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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 10/14/2020
Most recent certification approved 11/16/20 9:30 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 70%
# trading signals issued by system since certification 906
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 893
Percent signals followed since 10/14/2020 98.6%
This information was last updated 9/20/21 9:31 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 10/14/2020, 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.

Alpha Capital Compound
(127924250)

Created by: AlphaCapital AlphaCapital
Started: 03/2020
Stocks
Last trade: Today
Trading style: Equity Sector Rotation 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 $150.00 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
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
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).
69.6%
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.

(17.8%)
Max Drawdown
627
Num Trades
64.9%
Win Trades
1.7 : 1
Profit Factor
68.4%
Win Months
Hypothetical Monthly Returns (includes system fee and C2 Israel commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              (3.5%)+15.4%+9.6%+15.2%+14.9%+4.5%+9.8%+4.5%+17.1%+0.5%+128.1%
2021+3.3%+3.0%+3.0%(3.9%)(0.5%)(1.4%)(1.2%)+1.7%(4.5%)                  (0.9%)

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 1,139 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/9/21 9:47 DOCU DOCUSIGN INC. COMMON STOCK LONG 35 281.64 9/20 9:30 270.89 0.53%
Trade id #137303297
Max drawdown($621)
Time9/15/21 0:00
Quant open35
Worst price263.89
Drawdown as % of equity-0.53%
($381)
Includes Typical Broker Commissions trade costs of $5.00
8/26/21 9:30 PAYX PAYCHEX LONG 87 114.47 9/17 9:30 109.53 0.41%
Trade id #137132069
Max drawdown($486)
Time9/13/21 0:00
Quant open87
Worst price108.88
Drawdown as % of equity-0.41%
($435)
Includes Typical Broker Commissions trade costs of $5.00
9/13/21 9:42 ADTN ADTRAN LONG 510 19.60 9/17 9:30 19.33 0.3%
Trade id #137346225
Max drawdown($351)
Time9/15/21 0:00
Quant open510
Worst price18.91
Drawdown as % of equity-0.30%
($149)
Includes Typical Broker Commissions trade costs of $10.20
9/1/21 9:30 CSX CSX LONG 307 32.53 9/17 9:30 30.75 0.54%
Trade id #137206946
Max drawdown($644)
Time9/14/21 0:00
Quant open307
Worst price30.43
Drawdown as % of equity-0.54%
($552)
Includes Typical Broker Commissions trade costs of $6.14
8/27/21 9:30 JWN NORDSTROM LONG 706 28.22 9/17 9:30 27.59 1.25%
Trade id #137147113
Max drawdown($1,481)
Time9/13/21 0:00
Quant open706
Worst price26.12
Drawdown as % of equity-1.25%
($458)
Includes Typical Broker Commissions trade costs of $14.12
9/16/21 9:30 XEL XCEL ENERGY LONG 152 65.35 9/17 9:30 64.82 0.14%
Trade id #137396075
Max drawdown($167)
Time9/17/21 0:00
Quant open152
Worst price64.25
Drawdown as % of equity-0.14%
($86)
Includes Typical Broker Commissions trade costs of $5.00
9/14/21 9:30 CDW CDW CORPORATION COMMON STOCK LONG 50 196.77 9/17 9:30 192.88 0.24%
Trade id #137363177
Max drawdown($282)
Time9/17/21 9:30
Quant open50
Worst price191.12
Drawdown as % of equity-0.24%
($200)
Includes Typical Broker Commissions trade costs of $5.00
8/25/21 9:30 TSN TYSON FOODS LONG 126 78.97 9/17 9:30 75.40 0.48%
Trade id #137113681
Max drawdown($572)
Time9/10/21 0:00
Quant open126
Worst price74.43
Drawdown as % of equity-0.48%
($455)
Includes Typical Broker Commissions trade costs of $5.00
9/14/21 10:17 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A COMMON STOCK LONG 39 254.03 9/15 9:30 257.89 n/a $146
Includes Typical Broker Commissions trade costs of $5.00
9/1/21 9:31 ADSK AUTODESK LONG 32 310.09 9/15 9:30 280.58 0.86%
Trade id #137207229
Max drawdown($1,012)
Time9/13/21 0:00
Quant open32
Worst price278.46
Drawdown as % of equity-0.86%
($949)
