Beta
    0.84
  • Treynor Index
    0.28
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.20
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -9.779
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.408
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.231
  • Hold-and-Hope Ratio
    -0.100
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.79299
  • SD
    0.43048
  • Sharpe ratio (Glass type estimate)
    1.84211
  • Sharpe ratio (Hedges UMVUE)
    1.77539
  • df
    21.00000
  • t
    2.49423
  • p
    0.20768
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27324
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.37288
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23149
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.31930
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.82180
  • Upside Potential Ratio
    6.39097
  • Upside part of mean
    1.05105
  • Downside part of mean
    -0.25806
  • Upside SD
    0.44971
  • Downside SD
    0.16446
  • N nonnegative terms
    16.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.21818
  • Mean of criterion
    0.79299
  • SD of predictor
    0.22234
  • SD of criterion
    0.43048
  • Covariance
    0.04682
  • r
    0.48918
  • b (slope, estimate of beta)
    0.94712
  • a (intercept, estimate of alpha)
    0.58635
  • Mean Square Error
    0.14802
  • DF error
    20.00000
  • t(b)
    2.50826
  • p(b)
    0.25541
  • t(a)
    1.98196
  • p(a)
    0.29741
  • Lowerbound of 95% confidence interval for beta
    0.15946
  • Upperbound of 95% confidence interval for beta
    1.73477
  • Lowerbound of 95% confidence interval for alpha
    -0.03077
  • Upperbound of 95% confidence interval for alpha
    1.20346
  • Treynor index (mean / b)
    0.83727
  • Jensen alpha (a)
    0.58635
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.68830
  • SD
    0.40457
  • Sharpe ratio (Glass type estimate)
    1.70130
  • Sharpe ratio (Hedges UMVUE)
    1.63968
  • df
    21.00000
  • t
    2.30357
  • p
    0.22400
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14816
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.21858
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10957
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.16980
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.94975
  • Upside Potential Ratio
    5.51088
  • Upside part of mean
    0.96035
  • Downside part of mean
    -0.27205
  • Upside SD
    0.40664
  • Downside SD
    0.17427
  • N nonnegative terms
    16.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.19114
  • Mean of criterion
    0.68830
  • SD of predictor
    0.23196
  • SD of criterion
    0.40457
  • Covariance
    0.04259
  • r
    0.45378
  • b (slope, estimate of beta)
    0.79145
  • a (intercept, estimate of alpha)
    0.53702
  • Mean Square Error
    0.13648
  • DF error
    20.00000
  • t(b)
    2.27731
  • p(b)
    0.27311
  • t(a)
    1.91241
  • p(a)
    0.30341
  • Lowerbound of 95% confidence interval for beta
    0.06650
  • Upperbound of 95% confidence interval for beta
    1.51639
  • Lowerbound of 95% confidence interval for alpha
    -0.04873
  • Upperbound of 95% confidence interval for alpha
    1.12278
  • Treynor index (mean / b)
    0.86968
  • Jensen alpha (a)
    0.53702
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12606
  • Expected Shortfall on VaR
    0.16692
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03196
  • Expected Shortfall on VaR
    0.07231
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.87068
  • Quartile 1
    0.99836
  • Median
    1.05416
  • Quartile 3
    1.17694
  • Maximum
    1.28547
  • Mean of quarter 1
    0.92348
  • Mean of quarter 2
    1.01341
  • Mean of quarter 3
    1.10640
  • Mean of quarter 4
    1.22752
  • Inter Quartile Range
    0.17858
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -24.32910
  • VaR(95%) (moments method)
    0.01457
  • Expected Shortfall (moments method)
    0.01457
  • Extreme Value Index (regression method)
    -1.79176
  • VaR(95%) (regression method)
    0.12941
  • Expected Shortfall (regression method)
    0.13383
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00335
  • Quartile 1
    0.04398
  • Median
    0.09342
  • Quartile 3
    0.13709
  • Maximum
    0.16039
  • Mean of quarter 1
    0.00335
  • Mean of quarter 2
    0.05752
  • Mean of quarter 3
    0.12932
  • Mean of quarter 4
    0.16039
  • Inter Quartile Range
    0.09311
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.48227
  • Compounded annual return (geometric extrapolation)
    1.04666
  • Calmar ratio (compounded annual return / max draw down)
    6.52560
  • Compounded annual return / average of 25% largest draw downs
    6.52560
  • Compounded annual return / Expected Shortfall lognormal
    6.27047
  • 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
    0.85860
  • SD
    0.62260
  • Sharpe ratio (Glass type estimate)
    1.37906
  • Sharpe ratio (Hedges UMVUE)
    1.37694
  • df
    489.00000
  • t
    1.88595
  • p
    0.02995
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05737
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81419
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.05883