Includes Typical Broker Commissions trade costs of $5.00
9/10/21 9:30 VRTX VERTEX LONG 53 188.09 9/14 9:30 190.86 0.09%
Trade id #137318988
Max drawdown($102)
Time9/10/21 10:10
Quant open53
Worst price186.15
Drawdown as % of equity-0.09%
$142
Includes Typical Broker Commissions trade costs of $5.00
8/27/21 9:30 KELYA KELLY SERVICES LONG 511 19.56 9/14 9:30 19.65 0.42%
Trade id #137147115
Max drawdown($500)
Time9/8/21 0:00
Quant open511
Worst price18.58
Drawdown as % of equity-0.42%
$39
Includes Typical Broker Commissions trade costs of $10.22
8/30/21 9:30 PTON PELOTON INTERACTIVE INC. CLASS A COMMON STOCK LONG 95 103.41 9/10 9:30 106.91 0.59%
Trade id #137171392
Max drawdown($698)
Time9/7/21 0:00
Quant open95
Worst price96.06
Drawdown as % of equity-0.59%
$328
Includes Typical Broker Commissions trade costs of $5.00
9/3/21 9:30 LULU LULULEMON ATHLETICA LONG 25 388.27 9/10 9:30 423.32 0.25%
Trade id #137238430
Max drawdown($297)
Time9/8/21 0:00
Quant open25
Worst price376.37
Drawdown as % of equity-0.25%
$871
Includes Typical Broker Commissions trade costs of $5.00
9/3/21 9:30 ORLY O'REILLY AUTOMOTIVE LONG 17 578.82 9/9 9:30 592.05 0.04%
Trade id #137238445
Max drawdown($44)
Time9/3/21 9:33
Quant open17
Worst price576.22
Drawdown as % of equity-0.04%
$220
Includes Typical Broker Commissions trade costs of $5.00
8/25/21 9:30 CERN CERNER LONG 129 77.19 9/3 9:30 76.30 0.18%
Trade id #137113688
Max drawdown($212)
Time9/1/21 0:00
Quant open129
Worst price75.54
Drawdown as % of equity-0.18%
($120)
Includes Typical Broker Commissions trade costs of $5.00
8/31/21 9:30 ILMN ILLUMINA LONG 21 457.00 9/3 9:30 466.03 0.15%
Trade id #137190306
Max drawdown($174)
Time8/31/21 10:50
Quant open21
Worst price448.68
Drawdown as % of equity-0.15%
$185
Includes Typical Broker Commissions trade costs of $5.00
9/1/21 9:30 PSQ PROSHARES SHORT QQQ LONG 2,600 11.50 9/2 10:22 11.49 0.13%
Trade id #137206982
Max drawdown($155)
Time9/1/21 9:50
Quant open2,600
Worst price11.44
Drawdown as % of equity-0.13%
($65)
Includes Typical Broker Commissions trade costs of $52.00
8/26/21 9:35 ADI ANALOG DEVICES LONG 60 164.00 9/1 9:30 163.20 0.13%
Trade id #137132521
Max drawdown($159)
Time8/31/21 0:00
Quant open60
Worst price161.34
Drawdown as % of equity-0.13%
($53)
Includes Typical Broker Commissions trade costs of $5.00
8/11/21 9:30 QQQ POWERSHARES QQQ LONG 267 368.01 9/1 9:30 371.45 0.91%
Trade id #136916629
Max drawdown($1,062)
Time8/19/21 0:00
Quant open132
Worst price359.96
Drawdown as % of equity-0.91%
$904
Includes Typical Broker Commissions trade costs of $17.50
8/26/21 9:30 PEP PEPSICO LONG 64 155.20 9/1 9:30 156.84 0.06%
Trade id #137132163
Max drawdown($71)
Time8/26/21 10:32
Quant open64
Worst price154.09
Drawdown as % of equity-0.06%
$100
Includes Typical Broker Commissions trade costs of $5.00
8/27/21 9:30 MDLZ MONDELEZ INTERNATIONAL LONG 162 61.44 9/1 9:30 62.33 0%
Trade id #137147130
Max drawdown($5)
Time8/27/21 9:44
Quant open162
Worst price61.41
Drawdown as % of equity-0.00%
$139
Includes Typical Broker Commissions trade costs of $5.00
8/30/21 9:30 MRNA MODERNA INC. COMMON STOCK LONG 26 368.93 8/31 9:30 375.91 0.13%
Trade id #137171380
Max drawdown($159)
Time8/30/21 9:41
Quant open26
Worst price362.80
Drawdown as % of equity-0.13%
$176
Includes Typical Broker Commissions trade costs of $5.00
8/27/21 9:35 PRGO PERRIGO COMPANY PLC LONG 250 39.95 8/31 9:30 40.22 0.03%
Trade id #137147464
Max drawdown($32)
Time8/27/21 10:16
Quant open250
Worst price39.82
Drawdown as % of equity-0.03%
$62
Includes Typical Broker Commissions trade costs of $5.00
8/25/21 9:31 ADP AUTOMATIC DATA PROCESSING LONG 48 208.19 8/30 9:30 209.09 0.08%
Trade id #137114025
Max drawdown($95)
Time8/26/21 0:00
Quant open48
Worst price206.20
Drawdown as % of equity-0.08%
$38
Includes Typical Broker Commissions trade costs of $5.00
8/12/21 9:30 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A COMMON STO LONG 27 358.34 8/27 9:30 343.88 0.62%
Trade id #136934692
Max drawdown($726)
Time8/19/21 0:00
Quant open27
Worst price331.45
Drawdown as % of equity-0.62%
($395)
Includes Typical Broker Commissions trade costs of $5.00
8/25/21 9:30 RPM RPM INTERNATIONAL LONG 120 83.30 8/27 9:30 83.08 0.05%
Trade id #137113772
Max drawdown($60)
Time8/26/21 0:00
Quant open120
Worst price82.80
Drawdown as % of equity-0.05%
($31)
Includes Typical Broker Commissions trade costs of $5.00
8/23/21 9:30 HON HONEYWELL INTERNATIONAL LONG 43 228.10 8/25 9:30 230.86 n/a $113
Includes Typical Broker Commissions trade costs of $5.00
8/18/21 10:08 BIDU BAIDU LONG 70 142.38 8/25 9:30 152.52 0.39%
Trade id #137017717
Max drawdown($454)
Time8/19/21 0:00
Quant open70
Worst price135.89
Drawdown as % of equity-0.39%
$705
Includes Typical Broker Commissions trade costs of $5.00
8/23/21 9:30 BKNG BOOKING HOLDINGS INC. COMMON STOCK LONG 4 2072.06 8/24 9:30 2149.40 n/a $304
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    3/9/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    560.4
  • Age
    19 months ago
  • What it trades
    Stocks
  • # Trades
    627
  • # Profitable
    407
  • % Profitable
    64.90%
  • Avg trade duration
    7.3 days
  • Max peak-to-valley drawdown
    17.84%
  • drawdown period
    April 07, 2021 - July 27, 2021
  • Annual Return (Compounded)
    71.8%
  • Avg win
    $414.73
  • Avg loss
    $462.09
  • Model Account Values (Raw)
  • Cash
    $61,537
  • Margin Used
    $0
  • Buying Power
    $57,837
  • Ratios
  • W:L ratio
    1.75:1
  • Sharpe Ratio
    1.85
  • Sortino Ratio
    2.99
  • Calmar Ratio
    5.165
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    71.89%
  • Correlation to SP500
    0.25930
  • Return Percent SP500 (cumu) during strategy life
    58.66%
  • Return Statistics
  • Ann Return (w trading costs)
    71.8%
  • Slump
  • Current Slump as Pcnt Equity
    12.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.30%
  • Return Statistics
  • Return Pcnt Since TOS Status
    13.220%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.718%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    77.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    14.00%
  • Chance of 20% account loss
    2.00%
  • 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)
    894
  • Popularity (Last 6 weeks)
    974
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    858
  • Popularity (7 days, Percentile 1000 scale)
    920
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    70%
  • Win / Loss
  • Avg Loss
    $467
  • Avg Win
    $415
  • Sum Trade PL (losers)
    $102,826.000
  • AUM
  • AUM (AutoTrader num accounts)
    14
  • Age
  • Num Months filled monthly returns table
    19
  • Win / Loss
  • Sum Trade PL (winners)
    $168,794.000
  • # Winners
    407
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    4486
  • AUM
  • AUM (AutoTrader live capital)
    700651
  • Win / Loss
  • # Losers
    220
  • % Winners
    64.9%
  • Frequency
  • Avg Position Time (mins)
    10542.30
  • Avg Position Time (hrs)
    175.70
  • Avg Trade Length
    7.3 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.12
  • Daily leverage (max)
    2.94
  • Regression
  • Alpha
    0.14
  • Beta
    0.25
  • Treynor Index
    0.63
  • 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)
    0.31
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    6.715
  • 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
    0.751
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.796
  • Hold-and-Hope Ratio
    0.149
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.63059
  • SD
    0.31059
  • Sharpe ratio (Glass type estimate)
    2.03029
  • Sharpe ratio (Hedges UMVUE)
    1.93915
  • df
    17.00000
  • t
    2.48659
  • p
    0.18649