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81272
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.15328
  • Upside Potential Ratio
    10.30910
  • Upside part of mean
    4.11064
  • Downside part of mean
    -3.25205
  • Upside SD
    0.48027
  • Downside SD
    0.39874
  • N nonnegative terms
    268.00000
  • N negative terms
    222.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    490.00000
  • Mean of predictor
    0.19518
  • Mean of criterion
    0.85860
  • SD of predictor
    0.26027
  • SD of criterion
    0.62260
  • Covariance
    0.06004
  • r
    0.37049
  • b (slope, estimate of beta)
    0.88626
  • a (intercept, estimate of alpha)
    0.68600
  • Mean Square Error
    0.33510
  • DF error
    488.00000
  • t(b)
    8.81152
  • p(b)
    0.00000
  • t(a)
    1.61798
  • p(a)
    0.05316
  • Lowerbound of 95% confidence interval for beta
    0.68863
  • Upperbound of 95% confidence interval for beta
    1.08388
  • Lowerbound of 95% confidence interval for alpha
    -0.14698
  • Upperbound of 95% confidence interval for alpha
    1.51822
  • Treynor index (mean / b)
    0.96879
  • Jensen alpha (a)
    0.68562
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66645
  • SD
    0.61726
  • Sharpe ratio (Glass type estimate)
    1.07970
  • Sharpe ratio (Hedges UMVUE)
    1.07804
  • df
    489.00000
  • t
    1.47655
  • p
    0.07022
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35560
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51396
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35673
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.51281
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.61456
  • Upside Potential Ratio
    9.69379
  • Upside part of mean
    4.00139
  • Downside part of mean
    -3.33494
  • Upside SD
    0.45994
  • Downside SD
    0.41278
  • N nonnegative terms
    268.00000
  • N negative terms
    222.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    490.00000
  • Mean of predictor
    0.16100
  • Mean of criterion
    0.66645
  • SD of predictor
    0.26210
  • SD of criterion
    0.61726
  • Covariance
    0.05863
  • r
    0.36236
  • b (slope, estimate of beta)
    0.85337
  • a (intercept, estimate of alpha)
    0.52906
  • Mean Square Error
    0.33166
  • DF error
    488.00000
  • t(b)
    8.58856
  • p(b)
    0.00000
  • t(a)
    1.25543
  • p(a)
    0.10496
  • Lowerbound of 95% confidence interval for beta
    0.65814
  • Upperbound of 95% confidence interval for beta
    1.04860
  • Lowerbound of 95% confidence interval for alpha
    -0.29896
  • Upperbound of 95% confidence interval for alpha
    1.35708
  • Treynor index (mean / b)
    0.78097
  • Jensen alpha (a)
    0.52906
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05841
  • Expected Shortfall on VaR
    0.07320
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02695
  • Expected Shortfall on VaR
    0.05263
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    490.00000
  • Minimum
    0.88524
  • Quartile 1
    0.98233
  • Median
    1.00240
  • Quartile 3
    1.02424
  • Maximum
    1.24077
  • Mean of quarter 1
    0.95717
  • Mean of quarter 2
    0.99373
  • Mean of quarter 3
    1.01289
  • Mean of quarter 4
    1.04974
  • Inter Quartile Range
    0.04191
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.02449
  • Mean of outliers low
    0.90272
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.01633
  • Mean of outliers high
    1.13011
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.14565
  • VaR(95%) (moments method)
    0.04027
  • Expected Shortfall (moments method)
    0.05114
  • Extreme Value Index (regression method)
    -0.19430
  • VaR(95%) (regression method)
    0.03921
  • Expected Shortfall (regression method)
    0.04870
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00347
  • Quartile 1
    0.02359
  • Median
    0.06874
  • Quartile 3
    0.10220
  • Maximum
    0.37657
  • Mean of quarter 1
    0.00740
  • Mean of quarter 2
    0.05961
  • Mean of quarter 3
    0.08179
  • Mean of quarter 4
    0.23108
  • Inter Quartile Range
    0.07861
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.13043
  • Mean of outliers high
    0.31852
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.76547
  • VaR(95%) (moments method)
    0.23097
  • Expected Shortfall (moments method)
    0.23755
  • Extreme Value Index (regression method)
    -0.72744
  • VaR(95%) (regression method)
    0.32477
  • Expected Shortfall (regression method)
    0.36673
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.42454
  • Compounded annual return (geometric extrapolation)
    1.00243
  • Calmar ratio (compounded annual return / max draw down)
    2.66202
  • Compounded annual return / average of 25% largest draw downs
    4.33798
  • Compounded annual return / Expected Shortfall lognormal
    13.69450
  • 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
    1.00404
  • SD
    0.51788
  • Sharpe ratio (Glass type estimate)
    1.93875
  • Sharpe ratio (Hedges UMVUE)
    1.92754
  • df
    130.00000
  • t
    1.37090
  • p
    0.44031
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84669
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.71693