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.26741
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.74281
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21120
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.66711
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.07913
  • Upside Potential Ratio
    9.60458
  • Upside part of mean
    0.74966
  • Downside part of mean
    -0.11906
  • Upside SD
    0.34374
  • Downside SD
    0.07805
  • N nonnegative terms
    12.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.30103
  • Mean of criterion
    0.63059
  • SD of predictor
    0.09368
  • SD of criterion
    0.31059
  • Covariance
    0.01597
  • r
    0.54885
  • b (slope, estimate of beta)
    1.81971
  • a (intercept, estimate of alpha)
    0.08280
  • Mean Square Error
    0.07162
  • DF error
    16.00000
  • t(b)
    2.62634
  • p(b)
    0.22557
  • t(a)
    0.27410
  • p(a)
    0.46582
  • Lowerbound of 95% confidence interval for beta
    0.35089
  • Upperbound of 95% confidence interval for beta
    3.28853
  • Lowerbound of 95% confidence interval for alpha
    -0.55758
  • Upperbound of 95% confidence interval for alpha
    0.72318
  • Treynor index (mean / b)
    0.34653
  • Jensen alpha (a)
    0.08280
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57387
  • SD
    0.28581
  • Sharpe ratio (Glass type estimate)
    2.00790
  • Sharpe ratio (Hedges UMVUE)
    1.91777
  • df
    17.00000
  • t
    2.45917
  • p
    0.18878
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24810
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.71773
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19251
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.64302
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.13318
  • Upside Potential Ratio
    8.64906
  • Upside part of mean
    0.69583
  • Downside part of mean
    -0.12195
  • Upside SD
    0.31324
  • Downside SD
    0.08045
  • N nonnegative terms
    12.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.29275
  • Mean of criterion
    0.57387
  • SD of predictor
    0.09042
  • SD of criterion
    0.28581
  • Covariance
    0.01423
  • r
    0.55072
  • b (slope, estimate of beta)
    1.74074
  • a (intercept, estimate of alpha)
    0.06426
  • Mean Square Error
    0.06047
  • DF error
    16.00000
  • t(b)
    2.63914
  • p(b)
    0.22464
  • t(a)
    0.23069
  • p(a)
    0.47121
  • Lowerbound of 95% confidence interval for beta
    0.34248
  • Upperbound of 95% confidence interval for beta
    3.13900
  • Lowerbound of 95% confidence interval for alpha
    -0.52627
  • Upperbound of 95% confidence interval for alpha
    0.65479
  • Treynor index (mean / b)
    0.32967
  • Jensen alpha (a)
    0.06426
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08414
  • Expected Shortfall on VaR
    0.11476
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01710
  • Expected Shortfall on VaR
    0.03749
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.92380
  • Quartile 1
    0.99748
  • Median
    1.02760
  • Quartile 3
    1.10203
  • Maximum
    1.26258
  • Mean of quarter 1
    0.96664
  • Mean of quarter 2
    1.01296
  • Mean of quarter 3
    1.06764
  • Mean of quarter 4
    1.16644
  • Inter Quartile Range
    0.10455
  • 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
    0.05556
  • Mean of outliers high
    1.26258
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -10.51680
  • VaR(95%) (moments method)
    0.01391
  • Expected Shortfall (moments method)
    0.01391
  • Extreme Value Index (regression method)
    0.08473
  • VaR(95%) (regression method)
    0.03614
  • Expected Shortfall (regression method)
    0.05875
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00409
  • Quartile 1
    0.02095
  • Median
    0.02922
  • Quartile 3
    0.04295
  • Maximum
    0.07620
  • Mean of quarter 1
    0.00409
  • Mean of quarter 2
    0.02657
  • Mean of quarter 3
    0.03186
  • Mean of quarter 4
    0.07620
  • Inter Quartile Range
    0.02200
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.07620
  • 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)
    0.97745
  • Compounded annual return (geometric extrapolation)
    0.82536
  • Calmar ratio (compounded annual return / max draw down)
    10.83120
  • Compounded annual return / average of 25% largest draw downs
    10.83120
  • Compounded annual return / Expected Shortfall lognormal
    7.19192
  • 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
    0.58906
  • SD
    0.25360
  • Sharpe ratio (Glass type estimate)
    2.32278
  • Sharpe ratio (Hedges UMVUE)
    2.31837
  • df
    396.00000
  • t
    2.85925
  • p
    0.00224
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.72092
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.92175
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71799
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.91876
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.86252
  • Upside Potential Ratio
    10.85580
  • Upside part of mean
    1.65558
  • Downside part of mean
    -1.06652
  • Upside SD
    0.20547
  • Downside SD
    0.15251
  • N nonnegative terms
    211.00000
  • N negative terms
    186.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    397.00000
  • Mean of predictor
    0.31395
  • Mean of criterion
    0.58906
  • SD of predictor
    0.27152
  • SD of criterion
    0.25360
  • Covariance
    0.01813
  • r
    0.26324
  • b (slope, estimate of beta)
    0.24587
  • a (intercept, estimate of alpha)
    0.51200
  • Mean Square Error
    0.06001
  • DF error
    395.00000
  • t(b)
    5.42306
  • p(b)
    0.00000
  • t(a)
    2.56560
  • p(a)
    0.00533
  • Lowerbound of 95% confidence interval for beta
    0.15673
  • Upperbound of 95% confidence interval for beta
    0.33500
  • Lowerbound of 95% confidence interval for alpha
    0.11963
  • Upperbound of 95% confidence interval for alpha
    0.90411
  • Treynor index (mean / b)
    2.39584
  • Jensen alpha (a)
    0.51187
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.55644
  • SD
    0.25283
  • Sharpe ratio (Glass type estimate)
    2.20089
  • Sharpe ratio (Hedges UMVUE)
    2.19672
  • df
    396.00000
  • t
    2.70921
  • p
    0.00352
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.59995
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.79911
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.59717
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.79627
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.57439
  • Upside Potential Ratio
    10.50140
  • Upside part of mean
    1.63480
  • Downside part of mean
    -1.07836
  • Upside SD
    0.20176
  • Downside SD
    0.15568
  • N nonnegative terms
    211.00000
  • N negative terms
    186.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    397.00000
  • Mean of predictor
    0.27673
  • Mean of criterion
    0.55644
  • SD of predictor
    0.27310
  • SD of criterion
    0.25283
  • Covariance
    0.01820
  • r
    0.26352
  • b (slope, estimate of beta)
    0.24396
  • a (intercept, estimate of alpha)
    0.48893
  • Mean Square Error
    0.05963
  • DF error
    395.00000
  • t(b)
    5.42927
  • p(b)
    0.00000
  • t(a)
    2.45980
  • p(a)
    0.00716
  • Lowerbound of 95% confidence interval for beta
    0.15562
  • Upperbound of 95% confidence interval for beta
    0.33230
  • Lowerbound of 95% confidence interval for alpha
    0.09816
  • Upperbound of 95% confidence interval for alpha
    0.87971
  • Treynor index (mean / b)
    2.28088
  • Jensen alpha (a)
    0.48893
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02329
  • Expected Shortfall on VaR
    0.02963