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85415
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.70924
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.41235
  • Upside Potential Ratio
    12.14990
  • Upside part of mean
    3.57493
  • Downside part of mean
    -2.57089
  • Upside SD
    0.42828
  • Downside SD
    0.29424
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02097
  • Mean of criterion
    1.00404
  • SD of predictor
    0.13077
  • SD of criterion
    0.51788
  • Covariance
    0.01840
  • r
    0.27168
  • b (slope, estimate of beta)
    1.07592
  • a (intercept, estimate of alpha)
    0.98147
  • Mean Square Error
    0.25033
  • DF error
    129.00000
  • t(b)
    3.20625
  • p(b)
    0.32920
  • t(a)
    1.38704
  • p(a)
    0.42302
  • Lowerbound of 95% confidence interval for beta
    0.41199
  • Upperbound of 95% confidence interval for beta
    1.73986
  • Lowerbound of 95% confidence interval for alpha
    -0.41854
  • Upperbound of 95% confidence interval for alpha
    2.38149
  • Treynor index (mean / b)
    0.93319
  • Jensen alpha (a)
    0.98147
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.87192
  • SD
    0.51024
  • Sharpe ratio (Glass type estimate)
    1.70886
  • Sharpe ratio (Hedges UMVUE)
    1.69898
  • df
    130.00000
  • t
    1.20835
  • p
    0.44731
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.07387
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.48517
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08051
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.47847
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.90154
  • Upside Potential Ratio
    11.60400
  • Upside part of mean
    3.48706
  • Downside part of mean
    -2.61514
  • Upside SD
    0.41347
  • Downside SD
    0.30050
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01247
  • Mean of criterion
    0.87192
  • SD of predictor
    0.13092
  • SD of criterion
    0.51024
  • Covariance
    0.01811
  • r
    0.27104
  • b (slope, estimate of beta)
    1.05635
  • a (intercept, estimate of alpha)
    0.85875
  • Mean Square Error
    0.24309
  • DF error
    129.00000
  • t(b)
    3.19819
  • p(b)
    0.32959
  • t(a)
    1.23159
  • p(a)
    0.43150
  • VAR (95 Confidence Intrvl)
    0.05800
  • Lowerbound of 95% confidence interval for beta
    0.40285
  • Upperbound of 95% confidence interval for beta
    1.70985
  • Lowerbound of 95% confidence interval for alpha
    -0.52082
  • Upperbound of 95% confidence interval for alpha
    2.23832
  • Treynor index (mean / b)
    0.82541
  • Jensen alpha (a)
    0.85875
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04736
  • Expected Shortfall on VaR
    0.05977
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02270
  • Expected Shortfall on VaR
    0.04199
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93151
  • Quartile 1
    0.98632
  • Median
    1.00015
  • Quartile 3
    1.02200
  • Maximum
    1.12853
  • Mean of quarter 1
    0.96663
  • Mean of quarter 2
    0.99464
  • Mean of quarter 3
    1.00938
  • Mean of quarter 4
    1.04528
  • Inter Quartile Range
    0.03568
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.93151
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.10687
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.76280
  • VaR(95%) (moments method)
    0.03095
  • Expected Shortfall (moments method)
    0.03166
  • Extreme Value Index (regression method)
    -0.36880
  • VaR(95%) (regression method)
    0.02994
  • Expected Shortfall (regression method)
    0.03530
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00237
  • Quartile 1
    0.00780
  • Median
    0.02637
  • Quartile 3
    0.08477
  • Maximum
    0.22074
  • Mean of quarter 1
    0.00392
  • Mean of quarter 2
    0.01855
  • Mean of quarter 3
    0.06628
  • Mean of quarter 4
    0.14054
  • Inter Quartile Range
    0.07697
  • 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
    0.06667
  • Mean of outliers high
    0.22074
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.73568
  • VaR(95%) (moments method)
    0.15954
  • Expected Shortfall (moments method)
    0.17728
  • Extreme Value Index (regression method)
    0.08783
  • VaR(95%) (regression method)
    0.20216
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.28751
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -297180000
  • Max Equity Drawdown (num days)
    179
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.13636
  • Compounded annual return (geometric extrapolation)
    1.45919
  • Calmar ratio (compounded annual return / max draw down)
    6.61041
  • Compounded annual return / average of 25% largest draw downs
    10.38270
  • Compounded annual return / Expected Shortfall lognormal
    24.41530

Strategy Description

Summary Statistics

Includes fees & commissions C2 Israel
Strategy began
2020-03-04
Suggested Minimum Capital
$5,000
# Trades
262
# Profitable
122
% Profitable
46.6%
Net Dividends
Correlation S&P500
0.329
Sharpe Ratio
1.08
Sortino Ratio
1.68
Beta
0.84
Alpha
0.19
Leverage
2.53 Average
4.08 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.

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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.

0