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00889
  • Expected Shortfall on VaR
    0.01852
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    397.00000
  • Minimum
    0.91792
  • Quartile 1
    0.99503
  • Median
    1.00080
  • Quartile 3
    1.00763
  • Maximum
    1.06738
  • Mean of quarter 1
    0.98553
  • Mean of quarter 2
    0.99855
  • Mean of quarter 3
    1.00408
  • Mean of quarter 4
    1.02143
  • Inter Quartile Range
    0.01260
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.02771
  • Mean of outliers low
    0.95983
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.05793
  • Mean of outliers high
    1.04110
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20356
  • VaR(95%) (moments method)
    0.01331
  • Expected Shortfall (moments method)
    0.02095
  • Extreme Value Index (regression method)
    0.25256
  • VaR(95%) (regression method)
    0.01365
  • Expected Shortfall (regression method)
    0.02241
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    33.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00439
  • Median
    0.01290
  • Quartile 3
    0.03449
  • Maximum
    0.15369
  • Mean of quarter 1
    0.00227
  • Mean of quarter 2
    0.00939
  • Mean of quarter 3
    0.02563
  • Mean of quarter 4
    0.07726
  • Inter Quartile Range
    0.03011
  • 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
    0.09091
  • Mean of outliers high
    0.11068
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.27081
  • VaR(95%) (moments method)
    0.07494
  • Expected Shortfall (moments method)
    0.09110
  • Extreme Value Index (regression method)
    0.41130
  • VaR(95%) (regression method)
    0.07197
  • Expected Shortfall (regression method)
    0.12474
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.93982
  • Compounded annual return (geometric extrapolation)
    0.79383
  • Calmar ratio (compounded annual return / max draw down)
    5.16494
  • Compounded annual return / average of 25% largest draw downs
    10.27450
  • Compounded annual return / Expected Shortfall lognormal
    26.79090
  • 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
    -0.11930
  • SD
    0.19572
  • Sharpe ratio (Glass type estimate)
    -0.60955
  • Sharpe ratio (Hedges UMVUE)
    -0.60603
  • df
    130.00000
  • t
    -0.43102
  • p
    0.51889
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.38126
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16433
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.37881
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16676
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.91446
  • Upside Potential Ratio
    7.62137
  • Upside part of mean
    0.99430
  • Downside part of mean
    -1.11361
  • Upside SD
    0.14508
  • Downside SD
    0.13046
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19327
  • Mean of criterion
    -0.11930
  • SD of predictor
    0.10856
  • SD of criterion
    0.19572
  • Covariance
    0.00543
  • r
    0.25549
  • b (slope, estimate of beta)
    0.46064
  • a (intercept, estimate of alpha)
    -0.20833
  • Mean Square Error
    0.03608
  • DF error
    129.00000
  • t(b)
    3.00143
  • p(b)
    0.33914
  • t(a)
    -0.77081
  • p(a)
    0.54307
  • Lowerbound of 95% confidence interval for beta
    0.15699
  • Upperbound of 95% confidence interval for beta
    0.76428
  • Lowerbound of 95% confidence interval for alpha
    -0.74307
  • Upperbound of 95% confidence interval for alpha
    0.32641
  • Treynor index (mean / b)
    -0.25900
  • Jensen alpha (a)
    -0.20833
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.13820
  • SD
    0.19473
  • Sharpe ratio (Glass type estimate)
    -0.70968
  • Sharpe ratio (Hedges UMVUE)
    -0.70558
  • df
    130.00000
  • t
    -0.50182
  • p
    0.52199
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.48150
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06480
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.47871
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06755
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.04536
  • Upside Potential Ratio
    7.44283
  • Upside part of mean
    0.98395
  • Downside part of mean
    -1.12215
  • Upside SD
    0.14222
  • Downside SD
    0.13220
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18734
  • Mean of criterion
    -0.13820
  • SD of predictor
    0.10856
  • SD of criterion
    0.19473
  • Covariance
    0.00543
  • r
    0.25690
  • b (slope, estimate of beta)
    0.46084
  • a (intercept, estimate of alpha)
    -0.22453
  • Mean Square Error
    0.03569
  • DF error
    129.00000
  • t(b)
    3.01918
  • p(b)
    0.33827
  • t(a)
    -0.83560
  • p(a)
    0.54667
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    0.15884
  • Upperbound of 95% confidence interval for beta
    0.76284
  • Lowerbound of 95% confidence interval for alpha
    -0.75617
  • Upperbound of 95% confidence interval for alpha
    0.30711
  • Treynor index (mean / b)
    -0.29988
  • Jensen alpha (a)
    -0.22453
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02011
  • Expected Shortfall on VaR
    0.02501
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01026
  • Expected Shortfall on VaR
    0.01906
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94837
  • Quartile 1
    0.99421
  • Median
    0.99919
  • Quartile 3
    1.00501
  • Maximum
    1.06738
  • Mean of quarter 1
    0.98662
  • Mean of quarter 2
    0.99678
  • Mean of quarter 3
    1.00197
  • Mean of quarter 4
    1.01330
  • Inter Quartile Range
    0.01080
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.94837
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.03801
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.36257
  • VaR(95%) (moments method)
    0.01294
  • Expected Shortfall (moments method)
    0.01539
  • Extreme Value Index (regression method)
    -0.13389
  • VaR(95%) (regression method)
    0.01275
  • Expected Shortfall (regression method)
    0.01617
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01040
  • Quartile 1
    0.01883
  • Median
    0.02726
  • Quartile 3
    0.09048
  • Maximum
    0.15369
  • Mean of quarter 1
    0.01040
  • Mean of quarter 2
    0.02726
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.15369
  • Inter Quartile Range
    0.07165
  • 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?
    -291947000
  • Max Equity Drawdown (num days)
    111
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.10730
  • Compounded annual return (geometric extrapolation)
    -0.10443
  • Calmar ratio (compounded annual return / max draw down)
    -0.67944
  • Compounded annual return / average of 25% largest draw downs
    -0.67944
  • Compounded annual return / Expected Shortfall lognormal
    -4.17456

Strategy Description

This system uses a very unique two stage filtration system. The first filter calculates, compares and then ranks the entire universe of stocks against one another to find the STRONGEST stocks in the Index using a distinct set of parameters. The second filter, is looking for a timing trigger to enter at just the right time to catch the explosive move up.

Average hold period is around 3 days.

Do not join open positions.
This system holds a max of 15 positions. I allocate 10k per position.

Scale your account accordingly or contact me with questions.

Summary Statistics

Includes fees & commissions C2 Israel
Strategy began
2020-03-09
Suggested Minimum Capital
$15,000
# Trades
627
# Profitable
407
% Profitable
64.9%
Net Dividends
Correlation S&P500
0.259
Sharpe Ratio
1.85
Sortino Ratio
2.99
Beta
0.25
Alpha
0.14
Leverage
1.12 Average
2.94 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